Contrarian strategy
来源：https://uqer.io/community/share/5545ff8df9f06c1c3d68802f
Contrarian strategy similar with Momentum strategy
import pandas as pd
start = '2010-01-01' # 回测起始时间
end = '2015-01-01' # 回测结束时间
benchmark = 'SH50' # 策略参考标准
universe = set_universe('SH50')
capital_base = 100000 # 起始资金
longest_history = 40 # handle_data 函数中可以使用的历史数据最长窗口长度
refresh_rate = 1 # 调仓频率，即每 refresh_rate 个交易日执行一次 handle_data() 函数
def initialize(account): # 初始化虚拟账户状态
pass
def handle_data(account): # 每个交易日的买入卖出指令
returndata = {'symbol':[], 'ret':[]}
history_data = account.get_attribute_history('closePrice',40)
for s in account.universe:
returndata['symbol'].append(s)
returndata['ret'].append(history_data[s][-1] / history_data[s][0])
returndatanew = pd.DataFrame(returndata).sort(columns = 'ret').reset_index()
returndatanew = returndatanew[0:len(returndatanew)/5]
buylist = returndatanew['symbol'].tolist()
for cur in account.valid_secpos:
if cur not in buylist:
order_to(cur,0)
for sym in buylist:
if sym not in account.valid_secpos:
order_to(sym,300)
worse than Momentum strategy
