277 lines
7.7 KiB
Plaintext
277 lines
7.7 KiB
Plaintext
{
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"cells": [
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"# 低波动率策略 — 构建与回测\n",
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"\n",
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"## 策略思路\n",
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"低波动率异常（Low Volatility Anomaly）指波动率较低的股票，长期来看风险调整后收益往往优于高波动股票。\n",
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"本策略使用 **20 日波动率倒数** 作为低波因子，每月调仓，买入波动率最低的一批股票。\n",
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"\n",
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"## 研究流程\n",
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"1. 加载数据\n",
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"2. 低波因子计算与 IC 分析\n",
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"3. 分层回测验证因子有效性\n",
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"4. 构建策略并回测\n",
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"5. 绩效评估"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"import sys\n",
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"sys.path.insert(0, '..')\n",
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"\n",
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"import numpy as np\n",
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"import pandas as pd\n",
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"import matplotlib.pyplot as plt\n",
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"\n",
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"from alpha.config import AlphaConfig\n",
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"from alpha.factors import FactorAnalyzer\n",
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"from alpha.strategy import Strategy, QuantileSignal, EqualWeightAllocator\n",
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"from alpha.backtest import BacktestEngine\n",
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"from alpha.evaluation import PerformanceEvaluator\n",
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"from alpha.data_loader import DataLoader\n",
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"\n",
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"%matplotlib inline\n",
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"plt.rcParams['font.sans-serif'] = ['SimHei']\n",
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"plt.rcParams['axes.unicode_minus'] = False\n",
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"\n",
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"print('模块导入成功')"
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]
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},
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"## 1. 加载数据"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"# 回测区间\n",
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"START_DATE = '2020-01-01'\n",
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"END_DATE = '2024-12-31'\n",
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"\n",
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"loader = DataLoader()\n",
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"\n",
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"# 后复权收盘价\n",
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"price_data = loader.load_prices(START_DATE, END_DATE)\n",
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"print(f'价格数据: {price_data.shape}, 日期: {price_data.index[0]} ~ {price_data.index[-1]}')\n",
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"price_data.head()"
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]
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},
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"## 2. 低波因子计算与 IC 分析"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"# 低波因子: 20日波动率的倒数（波动越小 → 因子值越大）\n",
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"VOL_WINDOW = 20\n",
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"daily_ret = price_data.pct_change()\n",
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"volatility = daily_ret.rolling(VOL_WINDOW).std()\n",
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"low_vol_factor = -volatility # 取负号使低波动为正\n",
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"\n",
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"# 未来 10 日收益率（验证预测能力，低波策略通常持有期较长）\n",
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"fwd_10d = price_data.pct_change(10).shift(-10)\n",
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"\n",
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"factor_stacked = low_vol_factor.stack()\n",
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"fwd_stacked = fwd_10d.stack()\n",
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"\n",
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"analyzer = FactorAnalyzer(factor_stacked, fwd_stacked)\n",
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"ic = analyzer.compute_ic(method='rank')\n",
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"\n",
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"print('低波因子 IC 汇总:')\n",
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"for k, v in analyzer.ic_summary().items():\n",
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" print(f' {k}: {v:.4f}')\n",
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"\n",
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"# IC 曲线\n",
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"ic.plot(figsize=(12, 3), title='低波因子 Rank IC 时间序列')\n",
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"plt.axhline(y=0, color='r', linestyle='--')\n",
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"plt.show()"
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]
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},
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"## 3. 分层回测"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"# 分 5 组，观察单调性（Q1=高波动, Q5=低波动）\n",
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"quantile_ret = analyzer.quantile_returns(n_quantiles=5)\n",
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"print('各分位组平均收益 (Q1=最高波动, Q5=最低波动):')\n",
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"print(quantile_ret)\n",
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"\n",
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"quantile_ret['avg_return'].plot(kind='bar', figsize=(8, 4), color='steelblue')\n",
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"plt.title('低波因子分层收益 (未来10日)')\n",
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"plt.ylabel('平均收益率')\n",
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"plt.grid(True, alpha=0.3)\n",
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"plt.show()"
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]
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},
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"## 4. 构建策略并回测"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"# 回测配置\n",
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"config = AlphaConfig(\n",
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" initial_cash=1_000_000,\n",
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" commission_rate=0.0003,\n",
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" slippage=0.001,\n",
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" stamp_tax=0.001,\n",
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")\n",
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"\n",
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"# 低波策略：持有波动率最低的 20% 股票，等权\n",
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"strategy = Strategy(\n",
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" name='低波动率策略-20日',\n",
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" factors=[],\n",
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" signal_generator=QuantileSignal(\n",
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" n_quantiles=5, long_quantile=5, short_quantile=0, # 只做多\n",
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" ),\n",
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" weight_allocator=EqualWeightAllocator(max_positions=10),\n",
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" description='每月持有过去20日波动率最低的20%股票，等权配置'\n",
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")\n",
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"\n",
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"engine = BacktestEngine(config)\n",
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"equity_curve = engine.run(\n",
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" strategy=strategy,\n",
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" price_data=price_data,\n",
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" factor_data={'low_vol': low_vol_factor},\n",
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" rebalance_freq='M',\n",
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")\n",
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"\n",
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"print(f'回测完成, 共 {len(equity_curve)} 个交易日')\n",
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"print(f'累计收益率: {(equity_curve[\"nav\"].iloc[-1] - 1) * 100:.2f}%')"
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]
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},
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"## 5. 净值曲线与回撤"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"fig, axes = plt.subplots(2, 1, figsize=(14, 8))\n",
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"\n",
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"# 净值曲线\n",
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"axes[0].plot(equity_curve.index, equity_curve['nav'], label='策略净值', color='green')\n",
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"axes[0].axhline(y=1.0, color='gray', linestyle='--')\n",
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"axes[0].set_title('低波动率策略净值曲线')\n",
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"axes[0].legend()\n",
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"axes[0].grid(True, alpha=0.3)\n",
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"\n",
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"# 回撤曲线\n",
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"nav = equity_curve['nav']\n",
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"running_max = nav.cummax()\n",
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"drawdown = (nav - running_max) / running_max\n",
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"axes[1].fill_between(equity_curve.index, 0, drawdown.values, color='red', alpha=0.3)\n",
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"axes[1].set_title('回撤曲线')\n",
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"axes[1].grid(True, alpha=0.3)\n",
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"\n",
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"plt.tight_layout()\n",
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"plt.show()"
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]
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},
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"## 6. 绩效评估"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"# 基准：股票池等权组合\n",
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"bench_ret = price_data.pct_change().mean(axis=1)\n",
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"\n",
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"evaluator = PerformanceEvaluator(equity_curve, benchmark_returns=bench_ret, risk_free_rate=0.03)\n",
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"print(evaluator.summary())\n",
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"\n",
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"report_df = evaluator.full_report()\n",
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"pd.DataFrame(list(report_df.items()), columns=['指标', '数值']).set_index('指标')"
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]
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},
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"---\n",
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"## 波动率窗口敏感性分析\n",
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"\n",
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"不同波动率计算窗口对因子表现的影响："
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"# 不同波动率窗口对比\n",
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"for win in [5, 10, 20, 40]:\n",
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" vol = daily_ret.rolling(win).std()\n",
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" fac = -vol\n",
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" a = FactorAnalyzer(fac.stack(), fwd_stacked)\n",
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" summary = a.ic_summary()\n",
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" print(f'窗口 {win}日: IC均值={summary[\"IC_Mean\"]:.4f}, ICIR={summary[\"IR\"]:.4f}, '\n",
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" f'IC>0占比={summary[\"IC>0_Ratio\"]:.2%}')"
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]
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}
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],
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"metadata": {
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"kernelspec": {
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"display_name": "Python 3",
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"language": "python",
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"name": "python3"
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},
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"language_info": {
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"name": "python",
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"version": "3.10.0"
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}
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},
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"nbformat": 4,
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"nbformat_minor": 4
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} |