学习贴《一个完整的-深度学习-神经网络pipeline》

策略作者: 水滴

```python
# 风险及免责提示：该策略由聚宽用户在聚宽社区分享，仅供学习交流使用。
# 原文一般包含策略说明，如有疑问请到原文和作者交流讨论。
# 原文网址：https://www.joinquant.com/post/48096
# 标题：学习贴《一个完整的-深度学习-神经网络pipeline》
# 作者：MarioC
# 原回测条件：2010-01-01 到 2024-05-30, ￥100000, 每天

from jqdata import *
from jqfactor import *
import numpy as np
import pandas as pd
import pickle
import pandas as pd
import torch
import torch.nn as nn
from tqdm import tqdm
from sklearn.preprocessing import MinMaxScaler
# 初始化函数
def initialize(context):
    # 设定基准
    set_benchmark('000985.XSHG')
    # 用真实价格交易
    set_option('use_real_price', True)
    # 打开防未来函数
    set_option("avoid_future_data", True)
    # 将滑点设置为0
    set_slippage(FixedSlippage(0))
    # 设置交易成本万分之三，不同滑点影响可在归因分析中查看
    set_order_cost(OrderCost(open_tax=0, close_tax=0.001, open_commission=0.0003, close_commission=0.0003,
                             close_today_commission=0, min_commission=5), type='stock')
    # 过滤order中低于error级别的日志
    log.set_level('order', 'error')
    # 初始化全局变量
    g.no_trading_today_signal = False
    g.stock_num = 3
    g.hold_list = []  # 当前持仓的全部股票
    g.yesterday_HL_list = []  # 记录持仓中昨日涨停的股票
    run_daily(prepare_stock_list, '9:05')
    # run_weekly(weekly_adjustment, 1, '9:30')
    
    run_monthly(weekly_adjustment, 1, '9:30')

# 1-1 准备股票池
def prepare_stock_list(context):
    # 获取已持有列表
    g.hold_list = []
    for position in list(context.portfolio.positions.values()):
        stock = position.security
        g.hold_list.append(stock)
    # 获取昨日涨停列表
    if g.hold_list != []:
        df = get_price(g.hold_list, end_date=context.previous_date, frequency='daily', fields=['close', 'high_limit'],
                       count=1, panel=False, fill_paused=False)
        df = df[df['close'] == df['high_limit']]
        g.yesterday_HL_list = list(df.code)
    else:
        g.yesterday_HL_list = []
model_path = r'model_baseline.pt'
import io
buffer = io.BytesIO(read_file(model_path))
class model(nn.Module):
    def __init__(self,
                 fc1_size=2000,
                 fc2_size=1000,
                 fc3_size=100,
                 fc1_dropout=0.2,
                 fc2_dropout=0.2,
                 fc3_dropout=0.2,
                 num_of_classes=50):
        super(model, self).__init__()

self.f_model = nn.Sequential(
            nn.Linear(3296, fc1_size),  # 887
            nn.BatchNorm1d(fc1_size),
            nn.ReLU(),
            nn.Dropout(fc1_dropout),
            nn.Linear(fc1_size, fc2_size),
            nn.BatchNorm1d(fc2_size),
            nn.ReLU(),
            nn.Dropout(fc2_dropout),
            nn.Linear(fc2_size, fc3_size),
            nn.BatchNorm1d(fc3_size),
            nn.ReLU(),
            nn.Dropout(fc3_dropout),
            nn.Linear(fc3_size, 1),

)

self.conv_layers1 = nn.Sequential(
            nn.Conv1d(6, 16, kernel_size=1),
            nn.BatchNorm1d(16),
            nn.Dropout(fc3_dropout),
            nn.ReLU(),
            nn.MaxPool1d(kernel_size=2),
            nn.Conv1d(16, 32, kernel_size=1),
            nn.BatchNorm1d(32),
            nn.Dropout(fc3_dropout),
            nn.ReLU(),
        )

self.conv_2D = nn.Sequential(
            nn.Conv2d(1, 16, kernel_size=2),
            nn.BatchNorm2d(16),
            nn.Dropout(fc3_dropout),
            nn.ReLU(),
            nn.MaxPool2d(kernel_size=2),
            nn.Conv2d(16, 32, kernel_size=2),
            nn.BatchNorm2d(32),
            nn.Dropout(fc3_dropout),
            nn.ReLU(),
        )
        hidden_dim = 32
        self.lstm = nn.LSTM(input_size=hidden_dim, hidden_size=hidden_dim, num_layers=4, batch_first=True,
                            # dropout=fc3_dropout,
                            bidirectional=True)
        hidden_dim = 1
        self.l = nn.LSTM(input_size=hidden_dim, hidden_size=hidden_dim, num_layers=4, batch_first=True,
                         # dropout=fc3_dropout,
                         bidirectional=True)

for name, module in self.named_modules():
            if isinstance(module, nn.Linear):
                nn.init.kaiming_normal_(module.weight, mode='fan_in', nonlinearity='relu')
            if isinstance(module, nn.Conv2d):
                nn.init.kaiming_normal_(module.weight, mode='fan_in', nonlinearity='relu')
            if isinstance(module, nn.Conv1d):
                nn.init.kaiming_normal_(module.weight, mode='fan_in', nonlinearity='relu')

def forward(self, x):

apply = torch.narrow(x, dim=-1, start=0, length=1).squeeze(1)
        redeem = torch.narrow(x, dim=-1, start=1, length=1).squeeze(1)
        apply, _ = self.l(apply)
        redeem, _ = self.l(redeem)
        apply = torch.reshape(apply, (apply.shape[0], apply.shape[1] * apply.shape[2]))
        redeem = torch.reshape(redeem, (redeem.shape[0], redeem.shape[1] * redeem.shape[2]))

ZFF = torch.narrow(x, dim=-1, start=2, length=1).squeeze(1)
        HS = torch.narrow(x, dim=-1, start=3, length=1).squeeze(1)
        ZFF, _ = self.l(ZFF)
        HS, _ = self.l(HS)
        ZFF = torch.reshape(ZFF, (ZFF.shape[0], ZFF.shape[1] * ZFF.shape[2]))
        HS = torch.reshape(HS, (HS.shape[0], HS.shape[1] * HS.shape[2]))
        
        xx = x.unsqueeze(1)
        xx = self.conv_2D(xx)
        xx = torch.reshape(xx, (xx.shape[0], xx.shape[1] * xx.shape[2] * xx.shape[3]))
        x = x.transpose(1, 2)
        x = self.conv_layers1(x)
        out = x.transpose(1, 2)
        out2, _ = self.lstm(out)
        out2 = torch.reshape(out2, (out2.shape[0], out2.shape[1] * out2.shape[2]))

IN = torch.cat((xx, out2, apply, redeem, ZFF, HS), dim=1)
        out = self.f_model(IN)
        return out
model_t1 = model()
model_t1.load_state_dict(torch.load(buffer))
model_t1.eval()  # 0.54

print('模型加载成功')
# 1-2 选股模块
def get_stock_list(context):
    # 指定日期防止未来数据
    yesterday = context.previous_date
    today = context.current_dt
    initial_list = get_all_securities('etf', yesterday).index.tolist()
    tensor_list =[]
    ID=[]
    for i in initial_list:
        df = attribute_history(i, 60, '1d')
        df = df.dropna()
        if len(df) == 60:
            with torch.no_grad():
                scaler = MinMaxScaler()
                normalized_data = scaler.fit_transform(df)
                normalized_df = pd.DataFrame(normalized_data, columns=df.columns)
                df_tensor = torch.Tensor(normalized_df.values)  
                reshaped_tensor = df_tensor.unsqueeze(0) 
                output = model_t1(reshaped_tensor)
                tensor_list.extend(output.cpu().numpy().astype(float)[0])
                ID.append(i)
    data = {'ID': ID, 'score': tensor_list}
    df = pd.DataFrame(data)
    print(df)
    top_N_rows = df.nlargest(g.stock_num , 'score')
    top_N_IDs = top_N_rows['ID'].tolist()
    return top_N_IDs

# 1-3 整体调整持仓
def weekly_adjustment(context):
    target_list = get_stock_list(context)
    # 调仓卖出
    for stock in g.hold_list:
        if (stock not in target_list) and (stock not in g.yesterday_HL_list):
            log.info("卖出[%s]" % (stock))
            position = context.portfolio.positions[stock]
            close_position(position)
        else:
            log.info("已持有[%s]" % (stock))
    # 调仓买入
    position_count = len(context.portfolio.positions)
    target_num = len(target_list)
    if target_num > position_count:
        print(context.portfolio.cash)
        value = context.portfolio.cash / (target_num - position_count)
        for stock in target_list:
            if context.portfolio.positions[stock].total_amount == 0:
                if open_position(stock, value):
                    if len(context.portfolio.positions) == target_num:
                        break

def order_target_value_(security, value):
    if value == 0:
        log.debug("Selling out %s" % (security))
    else:
        log.debug("Order %s to value %f" % (security, value))
    return order_target_value(security, value)

# 3-2 交易模块-开仓
def open_position(security, value):
    order = order_target_value_(security, value)
    if order != None and order.filled > 0:
        return True
    return False

# 3-3 交易模块-平仓
def close_position(position):
    security = position.security
    order = order_target_value_(security, 0)  # 可能会因停牌失败
    if order != None:
        if order.status == OrderStatus.held and order.filled == order.amount:
            return True
    return False

```

发布时间: 2025-02-26 20:58:20

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