本文主要是介绍强大的禄得可转债自定义因子轮动系统完成，可转债三低为例子，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！
经过几天的测试终于完成了可转债自定义因子轮动，超过1000行的源代码
我提供了服务器的数据支持自动api下载，我给大家维护数据
网页 http://120.78.132.143:8023/
录得数据支持http://120.78.132.143:8023/lude_data_app
api数据支持，我提供了全部历史数据
import pandas as pdimport requestsimport 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apiurl服务器port端口password授权码'''self.url=urlself.port=portself.password=passworddef 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)
我们利用三低为例子设置，剔除评级低的，全部的参数设置
策略设置和录得一模一样
实盘设置打开qmt也支持同花顺
运行user def models更新数据
我们对比录得选股一模一样，录得的数据
程序计算出来的打分因子
运行trader st进入实盘交易
收盘委托不了
源代码我全部上传了知识星球可以加我要100优惠券，模型越来越强大了
备注加群我可以邀请你入我自己的量化研究群，一起研究策略
全部的参数
{"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","更新数据模式说明":"手动/自动","更新数据模式":"自动","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":["最新价","转股溢价率","剩余规模(亿)"],"因子计算符号":["大于","大于","大于"],"因子值":[130,0.3,8],"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":10,"自定义因子模块":"自定义因子模块设置***********************","是否开启自定义因子":"否","自定义因子":{"5日收益":"return_5()","均线金叉":"ma_gold_fork()","macd金叉":"macd_gold_fork()"}}
综合交易模型59
综合交易模型 · 目录
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