【统计套利】配对交易
最后更新于：2022-04-01 21:52:07
# 【统计套利】配对交易
> 来源：https://uqer.io/community/share/559c85baf9f06cb5614f190d
## 策略思路
寻找走势相关且股价相近的一对股票，根据其价格变动买卖
## 策略实现
+ 首先，历史前五日的Pearson相关系数若大于给定的阈值
+ 如果两只股票走势趋同，则按上涨（下跌）趋势买入（卖出）股票
+ 如果两只股票走势背离，则买入下跌股票，卖出上涨股票
首先需要在A股中寻找走势相关性很大的股票，这是一项很繁复的工作。为简单起见，这里直接使用了一个现成的结果：000159和000967在2012年的走势十分相似，这一点可以通过复权收盘价曲线来验证
```py
```
接下来我们对2013年全年的这两只股票进行配对交易策略的回测：
```py
from scipy.stats.stats import pearsonr
start = '2013-01-01'
end = '2014-01-01'
benchmark = 'HS300'
universe = ['000159.XSHE', '000967.XSHE']
capital_base = 1000000
def initialize(account):
account.cutoff = 0.9
account.prev_prc1 = 0
account.prev_prc2 = 0
account.prev_prcb = 0
def handle_data(account):
if len(account.universe) < 2: return
clsp = account.get_attribute_history('closePrice', 5)
stk1, stk2 = universe
px1, px2 = clsp[stk1], clsp[stk2]
prc1, prc2 = px1[-1], px2[-1]
prcb = account.get_symbol_history('benchmark', 1)['return'][0]
if account.prev_prc1 == 0:
account.prev_prc1 = prc1
account.prev_prc2 = prc2
account.prev_prcb = prcb
return
corval, pval = pearsonr(px1, px2)
if abs(corval) < account.cutoff:
return
mov1, mov2 = adj(prc1, prc2, prcb, account.prev_prc1, account.prev_prc2, account.prev_prcb)
amount = 100000 / prc2
if mov1 > 0:
order(stk2, amount)
elif mov1 < 0:
if account.valid_secpos.get(stk2, 0) > amount:
order(stk2, -amount)
else:
order_to(stk2, 0)
amount = 100000 / prc1
if mov2 > 0:
order(stk1, amount)
elif mov2 < 0:
if account.valid_secpos.get(stk1, 0) > amount:
order(stk1, -amount)
else:
order_to(stk1, 0)
account.prev_prc1 = prc1
account.prev_prc2 = prc2
account.prev_prcb = prcb
def adj(x, y, base, prev_x, prev_y, prev_base):
dhs = base / prev_base - 1
dx = x / prev_x - 1 - dhs
dy = y / prev_y - 1 - dhs
return dx, dy
```
```py
bt
```
| | tradeDate | cash | security_position | portfolio_value | benchmark_return | blotter |
| --- | --- |
| 0 | 2013-01-11 | 1000000.000000 | {} | 1000000.000000 | -0.018703 | [] |
| 1 | 2013-01-14 | 802627.092268 | {u'000159.XSHE': 16139, u'000967.XSHE': 21500} | 1008718.298268 | 0.038051 | [Order(order_time: 2013-01-14, symbol: 000967.... |
| 2 | 2013-01-15 | 802627.092268 | {u'000159.XSHE': 16139, u'000967.XSHE': 21500} | 1013493.762268 | 0.007033 | [] |
| 3 | 2013-01-16 | 802627.092268 | {u'000159.XSHE': 16139, u'000967.XSHE': 21500} | 1013887.243268 | -0.007227 | [] |
| 4 | 2013-01-17 | 802627.092268 | {u'000159.XSHE': 16139, u'000967.XSHE': 21500} | 1017193.274268 | -0.009445 | [] |
| 5 | 2013-01-18 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1019875.334172 | 0.016719 | [Order(order_time: 2013-01-18, symbol: 000967.... |
| 6 | 2013-01-21 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1024320.333172 | 0.005957 | [] |
| 7 | 2013-01-22 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1022956.509172 | -0.005362 | [] |
| 8 | 2013-01-23 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1020170.513172 | 0.004066 | [] |
| 9 | 2013-01-24 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1010615.301172 | -0.009473 | [] |
| 10 | 2013-01-25 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1007214.174172 | -0.004290 | [] |
| 11 | 2013-01-28 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1015317.846172 | 0.031182 | [] |
| 12 | 2013-01-29 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1032167.466172 | 0.009050 | [] |
| 13 | 2013-01-30 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1037040.199172 | 0.004802 | [] |
| 14 | 2013-01-31 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1037199.250172 | -0.000681 | [] |
| 15 | 2013-02-01 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1044424.173172 | 0.021006 | [] |
| 16 | 2013-02-04 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1053929.951172 | 0.001713 | [] |
| 17 | 2013-02-05 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1042352.810172 | 0.008606 | [] |
| 18 | 2013-02-06 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1036748.235172 | 0.001505 | [] |
| 19 | 2013-02-07 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1035219.288172 | -0.005753 | [] |
| 20 | 2013-02-08 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1038390.029172 | 0.004294 | [] |
| 21 | 2013-02-18 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1040366.776172 | -0.012357 | [] |
| 22 | 2013-02-19 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1034837.773172 | -0.018948 | [] |
| 23 | 2013-02-20 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1041832.310172 | 0.006341 | [] |
| 24 | 2013-02-21 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1030863.855172 | -0.034074 | [] |
| 25 | 2013-02-22 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1031881.589172 | -0.005340 | [] |
| 26 | 2013-02-25 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1039886.408172 | 0.003220 | [] |
| 27 | 2013-02-26 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1027334.880172 | -0.014346 | [] |
| 28 | 2013-02-27 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1036669.463172 | 0.010547 | [] |
| 29 | 2013-02-28 | 601751.321172 | {u'000159.XSHE': 31203, u'000967.XSHE': 41512} | 1049123.518172 | 0.030312 | [] |
| ... | ... | ... | ... | ... | ... | ... |
| 203 | 2013-11-20 | 4.001066 | {u'000159.XSHE': 58955.0, u'000967.XSHE': 1104... | 1213819.901066 | 0.005261 | [] |
| 204 | 2013-11-21 | 4.001066 | {u'000159.XSHE': 58955.0, u'000967.XSHE': 1104... | 1207170.725066 | -0.006132 | [] |
| 205 | 2013-11-22 | 4.001066 | {u'000159.XSHE': 58955.0, u'000967.XSHE': 1104... | 1191941.099066 | -0.004988 | [] |
| 206 | 2013-11-25 | 4.001066 | {u'000159.XSHE': 58955.0, u'000967.XSHE': 1104... | 1185756.570066 | -0.003895 | [] |
| 207 | 2013-11-26 | 4.001066 | {u'000159.XSHE': 58955.0, u'000967.XSHE': 1104... | 1202201.685066 | -0.000507 | [] |
| 208 | 2013-11-27 | 4.001066 | {u'000159.XSHE': 58955.0, u'000967.XSHE': 1104... | 1247942.107066 | 0.011339 | [] |
| 209 | 2013-11-28 | 4.001066 | {u'000159.XSHE': 58955.0, u'000967.XSHE': 1104... | 1254278.937066 | 0.010375 | [] |
| 210 | 2013-11-29 | 4.001066 | {u'000159.XSHE': 58955.0, u'000967.XSHE': 1104... | 1254572.047066 | -0.000242 | [Order(order_time: 2013-11-29, symbol: 000967.... |
| 211 | 2013-12-02 | 4.001066 | {u'000159.XSHE': 58955.0, u'000967.XSHE': 1104... | 1162773.529066 | -0.008266 | [Order(order_time: 2013-12-02, symbol: 000967.... |
| 212 | 2013-12-03 | 205057.003206 | {u'000159.XSHE': 46102.0, u'000967.XSHE': 9480... | 1203266.619206 | 0.009922 | [Order(order_time: 2013-12-03, symbol: 000967.... |
| 213 | 2013-12-04 | 7547.120636 | {u'000159.XSHE': 58573.0, u'000967.XSHE': 1098... | 1223800.796636 | 0.013243 | [Order(order_time: 2013-12-04, symbol: 000967.... |
| 214 | 2013-12-05 | 7547.120636 | {u'000159.XSHE': 58573.0, u'000967.XSHE': 1098... | 1211481.369636 | -0.002804 | [] |
| 215 | 2013-12-06 | 7547.120636 | {u'000159.XSHE': 58573.0, u'000967.XSHE': 1098... | 1205769.229636 | -0.006446 | [] |
| 216 | 2013-12-09 | 7547.120636 | {u'000159.XSHE': 58573.0, u'000967.XSHE': 1098... | 1212153.686636 | -0.000575 | [] |
| 217 | 2013-12-10 | 7547.120636 | {u'000159.XSHE': 58573.0, u'000967.XSHE': 1098... | 1216462.619636 | 0.001000 | [] |
| 218 | 2013-12-11 | 7547.120636 | {u'000159.XSHE': 58573.0, u'000967.XSHE': 1098... | 1191498.173636 | -0.016533 | [] |
| 219 | 2013-12-12 | 7547.120636 | {u'000159.XSHE': 58573.0, u'000967.XSHE': 1098... | 1187601.796636 | -0.001140 | [] |
| 220 | 2013-12-13 | 7547.120636 | {u'000159.XSHE': 58573.0, u'000967.XSHE': 1098... | 1180581.953636 | -0.001402 | [] |
| 221 | 2013-12-16 | 7547.120636 | {u'000159.XSHE': 58573.0, u'000967.XSHE': 1098... | 1160961.657636 | -0.016085 | [] |
| 222 | 2013-12-17 | 7547.120636 | {u'000159.XSHE': 58573.0, u'000967.XSHE': 1098... | 1172930.532636 | -0.004878 | [] |
| 223 | 2013-12-18 | 7547.120636 | {u'000159.XSHE': 58573.0, u'000967.XSHE': 1098... | 1175604.134636 | 0.000361 | [] |
| 224 | 2013-12-19 | 7547.120636 | {u'000159.XSHE': 58573.0, u'000967.XSHE': 1098... | 1176775.594636 | -0.010525 | [] |
| 225 | 2013-12-20 | 7547.120636 | {u'000159.XSHE': 58573.0, u'000967.XSHE': 1098... | 1132028.254636 | -0.023272 | [] |
| 226 | 2013-12-23 | 7547.120636 | {u'000159.XSHE': 58573.0, u'000967.XSHE': 1098... | 1147914.771636 | 0.002840 | [] |
| 227 | 2013-12-24 | 7547.120636 | {u'000159.XSHE': 58573.0, u'000967.XSHE': 1098... | 1159575.888636 | 0.001593 | [] |
| 228 | 2013-12-25 | 7547.120636 | {u'000159.XSHE': 58573.0, u'000967.XSHE': 1098... | 1178451.287636 | 0.007372 | [] |
| 229 | 2013-12-26 | 7547.120636 | {u'000159.XSHE': 58573.0, u'000967.XSHE': 1098... | 1158503.363636 | -0.017257 | [] |
| 230 | 2013-12-27 | 7547.120636 | {u'000159.XSHE': 58573.0, u'000967.XSHE': 1098... | 1166499.850636 | 0.016836 | [] |
| 231 | 2013-12-30 | 7547.120636 | {u'000159.XSHE': 58573.0, u'000967.XSHE': 1098... | 1158181.598636 | -0.001745 | [] |
| 232 | 2013-12-31 | 7547.120636 | {u'000159.XSHE': 58573.0, u'000967.XSHE': 1098... | 1162504.538636 | 0.013294 | [] |
```
233 rows × 6 columns
```
根据`bt`的表现，在仓位控制和组合管理方面应该还有着不少进一步优化的空间
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