[源码分享] 【源码分享】WorldQuant 101 alpha#12的matlab实现 [推广有奖]

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yang-cy13 发表于 2016-11-11 17:30:23 |只看作者 |坛友微信交流群|倒序 |AI写论文

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在 2015 年 9 月份公布的《 WorldQuant Formulaic 101 Alphas 》研究报告中，对冲基金 WorldQuant给出了 101 个阿尔法表达式，其中80%仍然在实盘中使用。alpha#12的表达式如下：
(sign(delta(volume, 1)) * (-1 * delta(close, 1)))
这是一个混合型策略，分析可得：
若今日交易量大于昨日交易量，alpha等于昨日收盘价减今日收盘价，此时alpha#12为均值回归型策略
若今日交易量小于昨日交易量，alpha等于今日收盘价减昨日收盘价，此时alpha#12为趋势跟踪型策略

策略框架如下：
1、       用日线的量价信息算出沪深300中每一个股票在每一个交易日对应的alpha值
2、       每个交易日，选取alpha最大的10%股票作为当日的股票池
3、       每只股票在投资组合的权重按等额分配，并用IF0000等市值对冲
4、       时间区间为2015/01/01到2016/09/20

在atrader上回测，权益曲线如下：

策略代码如下：

function Alpha12(len,len1,len2,num)
% alpha#12
% num 选股数量
targetList = traderGetTargetList();
HandleList = traderGetHandleList();
global s;
global daynum;
n = length(targetList);
[BarNumber,~,~,~,~,~,~,~,~] = traderGetCurrentBar(targetList(1).Market,targetList(1).Code);
if(BarNumber==1)
daynum = 1;
end
[~,~,~,~,Dclose,~,~,~] = traderGetKData(targetList(n).Market,targetList(n).Code,'day',1, 1-BarNumber, 0,true,'FWard');
newday = 0;
if daynum<length(Dclose)
daynum = daynum+1;
newday = 1;
end
if daynum<len+1
return
end
if newday==1 && mod(daynum,len1)==0 % 调仓日的第一根bar
% 读取数据
for j = 1:n-1
[~,open,high,low,close,volume,~,~] = traderGetKData(targetList(j).Market,targetList(j).Code,'day',1, 0-len, 0,true,'FWard');
if length(close)<len+1
s(j).alpha = -1000;
end
if length(close)==len+1
temp = volume(end-1)-volume(end-2);
if temp>=0
s(j).alpha = close(end-2)-close(end-1);
end
if temp<0
s(j).alpha = close(end-1)-close(end-2);
end
end
if volume(end)==0
s(j).alpha = -1000;
end
[s(j).position,~,~] = traderGetAccountPosition(HandleList(1),targetList(j).Market,targetList(j).Code); % 仓位
end
[~,MarketCap,~,~,~] = traderGetAccountInfo(HandleList);
[~,~,Multiple,~,~,~,~,~,~] = traderGetFutureInfo(targetList(n).Market,targetList(n).Code);
Stock_flow = ((MarketCap)*0.4)/num; % 每只股票分配的资金
% 选股
X = zeros(n-1,1);
for i = 1:n-1
X(i) = -s(i).alpha;
end
[~,I] = sort(X);
SelectedID = I(1:num); % 选出alpha最大的一组股票
% 初始开仓
if daynum==11
for j = 1:n-1
if ismember(j,SelectedID)==1
[~,~,~,~,Dclose,Dvolume,~,~] = traderGetKData(targetList(j).Market,targetList(j).Code,'day',1, 0-1, 0,true,'FWard');
if Dvolume(end)~=0
shareNum = 100*floor((Stock_flow/Dclose(end))/100);
OrderID=traderPositionTo(HandleList(1),targetList(j).Market,targetList(j).Code,shareNum,0,'market','close');
if OrderID~=0
s(j).openprice = Dclose(end);
s(j).entryday = daynum;
else
% daynum
% disp(['error:Code=',targetList(j).Code]);
end
end
end
end
% 期货对冲开仓
[~,~,~,~,Dclose,~,~,~] = traderGetKData(targetList(n).Market,targetList(n).Code,'day',1, 0-1, 0,true,'FWard');
shareNum = floor((Stock_flow*num)/Multiple/Dclose(end));
traderPositionTo(HandleList(2),targetList(n).Market,targetList(n).Code,-shareNum,0,'market','close');
end
%大调仓
if mod(daynum,len2)==0
% 股票调仓，先出后入
success = 0; % 成功卖出的笔数
for j = 1:n-1
if s(j).position>0
if ismember(j,SelectedID)==0
OrderID=traderPositionTo(HandleList(1),targetList(j).Market,targetList(j).Code,0,0,'market','close');
if OrderID~=0
s(j).openprice = 0;
s(j).entryday = 0;
success = success+1;
end
end
if ismember(j,SelectedID)==1
[~,~,~,~,Dclose,Dvolume,~,~] = traderGetKData(targetList(j).Market,targetList(j).Code,'day',1, 0-1, 0,true,'FWard');
if Dvolume(end)~=0
shareNum = 100*floor((Stock_flow/Dclose(end))/100);
OrderID=traderPositionTo(HandleList(1),targetList(j).Market,targetList(j).Code,shareNum,0,'market','close');
if OrderID~=0
s(j).openprice = Dclose(end);
s(j).entryday = daynum;
else
% daynum
% disp(['error:Code=',targetList(j).Code]);
end
end
end
end
end
for j = 1:n-1
if s(j).position==0 && success>0
if ismember(j,SelectedID)==1
[~,~,~,~,Dclose,Dvolume,~,~] = traderGetKData(targetList(j).Market,targetList(j).Code,'day',1, 0-1, 0,true,'FWard');
if Dvolume(end)~=0
shareNum = 100*floor((Stock_flow/Dclose(end))/100);
OrderID=traderPositionTo(HandleList(1),targetList(j).Market,targetList(j).Code,shareNum,0,'market','close');
if OrderID~=0
s(j).openprice = Dclose(end);
success = success-1;
s(j).entryday = daynum;
else
% daynum
% disp(['error:Code=',targetList(j).Code]);
end
end
end
end
end
% 期货对冲调仓
[~,~,~,~,Dclose,~,~,~] = traderGetKData(targetList(n).Market,targetList(n).Code,'day',1, 0-1, 0,true,'FWard');
shareNum = floor((Stock_flow*num)/Multiple/Dclose(end));
traderPositionTo(HandleList(2),targetList(n).Market,targetList(n).Code,-shareNum,0,'market','close');
end
end

复制代码

执行代码如下：

clc;
clear all;
targetList01 = traderGetCodeList('HS300');
n = length(targetList1);
for i = 1:n
targetList(i).Market = targetList1(i).Market;
targetList(i).Code = targetList1(i).Code;
end
targetList(n+1).Market = 'CFFEX';
targetList(n+1).Code = 'IF0000';
Freq = 60;
len = 10;
len1 = 1;
len2 = 1;
k = 1;
num = 30;
AccountList(1) = {'StockBackReplay'};
AccountList(2) = {'FutureBackReplay'};
traderRunBacktest('Alpha12BackTest',@Alpha12,{len,len1,len2,num},AccountList,targetList,'min',Freq,20150101,20160920,'FWard');