动量策略

# 导入函数库
import jqdata 
import math
import numpy as np
import pandas as pd
import datetime


# 策略初始化
def initialize(context):
    
    set_option('use_real_price',True)#价格前复权
    g.benchmark='000300.XSHG'
    set_order_cost(OrderCost(open_tax=0,close_tax=0.001, open_commission=0.0003, close_commission=0.0003,min_commission=5), type='stock')
    g.q=query(valuation.code,valuation.pe_ratio,indicator.inc_net_profit_year_on_year).filter(valuation.code.in_(g.security))
    g.N=10
    g.k=2
   
    run_monthly(handle,1)


def handle(context):
    stocks = get_index_stocks('000300.XSHG')
    df_close=history(30,field='close',security_list=list(stocks)).T
    df_close['ret']=(df_close/iloc[:,-1])-df_close.iloc[:,0])/df_close.iloc[:,0]
    sorted_stocks=df_close.sort('ret',ascending=False).index#降序
    to_hold=sorted_stocks[:g.N]
    for stock in context.port