#导入函数库
from jqdata import *
from jqfactor import *
import numpy as np
import pandas as pd
#初始化函数
def initialize(context):
# 设定基准
set_benchmark('399303.XSHE')
# 用真实价格交易
set_option('use_real_price', True)
# 打开防未来函数
set_option("avoid_future_data", True)
# 将滑点设置为0
set_slippage(FixedSlippage(0))
# 设置交易成本万分之三,不同滑点影响可在归因分析中查看
set_order_cost(OrderCost(open_tax=0, close_tax=0.001, open_commission=0.0003, close_commission=0.0003, close_today_commission=0, min_commission=5),type='stock')
# 过滤order中低于error级别的日志
log.set_level('order', 'error')
#初始化全局变量
g.stock_num = 10
g.hold_list = [] #当前持仓的全部股票
g.yesterday_HL_list = [] #记录持仓中昨日涨停的股票
g.factor_list = [
'non_current_asset_ratio', #质量类因子 非流动资产比率
'admin_expense_rate', #质量类因子 管理费用与营业总收入之比
'ATR6', #情绪类因子 6日均幅指标
'VOL20' #情绪类因子 20日平均换手率
]
# 设置交易运行时间
run_daily(prepare_stock_list, time='9:05', reference_security='000300.XSHG')
run_weekly(weekly_adjustment, weekday=1, time='9:30', reference_security='000300.XSHG')
run_daily(check_limit_up, time='14:00', reference_security='000300.XSHG') #检查持仓中的涨停股是否需要卖出
run_daily(print_position_info, time='15:10', reference_security='000300.XSHG')
#1-1 准备股票池
def prepare_stock_list(context):
#获取已持有列表
g.hold_list= []
for position in list(context.portfolio.positions.values()):
stock = position.security
g.hold_list.append(stock)
#获取昨日涨停列表
if g.hold_list != []:
df = get_price(g.hold_list, end_date=context.previous_date, frequency='daily', fields=['close','high_limit'], count=1, panel=False, fill_paused=False)
df = df[df['close'] == df['high_limit']]
g.yesterday_HL_list = list(df.code)
else:
g.yesterday_HL_list = []
#1-2 选股模块
def get_stock_list(context):
yesterday = context.previous_date
initial_list = get_all_securities().index.tolist()
initial_list = filter_new_stock(context, initial_list)
initial_list = filter_kcbj_stock(initial_list)
initial_list = filter_st_stock(initial_list)
#MS
factor_values = get_factor_values(initial_list, [
g.factor_list[0],
g.factor_list[1],
g.factor_list[2],
g.factor_list[3],
], end_date=yesterday, count=1)
df = pd.DataFrame(index=initial_list, columns=factor_values.keys())
df[g.factor_list[0]] = list(factor_values[g.factor_list[0]].T.iloc[:,0])
df[g.factor_list[1]] = list(factor_values[g.factor_list[1]].T.iloc[:,0])
df[g.factor_list[2]] = list(factor_values[g.factor_list[2]].T.iloc[:,0])
df[g.factor_list[3]] = list(factor_values[g.factor_list[3]].T.iloc[:,0])
df = df.dropna()
coef_list = [238.1242, -347.1289, 4.2208, -19.8349]
df['total_score'] = coef_list[0]*df[g.factor_list[0]] + coef_list[1]*df[g.factor_list[1]] + coef_list[2]*df[g.factor_list[2]] + coef_list[3]*df[g.factor_list[3]]
df = df.sort_values(by=['total_score'], ascending=False) #分数越高即预测未来收益越高,排序默认降序
complex_factor_list = list(df.index)[:int(0.1*len(list(df.index)))]
q = query(valuation.code,valuation.circulating_market_cap,indicator.eps).filter(valuation.code.in_(complex_factor_list)).order_by(valuation.circulating_market_cap.asc())
df = get_fundamentals(q)
df = df[df['eps']>0]
final_list = list(df.code)
return final_list
#1-3 整体调整持仓
def weekly_adjustment(context):
#获取应买入列表
target_list = get_stock_list(context)
target_list = filter_paused_stock(target_list)
target_list = filter_limitup_stock(context, target_list)
target_list = filter_limitdown_stock(context, target_list)
#截取不超过最大持仓数的股票量
target_list = target_list[:min(g.stock_num, len(target_list))]
#调仓卖出
for stock in g.hold_list:
if (stock not in target_list) and (stock not in g.yesterday_HL_list):
log.info("卖出[%s]" % (stock))
position = context.portfolio.positions[stock]
close_position(position)
else:
log.info("已持有[%s]" % (stock))
#调仓买入
position_count = len(context.portfolio.positions)
target_num = len(target_list)
if target_num > position_count:
value = context.portfolio.cash / (target_num - position_count)
for stock in target_list:
if context.portfolio.positions[stock].total_amount == 0:
if open_position(stock, value):
if len(context.portfolio.positions) == target_num:
break
#1-4 调整昨日涨停股票
def check_limit_up(context):
now_time = context.current_dt
if g.yesterday_HL_list != []:
#对昨日涨停股票观察到尾盘如不涨停则提前卖出,如果涨停即使不在应买入列表仍暂时持有
for stock in g.yesterday_HL_list:
current_data = get_price(stock, end_date=now_time, frequency='1m', fields=['close','high_limit'], skip_paused=False, fq='pre', count=1, panel=False, fill_paused=True)
if current_data.iloc[0,0] < current_data.iloc[0,1]:
log.info("[%s]涨停打开,卖出" % (stock))
position = context.portfolio.positions[stock]
close_position(position)
else:
log.info("[%s]涨停,继续持有" % (stock))
#2-1 过滤停牌股票
def filter_paused_stock(stock_list):
current_data = get_current_data()
return [stock for stock in stock_list if not current_data[stock].paused]
#2-2 过滤ST及其他具有退市标签的股票
def filter_st_stock(stock_list):
current_data = get_current_data()
return [stock for stock in stock_list
if not current_data[stock].is_st
and 'ST' not in current_data[stock].name
and '*' not in current_data[stock].name
and '退' not in current_data[stock].name]
#2-3 过滤科创北交股票
def filter_kcbj_stock(stock_list):
for stock in stock_list[:]:
if stock[0] == '4' or stock[0] == '8' or stock[:2] == '68':
stock_list.remove(stock)
return stock_list
#2-4 过滤涨停的股票
def filter_limitup_stock(context, stock_list):
last_prices = history(1, unit='1m', field='close', security_list=stock_list)
current_data = get_current_data()
return [stock for stock in stock_list if stock in context.portfolio.positions.keys()
or last_prices[stock][-1] < current_data[stock].high_limit]
#2-5 过滤跌停的股票
def filter_limitdown_stock(context, stock_list):
last_prices = history(1, unit='1m', field='close', security_list=stock_list)
current_data = get_current_data()
return [stock for stock in stock_list if stock in context.portfolio.positions.keys()
or last_prices[stock][-1] > current_data[stock].low_limit]
#2-6 过滤次新股
def filter_new_stock(context,stock_list):
yesterday = context.previous_date
return [stock for stock in stock_list if not yesterday - get_security_info(stock).start_date < datetime.timedelta(days=375)]
#3-1 交易模块-自定义下单
def order_target_value_(security, value):
if value == 0:
log.debug("Selling out %s" % (security))
else:
log.debug("Order %s to value %f" % (security, value))
return order_target_value(security, value)
#3-2 交易模块-开仓
def open_position(security, value):
order = order_target_value_(security, value)
if order != None and order.filled > 0:
return True
return False
#3-3 交易模块-平仓
def close_position(position):
security = position.security
order = order_target_value_(security, 0) # 可能会因停牌失败
if order != None:
if order.status == OrderStatus.held and order.filled == order.amount:
return True
return False
#4-1 打印每日持仓信息
def print_position_info(context):
#打印当天成交记录
trades = get_trades()
for _trade in trades.values():
print('成交记录:'+str(_trade))
#打印账户信息
for position in list(context.portfolio.positions.values()):
securities=position.security
cost=position.avg_cost
price=position.price
ret=100*(price/cost-1)
value=position.value
amount=position.total_amount
print('代码:{}'.format(securities))
print('成本价:{}'.format(format(cost,'.2f')))
print('现价:{}'.format(price))
print('收益率:{}%'.format(format(ret,'.2f')))
print('持仓(股):{}'.format(amount))
print('市值:{}'.format(format(value,'.2f')))
print('———————————————————————————————————')
print('———————————————————————————————————————分割线————————————————————————————————————————')