TradingAlgorithm_log.txt

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1 [ :28: ] INFO: algo: TradingAlgorithm V1.2.1 [ :28: ] INFO: algo: data.major_axis0: :00:00+00:00 [ :28: ] INFO: algo: data.major_axis-1: :00:00+00:00 [ :29: ] INFO: forward_test: c_initialize() init position:position[asset:equity (1751 [ SZA]),amount: ,today_amount:0,frozen_amount:0,cost_basis: ,last_sale_ price:60.67,pv: ] [ :29: ] INFO: forward_test: c_initialize() init position:position[asset:equity (1220 [ SZA]),amount: ,today_amount:0,frozen_amount:0,cost_basis: ,last_sale_ price:528.63,pv: ] [ :29: ] INFO: forward_test: c_initialize() init position:position[asset:equity (455 [ SZA]),amount: ,today_amount:0,frozen_amount:0,cost_basis:62.719,last_sale_p rice:64.32,pv: ] [ :29: ] INFO: forward_test: c_initialize() positions len:3, value: [ :29: ] INFO: forward_test: c_initialize() orders len:5 [ :29: ] INFO: forward_test: c_initialize() order: {'amount_after_adjust': 2209, 'sid': ' SZA', 'amount': , 'name': ' 万丰奥威 ', 'direction': ' 卖 ', 'price': 8.83, 'dt': ' :00:00', 'adjust_factor': , 'date': ' '} [ :29: ] INFO: Blotter: place order [sid:455, oid:4cd5bb, symbol: sza, amount: , position_effect:none, is_stored_order:true], dt: :00:00+00:00 [ :29: ] INFO: forward_test: c_initialize() order: {'amount_after_adjust': 146, 'sid': ' SZA', 'amount': , 'name': ' 洋河股份 ', 'direction': ' 卖 ', 'price': , 'dt': ' :00:00', 'adjust_factor': , 'date': ' '} [ :29: ] INFO: Blotter: place order [sid:1220, oid:982f37, symbol: sza, amount: , position_effect:none, is_stored_order:true], dt: :00:00+00:00 [ :29: ] INFO: forward_test: c_initialize() order: {'amount_after_adjust': 1054, 'sid': ' SZA', 'amount': , 'name': ' 盈趣科技 ', 'direction': ' 卖 ', 'price': 59.98, 'dt': ' :00:00', 'adjust_factor': , 'date': ' '} [ :29: ] INFO: Blotter: place order [sid:1751, oid:cd97ae, symbol: sza, amount:- 1

2 , position_effect:none, is_stored_order:true], dt: :00:00+00:00 [ :29: ] INFO: forward_test: c_initialize() order: {'amount_after_adjust': 45, 'sid': ' SHA', 'amount': , 'name': ' 浙商证券 ', 'direction': ' 买 ', 'price': 7.81, 'dt': ' :30:00', 'adjust_factor': 1.0, 'date': ' '} [ :29: ] INFO: Blotter: place order [sid:1681, oid:dca9a2, symbol: sha, amount: , position_effect:none, is_stored_order:true], dt: :00:00+00:00 [ :29: ] INFO: forward_test: c_initialize() order: {'amount_after_adjust': 3, 'sid': ' SZA', 'amount': , 'name': ' 盈趣科技 ', 'direction': ' 买 ', 'price': 59.98, 'dt': ' :30:00', 'adjust_factor': , 'date': ' '} [ :29: ] INFO: Blotter: place order [sid:1751, oid:efc95c, symbol: sza, amount: , position_effect:none, is_stored_order:true], dt: :00:00+00:00 [ :29: ] INFO: algo: init() setting[data_frequency:daily, product_type:stock,price_type:backward_adjusted,amount_integer:false,leverage_type:fill_amap,max_leverage:1.0,need_sett le:false] [ :29: ] INFO: Blotter: match order [dt: :00:00+ 00:00,oid:4cd5bb,symbol: SZA,filled: ,price: ,turnover: ,pos_effect:None] [ :29: ] INFO: Blotter: cancel order oid:4cd5bb, symbol: sza, reason:after trades [ :29: ] INFO: Blotter: match order [dt: :00:00+ 00:00,oid:982f37,symbol: SZA,filled: ,price: ,turnover: ,pos_effect:None] [ :29: ] INFO: Blotter: cancel order oid:982f37, symbol: sza, reason:after trades [ :29: ] INFO: Blotter: match order [dt: :00:00+ 00:00,oid:cd97ae,symbol: SZA,filled: ,price: ,turnover: ,pos_effect:None] [ :29: ] INFO: Blotter: match order [dt: :30:00+ 00:00,oid:efc95c,symbol: SZA,filled: ,price: ,turnover: ,pos_eff ect:none] [ :29: ] INFO: Blotter: cancel order oid:cd97ae, symbol: sza, reason:after trades 2

3 [ :29: ] INFO: Blotter: match order [dt: :30:00+ 00:00,oid:dca9a2,symbol: SHA,filled: ,price: ,turnover: ,pos_e ffect:none] [ :29: ] INFO: Blotter: cancel order oid:dca9a2, symbol: sha, reason:after trades [ :29: ] INFO: algo: daily_perf orders:[{'position_effect': None, 'amount': , 'limit': None, 'filled': , 'stop_reached': True, 'commission': , 'sid': Equity(455 [ SZA]), 'stop': None, 'reason': None, 'limit_reached': True, 'id': '4cd5bbb5db5d4161aa30ae74f5fa6368', 'status': 1, 'created': Timestamp(' :00: ', tz='utc'), 'dt': Timestamp(' :00: ', tz='utc')}, {'position_effect': None, 'amount': , 'limit': None, 'filled': , 'stop_reached': True, 'commission': , 'sid': Equity(1220 [ SZA]), 'stop': None, 'reason': None, 'limit_reached': True, 'id': '982f37e9332f a203bef98b2a', 'status': 1, 'created': Timestamp(' :00: ', tz='utc'), 'dt': Timestamp(' :00: ', tz='utc')}, {'position_effect': None, 'amount': , 'limit': None, 'filled': , 'stop_reached': True, 'commission': , 'sid': Equity(1751 [ SZA]), 'stop': None, 'reason': None, 'limit_reached': True, 'id': 'cd97ae40fd354c7cabbdad828fde08d0', 'status': 1, 'created': Timestamp(' :00: ', tz='utc'), 'dt': Timestamp(' :00: ', tz='utc')}, {'position_effect': None, 'amount': , 'limit': None, 'filled': , 'stop_reached': True, 'commission': 5, 'sid': Equity(1681 [ SHA]), 'stop': None, 'reason': None, 'limit_reached': True, 'id': 'dca9a22a31844f8ab13129aed3b654b0', 'status': 1, 'created': Timestamp(' :30: ', tz='utc'), 'dt': Timestamp(' :00: ', tz='utc')}, {'position_effect': None, 'amount': , 'limit': None, 'filled': , 'stop_reached': True, 'commission': 5, 'sid': Equity(1751 [ SZA]), 'stop': None, 'reason': None, 'limit_reached': True, 'id': 'efc95c28dd e8f3d1e132df5df', 'status': 1, 'created': Timestamp(' :30: ', tz='utc'), 'dt': Timestamp(' :30: ', tz='utc')}] [ :29: ] INFO: algo: daily_perf positions:[{'sid': Equity(1751 [ SZA]), 'amount': , 'last_sale_price': , 'cost_basis': }, {'sid': Equity(1681 [ SHA]), 'amount': , 'last_sale_price': , 'cost_basis': }] [ :29: ] INFO: algo: daily_perf pnl: [ :29: ] INFO: Performance: Simulated 1 trading days out of 1. [ :29: ] INFO: Performance: first open: :30:00+00:00 3

4 [ :29: ] INFO: Performance: last close: :00:00+00:00 [ :29: ] INFO: forward_test: get last row of algo result_1: algorithm_period_return alpha \ :00:00+00: benchmark_period_return beta capital_used \ :00:00+00: ending_cash ending_value long_value \ :00:00+00: longs_count max_drawdown :00:00+00: [ :29: ] INFO: forward_test: get last row of algo result_2: period_close period_label \ :00:00+00: :00:00+00: period_open pnl \ :00:00+00: :30:00+00: portfolio_value returns short_value \ :00:00+00: shorts_count sortino starting_cash \ :00:00+00: starting_value trading_days :00:00+00: [ :29: ] INFO: forward_test: get_orders new_orders 5: 4

5 {'position_effect': None, 'amount': , 'limit': None, 'filled': , 'stop_reached': True, 'commission': , 'sid': Equity(455 [ SZA]), 'stop': None, 'reason': None, 'limit_reached': True, 'id': '4cd5bbb5db5d4161aa30ae74f5fa6368', 'status': 1, 'created': Timestamp(' :00: ', tz='utc'), 'dt': Timestamp(' :00: ', tz='utc')} {'position_effect': None, 'amount': , 'limit': None, 'filled': , 'stop_reached': True, 'commission': , 'sid': Equity(1220 [ SZA]), 'stop': None, 'reason': None, 'limit_reached': True, 'id': '982f37e9332f a203bef98b2a', 'status': 1, 'created': Timestamp(' :00: ', tz='utc'), 'dt': Timestamp(' :00: ', tz='utc')} {'position_effect': None, 'amount': , 'limit': None, 'filled': , 'stop_reached': True, 'commission': , 'sid': Equity(1751 [ SZA]), 'stop': None, 'reason': None, 'limit_reached': True, 'id': 'cd97ae40fd354c7cabbdad828fde08d0', 'status': 1, 'created': Timestamp(' :00: ', tz='utc'), 'dt': Timestamp(' :00: ', tz='utc')} {'position_effect': None, 'amount': , 'limit': None, 'filled': , 'stop_reached': True, 'commission': 5, 'sid': Equity(1681 [ SHA]), 'stop': None, 'reason': None, 'limit_reached': True, 'id': 'dca9a22a31844f8ab13129aed3b654b0', 'status': 1, 'created': Timestamp(' :30: ', tz='utc'), 'dt': Timestamp(' :00: ', tz='utc')} {'position_effect': None, 'amount': , 'limit': None, 'filled': , 'stop_reached': True, 'commission': 5, 'sid': Equity(1751 [ SZA]), 'stop': None, 'reason': None, 'limit_reached': True, 'id': 'efc95c28dd e8f3d1e132df5df', 'status': 1, 'created': Timestamp(' :30: ', tz='utc'), 'dt': Timestamp(' :30: ', tz='utc')}, json_orders: [ :29: ] INFO: forward_test: get_last_sale_date_dict: {' SZA': ' :00:00+00:00', ' SHA': ' :00:00+00:00', ' SZA': ' :00:00+00:00', ' SZA': ' :00:00+00:00'} [ :29: ] INFO: forward_test: get_positions_stocks position_value: new_positions: {'sid': Equity(1751 [ SZA]), 'amount': , 'last_sale_price': , 'cost_basis': } {'sid': Equity(1681 [ SHA]), 'amount': , 'last_sale_price': , 'cost_basis': 5

6 } json_positions: {'cost_basis_after_adjust': 60.16, 'amount_after_adjust': 3, 'value': 238.3, 'amount': , 'cum_return': 12.21, 'cost_basis': , 'hold_days': 3, 'last_sale_price': 64.14, 'last_sale_date': ' :00:00+00:00', 'adjust_factor': , 'first_hold_date': ' ', 'sid': ' SZA', 'name': ' 盈趣科技 ', 'price_after_adjust': 63.41, 'date': ' '} {'cost_basis_after_adjust': 7.76, 'amount_after_adjust': 44, 'value': 360.0, 'amount': , 'cum_return': 13.4, 'cost_basis': 7.76, 'hold_days': 1, 'last_sale_price': 8.06, 'last_sale_date': ' :00:00 +00:00', 'adjust_factor': 1.0, 'first_hold_date': ' ', 'sid': ' SHA', 'name': ' 浙商证券 ', 'price_after_adjust': 8.06, 'date': ' '} [ :29: ] INFO: forward_test: get_portfolio last_pv: , current_pv: , json_portfolio:{'max_pv': , 'cum_return': , 'drawdown': 0.0, 'today_return': , 'annual_return': , 'pv': , 'first_date': ' '} [ :29: ] INFO: forward_test: get_transactions transaction 5: {'position_effect': None, 'amount': , 'transaction_money': , 'commission': , 'order_id': '4cd5bbb5db5d4161aa30ae74f5fa6368', 'sid': Equity(455 [ SZA]), 'dt': Timestamp (' :00: ', tz='utc'), 'price': } {'position_effect': None, 'amount': , 'transaction_money': , 'commission': , 'order_id': '982f37e9332f a203bef98b2a', 'sid': Equity(1220 [ SZA]), 'dt': Timestamp (' :00: ', tz='utc'), 'price': } {'position_effect': None, 'amount': , 'transaction_money': , 'commission': , 'order_id': 'cd97ae40fd354c7cabbdad828fde08d0', 'sid': Equity(1751 [ SZA]), 'dt': Timestamp (' :00: ', tz='utc'), 'price': } {'position_effect': None, 'amount': , 'transaction_money': , 'commission': 5, 'order_id': 'efc95c28dd e8f3d1e132df5df', 'sid': Equity(1751 [ SZA]), 'dt': Timestamp(' :30: ', tz='utc'), 'price': } {'position_effect': None, 'amount': , 'transaction_money': , 'commission': 5, 'order_id': 'dca9a22a31844f8ab13129aed3b654b0', 'sid': Equity(1681 [ SHA]), 'dt': Timestamp(' :30:00+ 6

7 0000', tz='utc'), 'price': } [ :29: ] INFO: forward_test: get_transactions total_buy:572.69, total_sell: , json_transaction: {'amount_after_adjust': -2209, 'value': , 'amount': , 'cost': 25.42, 'price_after_adjust': 8.85, 'commission': 25.42, 'adjust_factor': , 'sid': ' SZA', 'name': ' 万丰奥威 ', 'direction': ' 卖 ', 'date': ' ', 'price': 64.47, 'dt': ' :00:00'} {'amount_after_adjust': -146, 'value': , 'amount': , 'cost': 24.67, 'price_after_adjust': 129.9, 'commission': 24.67, 'adjust_factor': , 'sid': ' SZA', 'name': ' 洋河股份 ', 'direction': ' 卖 ', 'date': ' ', 'price': 519.2, 'dt': ' :00:00'} {'amount_after_adjust': -1054, 'value': , 'amount': , 'cost': 86.93, 'price_after_adjust': 63.41, 'commission': 86.93, 'adjust_factor': , 'sid': ' SZA', 'name': ' 盈趣科技 ', 'direction': ' 卖 ', 'date': ' ', 'price': 64.14, 'dt': ' :00:00'} {'amount_after_adjust': 3, 'value': , 'amount': , 'cost': 5, 'price_after_adjust': 60.16, 'commission': 5, 'adjust_factor': , 'sid': ' SZA', 'name': ' 盈趣科技 ', 'direction': ' 买 ', 'date': ' ', 'price': 60.85, 'dt': ' :30:00'} {'amount_after_adjust': 44, 'value': 346.6, 'amount': , 'cost': 5, 'price_after_adjust': 7.76, 'commission': 5, 'adjust_factor': 1.0, 'sid': ' SHA', 'name': ' 浙商证券 ', 'direction': ' 买 ', 'date': ' ', 'price': 7.76, 'dt': ' :30:00'} [ :29: ] INFO: forward_test: get_risk_indicators json_risk_indicator:{'ir': , 'volatility': , 'sharpe': , 'beta': , 'alpha': } cum_return_plot: {}, before_shared_cum_return_plot: {}, after_shared_cum_return_plot: {}, benchmark_cum_return_plot: {}, hold_percent_plot: {} [ :29: ] INFO: forward_test: new orders 0 for date

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