市值最小300指数
刷爆沪深300
策略名称: 市值最小300指数
回测时间:2013-01-01 到 2015-09-24
调仓期 :20交易日
策略思想:找A股市场市值最小的300只股票,等权重构建最小300指数
注意 :
- 内存不够请自行缩短回测时间或universe
- 此贴有4个!!!
import pandas as pd
import numpy as np
from pandas import Series, DataFrame
start = '2013-01-01' # 回测起始时间
end = '2015-09-24' # 回测结束时间
benchmark = 'HS300' # 策略参考标准
universe0 = set_universe('A') # 证券池,支持股票和基金
universe1 = set_universe('HS300')
universe2 = set_universe('ZZ500')
universe = list(set(universe0).difference(set(universe1+universe2))) #最小市值股一定不在中证500和沪深300 pass
capital_base = 100000000 # 起始资金
freq = 'd' # 策略类型,'d'表示日间策略使用日线回测,'m'表示日内策略使用分钟线回测
refresh_rate = 20 # 调仓频率,表示执行handle_data的时间间隔,若freq = 'd'时间间隔的单位为交易日,若freq = 'm'时间间隔为分钟
def initialize(account): # 初始化虚拟账户状态
pass
def handle_data(account): # 每个交易日的买入卖出指令
total_money = account.referencePortfolioValue
prices = account.referencePrice
buylist = []
marketValue = DataFrame()
today = account.current_date.strftime('%Y%m%d')
for s in range(len(account.universe)/40 + 1):
if s == len(account.universe)/40:
temp_list = account.universe[s*40:]
else :
temp_list = account.universe[s*40:(s+1)*40]
#MktEqudGet接口一次最多选50个
try: #排除最后一次temp_list为零的可能
marketValue_temp = DataAPI.MktEqudGet(secID = temp_list,tradeDate= today, field=u"secID,marketValue",pandas="1")
except :
pass
marketValue = pd.concat([marketValue,marketValue_temp])
marketValue = marketValue.sort('marketValue',ascending=True).drop_duplicates('secID')
marketValue.set_index('secID',inplace=True)
marketValue = marketValue.dropna()
#排除新股发行日
for s in list(marketValue.index) :
if not (np.isnan(prices[s]) or prices[s] == 0) :
buylist.append(s)
if len(buylist) >= 300 :
break
sell_list = [x for x in account.valid_secpos if x not in buylist]
for stk in sell_list:
order_to(stk, 0)
for stk in buylist:
order_to(stk, int(total_money/300/prices[stk]/100)*100)
更改权重比例 :加权流通市值倒数(越小越买) 买买买!
import pandas as pd
import numpy as np
from pandas import Series, DataFrame
start = '2013-01-01' # 回测起始时间
end = '2015-09-24' # 回测结束时间
benchmark = 'HS300' # 策略参考标准
universe0 = set_universe('A') # 证券池,支持股票和基金
universe1 = set_universe('HS300')
universe2 = set_universe('ZZ500')
universe = list(set(universe0).difference(set(universe1+universe2)))
capital_base = 100000000 # 起始资金
freq = 'd' # 策略类型,'d'表示日间策略使用日线回测,'m'表示日内策略使用分钟线回测
refresh_rate = 20 # 调仓频率,表示执行handle_data的时间间隔,若freq = 'd'时间间隔的单位为交易日,若freq = 'm'时间间隔为分钟
def initialize(account): # 初始化虚拟账户状态
pass
def handle_data(account): # 每个交易日的买入卖出指令
total_money = account.referencePortfolioValue
prices = account.referencePrice
buylist = []
marketValue = DataFrame()
today = account.current_date.strftime('%Y%m%d')
for s in range(len(account.universe)/40 + 1):
if s == len(account.universe)/40:
temp_list = account.universe[s*40:]
else :
temp_list = account.universe[s*40:(s+1)*40]
#MktEqudGet接口一次最多选50个
try: #排除最后一次temp_list为零的可能
marketValue_temp = DataAPI.MktEqudGet(secID = temp_list,tradeDate= today, field=u"secID,marketValue,negMarketValue",pandas="1")
except :
pass
marketValue = pd.concat([marketValue,marketValue_temp])
marketValue = marketValue.sort('marketValue',ascending=True).drop_duplicates('secID')
marketValue.set_index('secID',inplace=True)
marketValue = marketValue.dropna()
#排除新股发行日
for s in list(marketValue.index) :
if not (np.isnan(prices[s]) or prices[s] == 0) :
buylist.append(s)
if len(buylist) >= 300 :
break
sell_list = [x for x in account.valid_secpos if x not in buylist]
for stk in sell_list:
order_to(stk, 0)
#加权流通市值倒数购买
weight_list = []
for stk in buylist:
weight_list.append(1.0/marketValue['negMarketValue'][stk])
temp_sum = 0
for temp in weight_list:
temp_sum += temp
weight_list = [x/temp_sum for x in weight_list]
i = 0
for stk in buylist:
order_to(stk, int(total_money*weight_list[i]/prices[stk]/100)*100)
i += 1
是不是在想賺钱分分钟了? 您有买300只个股的毛爷爷吗,啊! 〇_〇- . .
木有?我会告诉你买十只也很叼吗???
import pandas as pd
import numpy as np
from pandas import Series, DataFrame
start = '2013-01-01' # 回测起始时间
end = '2015-09-24' # 回测结束时间
benchmark = 'HS300' # 策略参考标准
universe0 = set_universe('A') # 证券池,支持股票和基金
universe1 = set_universe('HS300')
universe2 = set_universe('ZZ500')
universe = list(set(universe0).difference(set(universe1+universe2)))
capital_base = 100000000 # 起始资金
freq = 'd' # 策略类型,'d'表示日间策略使用日线回测,'m'表示日内策略使用分钟线回测
refresh_rate = 20 # 调仓频率,表示执行handle_data的时间间隔,若freq = 'd'时间间隔的单位为交易日,若freq = 'm'时间间隔为分钟
def initialize(account): # 初始化虚拟账户状态
pass
def handle_data(account): # 每个交易日的买入卖出指令
total_money = account.referencePortfolioValue
prices = account.referencePrice
buylist = []
marketValue = DataFrame()
today = account.current_date.strftime('%Y%m%d')
for s in range(len(account.universe)/40 + 1):
if s == len(account.universe)/40:
temp_list = account.universe[s*40:]
else :
temp_list = account.universe[s*40:(s+1)*40]
#MktEqudGet接口一次最多选50个
try: #排除最后一次temp_list为零的可能
marketValue_temp = DataAPI.MktEqudGet(secID = temp_list,tradeDate= today, field=u"secID,marketValue",pandas="1")
except :
pass
marketValue = pd.concat([marketValue,marketValue_temp])
marketValue = marketValue.sort('marketValue',ascending=True).drop_duplicates('secID')
marketValue.set_index('secID',inplace=True)
marketValue = marketValue.dropna()
#排除新股发行日
for s in list(marketValue.index) :
if not (np.isnan(prices[s]) or prices[s] == 0) :
buylist.append(s)
if len(buylist) >= 10 :
break
sell_list = [x for x in account.valid_secpos if x not in buylist]
for stk in sell_list:
order_to(stk, 0)
#只买最优十只
for stk in buylist:
order_to(stk, int(total_money/10/prices[stk]/100)*100)
我会告诉你有庄家(机构持股)的股票更容易飞 ???
小注 :此策略中DataAPI.JY.EquInstShJYGet
(恒生聚源接口)暂不开放!!!活跃用户自行申请
import pandas as pd
import numpy as np
from pandas import Series, DataFrame
start = '2013-01-01' # 回测起始时间
end = '2015-09-24' # 回测结束时间
benchmark = 'HS300' # 策略参考标准
universe0 = set_universe('A') # 证券池,支持股票和基金
universe1 = set_universe('HS300')
universe2 = set_universe('ZZ500')
universe = list(set(universe0).difference(set(universe1+universe2)))
capital_base = 100000000 # 起始资金
freq = 'd' # 策略类型,'d'表示日间策略使用日线回测,'m'表示日内策略使用分钟线回测
refresh_rate = 20 # 调仓频率,表示执行handle_data的时间间隔,若freq = 'd'时间间隔的单位为交易日,若freq = 'm'时间间隔为分钟
def initialize(account): # 初始化虚拟账户状态
pass
def handle_data(account): # 每个交易日的买入卖出指令
total_money = account.referencePortfolioValue
prices = account.referencePrice
buylist = []
marketValue = DataFrame()
today = account.current_date.strftime('%Y%m%d')
for s in range(len(account.universe)/40 + 1):
if s == len(account.universe)/40:
temp_list = account.universe[s*40:]
else :
temp_list = account.universe[s*40:(s+1)*40]
#MktEqudGet接口一次最多选50个
try: #排除最后一次temp_list为零的可能
marketValue_temp = DataAPI.MktEqudGet(secID = temp_list,tradeDate= today, field=u"secID,marketValue",pandas="1")
except :
pass
marketValue = pd.concat([marketValue,marketValue_temp])
marketValue = marketValue.sort('marketValue',ascending=True).drop_duplicates('secID')
marketValue.set_index('secID',inplace=True)
marketValue = marketValue.dropna()
# 机构持股 非第一天上市新股
for s in list(marketValue.index) :
try :
# 处理巨源的数据接口没有此股
temp = DataAPI.JY.EquInstShJYGet ( secID = s , field = u"instNrfaPct" , pandas = "1" )
except :
print account.current_date.strftime('%Y-%m-%d'),' ',s,' ','DataAPI.JY.EquInstShJYGet get wrong'
continue
#有机构持股 > 30%
if temp['instNrfaPct'][0] > 30 and not (np.isnan(prices[s]) or prices[s] == 0) :
buylist.append(s)
if len(buylist) >= 10 :
break
sell_list = [x for x in account.valid_secpos if x not in buylist]
for stk in sell_list:
order_to(stk, 0)
for stk in buylist:
order_to(stk, int(total_money/10/prices[stk]/100)*100)
呵呵,居然看完了,还不赶紧点赞克隆去賺钱!!!内存不够的还不赶紧签到 !!!