毕业设计-基于 BP 神经网络企业财务模型优化分析 -MATLAB

部分源代码

# -*- coding:utf-8 -*-
 
 from CloudQuant import SDKCoreEngine  # 导入量子金服SDK
 from CloudQuant import AssetType
 from CloudQuant import QuoteCycle
 import numpy as np
 import pandas as pd
 
 np.seterr(invalid='ignore')
 
 config = {
     'username': 'pengkun',
     'password': '111111',
     'rootpath': 'c:/cStrategy',  # 客户端所在路径
     'assetType': AssetType.Stock,
     'initCapitalStock': 100000000,
     'startDate': 20070101,
     'endDate': 20170101,
     'cycle': QuoteCycle.D,
     'strategyName': 'Beneish',
     'feeRate': 0.001,
     'feeLimit': 5,
     'stampTaxRate': 0.001,
     'dealByVolume': True
 }
 
 HOLDING_PERIOD=60
 HOLDING_NUMBER=100
 
 
 def initial(sdk):
     sdk.setGlobal('c',0)
 
 def initPerDay(sdk):
     pass
 
 #M Score*=91.07-22.9×GMI-49.91×AQI+35.21×SGI-18.17×LVGI
 
 def strategy(sdk):
     count=sdk.getGlobal('c')
     if count==0:
         GM=sdk.getFactorData('LZ_CN_STKA_FIN_IND_GROSSPRFTMARGIN')
         GMI=GM[-1]/GM[-1-HOLDING_PERIOD]
         SG=sdk.getFactorData('LZ_CN_STKA_PRF_COMBO_Q_OPR_REV')
         SGI=SG[-1]/SG[-1-HOLDING_PERIOD]
         AQ=sdk.getFactorData('LZ_CN_STKA_BAL_COMBO_INTANG_ASTS')
         AQI=AQ[-1]/AQ[-1-HOLDING_PERIOD]
         LVG=sdk.getFactorData('LZ_CN_STKA_FIN_IND_DEBTTOASTS')
         LVGI=LVG[-1]/LVG[-1-HOLDING_PERIOD]
 
         M_SCORE=91.07-22.9*GMI-49.91*AQI+35.21*SGI-18.17*LVGI
 
         ST = sdk.getFactorData('LZ_CN_STKA_SLCIND_ST_FLAG')[-1]  # ST
         STOP = sdk.getFactorData('LZ_CN_STKA_SLCIND_STOP_FLAG')[-1]  # 停牌
         stock_list = sdk.getStockList()
         stock_list = np.array(stock_list)
         condition_ST = ST == 0
         condition_STOP = STOP == 0
         condition = condition_ST * condition_STOP
 
         stock_list=stock_list[condition]
         M_SCORE=M_SCORE[condition]
 
         M_SCORE=pd.Series(M_SCORE,index=stock_list)
         M_SCORE=M_SCORE.sort_values()
 
         # n=int(len(stock_list)/5)
         stock_pool=M_SCORE.index[:HOLDING_NUMBER]
 
         transferPosition(sdk, stock_pool)
     count+=1
     if count==HOLDING_PERIOD:
         count=0
     sdk.setGlobal('c',count)
 
 
 def transferPosition(sdk,stock_pool):
     position = sdk.getPositions()
     position_dict = dict([i.code, i.optPosition] for i in position)
     stock_to_buy = set(stock_pool) - set(position_dict.keys())
     stock_to_sell = set(position_dict.keys()) - set(stock_pool)
     quotes = sdk.getQuotes(list(stock_to_buy | stock_to_sell))
     if stock_to_sell:
         sell_orders = []
         for stock in stock_to_sell:
             if stock in quotes.keys():
                 price = quotes[stock].current
                 volume = position_dict[stock]
                 order = [stock, price, volume, -1]
                 sell_orders.append(order)
         if sell_orders:
             sdk.makeOrders(sell_orders)
             sdk.sdklog("------------------------------------------")
             sdk.sdklog(sdk.getNowDate(),"DATE")
             sdk.sdklog(sell_orders,"SELL")
     if stock_to_buy:
         available_cash = sdk.getAccountInfo().availableCash
         available_cash_one_stock = available_cash / len(stock_to_buy)
         buy_orders = []
         for stock in stock_to_buy:
             if stock in quotes.keys():
                 price = quotes[stock].open
                 volume = int(available_cash_one_stock / (price * 100)) * 100
                 if volume > 0:
                     order = [stock, price, volume, 1]
                     buy_orders.append(order)
         if buy_orders:
             sdk.makeOrders(buy_orders)
             sdk.sdklog("------------------------------------------")
             sdk.sdklog(sdk.getNowDate(),"DATE")
             sdk.sdklog(buy_orders,'BUY')
 
 
 def run_all():
     config['initial'] = initial
     config['strategy'] = strategy
     config['preparePerDay'] = initPerDay
     # 启动SDK
     SDKCoreEngine(**config).run()
 
 if __name__ == '__main__':
     run_all()

 实现效果图样例

财务模型图：