流通市值最小股票（新筛选器版）

来源：https://uqer.io/community/share/56ee3c99228e5b887fe50dc2

策略思路

总是持有流通市值最小的10只股票

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
    mkt_value = DataAPI.MktEqudGet(secID=account.universe,tradeDate=last_day_str,field="secID,negMarketValue",pandas="1")
    univ_sorted = mkt_value.sort('negMarketValue').secID

    buylist = {}
    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):
            buylist[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)

    for s in sorted(buylist, key=buylist.get):
        order(s, buylist[s])

回测详情或者bt打印出来，都可以看到我们维护了一个总是持有10只最小流通市值股票的持仓；偶尔持仓股票数目会有11或者12只

bt

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