事件驱动策略示例——盈利预增
来源：https://uqer.io/community/share/54d972c1f9f06c276f651a72
策略思路
- 从DataAPI中获取沪深300成分股的盈利预增事件数据
- 每个交易日，将昨天发布盈利预增事件公司加入买入列表
- 根据调仓限制和买入列表进行调仓
- 调仓限制
- (1) 股票持有不超过50只
- (2) 一旦买入，持有40个交易日
- (3) 仅当持有数量低于50只时才买入股票，补满50只
import pandas as pd
from datetime import datetime
from functools import partial
fields_ef = ['secID', 'publishDate']
get_data = partial(DataAPI.FdmtEfGet, forecastType = 22, field = fields_ef) # forecastType 22: 盈利预增
data_ef = []
for stock in set_universe('HS300'):
try:
if len(data_ef):
data_ef = data_ef.append(get_data(secID = stock))
else:
data_ef = get_data(secID = stock)
except:
pass
data_ef['publishDate'] = pd.to_datetime(data_ef['publishDate'])
data_ef = data_ef.sort(columns = 'publishDate')
data_ef = data_ef[data_ef.publishDate >= datetime(2010, 1, 1)]
start = '2010-01-01'
end = '2015-04-01'
benchmark = 'HS300'
universe = set_universe('HS300')
capital_base = 1000000
longest_history = 1
max_t = 40 # 持仓时间
max_n = 50 # 持仓数量
def initialize(account):
account.hold_period = {}
def handle_data(account):
yesterday = account.get_symbol_history('tradeDate', 1)[0]
data_sub = data_ef[data_ef.publishDate == yesterday]
if len(data_sub):
buylist = [s for s in data_sub['secID'].tolist() if s in account.universe]
rebalance(account, buylist)
def rebalance(account, buylist):
n = 0
for stock, t in account.hold_period.items():
if t == max_t:
order_to(stock, 0)
del account.hold_period[stock]
else:
account.hold_period[stock] += 1
n += 1
if n == max_n or buylist == []:
return
b = max_n - n
buylist = [s for s in buylist if s not in account.hold_period]
for stock in buylist[:b]:
order(stock, account.referencePortfolioValue / b / account.referencePrice[stock])
account.hold_period[stock] = 0
