禄得可转债自定义因子交易系统，年化40%,最大回撤15%

本文主要是介绍禄得可转债自定义因子交易系统，年化40%,最大回撤15%，希望对大家解决编程问题提供一定的参考价值，需要的开发者们随着小编来一起学习吧！

经过2个月的研究，和大佬们讨论轮动算法，选股算法，终于完成了可转债自定义因子轮动系统，非常感谢禄得老师的数据

文件链接禄得可转债自定义因子交易系统，年化40%,最大回撤15% (qq.com)

网页 https://lude.cc/

程序支持自定义数据，自定义股票池，我提供了服务器的数据支持

网页 http://120.78.132.143:8023/

可转债数据支持http://120.78.132.143:8023/lude_data_app

我实盘4个月了稳定的在服务器自动交易，还没有死机

24小时自动交易分析

服务器api支持

import pandas as pdimport requests import jsonclass lude_data_api:    def __init__(self,url='http://120.78.132.143',port='8023',password='123456'):        '''        手动下载存数据库        禄得数据api        url服务器        port端口        password授权码        '''        self.url=url        self.port=port        self.password=password    def get_bond_data(self,date='2024-04-26'):        '''        获取可转债数据        '''        url='{}:{}/_dash-update-component'.format(self.url,self.port)        headers={'Content-Type':'application/json'}        data={"output":"lude_data_maker_table.data@669dd4696a628d8290353c138057eb97",            "outputs":{"id":"lude_data_maker_table","property":"data@669dd4696a628d8290353c138057eb97"},            "inputs":[{"id":"password","property":"value","value":self.password},            {"id":"lude_data_data_type","property":"value","value":"禄得数据"},            {"id":"lude_data_end_date","property":"date","value":date},            {"id":"lude_data_run","property":"value","value":"运行"},            {"id":"lude_data_down_data","property":"value","value":"不下载数据"}],            "changedPropIds":["lude_data_run.value"]}        res=requests.post(url=url,data=json.dumps(data),headers=headers)        text=res.json()        df=pd.DataFrame(text['response']['lude_data_maker_table']['data'])        return dfif __name__=='__main__':    models=lude_data_api()    df=models.get_bond_data(date='2019-01-15')    print(df)

因子的设置和录得一模一样，兼容录得的设计

禄的设置因子

点击回撤，我也在开发回测程序，自动组合因子，年化40，最大回撤15

实盘设置打开qmt登录qmt,同花顺也可以

选择交易系统比如qmt

 "交易系统设置":"*********************************************",    "交易系统选择":"ths/qmt",    "交易系统":"qmt",    "交易品种":"fund",    "交易品种说明":["stock","fund","bond","全部"],    "同花顺下单路径":"C:/同花顺软件/同花顺/xiadan.exe",    "识别软件安装位置":"C:/Program Files/Tesseract-OCR/tesseract",    "qmt路径":"C:/国金QMT交易端模拟/userdata_mini",    "qmt账户":"55004082",    "qmt账户类型":"STOCK",    "证券公司交易设置":"兼容老牌证券公司可转债1手为单位",    "是否开启特殊证券公司交易设置":"否",

选择交易模型比如可转债自定义因子

"自定义交易":"************************",    "是否开启自定义函数模块":"是",    "自定义运行函数设置":"自定义运行函数说明，运行类型有定时和循环，只需要把自定义模块的函数名称放在下面******",    "目前设置说明":"早上交易人气,下午做概念,2个策略的间隔长，干扰小，手动更新数据是最后一个策略的",    "自定义函数运行类型":["定时","定时","定时","定时"],    "自定义函数模块运行时间":["09:45","09:50","14:30","14:35"],    "红利和自定义股票池策略说明":"把对方策略的股票池加入对方的黑名单隔离2个策略参数",    "自定义函数":[                "run_lude_convertible_bond_custom_factor_rotation"                ],    "黑名单":["600031"],

全部的策略

设置资金模块

"交易模式":"金额",    "固定交易资金":10000,    "持有金额限制":10000,    "固定交易数量":10,    "持有限制":10,    "持股限制":10,    "特殊标的金额设置":"特殊标的金额设置*************",    "特殊标的":["511130","511090","511580","511220","159816",            "511030","511520","159650","511010","159972","511270",            "511100","511020","511060","159649","511260","511360",            "511180","511380"],    "特殊资金说明":"资金金额最好和固定交易金额成倍数,方便释放资金比如1.5,1,2倍数",    "特殊固定交易资金":15000,    "特殊持有金额限制":15000,    "滑点设置":"滑点设置滑点价格最后一位，比如滑点0.01,股票换掉0.01，etf,可转债滑点0.01/10=0.001价格最后一位，比如现在12.01，买入12.02，卖出12.00",    "滑点":0.01,

运行user def models更新数据

更新的结果

我们对比一下禄得的选股，禄得的选股结果

程序自动分析的选股结果

看打分因子一样的结果

运行trader st进入24小时实盘交易

运行是结果

下单的结果

周末委托下单失败

全部的代码我上传了知识星球可以直接下载使用

加我备注加群可以进入我的量化交流群，很多大佬一起研究策略

全部的参数，可转债自定义因子轮动

{    "可转债溢价率设置":"可转债溢价率设置",    "数据源模式说明":"服务器/自定义",    "数据源":"服务器",    "服务器":"http://120.78.132.143",    "端口":"8023",    "授权码":"123456",    "是否测试":"否",    "是否数据没有更新的情况下更新":"是",    "强制赎回设置":"************************",    "是否剔除强制赎回":"是",    "距离强制赎回天数":0,    "排除上市天数":3,    "是否排除ST":"是",    "市场说明":["沪市主板","深市主板","创业板","科创板"],    "排除市场":[],    "行业说明":"查询行业表**********,混合排除不区分一二三级行业",    "排除行业":[],    "企业类型说明":["民营企业","地方国有企业","中央国有企业","外资企业","中外合资经营企业","集体企业"],    "排除企业类型":[],    "排除地域说明":["陕西", "山西", "山东", "河南", "新疆", "安徽", "西藏", "海南", "湖北", "河北",     "福建", "广西", "内蒙古", "浙江", "江西", "江苏", "上海", "贵州", "黑龙江", "湖南", "甘肃",    "宁夏", "云南", "天津", "广东", "四川", "北京", "辽宁", "重庆"],    "排除地域":[],    "排除外部评级说明":["AAA", "AA+", "AA", "AA-", "A+", "A", "A-",    "BBB+", "BBB", "BBB-", "BB+", "BB", "BB-", "B+", "B", "B-", "CCC", "CC"],    "排除外部评级":["B","B-","CCC","CC"],    "排除三方评级说明":["1", "2", "3", "4+", "4", "4-", "5+", "5", "5-", "6+", "6",     "6-", "7+", "7", "7-", "8+", "8", "8-", "9", "10"],    "排除三方评级":["10","9","8"],    "添加排除因子":"排除因子设置************************",    "全部的排除因子打分因子,必须选择可以计算的":["开盘价", "最高价", "最低价", "最新价", "涨跌幅", "5日涨跌幅",    "正股最高价", "正股最低价", "正股最新价", "正股涨跌幅", "正股5日涨跌幅", "成交量(手)",     "成交额(万)", "年化波动率", "正股年化波动率", "股息率", "转股价值", "转股溢价率", "理论转股溢价率",    "修正转股溢价率", "纯债价值", "纯债溢价率", "期权价值", "理论价值", "理论偏离度", "双低",    "剩余规模(亿)", "剩余市值(亿)", "换手率", "市净率", "市盈率_ttm", "市销率_ttm", "正股流通市值(亿)",    "正股总市值（亿）", "资产负债率", "转债市占比", "上市天数", "转股截止日", "剩余年限",     "到期收益率(税前)", "强赎触发比例", "外部评级", "三方评级", "企业类型", "地域", "一级行业", "二级行业", "三级行业"],    "因子计算符号说明":"大于,小于,大于排名%,小于排名%,空值,排除是相反的,大于是小于",    "排除因子":["剩余规模(亿)","最新价","转股溢价率"],    "因子计算符号":["大于","大于","大于"],    "因子值":[10,130,0.3],    "打分因子设置":"*************************************************",    "打分因子说明":"正相关：因子值越大得分越高；负相关：因子值越大得分越低,",    "打分因子":["转股溢价率","最新价","剩余规模(亿)"],    "因子相关性":["负相关","负相关","负相关"],    "因子权重":[1,1,1],    "持有限制":10,    "持股限制":10,    "策略轮动设置":"策略轮动设置************************,轮动都按排名来",    "轮动方式说明":"每天/每周/每月/特别时间",    "轮动方式":"每天",    "说明":"每天按自定义函数运行",    "每周轮动是说明":"每周比如0是星期一,4是星期五**********",    "每周轮动时间":0,    "每月轮动是说明":"必须是交易日,需要自己每个月自动输入**********",    "每月轮动时间":["2024-02-29","2024-02-29","2024-02-29","2024-02-29","2024-02-29","2024-02-29","2024-02-29"],    "特定时间说明":"特别的应该交易日",    "特定时间":["2024-02-23","2024-02-24","2024-02-25","2024-02-26","2024-02-27"],    "轮动规则设置":"轮动规则设置88888888**********排名",    "买入排名前N":10,    "持有排名前N":10,    "跌出排名卖出N":10,    "买入前N":5}