Simple Bollinger Bands
最后更新于：2022-04-01 21:52:56
# Simple Bollinger Bands
> 来源；https://uqer.io/community/share/54b5c1b4f9f06c276f651a15
策略思路： 在一段时间内，股票价格可以认为是在一定水平上下波动。例如，可以简单认为股价在过去100天的平均值基础上，上下波动几个标准差。
策略实现： (1) 股价高于这个波动区间，说明股价虚高，故卖出 (2) 股价低于这个波动区间，说明股价虚低，故买入
PS：本策略适用于股市平稳波动时期，在大牛市或者大熊市不太适用
```py
import quartz
import quartz.backtest as qb
import quartz.performance as qp
from quartz.api import *
import pandas as pd
import numpy as np
from datetime import datetime
from matplotlib import pylab
import talib
```
```py
start = datetime(2011, 1, 1)
end = datetime(2014, 10, 1)
benchmark = 'HS300'
universe = ['601398.XSHG', '600028.XSHG', '601988.XSHG', '600036.XSHG', '600030.XSHG',
'601318.XSHG', '600000.XSHG', '600019.XSHG', '600519.XSHG', '601166.XSHG']
capital_base = 1000000
refresh_rate = 5
window = 200
def initialize(account):
account.amount = 10000
account.universe = universe
add_history('hist', window)
def handle_data(account):
for stk in account.universe:
prices = account.hist[stk]['closePrice']
if prices is None:
return
mu = prices.mean()
sd = prices.std()
upper = mu + 2*sd
middle = mu
lower = mu - 2*sd
cur_pos = account.position.stkpos.get(stk, 0)
cur_prc = prices[-1]
if cur_prc > upper and cur_pos >= 0:
order_to(stk, 0)
if cur_prc < lower and cur_pos <= 0:
order(stk, account.amount)
```
```py
bt
```
| | tradeDate | cash | stock_position | portfolio_value | benchmark_return | blotter |
| --- | --- |
| 0 | 2011-11-01 | 1000000.00000 | {} | 1000000.00000 | 0.000000 | [] |
| 1 | 2011-11-02 | 1000000.00000 | {} | 1000000.00000 | 0.016629 | [] |
| 2 | 2011-11-03 | 1000000.00000 | {} | 1000000.00000 | 0.000697 | [] |
| 3 | 2011-11-04 | 1000000.00000 | {} | 1000000.00000 | 0.007086 | [] |
| 4 | 2011-11-07 | 1000000.00000 | {} | 1000000.00000 | -0.009950 | [] |
| 5 | 2011-11-08 | 1000000.00000 | {} | 1000000.00000 | -0.003120 | [] |
| 6 | 2011-11-09 | 1000000.00000 | {} | 1000000.00000 | 0.008778 | [] |
| 7 | 2011-11-10 | 1000000.00000 | {} | 1000000.00000 | -0.018922 | [] |
| 8 | 2011-11-11 | 1000000.00000 | {} | 1000000.00000 | -0.001699 | [] |
| 9 | 2011-11-14 | 1000000.00000 | {} | 1000000.00000 | 0.020480 | [] |
| 10 | 2011-11-15 | 1000000.00000 | {} | 1000000.00000 | -0.002005 | [] |
| 11 | 2011-11-16 | 1000000.00000 | {} | 1000000.00000 | -0.027167 | [] |
| 12 | 2011-11-17 | 1000000.00000 | {} | 1000000.00000 | -0.003033 | [] |
| 13 | 2011-11-18 | 1000000.00000 | {} | 1000000.00000 | -0.020857 | [] |
| 14 | 2011-11-21 | 1000000.00000 | {} | 1000000.00000 | 0.001225 | [] |
| 15 | 2011-11-22 | 1000000.00000 | {} | 1000000.00000 | -0.000081 | [] |
| 16 | 2011-11-23 | 1000000.00000 | {} | 1000000.00000 | -0.009758 | [] |
| 17 | 2011-11-24 | 1000000.00000 | {} | 1000000.00000 | 0.001898 | [] |
| 18 | 2011-11-25 | 1000000.00000 | {} | 1000000.00000 | -0.007317 | [] |
| 19 | 2011-11-28 | 1000000.00000 | {} | 1000000.00000 | 0.001303 | [] |
| 20 | 2011-11-29 | 1000000.00000 | {} | 1000000.00000 | 0.013697 | [] |
| 21 | 2011-11-30 | 1000000.00000 | {} | 1000000.00000 | -0.033370 | [] |
| 22 | 2011-12-01 | 1000000.00000 | {} | 1000000.00000 | 0.024625 | [] |
| 23 | 2011-12-02 | 1000000.00000 | {} | 1000000.00000 | -0.010180 | [] |
| 24 | 2011-12-05 | 1000000.00000 | {} | 1000000.00000 | -0.014048 | [] |
| 25 | 2011-12-06 | 1000000.00000 | {} | 1000000.00000 | -0.002000 | [] |
| 26 | 2011-12-07 | 1000000.00000 | {} | 1000000.00000 | 0.004724 | [] |
| 27 | 2011-12-08 | 1000000.00000 | {} | 1000000.00000 | -0.001276 | [] |
| 28 | 2011-12-09 | 1000000.00000 | {} | 1000000.00000 | -0.008531 | [] |
| 29 | 2011-12-12 | 1000000.00000 | {} | 1000000.00000 | -0.010293 | [] |
| ... | ... | ... | ... | ... | ... | ... |
| 679 | 2014-08-19 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1149017.27989 | 0.000087 | [] |
| 680 | 2014-08-20 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1168551.04989 | -0.003633 | [Order({'transact_price': 0.0, 'symbol': '6000... |
| 681 | 2014-08-21 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1155719.88989 | -0.005028 | [] |
| 682 | 2014-08-22 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1152026.33989 | 0.004723 | [] |
| 683 | 2014-08-25 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1148250.45989 | -0.009513 | [] |
| 684 | 2014-08-26 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1141866.53989 | -0.008012 | [] |
| 685 | 2014-08-27 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1133729.60989 | 0.001507 | [] |
| 686 | 2014-08-28 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1130309.43989 | -0.007010 | [] |
| 687 | 2014-08-29 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1144849.97989 | 0.011686 | [] |
| 688 | 2014-09-01 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1146127.24989 | 0.007283 | [] |
| 689 | 2014-09-02 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1171994.81989 | 0.013222 | [] |
| 690 | 2014-09-03 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1186363.06989 | 0.009377 | [Order({'transact_price': 0.0, 'symbol': '6000... |
| 691 | 2014-09-04 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1188453.82989 | 0.007218 | [] |
| 692 | 2014-09-05 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1203626.03989 | 0.009494 | [] |
| 693 | 2014-09-09 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1182303.76989 | -0.001647 | [] |
| 694 | 2014-09-10 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1180321.58989 | -0.005231 | [] |
| 695 | 2014-09-11 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1168537.55989 | -0.003691 | [Order({'transact_price': 0.0, 'symbol': '6000... |
| 696 | 2014-09-12 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1171787.86989 | 0.006150 | [] |
| 697 | 2014-09-15 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1153269.96989 | -0.000479 | [] |
| 698 | 2014-09-16 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1141194.90989 | -0.019869 | [] |
| 699 | 2014-09-17 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1145778.58989 | 0.005258 | [] |
| 700 | 2014-09-18 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1152235.30989 | 0.003056 | [] |
| 701 | 2014-09-19 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1162000.35989 | 0.006870 | [] |
| 702 | 2014-09-22 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1136441.48989 | -0.019087 | [] |
| 703 | 2014-09-23 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1139988.07989 | 0.008635 | [] |
| 704 | 2014-09-24 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1157613.46989 | 0.017671 | [] |
| 705 | 2014-09-25 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1169367.30989 | -0.002006 | [] |
| 706 | 2014-09-26 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1169791.29989 | 0.000094 | [] |
| 707 | 2014-09-29 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1170503.49989 | 0.004349 | [] |
| 708 | 2014-09-30 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1168692.07989 | 0.001303 | [] |
```
709 rows × 6 columns
```
```py
perf = qp.perf_parse(bt)
out_keys = ['annualized_return', 'volatility', 'information',
'sharpe', 'max_drawdown', 'alpha', 'beta']
for k in out_keys:
print '%s: %s' % (k, perf[k])
annualized_return: 0.0594823977045
volatility: 0.214571802928
information: 0.407163653335
sharpe: 0.102806600884
max_drawdown: 0.36585509048
alpha: 0.052294592526
beta: 0.434097117249
```
```py
perf['cumulative_return'].plot()
perf['benchmark_cumulative_return'].plot()
pylab.legend(['current_strategy','HS300'])
```
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