数据分析--羊驼交易法则（选股）

傷城~ 2021-12-14 09:23 412阅读 0赞

[数据分析--羊驼交易法则（选股）][--]

羊驼交易法则

起始时随机买入N只股票，每天卖掉收益最差的M支，再随机买入剩余股票池的M支。

随机选股，周期调仓

改进策略：

买入历史收益率最低的N只股票，调仓日留下反转程度大的股票，卖掉表现最差的M只股票

再买入收益率最低的M只股票

![ContractedBlock.gif][] ![ExpandedBlockStart.gif][]

from jqdata import *
    
    def initialize(context):
        set_benchmark('000300.XSHG')
        set_option('use_real_price', True)
        set_order_cost(OrderCost(close_tax=0.001, open_commission=0.0003, close_commission=0.0003, min_commission=5), type='stock')
    
        g.security = get_index_stocks('000300.XSHG')
        g.period = 30  # 选取30天来计算收益率
        g.N = 10  # 总共持有10支股票
        g.change = 1 # 每次调仓1只股票
        g.init = True  # 只运行一次
        
        run_monthly(handle, 1)
    
    # 获取所有按收益增长率排序之后的沪深300股票
    def get_sorted_stocks(context, stocks):
        df = history(g.period, field='close',security_list=stocks).T
        df['ret'] = (df.iloc[:,len(df.columns)-1] - df.iloc[:,0]) / df.iloc[:,0]
        df = df.sort_values('ret', ascending=False)
        return df.index.values
    
    def handle(context):
        if g.init: # 初始化，买入收益增长率最小的N支
            stocks = get_sorted_stocks(context,g.security)[:g.N]
            cash = context.portfolio.available_cash / len(stocks)
            for stock in stocks:
                order_value(stock, cash)
            g.init = False
            return
        # 调仓卖掉原有股票中反转最小的股票
        stocks = get_sorted_stocks(context, context.portfolio.positions.keys())
        for stock in stocks[-g.change:0]:
            order_target(stock, 0)
        # 调仓买入新的收益增长率最低的
        stocks = get_sorted_stocks(context, g.security)
        for stock in stocks:
            if len(context.portfolio.positions) >= g.N:
                break
            if stock not in context.portfolio.positions:
                order_value(stock, context.portfolio.available_cash)

羊驼交易+反转策略

![1310329-20190603180944712-782963545.png][]

posted on 2019-06-03 16:15 [要一直走下去][Link 1] 阅读( ...) 评论( ...) [编辑][Link 2] 收藏

转载于:https://www.cnblogs.com/staff/p/10968197.html

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