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bbfamily committed Sep 11, 2017
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"cell_type": "markdown",
"metadata": {},
"source": [
"更多关于量化交易相关请稍后阅读[《量化交易之路》](https:https://union-click.jd.com/jdc?d=GRFXUK)\n",
"更多关于量化交易相关请阅读[《量化交易之路》](http:https://www.abuquant.com/books/quantify-trading-road.html)\n",
"\n",
"更多关于量化交易与机器学习相关请阅读[《机器学习之路》](http:https://union-click.jd.com/jdc?d=ddV9Uw)\n",
"更多关于量化交易与机器学习相关请阅读[《机器学习之路》](http:https://www.abuquant.com/books/machine-learning-road.html))\n",
"\n",
"更多关于abu量化系统请关注微信公众号: abu_quant\n",
"\n",
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"12. [附录B 量化相关性分析](https://github.com/bbfamily/abu/tree/master/ipython/附录B-量化相关性分析.ipynb)\n",
"13. [附录C 量化统计分析及指标应用](https://github.com/bbfamily/abu/tree/master/ipython/附录C-量化统计分析及指标应用.ipynb)\n",
"\n",
"更多关于量化交易相关请稍后阅读[《量化交易之路》](https:https://union-click.jd.com/jdc?d=GRFXUK)\n",
"更多关于量化交易相关请阅读[《量化交易之路》](http:https://www.abuquant.com/books/quantify-trading-road.html)\n",
"\n",
"更多关于量化交易与机器学习相关请阅读[《机器学习之路》](http:https://union-click.jd.com/jdc?d=ddV9Uw)\n",
"更多关于量化交易与机器学习相关请阅读[《机器学习之路》](http:https://www.abuquant.com/books/machine-learning-road.html)\n",
"\n",
"更多关于abu量化系统请关注微信公众号: abu_quant\n",
"\n",
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{
"cell_type": "code",
"execution_count": 3,
"metadata": {},
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"from abupy import AbuFactorAtrNStop, AbuFactorPreAtrNStop, AbuFactorCloseAtrNStop, AbuFactorBuyBreak, ABuProgress\n",
Expand Down Expand Up @@ -309,7 +311,9 @@
{
"cell_type": "code",
"execution_count": 6,
"metadata": {},
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"btc365 = btc[-365:]\n",
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{
"cell_type": "code",
"execution_count": 14,
"metadata": {},
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"# 设置市场类型为港股\n",
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{
"cell_type": "code",
"execution_count": 26,
"metadata": {},
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"abu_result_tuple, kl_pd_manger = abu.run_loop_back(read_cash,\n",
Expand Down Expand Up @@ -1871,10 +1879,9 @@
"\n",
"[更多阿布量化量化技术文章](http:https://www.abuquant.com/article)\n",
"\n",
"更多关于量化交易相关请阅读[《量化交易之路》](http:https://www.abuquant.com/books/quantify-trading-road.html)\n",
"\n",
"更多关于量化交易相关请稍后阅读[《量化交易之路》](https://union-click.jd.com/jdc?d=GRFXUK)\n",
"\n",
"更多关于量化交易与机器学习相关请阅读[《机器学习之路》](http:https://union-click.jd.com/jdc?d=ddV9Uw)\n",
"更多关于量化交易与机器学习相关请阅读[《机器学习之路》](http:https://www.abuquant.com/books/machine-learning-road.html)\n",
"\n",
"更多关于abu量化系统请关注微信公众号: abu_quant\n",
"\n",
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"[更多阿布量化量化技术文章](http:https://www.abuquant.com/article)\n",
"\n",
"\n",
"更多关于量化交易相关请稍后阅读[《量化交易之路》](https:https://union-click.jd.com/jdc?d=GRFXUK)\n",
"更多关于量化交易相关请阅读[《量化交易之路》](http:https://www.abuquant.com/books/quantify-trading-road.html)\n",
"\n",
"更多关于量化交易与机器学习相关请阅读[《机器学习之路》](http:https://union-click.jd.com/jdc?d=ddV9Uw)\n",
"更多关于量化交易与机器学习相关请阅读[《机器学习之路》](http:https://www.abuquant.com/books/machine-learning-road.html)\n",
"\n",
"更多关于abu量化系统请关注微信公众号: abu_quant\n",
"\n",
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{
"cell_type": "code",
"execution_count": 2,
"metadata": {},
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"from abupy import abu, ml, nd, tl, pd_resample, AbuML, AbuMLPd, AbuMetricsBase \n",
Expand Down Expand Up @@ -299,7 +301,9 @@
{
"cell_type": "code",
"execution_count": 7,
"metadata": {},
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"def btc_siblings_df(btc_raw):\n",
Expand Down Expand Up @@ -565,7 +569,9 @@
{
"cell_type": "code",
"execution_count": 9,
"metadata": {},
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"btc_train1 = btc_siblings_df(btc_train_raw[1:])\n",
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{
"cell_type": "code",
"execution_count": 11,
"metadata": {},
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"train_matrix = btc_train.as_matrix()\n",
Expand Down Expand Up @@ -2061,7 +2069,9 @@
{
"cell_type": "code",
"execution_count": 24,
"metadata": {},
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"btc_test0 = btc_siblings_df(btc_test_raw)\n",
Expand Down Expand Up @@ -2387,10 +2397,9 @@
"\n",
"[更多阿布量化量化技术文章](http:https://www.abuquant.com/article)\n",
"\n",
"更多关于量化交易相关请阅读[《量化交易之路》](http:https://www.abuquant.com/books/quantify-trading-road.html)\n",
"\n",
"更多关于量化交易相关请稍后阅读[《量化交易之路》](https://union-click.jd.com/jdc?d=GRFXUK)\n",
"\n",
"更多关于量化交易与机器学习相关请阅读[《机器学习之路》](http:https://union-click.jd.com/jdc?d=ddV9Uw)\n",
"更多关于量化交易与机器学习相关请阅读[《机器学习之路》](http:https://www.abuquant.com/books/machine-learning-road.html)\n",
"\n",
"更多关于abu量化系统请关注微信公众号: abu_quant\n",
"\n",
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{
"cell_type": "code",
"execution_count": 2,
"metadata": {},
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"from abupy import abu, ml, nd, tl, pd_resample, AbuML, AbuMLPd, AbuMetricsBase\n",
Expand Down Expand Up @@ -622,9 +624,9 @@
"[更多阿布量化量化技术文章](http:https://www.abuquant.com/article)\n",
"\n",
"\n",
"更多关于量化交易相关请稍后阅读[《量化交易之路》](https:https://union-click.jd.com/jdc?d=GRFXUK)\n",
"更多关于量化交易相关请阅读[《量化交易之路》](http:https://www.abuquant.com/books/quantify-trading-road.html)\n",
"\n",
"更多关于量化交易与机器学习相关请阅读[《机器学习之路》](http:https://union-click.jd.com/jdc?d=ddV9Uw)\n",
"更多关于量化交易与机器学习相关请阅读[《机器学习之路》](http:https://www.abuquant.com/books/machine-learning-road.html))\n",
"\n",
"更多关于abu量化系统请关注微信公众号: abu_quant\n",
"\n",
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Expand Up @@ -69,7 +69,9 @@
{
"cell_type": "code",
"execution_count": 2,
"metadata": {},
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"from abupy import abu, ml, nd, tl, ECoreCorrType, ABuSymbolPd, ABuScalerUtil, AbuFuturesCn, ABuCorrcoef\n",
Expand Down Expand Up @@ -1933,9 +1935,9 @@
"[更多阿布量化量化技术文章](http:https://www.abuquant.com/article)\n",
"\n",
"\n",
"更多关于量化交易相关请稍后阅读[《量化交易之路》](https:https://union-click.jd.com/jdc?d=GRFXUK)\n",
"更多关于量化交易相关请阅读[《量化交易之路》](http:https://www.abuquant.com/books/quantify-trading-road.html)\n",
"\n",
"更多关于量化交易与机器学习相关请阅读[《机器学习之路》](http:https://union-click.jd.com/jdc?d=ddV9Uw)\n",
"更多关于量化交易与机器学习相关请阅读[《机器学习之路》](http:https://www.abuquant.com/books/machine-learning-road.html)\n",
"\n",
"更多关于abu量化系统请关注微信公众号: abu_quant\n",
"\n",
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Expand Up @@ -1529,9 +1529,9 @@
"[更多阿布量化量化技术文章](http:https://www.abuquant.com/article)\n",
"\n",
"\n",
"更多关于量化交易相关请稍后阅读[《量化交易之路》](https:https://union-click.jd.com/jdc?d=GRFXUK)\n",
"更多关于量化交易相关请阅读[《量化交易之路》](http:https://www.abuquant.com/books/quantify-trading-road.html)\n",
"\n",
"更多关于量化交易与机器学习相关请阅读[《机器学习之路》](http:https://union-click.jd.com/jdc?d=ddV9Uw)\n",
"更多关于量化交易与机器学习相关请阅读[《机器学习之路》](http:https://www.abuquant.com/books/machine-learning-road.html)\n",
"\n",
"更多关于abu量化系统请关注微信公众号: abu_quant\n",
"\n",
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36 changes: 26 additions & 10 deletions abupy_lecture/16-UMP主裁交易决策(ABU量化使用文档).ipynb
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Expand Up @@ -68,7 +68,9 @@
{
"cell_type": "code",
"execution_count": 2,
"metadata": {},
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"from abupy import AbuFactorAtrNStop, AbuFactorPreAtrNStop, AbuFactorCloseAtrNStop, AbuFactorBuyBreak, ABuProgress\n",
Expand All @@ -89,7 +91,9 @@
{
"cell_type": "code",
"execution_count": 3,
"metadata": {},
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"us_choice_symbols = ['usTSLA', 'usNOAH', 'usSFUN', 'usBIDU', 'usAAPL', 'usGOOG', 'usWUBA', 'usVIPS']\n",
Expand Down Expand Up @@ -565,7 +569,9 @@
{
"cell_type": "code",
"execution_count": 9,
"metadata": {},
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"# 不使用主裁拦截\n",
Expand Down Expand Up @@ -629,7 +635,9 @@
{
"cell_type": "code",
"execution_count": 11,
"metadata": {},
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"abupy.env.g_enable_ump_main_deg_block = True\n",
Expand Down Expand Up @@ -945,7 +953,9 @@
{
"cell_type": "code",
"execution_count": 14,
"metadata": {},
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"class AbuFactorBuyBreakUmpDemo(AbuFactorBuyBreak):\n",
Expand Down Expand Up @@ -981,7 +991,9 @@
{
"cell_type": "code",
"execution_count": 15,
"metadata": {},
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"buy_factors = [{'xd': 60, 'class': AbuFactorBuyBreakUmpDemo},\n",
Expand Down Expand Up @@ -1081,7 +1093,9 @@
{
"cell_type": "code",
"execution_count": 18,
"metadata": {},
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"buy_factors = [{'xd': 60, 'class': AbuFactorBuyBreakReocrdHitDemo},\n",
Expand Down Expand Up @@ -1292,7 +1306,9 @@
{
"cell_type": "code",
"execution_count": 22,
"metadata": {},
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"buy_factors = [{'hit_ml':hit_ml, 'xd': 60, 'class': AbuFactorBuyBreakHitPredictDemo},\n",
Expand Down Expand Up @@ -1406,9 +1422,9 @@
"[更多阿布量化量化技术文章](http:https://www.abuquant.com/article)\n",
"\n",
"\n",
"更多关于量化交易相关请稍后阅读[《量化交易之路》](https:https://union-click.jd.com/jdc?d=GRFXUK)\n",
"更多关于量化交易相关请阅读[《量化交易之路》](http:https://www.abuquant.com/books/quantify-trading-road.html)\n",
"\n",
"更多关于量化交易与机器学习相关请阅读[《机器学习之路》](http:https://union-click.jd.com/jdc?d=ddV9Uw)\n",
"更多关于量化交易与机器学习相关请阅读[《机器学习之路》](http:https://www.abuquant.com/books/machine-learning-road.html)\n",
"\n",
"更多关于abu量化系统请关注微信公众号: abu_quant\n",
"\n",
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Expand Up @@ -63,7 +63,9 @@
{
"cell_type": "code",
"execution_count": 2,
"metadata": {},
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"from abupy import AbuFactorAtrNStop, AbuFactorPreAtrNStop, AbuFactorCloseAtrNStop, AbuFactorBuyBreak, ABuProgress\n",
Expand All @@ -84,7 +86,9 @@
{
"cell_type": "code",
"execution_count": 3,
"metadata": {},
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"us_choice_symbols = ['usTSLA', 'usNOAH', 'usSFUN', 'usBIDU', 'usAAPL', 'usGOOG', 'usWUBA', 'usVIPS']\n",
Expand Down Expand Up @@ -1029,7 +1033,9 @@
{
"cell_type": "code",
"execution_count": 12,
"metadata": {},
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"# 不使用边裁拦截\n",
Expand Down Expand Up @@ -1307,7 +1313,9 @@
{
"cell_type": "code",
"execution_count": 17,
"metadata": {},
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"# 开启边裁\n",
Expand Down Expand Up @@ -1456,9 +1464,9 @@
"[更多阿布量化量化技术文章](http:https://www.abuquant.com/article)\n",
"\n",
"\n",
"更多关于量化交易相关请稍后阅读[《量化交易之路》](https:https://union-click.jd.com/jdc?d=GRFXUK)\n",
"更多关于量化交易相关请阅读[《量化交易之路》](http:https://www.abuquant.com/books/quantify-trading-road.html)\n",
"\n",
"更多关于量化交易与机器学习相关请阅读[《机器学习之路》](http:https://union-click.jd.com/jdc?d=ddV9Uw)\n",
"更多关于量化交易与机器学习相关请阅读[《机器学习之路》](http:https://www.abuquant.com/books/machine-learning-road.html)\n",
"\n",
"更多关于abu量化系统请关注微信公众号: abu_quant\n",
"\n",
Expand Down
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