3.4 熔断机制 • 股海拾贝之 [熔断错杀股]

来源:https://uqer.io/community/share/568e4c78228e5b18e0ba2962

新年伊始,本是普天同庆之时,A股门前却风声鹤唳;熔断机制推出4天,触发-7%熔断两次;千古跌停中,有不少标的遭遇恐慌性抛售,有人称之为熔断机制的磁石效应!

本文中,我们试图以简单的逻辑,来找到今天即7日有可能遭遇恐慌性抛售的熔断错杀股。

import pandas as pd
import numpy as np
from matplotlib import pylab
import matplotlib.pyplot as plt
import seaborn

1. 今日错杀股

from quartz.api import set_universe

univ = set_universe('A')
univ.remove('002778.XSHE')  # 删除2016-01-06上市新股

以最浅显地理解,错杀股票可能存在于以下情况中:

  • 今日开盘涨势不错,到首次熔断时仍为红盘,首次熔断结束后杀跌;
  • 今日开盘处于跌势,首次熔断之前跌的少,而首次熔断到二次熔断之间杀跌;
  • 首次熔断结束后开始交易,先杀跌,然后有明显拉升迹象,使得二次熔断时价格高于首次熔断时价格

三种情况下的走势如下图所示:

# 沪深300指数今日走势
hs300PreClose = DataAPI.MktIdxdGet(tradeDate='20160106',ticker='399300').closeIndex.values[0]
hs300 = DataAPI.MktBarRTIntraDayGet(securityID='399300.XSHE',startTime='09:30',endTime='10:30')
hs300['hs300 index'] = hs300.closePrice/hs300PreClose - 1
hs300 = hs300[['barTime','hs300 index']]

# 第一种情况,例如‘山东黄金’
case1PrePrice = DataAPI.MktEqudAdjGet(tradeDate='20160106',ticker='600547').closePrice.values[0]
case1 = DataAPI.MktBarRTIntraDayGet(securityID='600547.XSHG',startTime='09:30',endTime='10:30')
case1['600547.XSHG'] = case1.closePrice/case1PrePrice - 1
case1 = case1[['barTime','600547.XSHG']]

# 第二种情况,例如‘红豆股份’
case2PrePrice = DataAPI.MktEqudAdjGet(tradeDate='20160106',ticker='600400').closePrice.values[0]
case2 = DataAPI.MktBarRTIntraDayGet(securityID='600400.XSHG',startTime='09:30',endTime='10:30')
case2['600400.XSHG'] = case2.closePrice/case2PrePrice - 1
case2 = case2[['barTime','600400.XSHG']]

# 第三种情况,例如‘天宝股份’
case3PrePrice = DataAPI.MktEqudAdjGet(tradeDate='20160106',ticker='002220').closePrice.values[0]
case3 = DataAPI.MktBarRTIntraDayGet(securityID='002220.XSHE',startTime='09:30',endTime='10:30')
case3['002220.XSHE'] = case3.closePrice/case3PrePrice - 1
case3 = case3[['barTime','002220.XSHE']]

for case in (case1,case2,case3):
    hs300 = pd.merge(hs300,case)

hs300 = hs300.set_index('barTime')
hs300.plot(figsize=(10,6))

<matplotlib.axes.AxesSubplot at 0x6e01210>

根据以上分析,我们拿取今日行情数据,对全A股中的股票做分析,得到表格如下,其中:

  • preClose: 昨日收盘价
  • 1stPrice: 首次熔断时价格
  • 2ndPrice: 二次熔断时价格
  • 1stCollapse: 首次熔断时股价跌幅
  • 2ndCollapse: 首次熔断结束,之后股价继续下跌的幅度,即首次熔断后今日股价又下跌了这么多
  • collapseRatio:首次熔断之后的跌幅和首次熔断之前的跌幅的比例
  • lowBetCollapse:首次熔断和二次熔断之间的股价低点
  • closeToLow: 二次熔断时的价格和lowBetCollapse的比例
cols = ['preClose','1stPrice','2ndPrice','1stCollapse','2ndCollapse','collapseRatio','lowBetCollapse','closeToLow']
collapse0107 = pd.DataFrame(0.0,index=univ,columns=cols)

# 股票前收盘价
collapse0107['preClose'] = DataAPI.MktEqudGet(tradeDate='20160106',secID=univ,field='secID,closePrice',pandas='1').set_index('secID')

# 股票在-5%和-7%熔断时候的价格
for stk in collapse0107.index:
    price = DataAPI.MktBarRTIntraDayGet(securityID=stk,startTime='09:56',endTime='10:03').closePrice.values
    collapse0107['1stPrice'][stk] = price[0]
    collapse0107['2ndPrice'][stk] = price[-1]
    collapse0107['lowBetCollapse'][stk] = np.min(price)

# 两次熔断前的股票跌幅
collapse0107['1stCollapse'] = 1-collapse0107['1stPrice']/collapse0107['preClose']
collapse0107['2ndCollapse'] = 1-collapse0107['2ndPrice']/collapse0107['preClose'] - collapse0107['1stCollapse']

# 二次熔断跌幅和一次熔断跌幅比
collapse0107['collapseRatio'] = collapse0107['2ndCollapse']/collapse0107['1stCollapse']

# 第二次熔断时价格与两次熔断之间的最低价的比值
collapse0107['closeToLow'] = collapse0107['2ndPrice']/collapse0107['lowBetCollapse']

collapse0107.sort(columns='collapseRatio',inplace=True)
collapse0107 = collapse0107[~np.isnan(collapse0107.collapseRatio)]

collapse0107.tail()
preClose 1stPrice 2ndPrice 1stCollapse 2ndCollapse collapseRatio lowBetCollapse closeToLow
603398.XSHG 123.01 121.00 110.71 0.016340 0.083652 5.119403 110.71 1
002750.XSHE 40.59 40.05 37.00 0.013304 0.075142 5.648148 37.00 1
600569.XSHG 3.58 3.55 3.31 0.008380 0.067039 8.000000 3.31 1
002768.XSHE 71.17 71.00 66.00 0.002389 0.070254 29.411765 66.00 1
600782.XSHG 5.81 5.80 5.31 0.001721 0.084337 49.000000 5.31 1

按照以上数据,综合前面的简单逻辑,我们利用以下条件来选择错杀股:

  • collapseRatio > 1.5
  • collapseRatio < -0.9
  • closeToLow > 1.02

得到约40只股票如下

good = collapse0107[(collapse0107.collapseRatio>1.5) | (collapse0107.collapseRatio<-0.9) | (collapse0107.closeToLow>1.02)].index
good_stks = DataAPI.MktEqudGet(secID=good,tradeDate='20160107',field='secID,secShortName,tradeDate,preClosePrice,closePrice')
good_stks
secID secShortName tradeDate preClosePrice closePrice
0 000726.XSHE 鲁泰A 2016-01-07 13.67 13.05
1 000766.XSHE 通化金马 2016-01-07 14.04 12.68
2 000838.XSHE 财信发展 2016-01-07 53.34 49.92
3 000856.XSHE 冀东装备 2016-01-07 12.91 12.00
4 000937.XSHE 冀中能源 2016-01-07 5.37 5.14
5 002155.XSHE 湖南黄金 2016-01-07 9.39 9.14
6 002220.XSHE 天宝股份 2016-01-07 16.46 15.15
7 002251.XSHE 步步高 2016-01-07 14.62 13.62
8 002283.XSHE 天润曲轴 2016-01-07 19.47 18.35
9 002291.XSHE 星期六 2016-01-07 14.24 13.03
10 002355.XSHE 兴民钢圈 2016-01-07 18.83 16.95
11 002444.XSHE 巨星科技 2016-01-07 19.44 17.85
12 002506.XSHE 协鑫集成 2016-01-07 9.85 9.66
13 002517.XSHE 泰亚股份 2016-01-07 57.98 52.93
14 002575.XSHE 群兴玩具 2016-01-07 17.67 16.87
15 002588.XSHE 史丹利 2016-01-07 31.15 28.13
16 002615.XSHE 哈尔斯 2016-01-07 29.16 26.64
17 002617.XSHE 露笑科技 2016-01-07 23.17 21.12
18 002621.XSHE 三垒股份 2016-01-07 20.91 20.00
19 002640.XSHE 跨境通 2016-01-07 31.68 31.42
20 002702.XSHE 海欣食品 2016-01-07 24.59 23.05
21 002750.XSHE 龙津药业 2016-01-07 40.59 37.96
22 002768.XSHE 国恩股份 2016-01-07 71.17 67.03
23 002779.XSHE 中坚科技 2016-01-07 91.20 82.62
24 300013.XSHE 新宁物流 2016-01-07 17.50 16.38
25 300148.XSHE 天舟文化 2016-01-07 23.43 21.48
26 300179.XSHE 四方达 2016-01-07 9.79 9.18
27 300320.XSHE 海达股份 2016-01-07 12.88 11.95
28 600005.XSHG 武钢股份 2016-01-07 3.66 3.30
29 600057.XSHG 象屿股份 2016-01-07 12.01 11.25
30 600262.XSHG 北方股份 2016-01-07 35.69 33.50
31 600265.XSHG ST景谷 2016-01-07 29.81 28.36
32 600291.XSHG 西水股份 2016-01-07 26.11 24.16
33 600298.XSHG 安琪酵母 2016-01-07 30.30 29.47
34 600328.XSHG 兰太实业 2016-01-07 13.63 12.54
35 600395.XSHG 盘江股份 2016-01-07 9.10 8.19
36 600448.XSHG 华纺股份 2016-01-07 9.01 8.60
37 600547.XSHG 山东黄金 2016-01-07 21.89 21.10
38 600569.XSHG 安阳钢铁 2016-01-07 3.58 3.38
39 600671.XSHG 天目药业 2016-01-07 32.98 32.82
40 600732.XSHG *ST新梅 2016-01-07 8.51 8.46
41 600782.XSHG 新钢股份 2016-01-07 5.81 5.54
42 600874.XSHG 创业环保 2016-01-07 9.63 9.67
43 601001.XSHG 大同煤业 2016-01-07 5.78 5.75
44 603398.XSHG 邦宝益智 2016-01-07 123.01 111.39

我们还想看一下上述股票在过去的05、06两个交易日的表现:

fig = plt.figure(figsize=(10,8))

ax = fig.add_subplot(211)
fullA = DataAPI.MktEqudAdjGet(secID=univ, beginDate='20160104', endDate='20160106', field='secID,tradeDate,closePrice', pandas='1')
fullA = pd.DataFrame(fullA.groupby('secID').last().closePrice/fullA.groupby('secID').first().closePrice - 1)
ax = pylab.hist(fullA.closePrice,bins=50,histtype='stepfilled',range=(-0.22,0.22))
pylab.xlabel("(01-05 to 01-06) 2 Days' Returns")
pylab.ylabel('Number of stocks')

ax = fig.add_subplot(212)
good_stk_data = DataAPI.MktEqudAdjGet(secID=good, beginDate='20160104', endDate='20160106', field='secID,tradeDate,closePrice', pandas='1')
good_stk_data = pd.DataFrame(good_stk_data.groupby('secID').last().closePrice/good_stk_data.groupby('secID').first().closePrice - 1)
ax = pylab.hist(good_stk_data.closePrice,bins=50,histtype='stepfilled',range=(-0.22,0.22))
pylab.xlabel("(01-05 to 01-06) 2 Days' Returns")
pylab.ylabel('Number of stocks')

<matplotlib.text.Text at 0x7335050>

图中,上图为全A股在过去的5、6日两个交易日收益表现分布;下图为我们选出来的今日错杀股在5、6两个交易日的收益表现分布;

明显地,我们看出选出来的股票在过去两天表现比较出色;当然,过去两天的表现好不代表它们今天被错杀

2. 上次熔断时的4日被错杀股

利用上节中的选股条件,我们选出来4日熔断错杀股,来验证我们的逻辑

cols = ['preClose','1stPrice','2ndPrice','1stCollapse','2ndCollapse','collapseRatio','lowBetCollapse','closeToLow']
collapse0104 = pd.DataFrame(0.0,index=univ,columns=cols)

# 股票前收盘价
collapse0104['preClose'] = DataAPI.MktEqudGet(tradeDate='20151231',secID=univ,field='secID,closePrice',pandas='1').set_index('secID')

# 股票在-5%和-7%熔断时候的价格
for stk in collapse0104.index:
    price = DataAPI.MktBarHistOneDayGet(securityID=stk,date='20160104',startTime='13:25',endTime='13:40').closePrice.values
    collapse0104['1stPrice'][stk] = price[0]
    collapse0104['2ndPrice'][stk] = price[-1]
    collapse0104['lowBetCollapse'][stk] = np.min(price)

# 两次熔断前的股票跌幅
collapse0104['1stCollapse'] = 1-collapse0104['1stPrice']/collapse0104['preClose']
collapse0104['2ndCollapse'] = 1-collapse0104['2ndPrice']/collapse0104['preClose'] - collapse0104['1stCollapse']

collapse0104['closeToLow'] = collapse0104['2ndPrice']/collapse0104['lowBetCollapse']

# 二次熔断跌幅和一次熔断跌幅比
collapse0104['collapseRatio'] = collapse0104['2ndCollapse']/collapse0104['1stCollapse']

collapse0104.sort(columns='collapseRatio',inplace=True)
collapse0104 = collapse0104[~np.isnan(collapse0104.collapseRatio)]

collapse0104.tail()
preClose 1stPrice 2ndPrice 1stCollapse 2ndCollapse collapseRatio lowBetCollapse closeToLow
600836.XSHG 31.31 31.28 30.37 0.000958 0.029064 30.333333 29.47 1.030540
600178.XSHG 11.23 11.23 10.60 0.000000 0.056100 inf 10.48 1.011450
600822.XSHG 15.01 15.01 14.28 0.000000 0.048634 inf 14.11 1.012048
002686.XSHE 17.62 17.62 16.90 0.000000 0.040863 inf 16.18 1.044499
002009.XSHE 20.75 20.75 19.71 0.000000 0.050120 inf 19.20 1.026563

按照之前的选股条件,我们选出来了4日熔断被错杀的股票如下:

good = collapse0104[(collapse0104.collapseRatio>1.5) | (collapse0104.collapseRatio<-0.9) | (collapse0104.closeToLow>1.02)].index
good_stks = DataAPI.MktEqudGet(secID=good,tradeDate='20160107',field='secID,secShortName,tradeDate,preClosePrice,closePrice')
good_stks
secID secShortName tradeDate preClosePrice closePrice
0 000040.XSHE 宝安地产 2016-01-07 15.45 13.91
1 000048.XSHE 康达尔 2016-01-07 44.68 40.21
2 000517.XSHE 荣安地产 2016-01-07 6.20 5.58
3 000519.XSHE 江南红箭 2016-01-07 19.20 17.28
4 000520.XSHE 长航凤凰 2016-01-07 13.11 11.80
5 000547.XSHE 航天发展 2016-01-07 18.81 16.94
6 000552.XSHE 靖远煤电 2016-01-07 9.85 8.87
7 000597.XSHE 东北制药 2016-01-07 11.50 10.36
8 000667.XSHE 美好集团 2016-01-07 5.62 5.06
9 000708.XSHE 大冶特钢 2016-01-07 13.20 11.88
10 000709.XSHE 河北钢铁 2016-01-07 3.67 3.30
11 000723.XSHE 美锦能源 2016-01-07 14.19 12.77
12 000757.XSHE 浩物股份 2016-01-07 10.80 9.72
13 000767.XSHE 漳泽电力 2016-01-07 6.29 5.66
14 000795.XSHE 太原刚玉 2016-01-07 17.12 15.41
15 000801.XSHE 四川九洲 2016-01-07 30.26 27.24
16 000898.XSHE 鞍钢股份 2016-01-07 5.19 4.68
17 000932.XSHE 华菱钢铁 2016-01-07 3.85 4.14
18 000952.XSHE 广济药业 2016-01-07 21.11 19.00
19 000990.XSHE 诚志股份 2016-01-07 24.59 22.18
20 002009.XSHE 天奇股份 2016-01-07 22.85 20.57
21 002013.XSHE 中航机电 2016-01-07 24.02 21.62
22 002025.XSHE 航天电器 2016-01-07 25.42 22.89
23 002045.XSHE 国光电器 2016-01-07 18.10 16.29
24 002149.XSHE 西部材料 2016-01-07 29.70 26.73
25 002157.XSHE 正邦科技 2016-01-07 21.13 19.30
26 002179.XSHE 中航光电 2016-01-07 37.56 34.11
27 002191.XSHE 劲嘉股份 2016-01-07 16.71 15.04
28 002200.XSHE 云投生态 2016-01-07 27.99 25.19
29 002220.XSHE 天宝股份 2016-01-07 16.46 15.15
... ... ... ... ... ...
104 600655.XSHG 豫园商城 2016-01-07 15.44 14.20
105 600662.XSHG 强生控股 2016-01-07 17.13 15.42
106 600663.XSHG 陆家嘴 2016-01-07 50.94 45.93
107 600685.XSHG 中船防务 2016-01-07 41.41 37.27
108 600734.XSHG 实达集团 2016-01-07 24.90 22.41
109 600755.XSHG 厦门国贸 2016-01-07 8.24 7.43
110 600760.XSHG 中航黑豹 2016-01-07 14.60 13.17
111 600774.XSHG 汉商集团 2016-01-07 29.00 26.10
112 600822.XSHG 上海物贸 2016-01-07 15.97 14.37
113 600826.XSHG 兰生股份 2016-01-07 36.16 32.54
114 600833.XSHG 第一医药 2016-01-07 18.55 16.71
115 600834.XSHG 申通地铁 2016-01-07 20.30 18.27
116 600836.XSHG 界龙实业 2016-01-07 34.32 30.89
117 600841.XSHG 上柴股份 2016-01-07 18.28 16.45
118 600855.XSHG 航天长峰 2016-01-07 45.30 40.77
119 600860.XSHG 京城股份 2016-01-07 11.38 10.24
120 600868.XSHG 梅雁吉祥 2016-01-07 7.61 6.89
121 600879.XSHG 航天电子 2016-01-07 18.94 17.05
122 600893.XSHG 中航动力 2016-01-07 42.87 38.58
123 600965.XSHG 福成五丰 2016-01-07 14.85 13.66
124 601069.XSHG 西部黄金 2016-01-07 23.71 21.97
125 601233.XSHG 桐昆股份 2016-01-07 12.37 11.16
126 601636.XSHG 旗滨集团 2016-01-07 5.18 4.70
127 601700.XSHG 风范股份 2016-01-07 10.80 9.72
128 601888.XSHG 中国国旅 2016-01-07 56.49 51.97
129 601890.XSHG 亚星锚链 2016-01-07 13.43 12.09
130 601989.XSHG 中国重工 2016-01-07 9.40 8.48
131 601998.XSHG 中信银行 2016-01-07 6.84 6.39
132 603696.XSHG 安记食品 2016-01-07 64.11 57.70
133 603901.XSHG 永创智能 2016-01-07 40.84 36.76
134 rows × 5 columns

我们选出来的4日熔断被错杀的股票,在后面的5、6两日的表现究竟如何呢?请看下图

fig = plt.figure(figsize=(10,8))

ax = fig.add_subplot(211)
fullA = DataAPI.MktEqudAdjGet(secID=univ, beginDate='20160104', endDate='20160106', field='secID,tradeDate,closePrice', pandas='1')
fullA = pd.DataFrame(fullA.groupby('secID').last().closePrice/fullA.groupby('secID').first().closePrice - 1)
ax = pylab.hist(fullA.closePrice,bins=50,histtype='stepfilled',range=(-0.22,0.22))
pylab.xlabel("(01-05 to 01-06) 2 Days' Returns")
pylab.ylabel('Number of stocks')

ax = fig.add_subplot(212)
good_stk_data = DataAPI.MktEqudAdjGet(secID=good, beginDate='20160104', endDate='20160106', field='secID,tradeDate,closePrice', pandas='1')
good_stk_data = pd.DataFrame(good_stk_data.groupby('secID').last().closePrice/good_stk_data.groupby('secID').first().closePrice - 1)
ax = pylab.hist(good_stk_data.closePrice,bins=50,histtype='stepfilled',range=(-0.22,0.22))
pylab.xlabel("(01-05 to 01-06) 2 Days' Returns")
pylab.ylabel('Number of stocks')

<matplotlib.text.Text at 0x74df810>

图中,上图为全A股在过去的5、6日两个交易日收益表现分布;下图为我们选出来的4日熔断错杀股在5、6两个交易日的收益表现分布,可以看出选出的错杀股在过去两天均有10%左右的涨幅;

明显地,我们看出选出来的4日熔断错杀股在后面的两天表现出色

3. 结论

2节中对于4日熔断错杀股在5、6两个交易日的数据,似乎能够支持我们在第1节中的错杀股选股逻辑;对于1节中选出来的今天即7日错杀股,搬个板凳看后面走势究竟如何

PS:股市风险大,投资需谨慎;本文仅是研究之用,不构成任何荐股观点

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