109 lines
4.6 KiB
Python
109 lines
4.6 KiB
Python
"""TopkDropout with a 1-day momentum entry-confirmation gate.
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Wraps qlib's ``TopkDropoutStrategy`` and adds one rule on top of the pure
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signal ranking: a name may only be **bought** when its trailing 1-day return
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is positive (short-term momentum confirmation, Lag-1 autocorr ~ +0.45 in the
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time-series study). Held names are never force-sold by this gate — exits stay
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the TopkDropout rule (fall out of top-k / n_drop). This attacks the churn/cost
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drag: the reference TopkDropout bought and sold ~590 times in 150 days ($63.5k
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cost); momentum confirmation filters the entry side so a name that just fell
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is not immediately re-bought on rank alone.
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Implementation: overrides ``generate_trade_decision`` and wraps the target
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weight dict produced by the base strategy — any BUY weight for a name whose
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1-day return <= 0 (or missing quote) is zeroed (kept at 0 weight => no entry).
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Exits (weights already held) are preserved.
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The 1-day return is read from the exchange's deal price over the previous
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bar (no lookahead: decision on day t uses the close of t-1).
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Wired into a workflow yaml like:
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strategy:
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class: MomentumGateTopk
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module_path: tac_qlib.contrib.strategy.momentum_gate
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kwargs:
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signal: "<PRED>"
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topk: 10
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n_drop: 2
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only_tradable: true
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risk_degree: 0.95
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min_momentum: 0.0
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"""
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from __future__ import annotations
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import copy
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import pandas as pd
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from qlib.backtest import Order
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from qlib.backtest.decision import OrderDir, TradeDecisionWO
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from qlib.backtest.position import Position
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from qlib.contrib.strategy.signal_strategy import TopkDropoutStrategy
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__all__ = ["MomentumGateTopk"]
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class MomentumGateTopk(TopkDropoutStrategy):
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"""TopkDropoutStrategy gated on 1-day momentum for new entries."""
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def __init__(self, *, min_momentum: float = 0.0, **kwargs):
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super().__init__(**kwargs)
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self.min_momentum = float(min_momentum)
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def _momentum_ok(self, code, trade_start, trade_end) -> bool:
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"""True when the trailing 1-day return is above the momentum floor."""
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try:
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cur = self.trade_exchange.get_deal_price(
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stock_id=code, start_time=trade_start, end_time=trade_end, direction=OrderDir.BUY
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)
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except Exception:
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return False
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if cur is None or cur != cur or cur <= 0:
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return False
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# previous bar: shift the window back one step
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prev_start = trade_start - pd.Timedelta(days=5)
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prev_end = trade_start - pd.Timedelta(seconds=1)
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prev = self.trade_exchange.get_deal_price(
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stock_id=code, start_time=prev_start, end_time=prev_end, direction=OrderDir.SELL
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)
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if prev is None or prev != prev or prev <= 0:
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return False
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return (cur / prev - 1.0) >= self.min_momentum
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def generate_trade_decision(self, execute_result=None):
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trade_step = self.trade_calendar.get_trade_step()
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trade_start_time, trade_end_time = self.trade_calendar.get_step_time(trade_step)
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pred_start_time, pred_end_time = self.trade_calendar.get_step_time(trade_step, shift=1)
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pred_score = self.signal.get_signal(start_time=pred_start_time, end_time=pred_end_time)
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if pred_score is None:
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return TradeDecisionWO([], self)
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current_temp = copy.deepcopy(self.trade_position)
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assert isinstance(current_temp, Position)
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# base topk target weights (equal-weight top-k minus n_drop)
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target_weight_position = self.generate_target_weight_position(
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score=pred_score, current=current_temp, trade_start_time=trade_start_time, trade_end_time=trade_end_time
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)
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# entry gate: zero out any NEW (not currently held) buy weight when momentum fails
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held = set(current_temp.get_stock_list())
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gated = {}
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for code, w in target_weight_position.items():
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is_new = code not in held or abs(current_temp.get_stock_amount(code)) <= 1e-6
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if is_new and not self._momentum_ok(code, trade_start_time, trade_end_time):
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continue # skip entry (momentum not confirmed)
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gated[code] = w
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order_list = self.order_generator.generate_order_list_from_target_weight_position(
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current=current_temp,
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trade_exchange=self.trade_exchange,
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risk_degree=self.get_risk_degree(trade_step),
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target_weight_position=gated,
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pred_start_time=pred_start_time,
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pred_end_time=pred_end_time,
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trade_start_time=trade_start_time,
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trade_end_time=trade_end_time,
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)
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return TradeDecisionWO(order_list, self)
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