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panxianxiaoli/zipline-chinese

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README
Apache-2.0

Zipline-一个正在成长的项目

Zipline:当前在线的量化平台基本都是基于zipline进行开发,使用这些平台,首先,自己的 策略会泄密,其次,这些平台速度慢,而且不够灵活。 然而,A股并不能直接使用zipline,需要对数据,基准,交易日期,手续费等部分做修改。 本项目修改zipline平台,以使得其能适用于A股市场。

项目文档:

https://github.com/zhanghan1990/zipline/wiki

安装方法

运行环境:linux, OSX,建议不要使用windows,因为zipline涉及到gcc的编译,windows可能编译过程中有一些问题。

(1)windows 用户可以下载virtual box,在这个镜像中,集成了数据,和开发环境,以及ipython notebook,virtual box 虚拟机地址: https://pan.baidu.com/s/1bp5roxL

虚拟机密码为:zipline

具体使用方法:打开virtual box ,输入以下命令

  • service mongodb start
  • source zipline/zip_env/bin/activate
  • sudo jupyter notebook
  • ifconfig

得到虚拟机的IP 地址,例如IP为:192.168.1.120,则在windows浏览器输入 192.168.1.120:8888

(2)对于本地安装,以ubuntu 为例:

  • git clone https://github.com/zhanghan1990/zipline
  • cd zipline
  • sudo apt-get install python-pip
  • sudo apt-get install mongodb
  • sudo pip install virtualenv
  • sudo apt-get install python-tk
  • virtualenv zipline_env
  • source zipline_env/bin/activate
  • pip install -r requirements.txt
  • python setup.py install
  • sudo service mongodb start
  • pip install xlrd
  • pip3 install jupyter

version_1.0 完成的主要工作

  • 交易日历纠正,从1990年开始的所有有效交易日都包含其中,剔除非交易时段
  • A股数据源,把数据写入mongodb中,每次从mongodb中读取需要的数据
  • benchmark,使用A股的几个标准(HS300指数等)
  • return 计算,计算alpha和beta当前使用中国国债作为基准
  • 手续费模型设定

关于数据

  • 您可以使用自己的数据,也可以使用我配置的数据源,数据源我已经配置好,如果自己配置,需要修改文件 data/constants.py 下的IP和PORT
  • 我的机器的IP为166.111.68.233 PORT为27017
  • 本版本的数据源,只更新到2017.02.28,后面我会每天更新数据

本地数据导入

  • 交易数据地址:

http://pan.baidu.com/s/1i4GZWFF

  • 关于数据导入:

脚本 https://github.com/zhanghan1990/zipline/blob/master/zipline/data/mongodb.py 提供数据导入,修改line 29为您数据解压缩位置 然后执行脚本python mongodb.py

关于例子

-在examples下面有3个例子,这3个例子可以满足基本的回测需求,这三个例子我和joinquant做了比对,差距很小(ps,完全一样还是很难,手续费那里有问题,我会继续修改)

联系方式

欢迎感兴趣的朋友加入到这个项目来,有问题请给我发邮件: zganghanhan@foxmail.com

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欢迎有兴趣的朋友伙伴加入我们的开源讨论群:

QQ群:556125593

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简介

zipline 是开源量化平台,但是当前zipline 并不支持A股的测试,很多在线平台如优矿,聚宽等都是基于zipline,本项目改进zipline,使得zipline支持A股测试 展开 收起
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