JUKUAN/Lib/Options/Jiabailie/16_买入日历价差策略50ETF.py

# 买入日历价差策略-50ETF
# 参考资料：
# - 原始策略来源: https://www.joinquant.com/view/community/detail/0d2479d4f374fce4a4b900f2c77d3ba3
# - 研究网址: https://www.joinquant.com/research?target=research&url=/user/75474983526/notebooks/Options/%E4%B9%B0%E5%85%A5%E6%97%A5%E5%8E%86%E4%BB%B7%E5%B7%AE%E7%AD%96%E7%95%A5-50ETF.ipynb

import jqdata
from   jqdata import *
import pandas as pd
import numpy as np
import datetime
import matplotlib.pyplot as plt

plt.rcParams['font.sans-serif']=['SimHei']
plt.rcParams['axes.unicode_minus'] = False

from datetime import datetime, timedelta
#通过合约代码获得其他信息
def getContractForCode(code): 
    q_contract_info = query(opt.OPT_CONTRACT_INFO.code, 
                            opt.OPT_CONTRACT_INFO.trading_code,
                            opt.OPT_CONTRACT_INFO.name,
                            opt.OPT_CONTRACT_INFO.exercise_price, opt.OPT_CONTRACT_INFO.last_trade_date,
                            # 行权价格,最后交易日
                            opt.OPT_CONTRACT_INFO.list_date
                            ).filter(opt.OPT_CONTRACT_INFO.code == code,
                                         )  
    contract_info = opt.run_query(q_contract_info)
    
    return(contract_info)

#获得虚值合约
def getContract(start,end,listdate,contratType='CO'):
    
    q_contract_info = query(opt.OPT_CONTRACT_INFO.code, 
                            opt.OPT_CONTRACT_INFO.trading_code, 
                            opt.OPT_CONTRACT_INFO.name, #合约代码,合约交易代码,合约简称
                            opt.OPT_CONTRACT_INFO.exercise_price, 
                            opt.OPT_CONTRACT_INFO.last_trade_date, 
                            opt.OPT_CONTRACT_INFO.list_date
         ).filter(opt.OPT_CONTRACT_INFO.contract_type == contratType,  #期权类型
                  opt.OPT_CONTRACT_INFO.underlying_type == 'ETF',#ETF类型
                  opt.OPT_CONTRACT_INFO.exchange_code == 'XSHG',   #上交所
                  opt.OPT_CONTRACT_INFO.last_trade_date > start,  #时间-到期月开始
                  opt.OPT_CONTRACT_INFO.last_trade_date <= end,  #时间-到期月结束
                  opt.OPT_CONTRACT_INFO.list_date < listdate)    #在交易前上市
    
    contract_info = opt.run_query(q_contract_info)
    
    etf_cls = get_price('510050.XSHG',listdate,listdate,fields=['close']).values[0][0]
    
    if contratType == 'CO':
        
        contract_info['price_spread'] = contract_info['exercise_price'] - etf_cls
        
    else:
        
        contract_info['price_spread'] = etf_cls - contract_info['exercise_price']
        
    if contract_info['price_spread'].max() > 0:
        
        contract_info = contract_info[contract_info['price_spread'] > 0]  #选出虚值期权
        contract_info = contract_info.sort_values('exercise_price')
        
    else:  #全是实值期权
        
        contract_info = contract_info.sort_values('exercise_price',ascending=False)   
        
    return(contract_info)


#获得指定行权日期的虚值合约
def getContractForExerciseDate(exercisedate,date,contratType='CO'):
    
    q_contract_info = query(opt.OPT_CONTRACT_INFO.code, 
                            opt.OPT_CONTRACT_INFO.trading_code, 
                            opt.OPT_CONTRACT_INFO.name, #合约代码,合约交易代码,合约简称
                            opt.OPT_CONTRACT_INFO.exercise_price, 
                            opt.OPT_CONTRACT_INFO.last_trade_date, 
                            opt.OPT_CONTRACT_INFO.list_date
         ).filter(opt.OPT_CONTRACT_INFO.contract_type == contratType,  #期权类型
                  opt.OPT_CONTRACT_INFO.underlying_type == 'ETF',#ETF类型
                  opt.OPT_CONTRACT_INFO.exchange_code == 'XSHG',   #上交所
                  opt.OPT_CONTRACT_INFO.exercise_date == exercisedate, #指定行权日期
                  opt.OPT_CONTRACT_INFO.last_trade_date >= date,
                  opt.OPT_CONTRACT_INFO.list_date <= date
                 )    #在交易前上市
    
    contract_info = opt.run_query(q_contract_info)
    
    etf_cls = get_price('510050.XSHG',date,date,fields=['close']).values[0][0]
    
    if contratType == 'CO':
        
        contract_info['price_spread'] = contract_info['exercise_price'] - etf_cls
        
    else:
        
        contract_info['price_spread'] = etf_cls - contract_info['exercise_price']
        
    if contract_info['price_spread'].max() > 0:
        
       contract_info = contract_info[contract_info['price_spread'] > 0]  #选出虚值期权
       contract_info = contract_info.sort_values('exercise_price')
        
    else:  #全是实值期权
        
        contract_info = contract_info.sort_values('exercise_price',ascending=False)    
        
    return(contract_info)


#获得指定行权日期以及价格的合约
def getContractForExerciseDateAndPrice(exercisedate,exerciseprice,date,contratType='CO'):
    
    q_contract_info = query(opt.OPT_CONTRACT_INFO.code, 
                            opt.OPT_CONTRACT_INFO.trading_code,
                            opt.OPT_CONTRACT_INFO.name, #合约代码,合约交易代码,合约简称
                            opt.OPT_CONTRACT_INFO.exercise_price, 
                            opt.OPT_CONTRACT_INFO.last_trade_date, 
                            opt.OPT_CONTRACT_INFO.list_date
         ).filter(opt.OPT_CONTRACT_INFO.contract_type == contratType,  #期权类型
                  opt.OPT_CONTRACT_INFO.underlying_type == 'ETF',#ETF类型
                  opt.OPT_CONTRACT_INFO.exchange_code == 'XSHG',   #上交所
                  opt.OPT_CONTRACT_INFO.exercise_date == exercisedate, #指定行权日期
                  opt.OPT_CONTRACT_INFO.exercise_price == exerciseprice, #指定行权价格
                  opt.OPT_CONTRACT_INFO.last_trade_date >= date,
                  opt.OPT_CONTRACT_INFO.list_date <= date
                 )    #在交易前上市
    
    contract_info = opt.run_query(q_contract_info)
    return(contract_info)

#获得指定行权日期，以及最接近行权价格的合约
def getContractForExerciseDateAndClosePrice(exercisedate,exerciseprice,date,contratType='CO'):
    
    q_contract_info = query(opt.OPT_CONTRACT_INFO.code, 
                            opt.OPT_CONTRACT_INFO.trading_code, 
                            opt.OPT_CONTRACT_INFO.name, #合约代码,合约交易代码,合约简称
                            opt.OPT_CONTRACT_INFO.exercise_price, 
                            opt.OPT_CONTRACT_INFO.last_trade_date, 
                            opt.OPT_CONTRACT_INFO.list_date
                            
         ).filter(opt.OPT_CONTRACT_INFO.contract_type == contratType,  #期权类型
                  opt.OPT_CONTRACT_INFO.underlying_type == 'ETF',#ETF类型
                  opt.OPT_CONTRACT_INFO.exchange_code == 'XSHG',   #上交所
                  opt.OPT_CONTRACT_INFO.exercise_date == exercisedate, #指定行权日期
                  #opt.OPT_CONTRACT_INFO.exercise_price == exerciseprice, #指定行权价格
                  opt.OPT_CONTRACT_INFO.last_trade_date >= date,
                  opt.OPT_CONTRACT_INFO.list_date <= date
                 )    #在交易前上市
    
    contract_info = opt.run_query(q_contract_info)
    
    if not contract_info.empty:
        
        contract_info['difference'] = (contract_info['exercise_price'] - exerciseprice).abs()
        closest_row = contract_info.loc[[contract_info['difference'].idxmin()]]
        return(closest_row)
    
    else:
        return(contract_info)


#处理合约切换标记
def contractChange(holding_contract):
    
    data2 = pd.DataFrame(holding_contract)
    data2.columns = ['holding_contract']
    data2 = data2.reindex(columns=['holding_contract','close','last_close'])

    last_contract = holding_contract.iloc[0]   #记录上个持仓
    
    for i in range(0,len(data2.index)):
        
        t = data2.index[i]
        if last_contract == data2.loc[t,'holding_contract']:  #期权未换仓
            #收盘价
            q_price = query(opt.OPT_DAILY_PRICE.code, 
                            opt.OPT_DAILY_PRICE.date, opt.OPT_DAILY_PRICE.close,
                     ).filter(opt.OPT_DAILY_PRICE.code==last_contract,
                              opt.OPT_DAILY_PRICE.date==t)
            price = opt.run_query(q_price)['close'][0]
            data2.loc[t,'close'] = price

        else:
            #收盘价,新
            q_price = query(opt.OPT_DAILY_PRICE.code, opt.OPT_DAILY_PRICE.date, opt.OPT_DAILY_PRICE.close,
                     ).filter(opt.OPT_DAILY_PRICE.code==data2.loc[t,'holding_contract'],
                             opt.OPT_DAILY_PRICE.date==t)
            price = opt.run_query(q_price)['close'][0]
            data2.loc[t,'close'] = price
            #收盘价,旧
            q_price = query(opt.OPT_DAILY_PRICE.code, opt.OPT_DAILY_PRICE.date, opt.OPT_DAILY_PRICE.close,
                     ).filter(opt.OPT_DAILY_PRICE.code==last_contract,
                             opt.OPT_DAILY_PRICE.date==data2.index[i-1])
            price = opt.run_query(q_price)['close'][0]
            data2.loc[t,'last_close'] = price
            last_contract = data2.loc[t,'holding_contract']
            
    return(data2)


#平仓期权收益
def optionProfit(data2,fee=5):
    
    #计算平仓期权的收益
    opt_ret2 = pd.Series(0,index=data2.index)
    pre_close2 = data2['close'].iloc[0]
    for t in data2.index[1:]:
        if data2.isna().loc[t,'last_close']:   #未换仓,last为空
            opt_ret2[t] = -10000*(data2.loc[t,'close'] - pre_close2)
        else:
            opt_ret2[t] = -10000*(data2.loc[t,'last_close'] - pre_close2) - fee  #手续费
        pre_close2 = data2.loc[t,'close']
    return(opt_ret2)


# 返回相对于当前月份，可以交易合约下，之前，或之后的合约，用来定位近月或远月合约,pos = 0 表示返回当月可以交易的合约；
# pos=-1，返回当月之前一个周期的可交易合约；pos=1，返回当月之后一个周期的可交易合约
def findContractsForMonth(symbol,date,pos=0):
    
    dominant = get_dominant_future(symbol, date=date)
    contracts_list = get_future_contracts(symbol, date=date)
    pattern = re.compile(r'\d+')
    numbers_list = [pattern.findall(contract)[0] for contract in contracts_list]
    sorted_combined = sorted(zip(contracts_list, numbers_list), key=lambda x: x[1])
    sorted_contracts, sorted_B = map(list, zip(*sorted_combined))
    num = sorted_contracts.index(dominant)
    find_pos = num + pos
    if find_pos<0:
        find_pos = 0
    elif find_pos >= len(contracts_list):
        find_pos = len(contracts_list)
    return(sorted_contracts[find_pos])

#获取可用合约的行权日期，并按日期排序
def getAvailableContractExerciseDate(date):
    q_contract_info = query(opt.OPT_CONTRACT_INFO.underlying_type,
                            opt.OPT_CONTRACT_INFO.code, 
                            opt.OPT_CONTRACT_INFO.trading_code, 
                            opt.OPT_CONTRACT_INFO.name, #合约代码,合约交易代码,合约简称
                            opt.OPT_CONTRACT_INFO.exercise_price, 
                            opt.OPT_CONTRACT_INFO.last_trade_date, 
                            opt.OPT_CONTRACT_INFO.list_date,
                            opt.OPT_CONTRACT_INFO.exercise_date                            
         ).filter(opt.OPT_CONTRACT_INFO.contract_type == 'CO',  #期权类型
                  opt.OPT_CONTRACT_INFO.underlying_type == 'ETF',
                  opt.OPT_CONTRACT_INFO.exchange_code == 'XSHG',   #上交所
                  opt.OPT_CONTRACT_INFO.last_trade_date >= date,  #时间-到期月结束
                  opt.OPT_CONTRACT_INFO.list_date <= date)    #在交易前上市
    
    contract_info = opt.run_query(q_contract_info)
    exercise_date = contract_info['exercise_date'].drop_duplicates()
    exercise_date = exercise_date.sort_values(ascending=True)
    
    return(exercise_date)


#获取交易时间和时间间隔（频率：月）
#根据不同交易日分割月份
#指定回测的起始时间
starttime = '2021-01-01'
endtime   = '2024-03-01'

trade_days = pd.Series(index=jqdata.get_trade_days(starttime,endtime))
trade_days.index = pd.to_datetime(trade_days.index)

#获取可用合约
avail_exercise_date = getAvailableContractExerciseDate(trade_days.index[0])
close_date = avail_exercise_date.iloc[0]
futher_date = avail_exercise_date.iloc[-1]

##持仓情况
holding_contract_close = pd.Series(index=trade_days.index)
holding_contract_after = pd.Series(index=trade_days.index)

#获取首个近月持仓认购合约
contract_info_close = getContractForExerciseDate(close_date,trade_days.index[0],'CO')
holding_contract_close[trade_days.index[0]] = contract_info_close['code'].iloc[0]

#获取首个远月持仓认购合约
contract_info_after = getContractForExerciseDateAndClosePrice(futher_date,contract_info_close['exercise_price'].iloc[0],trade_days.index[0],'CO')
holding_contract_after[trade_days.index[0]] = contract_info_after['code'].iloc[0]

#循环访问每一个交易日，判断交易情况
#规则:同时卖出一份近月认购期权以及买入最接近行权价的远月认购，待行权价低于现价的95%时，平仓原期权合约，重新调整持仓；到期前1天移仓换月至次月合约
pre_hold_close = holding_contract_close[0]
pre_hold_after = holding_contract_after[0]
error_date = []

for i in range(1,len(trade_days)):
    
    #print(i)
    pre_day = trade_days.index[i-1]
    cur_day = trade_days.index[i]
    expire_close = getContractForCode(pre_hold_close)
    expire_close = expire_close['last_trade_date'].iloc[0]
    expire_after = getContractForCode(pre_hold_after)
    expire_after = expire_after['last_trade_date'].iloc[0]
    pre_cls = get_price('510050.XSHG',cur_day,cur_day,fields=['pre_close']).values[0][0]
    newest_exercise_price = getContractForCode(pre_hold_close)
    newest_exercise_price = newest_exercise_price['exercise_price'].iloc[0]
    
    if expire_close < cur_day.date() or expire_after < cur_day.date() or pre_cls*0.95 >= newest_exercise_price: #主力合约切换或者合约到期或者原虚值变为实值,重新开仓略虚值期权
        avail_exercise_date = getAvailableContractExerciseDate(cur_day)
        close_date = avail_exercise_date.iloc[0]
        futher_date = avail_exercise_date.iloc[-2]
        contract_info_close = getContractForExerciseDate(close_date,cur_day,'CO')
        holding_contract_close[cur_day] = contract_info_close['code'].iloc[0]
        contract_info_after = getContractForExerciseDateAndClosePrice(futher_date,contract_info_close['exercise_price'].iloc[0],cur_day,'CO')
        if contract_info_after.empty: #没有匹配的远期合约，则该日清仓
            error_date.append(cur_day)
            continue
        holding_contract_after[cur_day] = contract_info_after['code'].iloc[0]
    else:
        holding_contract_close[cur_day] = pre_hold_close
        holding_contract_after[cur_day] = pre_hold_after
            

holding_contract_close = holding_contract_close.fillna(method='ffill')
holding_contract_after = holding_contract_after.fillna(method='ffill')

holding_contract_close = holding_contract_close.drop(error_date)
holding_contract_after = holding_contract_after.drop(error_date)

data_close = contractChange(holding_contract_close)
data_after = contractChange(holding_contract_after)

#计算期权的收益
opt_ret_close = optionProfit(data_close)
opt_ret_after = optionProfit(data_after)

opt_ret = opt_ret_close + opt_ret_after
opt_ret

#计算持仓收益
etf_price = get_price('510050.XSHG',trade_days.index[0],trade_days.index[-1],fields=['close'])['close']
etf_ret = 10000*etf_price.diff(1).fillna(0)
etf_ret

#计算净值
init_asset2 = etf_price.iloc[0]*10000
ass2 = init_asset2 + (etf_ret + opt_ret).cumsum()
pfl_ret2 = (ass2/ass2.shift(1) - 1).fillna(0)
pfl_nv2 = (1 + pfl_ret2).cumprod()
pfl_nv2

#绘制净值图
plt.figure(figsize=(30,20))
plt.plot(etf_price/etf_price.iloc[0], label='50ETF现货净值')
plt.plot(pfl_nv2, label='买入日历价差策略净值')
plt.legend(loc='upper left', fontsize='large')
plt.xlabel('时间',size=12)
plt.ylabel('净值',size=12)
plt.show()