聚宽策略26

原文策略源码如下：
#RS择时

导入函数库

from jqdata import *
import pandas as pd
import numpy as np
from sklearn import linear_model
from numpy import mean, std

初始化函数，设定要操作的股票、基准等等

def initialize(context):
# 定义一个全局变量, 保存要操作的股票
context.stock_id=‘510300.XSHG’
context.beat_list=[]
context.count=0
context.z_beta_r2_list=[]
context.n_value=18
context.m_value=400
# 设定沪深300作为基准
set_benchmark(‘000300.XSHG’)
# 开启动态复权模式(真实价格)
set_option(‘use_real_price’, True)

def before_trading_start(context):
advance_high_array=attribute_history(context.stock_id,400,‘30m’,‘high’)
advance_low_array=attribute_history(context.stock_id,400,‘30m’,‘low’)

for i in range(context.n_value,context.m_value):
    
    sliding_windows_high_array=advance_high_array[i-18:i]
    sliding_windows_lo