分享如何完整搭建一个股票量化系统?

本文从零开始，手动搭建一个基于规则的简单量化交易系统，旨在提高对整个过程的理解能力。

Step 1: 数据加载

# Step 1: load dataset and generate features
def prepare_data(codes=['000300.SH', '399006.SZ'], start_time="20100101", end_time="20211231"):
    df = load_data(codes, start_time, end_time)

    df["rsi"] = ta.RSI(df.close, timeperiod=14)
    df["to_buy"] = ""
    df.loc[df["rsi"] <= 30, 'to_buy'] = True
    df['to_buy'] = df['to_buy'].astype('bool')

    df["to_sell"] = ""
    df.loc[df["rsi"] >= 70, 'to_sell'] = True
    df['to_sell'] = df['to_sell'].astype('bool')
    return df

Step 2: 指定策略

策略规则非常简单：

账户初始值100000，每只股票占相同比重
根据数据的买入信号买入，卖出信号卖出

# Step 2: prepare strategy
class SelectBySignal(object):
    def __init__(self, signal_buy='to_buy', signal_sell='to_sell'):
        super(SelectBySignal, self).__init__()
        self.signal_buy = signal_buy
        self.signal_sell = signal_sell