动量策略（momentum driven）

来源：https://uqer.io/community/share/555ed9eef9f06c6c7304f9a9

import pandas as pd

start = '2011-11-01'
end   = '2015-03-01'
benchmark = 'HS300'
universe = set_universe('HS300')   # 股票池为沪深300
capital_base = 10000000
refresh_rate = 10

def initialize(account):
    pass

def handle_data(account):
    history = account.get_attribute_history('closePrice', 20)
    momentum = {'symbol':[], 'c_ret':[]}
    for stk in account.universe:
        momentum['symbol'].append(stk)
        momentum['c_ret'].append(history[stk][-1]/history[stk][0])

    # 按照过去20日收益率排序，并且选择前20%的股票作为买入候选
    momentum = pd.DataFrame(momentum).sort(columns='c_ret').reset_index()
    momentum = momentum[len(momentum)*4/5:len(momentum)]   # 选择
    buylist = momentum['symbol'].tolist()
    for stk in account.valid_secpos:
        if stk not in buylist:
            order_to(stk, 0)

    # 等权重买入所选股票
    portfolio_value = account.referencePortfolioValue
    for stk in buylist:
        if stk not in account.valid_secpos:
            order_to(stk, int(portfolio_value / account.referencePrice[stk] / 100.0 / len(buylist))*100)

bt

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