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【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

<matplotlib.axes.AxesSubplot at 0x6415790>

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：

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

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