# 流通市值最小股票（新筛选器版）

## 策略思路

``````import numpy as np
from CAL.PyCAL import *

start = '2013-01-05'
end = '2015-12-07'
benchmark = 'HS300'
universe = StockScreener(Factor.LFLO.nsmall(20))    # LFLO 为流通市值对数，LCAP 为总市值对数
capital_base = 1000000
refresh_rate = 1
stk_num = 10    # 持仓股票数量

def initialize(account):
pass

def handle_data(account):
open_price = account.get_attribute_history('openPrice', 1)    # 前一日开盘价
close_price = account.referencePrice                   # 前一日收盘价

#  获取回测当日的前一天日期
dt = Date.fromDateTime(account.current_date)
cal = Calendar('China.SSE')
last_day = cal.advanceDate(dt,'-1B',BizDayConvention.Preceding)            #计算出倒数第一个交易日
last_day_str = last_day.strftime("%Y%m%d")

# 市值排序
univ_sorted = mkt_value.sort('negMarketValue').secID

for s in univ_sorted:
if not (np.isnan(close_price[s]) or close_price[s] == 0 or np.isnan(open_price[s]) or open_price[s] == 0):

if len(buylist) >= stk_num :     # 只持有stk_num数目的股票
break

for s in account.valid_secpos:
if s not in buylist:
order_to(s, 0)

v = account.referencePortfolioValue / len(buylist)
for s in buylist:
buylist[s] = v / close_price[s] - account.valid_secpos.get(s, 0)

``````

``````bt
``````
tradeDate cash security_position portfolio_value benchmark_return blotter
0 2013-01-08 3352.2479 {u'300237.XSHE': {u'amount': 56400, u'cost': 1... 1017415.8479 -0.004200 [Order(order_time: 2013-01-08 09:30, symbol: 0...
1 2013-01-09 11778.5117 {u'300237.XSHE': {u'amount': 56900, u'cost': 1... 1028379.7117 0.000313 [Order(order_time: 2013-01-09 09:30, symbol: 3...
2 2013-01-10 3589.4794 {u'300237.XSHE': {u'amount': 59000, u'cost': 1... 1031625.0794 0.001758 [Order(order_time: 2013-01-10 09:30, symbol: 3...
3 2013-01-11 3536.7632 {u'300237.XSHE': {u'amount': 59100, u'cost': 1... 1033944.0632 -0.018703 [Order(order_time: 2013-01-11 09:30, symbol: 3...
4 2013-01-14 220.7088 {u'300280.XSHE': {u'amount': 12700, u'cost': 8... 1071566.8088 0.038051 [Order(order_time: 2013-01-14 09:30, symbol: 3...
5 2013-01-15 2933.8669 {u'300280.XSHE': {u'amount': 12800, u'cost': 8... 1084159.1669 0.007033 [Order(order_time: 2013-01-15 09:30, symbol: 3...
6 2013-01-16 1784.7565 {u'300280.XSHE': {u'amount': 12700, u'cost': 8... 1072728.6565 -0.007227 [Order(order_time: 2013-01-16 09:30, symbol: 3...
7 2013-01-17 66.0136 {u'300280.XSHE': {u'amount': 12700, u'cost': 8... 1058278.1136 -0.009445 [Order(order_time: 2013-01-17 09:30, symbol: 3...
8 2013-01-18 80.2938 {u'300237.XSHE': {u'amount': 58600, u'cost': 1... 1068224.0938 0.016719 [Order(order_time: 2013-01-18 09:30, symbol: 3...
9 2013-01-21 3050.0950 {u'300237.XSHE': {u'amount': 58600, u'cost': 1... 1068048.8950 0.005957 [Order(order_time: 2013-01-21 09:30, symbol: 3...
10 2013-01-22 2609.2459 {u'300237.XSHE': {u'amount': 61900, u'cost': 1... 1036051.4459 -0.005362 [Order(order_time: 2013-01-22 09:30, symbol: 3...
11 2013-01-23 2045.4473 {u'300237.XSHE': {u'amount': 61000, u'cost': 1... 1026266.2473 0.004066 [Order(order_time: 2013-01-23 09:30, symbol: 3...
12 2013-01-24 2926.7991 {u'300237.XSHE': {u'amount': 60700, u'cost': 1... 1000829.7991 -0.009473 [Order(order_time: 2013-01-24 09:30, symbol: 3...
13 2013-01-25 328.4654 {u'300237.XSHE': {u'amount': 60600, u'cost': 1... 999702.1654 -0.004290 [Order(order_time: 2013-01-25 09:30, symbol: 3...
14 2013-01-28 286.7192 {u'300237.XSHE': {u'amount': 60500, u'cost': 1... 1019742.9192 0.031182 [Order(order_time: 2013-01-28 09:30, symbol: 3...
15 2013-01-29 17.7471 {u'300237.XSHE': {u'amount': 60700, u'cost': 1... 1028465.7471 0.009050 [Order(order_time: 2013-01-29 09:30, symbol: 3...
16 2013-01-30 171.7371 {u'300237.XSHE': {u'amount': 61100, u'cost': 1... 1012637.1371 0.004802 [Order(order_time: 2013-01-30 09:30, symbol: 3...
17 2013-01-31 386.9216 {u'300237.XSHE': {u'amount': 60700, u'cost': 1... 996104.6216 -0.000681 [Order(order_time: 2013-01-31 09:30, symbol: 3...
18 2013-02-01 668.2563 {u'300237.XSHE': {u'amount': 60500, u'cost': 1... 1016779.9563 0.021006 [Order(order_time: 2013-02-01 09:30, symbol: 3...
19 2013-02-04 2638.0595 {u'300237.XSHE': {u'amount': 60500, u'cost': 1... 1027883.2595 0.001713 [Order(order_time: 2013-02-04 09:30, symbol: 3...
20 2013-02-05 422.8302 {u'300237.XSHE': {u'amount': 61100, u'cost': 1... 1037631.5302 0.008606 [Order(order_time: 2013-02-05 09:30, symbol: 3...
21 2013-02-06 102645.2421 {u'300237.XSHE': {u'amount': 61100, u'cost': 1... 1036665.5421 0.001505 [Order(order_time: 2013-02-06 09:30, symbol: 3...
22 2013-02-07 350.1216 {u'300237.XSHE': {u'amount': 61000, u'cost': 1... 1040688.9216 -0.005753 [Order(order_time: 2013-02-07 09:30, symbol: 3...
23 2013-02-08 66.3084 {u'300237.XSHE': {u'amount': 61600, u'cost': 1... 1052094.3084 0.004294 [Order(order_time: 2013-02-08 09:30, symbol: 3...
24 2013-02-18 356.0140 {u'300237.XSHE': {u'amount': 60600, u'cost': 1... 1059799.6140 -0.012357 [Order(order_time: 2013-02-18 09:30, symbol: 3...
25 2013-02-19 347.5874 {u'300237.XSHE': {u'amount': 60900, u'cost': 1... 1043617.1874 -0.018948 [Order(order_time: 2013-02-19 09:30, symbol: 3...
26 2013-02-20 1524.6353 {u'300237.XSHE': {u'amount': 60900, u'cost': 1... 1064335.0353 0.006341 [Order(order_time: 2013-02-20 09:30, symbol: 3...
27 2013-02-21 5.6970 {u'300237.XSHE': {u'amount': 61100, u'cost': 1... 1055551.1970 -0.034074 [Order(order_time: 2013-02-21 09:30, symbol: 3...
28 2013-02-22 427.2956 {u'300237.XSHE': {u'amount': 60600, u'cost': 1... 1065969.2956 -0.005340 [Order(order_time: 2013-02-22 09:30, symbol: 3...
29 2013-02-25 128.1500 {u'300237.XSHE': {u'amount': 61100, u'cost': 1... 1080711.1500 0.003220 [Order(order_time: 2013-02-25 09:30, symbol: 3...
... ... ... ... ... ... ...
677 2015-10-27 2335.2216 {u'300405.XSHE': {u'amount': 21700, u'cost': 3... 9409754.2216 0.001008 [Order(order_time: 2015-10-27 09:30, symbol: 3...
678 2015-10-28 3639.3976 {u'300405.XSHE': {u'amount': 21900, u'cost': 3... 9225569.3976 -0.018915 [Order(order_time: 2015-10-28 09:30, symbol: 3...
679 2015-10-29 2647.5406 {u'300405.XSHE': {u'amount': 21900, u'cost': 3... 9463491.5406 0.002379 [Order(order_time: 2015-10-29 09:30, symbol: 3...
680 2015-10-30 3303.6906 {u'300405.XSHE': {u'amount': 21900, u'cost': 3... 9688757.6906 0.000218 [Order(order_time: 2015-10-30 09:30, symbol: 3...
681 2015-11-02 11034.8026 {u'300405.XSHE': {u'amount': 23100, u'cost': 3... 9996076.8026 -0.016445 [Order(order_time: 2015-11-02 09:30, symbol: 3...
682 2015-11-03 29889.7366 {u'002735.XSHE': {u'amount': 26300, u'cost': 3... 10474014.7366 -0.003012 [Order(order_time: 2015-11-03 09:30, symbol: 3...
683 2015-11-04 3009.8936 {u'002735.XSHE': {u'amount': 26700, u'cost': 3... 10880432.8936 0.047048 [Order(order_time: 2015-11-04 09:30, symbol: 3...
684 2015-11-05 1079.4096 {u'002735.XSHE': {u'amount': 26800, u'cost': 3... 10870617.4096 0.021340 [Order(order_time: 2015-11-05 09:30, symbol: 3...
685 2015-11-06 104.6466 {u'002735.XSHE': {u'amount': 27600, u'cost': 3... 11390740.6466 0.023585 [Order(order_time: 2015-11-06 09:30, symbol: 0...
686 2015-11-09 8962.8616 {u'002735.XSHE': {u'amount': 27500, u'cost': 3... 12093281.8616 0.012385 [Order(order_time: 2015-11-09 09:30, symbol: 3...
687 2015-11-10 22992.6176 {u'002735.XSHE': {u'amount': 27400, u'cost': 3... 12110893.6176 -0.001853 [Order(order_time: 2015-11-10 09:30, symbol: 3...
688 2015-11-11 1201562.4166 {u'002735.XSHE': {u'amount': 28000, u'cost': 3... 13030169.4166 0.000106 [Order(order_time: 2015-11-11 09:30, symbol: 6...
689 2015-11-12 113031.2706 {u'002735.XSHE': {u'amount': 28200, u'cost': 3... 14037309.2706 -0.009996 [Order(order_time: 2015-11-12 09:30, symbol: 3...
690 2015-11-13 5102.3686 {u'002735.XSHE': {u'amount': 29400, u'cost': 3... 12922427.3686 -0.012932 [Order(order_time: 2015-11-13 09:30, symbol: 0...
691 2015-11-16 21313.6426 {u'002735.XSHE': {u'amount': 29100, u'cost': 3... 13183437.6426 0.004774 [Order(order_time: 2015-11-16 09:30, symbol: 0...
692 2015-11-17 1401.0406 {u'002735.XSHE': {u'amount': 29600, u'cost': 3... 12937004.0406 -0.001525 [Order(order_time: 2015-11-17 09:30, symbol: 6...
693 2015-11-18 173.1346 {u'002735.XSHE': {u'amount': 29700, u'cost': 3... 12168156.1346 -0.011390 [Order(order_time: 2015-11-18 09:30, symbol: 0...
694 2015-11-19 2455.0746 {u'002735.XSHE': {u'amount': 29400, u'cost': 3... 12936911.0746 0.015984 [Order(order_time: 2015-11-19 09:30, symbol: 0...
695 2015-11-20 7478.6776 {u'002735.XSHE': {u'amount': 29700, u'cost': 3... 13013394.6776 -0.000155 [Order(order_time: 2015-11-20 09:30, symbol: 3...
696 2015-11-23 3168.3376 {u'002735.XSHE': {u'amount': 29700, u'cost': 3... 12619590.3376 -0.005577 [Order(order_time: 2015-11-23 09:30, symbol: 3...
697 2015-11-24 15418.3816 {u'002735.XSHE': {u'amount': 29400, u'cost': 3... 13665856.3816 0.000148 [Order(order_time: 2015-11-24 09:30, symbol: 0...
698 2015-11-25 70214.3646 {u'002735.XSHE': {u'amount': 29400, u'cost': 3... 13704250.3646 0.007384 [Order(order_time: 2015-11-25 09:30, symbol: 6...
699 2015-11-26 16885.0396 {u'002735.XSHE': {u'amount': 29600, u'cost': 3... 13902736.0396 -0.005865 [Order(order_time: 2015-11-26 09:30, symbol: 6...
700 2015-11-27 47391.8976 {u'002735.XSHE': {u'amount': 29100, u'cost': 3... 13367121.8976 -0.053848 [Order(order_time: 2015-11-27 09:30, symbol: 0...
701 2015-11-30 31493.4806 {u'002735.XSHE': {u'amount': 30100, u'cost': 3... 14149036.4806 0.002648 [Order(order_time: 2015-11-30 09:30, symbol: 3...
702 2015-12-01 2339.8786 {u'002761.XSHE': {u'amount': 40700, u'cost': 3... 13996263.8786 0.007089 [Order(order_time: 2015-12-01 09:30, symbol: 6...
703 2015-12-02 1396517.7026 {u'002761.XSHE': {u'amount': 40200, u'cost': 3... 13965267.7026 0.036267 [Order(order_time: 2015-12-02 09:30, symbol: 0...
704 2015-12-03 1439379.3926 {u'002735.XSHE': {u'amount': 30900, u'cost': 3... 14861814.3926 0.007347 [Order(order_time: 2015-12-03 09:30, symbol: 0...
705 2015-12-04 1479225.7226 {u'002761.XSHE': {u'amount': 41600, u'cost': 3... 15134121.7226 -0.019125 [Order(order_time: 2015-12-04 09:30, symbol: 3...
706 2015-12-07 1552999.2546 {u'002735.XSHE': {u'amount': 31600, u'cost': 3... 15369296.2546 0.002723 [Order(order_time: 2015-12-07 09:30, symbol: 0...
``````707 rows × 6 columns
``````