【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

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