国信证券学习系列（2）

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已于 2022-05-02 13:39:32 修改

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分类专栏：国信量化文章标签： python 国信量化

于 2022-05-02 13:39:28 首次发布

本文链接：https://blog.csdn.net/qq_26742269/article/details/124539407

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该策略代码实现了一个回测模型，选择沪深300指数中权重大于0.35%的股票进行跟踪。初始权重设定为0.8，然后根据股票过去5天价格走势判断其为强势股或弱势股，调整权重至1.0或0.6。在连续上涨5天时加仓，连续下跌5天时减仓。策略通过获取历史数据计算持仓市值和剩余资金，据此进行买入和卖出操作。

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获取指数池：

def init(ContextInfo):
    #设置股票池
    stock300 =ContextInfo.get_stock_list_in_sector('沪深300')
    ContextInfo.stock300_weight = {}
    stock300_symbol = []
    stock300_weightlist = [] 
    ContextInfo.index_code = ContextInfo.stockcode+"."+ContextInfo.market
    
    #重新制作股票池
    for key in stock300:
        # 保留权重大于0.35%的成份股
        
        if (ContextInfo.get_weight_in_index(ContextInfo.index_code, key) / 100) > 0.0035:
            stock300_symbol.append(key)
            ContextInfo.stock300_weight[key] = ContextInfo.get_weight_in_index(ContextInfo.index_code, key) / 100
            stock300_weightlist.append(ContextInfo.get_weight_in_index(ContextInfo.index_code, key) / 100)
    print('选择的成分股权重总和为: ', np.sum(stock300_weightlist)) 
    ContextInfo.set_universe(stock300_symbol)
    
    #print ContextInfo.stock300_weight
    # 资产配置的初始权重,配比为0.6-0.8-1.0
    ContextInfo.ratio = 0.8

    #账号
    ContextInfo.accountid = "testS"

择时买卖：

                # 获取过去5天的价格数据,若连续上涨则为强势股,调仓到（权重+0.2）的仓位
                if all(diff>0) and holdings[stock] < buytarget_num:
                    buy_num = buytarget_num - holdings[stock]
                    order_shares(stock,buy_num*100,'fix',pre_close,ContextInfo,ContextInfo.accountid)
                    buy_sum += 1
                    #print "买入",stock,buy_num
                # 获取过去5天的价格数据,若连续下跌则为弱势股,调仓到（权重-0.2）的仓位
                elif all(diff<0) and holdings[stock] > selltarget_num:
                    sell_num = holdings[stock] - selltarget_num
                    order_shares(stock,(-1.0)*sell_num*100,'fix',pre_close,ContextInfo,ContextInfo.accountid)
                    sell_sum += 1
                    #print "卖出",stock,sell_num

策略代码：

#coding:gbk
'''
回测模型示例（非实盘交易策略）

本策略以0.8为初始权重跟踪指数标的沪深300中权重大于0.35%的成份股.
个股所占的百分比为(0.8*成份股权重)*100%.然后根据个股是否:
1.连续上涨5天 2.连续下跌5天
来判定个股是否为强势股/弱势股,并对其把权重由0.8调至1.0或0.6'''
#在指数（例如HS300）日线下运行
import numpy as np

def init(ContextInfo):
    #设置股票池
    stock300 =ContextInfo.get_stock_list_in_sector('沪深300')
    ContextInfo.stock300_weight = {}
    stock300_symbol = []
    stock300_weightlist = [] 
    ContextInfo.index_code = ContextInfo.stockcode+"."+ContextInfo.market
    for key in stock300:
        # 保留权重大于0.35%的成份股
        
        if (ContextInfo.get_weight_in_index(ContextInfo.index_code, key) / 100) > 0.0035:
            stock300_symbol.append(key)
            ContextInfo.stock300_weight[key] = ContextInfo.get_weight_in_index(ContextInfo.index_code, key) / 100
            stock300_weightlist.append(ContextInfo.get_weight_in_index(ContextInfo.index_code, key) / 100)
    print('选择的成分股权重总和为: ', np.sum(stock300_weightlist)) 
    ContextInfo.set_universe(stock300_symbol)
    
    #print ContextInfo.stock300_weight
    # 资产配置的初始权重,配比为0.6-0.8-1.0
    ContextInfo.ratio = 0.8

    #账号
    ContextInfo.accountid = "testS"

def handlebar(ContextInfo):
    buy_sum = 0
    sell_sum = 0
    index  = ContextInfo.barpos
    realtimetag = ContextInfo.get_bar_timetag(index)
    print(timetag_to_datetime(realtimetag, '%Y%m%d %H:%M:%S'))
    dict_close=ContextInfo.get_history_data(7,'1d','close',3)
    print('测试1',ContextInfo.get_history_data(7,'1d','close'))
    print('测试',ContextInfo.get_history_data(7,'1d','close',3))
    print('测试',ContextInfo.get_history_data(7,'1d','close',2))
    print('测试',ContextInfo.get_history_data(7,'1d','close',1))
    #持仓市值
    holdvalue = 0
    #持仓
    holdings=get_holdings(ContextInfo.accountid,"STOCK")
    #剩余资金
    surpluscapital=get_avaliablecost(ContextInfo.accountid,"STOCK")
    for stock in ContextInfo.stock300_weight:
        if  stock  in holdings:
            if len(dict_close[stock]) == 7:
                holdvalue += dict_close[stock][-2] * holdings[stock]
    
    for stock in ContextInfo.stock300_weight:
        # 若没有仓位则按照初始权重开仓
        if  stock not in holdings and stock in list(dict_close.keys()):
            if len(dict_close[stock]) == 7:
                pre_close = dict_close[stock][-1]
                buy_num = int(ContextInfo.stock300_weight[stock] * ( holdvalue + surpluscapital ) *ContextInfo.ratio / pre_close /100)
                order_shares(stock,buy_num*100,'fix',pre_close,ContextInfo,ContextInfo.accountid)
                buy_sum += 1
                #print "买入",stock,buy_num
        elif stock in list(dict_close.keys()):
            if len(dict_close[stock]) == 7:
                diff = np.array(dict_close[stock][1:6]) - np.array(dict_close[stock][:-2])
                pre_close = dict_close[stock][-1]
                buytarget_num = int(ContextInfo.stock300_weight[stock] * ( holdvalue + surpluscapital ) * (ContextInfo.ratio + 0.2)/ pre_close /100)
                selltarget_num = int(ContextInfo.stock300_weight[stock] * ( holdvalue + surpluscapital ) *(ContextInfo.ratio - 0.2)/ pre_close /100)
                # 获取过去5天的价格数据,若连续上涨则为强势股,调仓到（权重+0.2）的仓位
                if all(diff>0) and holdings[stock] < buytarget_num:
                    buy_num = buytarget_num - holdings[stock]
                    order_shares(stock,buy_num*100,'fix',pre_close,ContextInfo,ContextInfo.accountid)
                    buy_sum += 1
                    #print "买入",stock,buy_num
                # 获取过去5天的价格数据,若连续下跌则为弱势股,调仓到（权重-0.2）的仓位
                elif all(diff<0) and holdings[stock] > selltarget_num:
                    sell_num = holdings[stock] - selltarget_num
                    order_shares(stock,(-1.0)*sell_num*100,'fix',pre_close,ContextInfo,ContextInfo.accountid)
                    sell_sum += 1
                    #print "卖出",stock,sell_num
    if not ContextInfo.do_back_test:
        ContextInfo.paint('buy_num', buy_sum, -1, 0)
        ContextInfo.paint('sell_num', sell_sum, -1, 0)
                    
def get_holdings(accountid,datatype):
    holdinglist={}
    resultlist=get_trade_detail_data(accountid,datatype,"POSITION")
    for obj in resultlist:
        holdinglist[obj.m_strInstrumentID+"."+obj.m_strExchangeID]=obj.m_nVolume/100
    return holdinglist

def get_avaliablecost(accountid,datatype):
    result=0
    resultlist=get_trade_detail_data(accountid,datatype,"ACCOUNT")
    for obj in resultlist:
         result=obj.m_dAvailable
    return result