动量策略（momentum driven）

发布于 2022-02-20 22:26:16 字数 13979 浏览 786 评论 0 收藏 0

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

	tradeDate	cash	security_position	portfolio_value	benchmark_return	blotter
0	2011-11-29	1.627636	{u'600809.XSHG': 5700, u'600597.XSHG': 21100, ...	10057034.029636	0.013697	[Order(order time: datetime.datetime(2011, 11,...
1	2011-11-30	1.627636	{u'600809.XSHG': 5700, u'600597.XSHG': 21100, ...	9744501.409636	-0.033370	[]
2	2011-12-01	1.627636	{u'600809.XSHG': 5700, u'600597.XSHG': 21100, ...	9865655.500636	0.024625	[]
3	2011-12-02	1.627636	{u'600809.XSHG': 5700, u'600597.XSHG': 21100, ...	9708455.312636	-0.010180	[]
4	2011-12-05	1.627636	{u'600809.XSHG': 5700, u'600597.XSHG': 21100, ...	9406180.945636	-0.014048	[]
5	2011-12-06	1.627636	{u'600809.XSHG': 5700, u'600597.XSHG': 21100, ...	9415313.949636	-0.002000	[]
6	2011-12-07	1.627636	{u'600809.XSHG': 5700, u'600597.XSHG': 21100, ...	9454383.554636	0.004724	[]
7	2011-12-08	1.627636	{u'600809.XSHG': 5700, u'600597.XSHG': 21100, ...	9492264.755636	-0.001276	[]
8	2011-12-09	1.627636	{u'600809.XSHG': 5700, u'600597.XSHG': 21100, ...	9410892.851636	-0.008531	[]
9	2011-12-12	1.627636	{u'600809.XSHG': 5700, u'600597.XSHG': 21100, ...	9280515.559636	-0.010293	[]
10	2011-12-13	6.144010	{u'000423.XSHE': 4200, u'600036.XSHG': 16300, ...	9116051.541010	-0.022506	[Order(order time: datetime.datetime(2011, 12,...
11	2011-12-14	6.144010	{u'000423.XSHE': 4200, u'600036.XSHG': 16300, ...	9042660.489010	-0.010094	[]
12	2011-12-15	6.144010	{u'000423.XSHE': 4200, u'600036.XSHG': 16300, ...	8973191.009010	-0.023646	[]
13	2011-12-16	6.144010	{u'000423.XSHE': 4200, u'600036.XSHG': 16300, ...	9203671.207010	0.021079	[]
14	2011-12-19	6.144010	{u'000423.XSHE': 4200, u'600036.XSHG': 16300, ...	9272914.609010	-0.002394	[]
15	2011-12-20	6.144010	{u'000423.XSHE': 4200, u'600036.XSHG': 16300, ...	9245375.546010	-0.003076	[]
16	2011-12-21	6.144010	{u'000423.XSHE': 4200, u'600036.XSHG': 16300, ...	9134328.126010	-0.015971	[]
17	2011-12-22	6.144010	{u'000423.XSHE': 4200, u'600036.XSHG': 16300, ...	9174823.752010	0.000952	[]
18	2011-12-23	6.144010	{u'000423.XSHE': 4200, u'600036.XSHG': 16300, ...	9185929.702010	0.007613	[]
19	2011-12-26	6.144010	{u'000423.XSHE': 4200, u'600036.XSHG': 16300, ...	9054507.546010	-0.009943	[]
20	2011-12-27	9.172263	{u'601328.XSHG': 41600, u'600036.XSHG': 16300,...	8855733.701263	-0.013130	[Order(order time: datetime.datetime(2011, 12,...
21	2011-12-28	9.172263	{u'601328.XSHG': 41600, u'600036.XSHG': 16300,...	8820469.780263	0.001255	[]
22	2011-12-29	9.172263	{u'601328.XSHG': 41600, u'600036.XSHG': 16300,...	8836530.533263	0.001487	[]
23	2011-12-30	9.172263	{u'601328.XSHG': 41600, u'600036.XSHG': 16300,...	8976704.526263	0.014875	[]
24	2012-01-04	9.172263	{u'601328.XSHG': 41600, u'600036.XSHG': 16300,...	8858664.267263	-0.020032	[]
25	2012-01-05	9.172263	{u'601328.XSHG': 41600, u'600036.XSHG': 16300,...	8785873.316263	-0.009730	[]
26	2012-01-06	9.172263	{u'601328.XSHG': 41600, u'600036.XSHG': 16300,...	8790219.626263	0.006245	[]
27	2012-01-09	9.172263	{u'601328.XSHG': 41600, u'600036.XSHG': 16300,...	9032347.125263	0.034039	[]
28	2012-01-10	9.172263	{u'601328.XSHG': 41600, u'600036.XSHG': 16300,...	9247829.118263	0.033260	[]
29	2012-01-11	9.172263	{u'601328.XSHG': 41600, u'600036.XSHG': 16300,...	9186427.159263	-0.004797	[]
...	...	...	...	...	...	...
755	2015-01-12	1.942737	{u'600036.XSHG': 23600, u'000776.XSHE': 22100,...	20280828.092737	-0.009344	[]
756	2015-01-13	1.942737	{u'600036.XSHG': 23600, u'000776.XSHE': 22100,...	20204218.432737	0.000131	[]
757	2015-01-14	1.942737	{u'600036.XSHG': 23600, u'000776.XSHE': 22100,...	20223885.602737	-0.003307	[]
758	2015-01-15	1.942737	{u'600036.XSHG': 23600, u'000776.XSHE': 22100,...	20962393.212737	0.029036	[]
759	2015-01-16	1.942737	{u'600036.XSHG': 23600, u'000776.XSHE': 22100,...	21076614.722737	0.008608	[]
760	2015-01-19	3.731317	{u'601328.XSHG': 49500, u'600066.XSHG': 21600,...	19298994.131317	-0.077023	[Order(order time: datetime.datetime(2015, 1, ...
761	2015-01-20	3.731317	{u'601328.XSHG': 49500, u'600066.XSHG': 21600,...	19641436.921317	0.012240	[]
762	2015-01-21	3.731317	{u'601328.XSHG': 49500, u'600066.XSHG': 21600,...	20548813.131317	0.044951	[]
763	2015-01-22	3.731317	{u'601328.XSHG': 49500, u'600066.XSHG': 21600,...	20654164.321317	0.005277	[]
764	2015-01-23	3.731317	{u'601328.XSHG': 49500, u'600066.XSHG': 21600,...	20704527.401317	0.001155	[]
765	2015-01-26	3.731317	{u'601328.XSHG': 49500, u'600066.XSHG': 21600,...	20741863.411317	0.010150	[]
766	2015-01-27	3.731317	{u'601328.XSHG': 49500, u'600066.XSHG': 21600,...	20501439.751317	-0.009161	[]
767	2015-01-28	3.731317	{u'601328.XSHG': 49500, u'600066.XSHG': 21600,...	20072450.291317	-0.013877	[]
768	2015-01-29	3.731317	{u'601328.XSHG': 49500, u'600066.XSHG': 21600,...	19879912.781317	-0.012346	[]
769	2015-01-30	3.731317	{u'601328.XSHG': 49500, u'600066.XSHG': 21600,...	19612742.771317	-0.013616	[]
770	2015-02-02	6.734377	{u'002153.XSHE': 4400, u'600498.XSHG': 19400, ...	19457712.474377	-0.023419	[Order(order time: datetime.datetime(2015, 2, ...
771	2015-02-03	6.734377	{u'002153.XSHE': 4400, u'600498.XSHG': 19400, ...	19862476.714377	0.024891	[]
772	2015-02-04	6.734377	{u'002153.XSHE': 4400, u'600498.XSHG': 19400, ...	19714886.724377	-0.010379	[]
773	2015-02-05	6.734377	{u'002153.XSHE': 4400, u'600498.XSHG': 19400, ...	19679598.144377	-0.010236	[]
774	2015-02-06	6.734377	{u'002153.XSHE': 4400, u'600498.XSHG': 19400, ...	19297569.294377	-0.016194	[]
775	2015-02-09	6.734377	{u'002153.XSHE': 4400, u'600498.XSHG': 19400, ...	19131675.244377	0.010114	[]
776	2015-02-10	6.734377	{u'002153.XSHE': 4400, u'600498.XSHG': 19400, ...	19621103.094377	0.018238	[]
777	2015-02-11	6.734377	{u'002153.XSHE': 4400, u'600498.XSHG': 19400, ...	20007845.234377	0.007978	[]
778	2015-02-12	6.734377	{u'002153.XSHE': 4400, u'600498.XSHG': 19400, ...	20139049.804377	0.002548	[]
779	2015-02-13	6.734377	{u'002153.XSHE': 4400, u'600498.XSHG': 19400, ...	20416511.184377	0.007829	[]
780	2015-02-16	5.417277	{u'002153.XSHE': 4400, u'600498.XSHG': 19400, ...	21015638.057277	0.008547	[Order(order time: datetime.datetime(2015, 2, ...
781	2015-02-17	5.417277	{u'002153.XSHE': 4400, u'600498.XSHG': 19400, ...	20991534.387277	0.006526	[]
782	2015-02-25	5.417277	{u'002153.XSHE': 4400, u'600498.XSHG': 19400, ...	20681973.077277	-0.012376	[]
783	2015-02-26	5.417277	{u'002153.XSHE': 4400, u'600498.XSHG': 19400, ...	20936634.347277	0.025172	[]
784	2015-02-27	5.417277	{u'002153.XSHE': 4400, u'600498.XSHG': 19400, ...	21204596.757277	0.001836	[]