请基于聚宽平台,统计近三年上证50指数的顶部及底部区间,顶部和底部可以用pe band衡量,在底部持有call,轮动条件是在theta值大幅度衰减前滚动为下月合约,在顶部持有put,轮动条件是在theta值大幅度衰减前滚动为下月合约,请给出python代码
时间: 2024-05-06 09:18:13 浏览: 17
以下是基于聚宽平台的代码,用于统计近三年上证50指数的顶部及底部区间,并进行轮动操作:
```python
import jqdata # 导入聚宽平台的Python SDK
import numpy as np
# 获取上证50指数的收盘价
index_data = get_price('000016.XSHG', end_date='today', count=756, frequency='1d', fields=['close'])
# 计算PE值
pe_data = index_data.apply(lambda x: x / net_profit(x.name.year), axis=1)
pe_mean = pe_data.mean()
pe_std = pe_data.std()
upper_band = 2 * pe_std + pe_mean
lower_band = pe_mean - 2 * pe_std
# 计算theta值
theta_data = get_option_theta('510050.XSHG', end_date='today', count=1, frequency='1d')
theta_mean = theta_data.mean()
theta_std = theta_data.std()
# 进行轮动操作
position = 0 # 初始为空仓
for i in range(1, len(index_data)):
if index_data.iloc[i]['close'] > upper_band:
if position == 0:
# 买入put期权
put = get_option_contract('510050.XSHG', end_date='next_month', strike_price=index_data.iloc[i]['close'], option_type='put')
order_target_value(put, 10000) # 买入1手期权
position = -1
elif index_data.iloc[i]['close'] < lower_band:
if position == 0:
# 买入call期权
call = get_option_contract('510050.XSHG', end_date='next_month', strike_price=index_data.iloc[i]['close'], option_type='call')
order_target_value(call, 10000) # 买入1手期权
position = 1
elif abs(theta_data.iloc[i]['theta']) < theta_mean - 2 * theta_std:
if position == 1:
# 卖出call期权并买入下月合约
call = get_option_contract('510050.XSHG', end_date='next_month', strike_price=index_data.iloc[i]['close'], option_type='call')
order_target_value(call, 0) # 卖出1手期权
call_next_month = get_option_contract('510050.XSHG', end_date='next_month', strike_price=index_data.iloc[i]['close'], option_type='call')
order_target_value(call_next_month, 10000) # 买入1手下月合约期权
position = 0
elif position == -1:
# 卖出put期权并买入下月合约
put = get_option_contract('510050.XSHG', end_date='next_month', strike_price=index_data.iloc[i]['close'], option_type='put')
order_target_value(put, 0) # 卖出1手期权
put_next_month = get_option_contract('510050.XSHG', end_date='next_month', strike_price=index_data.iloc[i]['close'], option_type='put')
order_target_value(put_next_month, 10000) # 买入1手下月合约期权
position = 0
```
需要注意的是,上述代码中使用了一些聚宽平台的API,如`get_price()`、`get_option_theta()`、`get_option_contract()`和`order_target_value()`,这些API的具体用法可以查看聚宽平台的文档。
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