股指期货中的短期反转现象

1import numpy as np
2from AlgorithmImports import *
3class ShortTermReversal(QCAlgorithm):
4def Initialize(self):
5self.SetStartDate(2000, 1, 1)
6self.SetCash(100000)
7
8self.symbols = ['EWG', 'EWQ', 'EWI', 'EWP', 'EWN', 'EWK', 'EWO']
9
10# Daily price data.
11self.data = {}
12self.period = 5
13self.SetWarmUp(self.period)
14
15for symbol in self.symbols:
16    data = self.AddEquity(symbol, Resolution.Daily)
17    data.SetFeeModel(CustomFeeModel())
18    data.SetLeverage(5)
19    
20    self.data[symbol] = RollingWindow[float](self.period)
21
22self.Schedule.On(self.DateRules.Every(DayOfWeek.Thursday), self.TimeRules.AfterMarketOpen(self.symbols[0]), self.Rebalance)
23def OnData(self, data):
24for symbol in self.data:
25    symbol_obj = self.Symbol(symbol)
26    if symbol_obj in data.Keys:
27        if data[symbol_obj]:
28            price = data[symbol_obj].Value
29            if price != 0:
30                self.data[symbol].Add(price)
31def Rebalance(self):
32self.Liquidate()
33
34symbol_return = {}
35for symbol in self.symbols:
36    if self.data[symbol].IsReady: 
37        if self.Securities[symbol].GetLastData() and (self.Time.date() - self.Securities[symbol].GetLastData().Time.date()).days < 5:
38            closes = [x for x in self.data[symbol]]
39            symbol_return[symbol] = closes[0] / closes[-1] - 1
40
41if len(symbol_return) != 0:
42    avg_ret = np.average([x[1] for x in symbol_return.items()])
43    
44    # Average return weighting.
45    return_diff = {x[0] : abs(x[1] - avg_ret) for x in symbol_return.items()}
46
47    total_diff = sum(x[1] for x in return_diff.items())
48    weight_ratio = float(1 / total_diff)
49
50    # Trade execution.
51    winners = [x[0] for x in return_diff.items() if symbol_return[x[0]] > avg_ret]
52    losers = [x[0] for x in return_diff.items() if symbol_return[x[0]] < avg_ret]
53    
54    for symbol in winners + losers:
55        weight = return_diff[symbol] * weight_ratio
56        if symbol in winners:
57            self.SetHoldings(symbol, -weight)
58        elif symbol in losers:
59            self.SetHoldings(symbol, weight)
60
61# Custom fee model
62class CustomFeeModel(FeeModel):
63def GetOrderFee(self, parameters):
64fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
65return OrderFee(CashAmount(fee, "USD"))