单因子 & 多因子策略（基于JoinQuant）

一份朴实的声明。。。

1. 基于joinquant，大部分代码是原作者所写，俺只是改写、补充。。。

2. 源码见：https://www.joinquant.com/post/775

3. 基于因子打分，不是因子回归

（思路：单因子打分，分值赋权个股形成单因子组合，再等权加权单因子组合，变为多因子策略）

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## step1：导入所需的库

import pandas as pdfrom pandas

import Series, DataFrame

import numpy as npimport statsmodels.api as sm

import scipy.stats as scs

import matplotlib.pyplot as plt

## step2：三个函数

# 函数1：获取因子

factors = ['B/M','EPS','PEG','ROE','ROA','GP/R','P/R','L/A','FAP','CMV']

#月初取出因子数值

def get_factors(fdate,factors):

    stock_set = get_index_stocks('000001.XSHG',fdate)

    q = query( valuation.code, balance.total_owner_equities/valuation.market_cap/100000000, income.basic_eps, valuation.pe_ratio, income.net_profit/balance.total_owner_equities, income.net_profit/balance.total_assets, income.total_profit/income.operating_revenue, income.net_profit/income.operating_revenue, balance.total_liability/balance.