聚宽策略一 价值选股股票池策略

价值选股股票池策略

基于价值选股股票池策略（第一个量化策略，基于聚宽平台，之后会改进）

代码如下：

import jqdata
import pandas as pd
import numpy as np
import math
import talib as tl
from jqlib.technical_analysis import *
import statsmodels.api as sm
from pandas.stats.api import ols

def initialize(context):
    g.stocksnum = 100  # 持有最小市值股票数
    g.period = 10  # 轮动频率
    log.set_level('order', 'error')
    run_daily(daily, time='before_open')  # 周期循环daily
    run_daily(mktopen, time='every_bar')
    g.days = 1  # 记录策略进行到第几天，初始为1
    g.holdpct = 1

    g.buylist=[]
    
def trade(context, buylist):
    # 对于每个当下持有的股票进行判断：现在是否已经不在buylist里，如果是则卖出
    for stock in context.portfolio.positions:
        if stock not in buylist:  # 如果stock不在buylist
            order_target(stock, 0)  # 调整stock的持仓为0，即卖出

    # 将总资产(现金+股票)除以持股数g.stocksnum
    position_per_stk = g.holdpct * context.portfolio.total_value / g.stocksnum
    # 调整buylist中的每个股票持仓价值为position_per_stk
    for stock in buylist:
        order_target_value(stock, position_per_stk)


# 止损
def stop(context):
    # 循环查看持仓的每个股票
    for stock in context.portfolio.positions:
        # 如果股票最新价格除以平均成本小于0.8，即亏损超过20%
        if context.portfolio.positions[stock].price / context.portfolio.positions[stock].avg_cost < 0.8:
            # 调整stock的持仓为0，即卖出
            order_target(stock, 0)
            # 输出日志：股票名 止损
            print ("\n%s 止损" % stock)


def pick(context):
    # 获取股票池
    df = get_fundamentals(query(valuation.code, valuation.pb_ratio, indicator.roe))
    # 进行pb,roe大于0筛选
    df = df[(df['roe'] > 0) & (df['pb_ratio'] > 0)].sort('pb_ratio')
    # 以股票名词作为index
    df.index = df['code'].values
    # 取roe倒数
    df['1/roe'] = 1 / df['roe']
    # 获取综合得分
    df['point'] = df[['pb_ratio', '1/roe']].rank().T.apply(f_sum)
    # 按得分进行排序，取指定数量的股票
    df = df.sort('point')[:g.stocksnum]
    
    
    # 取出前g.stocksnum名的股票代码，并转成list类型，buylist为选中的股票
    g.buylist = list(df['code'][:g.stocksnum])
    return g.buylist
def f_sum(x):
    return sum(x)
    
def mktopen(context):
    # 每分钟止损
    stop(context)

def mkt_index(context):
    mktindex = history(count=1, field='close', security_list=['000300.XSHG'])
    mktindex = mktindex.ix[-1, '000300.XSHG']

    date =context.current_dt.strftime("%Y-%m-%d")
    ma20 = MA(['000300.XSHG'], check_date=date, timeperiod=20)
    ma20 = ma20['000300.XSHG']

    if mktindex > ma20:
        return 1
    return 0.5
   
def daily(context):
    # 判断策略进行天数是否能被轮动频率整除余1
    if g.days % g.period == 1:
        buylist = pick(context)
        g.holdpct = mkt_index(context)
        trade(context, buylist)
    else:
        pass  # 什么也不做
    g.days = g.days + 1  # 策略经过天数增加1