Skip to content

成交量因子

来源：https://uqer.io/community/share/5652bf20f9f06c4446b48636

投资于沪深300成份股，每月调仓，每月调入成交量最低的成份股

start = '2015-1-1'                       # 回测起始时间
end = '2015-11-22'                         # 回测结束时间
benchmark = 'HS300'                        # 策略参考标准
universe = set_universe('HS300')  # 证券池，支持股票和基金
capital_base = 10000000                      # 起始资金
refresh_rate = 20                           # 调仓频率，表示执行handle_data的时间间隔，若freq = 'd'时间间隔的单位为交易日，若freq = 'm'时间间隔为分钟
stk_num = 60


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
    #取出每日成交量 
    hist = account.get_attribute_history('turnoverValue',1)
    #print account.current_date
    #print hist

    cjl = {}
    # 排序
    for stock in account.universe:
        cjl[stock] = hist[stock][0]
    dd = sorted(cjl.iteritems(),key = lambda d:d[1],reverse = False)
    #print dd

    cash = account.cash   
    # 卖出持有的  
    for s,a in account.valid_secpos.items():
        order_to(s,0)
        cash += a*account.referencePrice[s]

    # 买入
    i = 0
    for s in dd:
        if i < stk_num :
            i = i + 1
            order(s[0],cash/60/account.referencePrice[s[0]])
            #print s[0]


bt
tradeDate cash security_position portfolio_value benchmark_return blotter
0 2015-01-06 980827.6468 {u'002252.XSHE': {u'amount': 100, u'cost': 22.... 1000650.1468 -0.000132 [Order(order_time: 2015-01-06 09:30, symbol: 0...
1 2015-01-07 980827.6468 {u'002252.XSHE': {u'amount': 100, u'cost': 22.... 1000573.2468 0.000750 []
2 2015-01-08 980827.6468 {u'002252.XSHE': {u'amount': 100, u'cost': 22.... 1000781.2468 -0.023198 []
3 2015-01-09 980827.6468 {u'002252.XSHE': {u'amount': 100, u'cost': 22.... 1000992.8468 -0.003523 []
4 2015-01-12 980827.6468 {u'002252.XSHE': {u'amount': 100, u'cost': 22.... 1001146.3468 -0.009344 []
5 2015-01-13 980827.6468 {u'002252.XSHE': {u'amount': 100, u'cost': 22.... 1001283.9468 0.000131 []
6 2015-01-14 980827.6468 {u'002252.XSHE': {u'amount': 100, u'cost': 22.... 1001027.0468 -0.003307 []
7 2015-01-15 980827.6468 {u'002252.XSHE': {u'amount': 100, u'cost': 22.... 1001017.4468 0.029037 []
8 2015-01-16 980827.6468 {u'002252.XSHE': {u'amount': 100, u'cost': 22.... 1001257.6468 0.008607 []
9 2015-01-19 980827.6468 {u'002252.XSHE': {u'amount': 100, u'cost': 22.... 1000788.4468 -0.077023 []
10 2015-01-20 980827.6468 {u'002252.XSHE': {u'amount': 100, u'cost': 22.... 1001703.5468 0.012241 []
11 2015-01-21 980827.6468 {u'002252.XSHE': {u'amount': 100, u'cost': 22.... 1002298.9468 0.044950 []
12 2015-01-22 980827.6468 {u'002252.XSHE': {u'amount': 100, u'cost': 22.... 1002567.5468 0.005278 []
13 2015-01-23 980827.6468 {u'002252.XSHE': {u'amount': 100, u'cost': 22.... 1002212.6468 0.001155 []
14 2015-01-26 980827.6468 {u'002252.XSHE': {u'amount': 100, u'cost': 22.... 1002646.4468 0.010149 []
15 2015-01-27 980827.6468 {u'002252.XSHE': {u'amount': 100, u'cost': 22.... 1003116.3468 -0.009160 []
16 2015-01-28 980827.6468 {u'002252.XSHE': {u'amount': 100, u'cost': 22.... 1002968.9468 -0.013877 []
17 2015-01-29 980827.6468 {u'002252.XSHE': {u'amount': 100, u'cost': 22.... 1002741.4468 -0.012348 []
18 2015-01-30 980827.6468 {u'002252.XSHE': {u'amount': 100, u'cost': 22.... 1002465.6468 -0.013614 []
19 2015-02-02 980827.6468 {u'002252.XSHE': {u'amount': 100, u'cost': 22.... 1002310.2468 -0.023419 []
20 2015-02-03 979846.9505 {u'601158.XSHG': {u'amount': 400, u'cost': 7.9... 1002687.7505 0.024890 [Order(order_time: 2015-02-03 09:30, symbol: 6...
21 2015-02-04 979846.9505 {u'601158.XSHG': {u'amount': 400, u'cost': 7.9... 1002527.6505 -0.010380 []
22 2015-02-05 979846.9505 {u'601158.XSHG': {u'amount': 400, u'cost': 7.9... 1002320.0505 -0.010236 []
23 2015-02-06 979846.9505 {u'601158.XSHG': {u'amount': 400, u'cost': 7.9... 1001810.1505 -0.016193 []
24 2015-02-09 979846.9505 {u'601158.XSHG': {u'amount': 400, u'cost': 7.9... 1002149.1505 0.010113 []
25 2015-02-10 979846.9505 {u'601158.XSHG': {u'amount': 400, u'cost': 7.9... 1002526.5505 0.018237 []
26 2015-02-11 979846.9505 {u'601158.XSHG': {u'amount': 400, u'cost': 7.9... 1002846.5505 0.007978 []
27 2015-02-12 979846.9505 {u'601158.XSHG': {u'amount': 400, u'cost': 7.9... 1003098.6505 0.002548 []
28 2015-02-13 979846.9505 {u'601158.XSHG': {u'amount': 400, u'cost': 7.9... 1003569.5505 0.007828 []
29 2015-02-16 979846.9505 {u'601158.XSHG': {u'amount': 400, u'cost': 7.9... 1004382.4505 0.008548 []
... ... ... ... ... ... ...
184 2015-10-12 979810.0847 {u'601158.XSHG': {u'amount': 400, u'cost': 8.2... 1011749.0847 0.032208 []
185 2015-10-13 979810.0847 {u'601158.XSHG': {u'amount': 400, u'cost': 8.2... 1011658.0847 -0.000769 []
186 2015-10-14 979810.0847 {u'601158.XSHG': {u'amount': 400, u'cost': 8.2... 1011279.0847 -0.011301 []
187 2015-10-15 979810.0847 {u'601158.XSHG': {u'amount': 400, u'cost': 8.2... 1011943.0847 0.023694 []
188 2015-10-16 979810.0847 {u'601158.XSHG': {u'amount': 400, u'cost': 8.2... 1012667.0847 0.013551 []
189 2015-10-19 979810.0847 {u'601158.XSHG': {u'amount': 400, u'cost': 8.2... 1012613.0847 0.000033 []
190 2015-10-20 979810.0847 {u'601158.XSHG': {u'amount': 400, u'cost': 8.2... 1012848.0847 0.012314 []
191 2015-10-21 979810.0847 {u'601158.XSHG': {u'amount': 400, u'cost': 8.2... 1011284.0847 -0.029194 []
192 2015-10-22 979810.0847 {u'601158.XSHG': {u'amount': 400, u'cost': 8.2... 1012610.0847 0.014764 []
193 2015-10-23 979810.0847 {u'601158.XSHG': {u'amount': 400, u'cost': 8.2... 1013730.0847 0.013252 []
194 2015-10-26 979810.0847 {u'601158.XSHG': {u'amount': 400, u'cost': 8.2... 1013604.0847 0.005046 []
195 2015-10-27 979810.0847 {u'601158.XSHG': {u'amount': 400, u'cost': 8.2... 1013456.0847 0.001008 []
196 2015-10-28 979810.0847 {u'601158.XSHG': {u'amount': 400, u'cost': 8.2... 1012937.0847 -0.018915 []
197 2015-10-29 979810.0847 {u'601158.XSHG': {u'amount': 400, u'cost': 8.2... 1013093.0847 0.002379 []
198 2015-10-30 979810.0847 {u'601158.XSHG': {u'amount': 400, u'cost': 8.2... 1012739.0847 0.000218 []
199 2015-11-02 979810.0847 {u'601158.XSHG': {u'amount': 400, u'cost': 8.2... 1012311.0847 -0.016445 []
200 2015-11-03 984251.4817 {u'600011.XSHG': {u'amount': 400, u'cost': 9.0... 1012266.4817 -0.003012 [Order(order_time: 2015-11-03 09:30, symbol: 6...
201 2015-11-04 984251.4817 {u'600011.XSHG': {u'amount': 400, u'cost': 9.0... 1013422.4817 0.047048 []
202 2015-11-05 984251.4817 {u'600011.XSHG': {u'amount': 400, u'cost': 9.0... 1014069.4817 0.021340 []
203 2015-11-06 984251.4817 {u'600011.XSHG': {u'amount': 400, u'cost': 9.0... 1014599.4817 0.023585 []
204 2015-11-09 984251.4817 {u'600011.XSHG': {u'amount': 400, u'cost': 9.0... 1015194.4817 0.012385 []
205 2015-11-10 984251.4817 {u'600011.XSHG': {u'amount': 400, u'cost': 9.0... 1015158.4817 -0.001853 []
206 2015-11-11 984251.4817 {u'600011.XSHG': {u'amount': 400, u'cost': 9.0... 1015091.4817 0.000106 []
207 2015-11-12 984251.4817 {u'600011.XSHG': {u'amount': 400, u'cost': 9.0... 1014932.4817 -0.009996 []
208 2015-11-13 984251.4817 {u'600011.XSHG': {u'amount': 400, u'cost': 9.0... 1014318.4817 -0.012932 []
209 2015-11-16 984251.4817 {u'600011.XSHG': {u'amount': 400, u'cost': 9.0... 1014373.4817 0.004774 []
210 2015-11-17 984251.4817 {u'600011.XSHG': {u'amount': 400, u'cost': 9.0... 1014520.4817 -0.001525 []
211 2015-11-18 984251.4817 {u'600011.XSHG': {u'amount': 400, u'cost': 9.0... 1014182.4817 -0.011390 []
212 2015-11-19 984251.4817 {u'600011.XSHG': {u'amount': 400, u'cost': 9.0... 1014563.4817 0.015984 []
213 2015-11-20 984251.4817 {u'600011.XSHG': {u'amount': 400, u'cost': 9.0... 1014545.4817 -0.000155 [] 
214 rows × 6 columns
回到顶部