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本策略和前一个期现多重策略比较类似，以沪深300成为股作为标的股票池，统计股票池其30天内开盘价大于前收盘价的天数,并在该天数大于阈值10的时候加入标的股票池股票池，随后对不在股票池的股票平仓并等权配置股票池的标的,每次交易间隔1个月.
- # coding=utf-8
- from __future__ import print_function, absolute_import, unicode_literals
- from gm.api import *
- '''
- 本策略通过获取SHSE.000300沪深300的成份股数据并统计其30天内
- 开盘价大于前收盘价的天数,并在该天数大于阈值10的时候加入股票池
- 随后对不在股票池的股票平仓并等权配置股票池的标的,每次交易间隔1个月.
- 回测数据为:SHSE.000300在2015-01-15的成份股
- 回测时间为:2017-07-01 08:00:00到2017-10-01 16:00:00
- '''
- def init(context):
- # 每月第一个交易日的09:40 定时执行algo任务
- schedule(schedule_func=algo, date_rule='1m', time_rule='09:40:00')
- # context.count_bench累计天数阙值
- context.count_bench = 10
- # 用于对比的天数
- context.count = 30
- # 最大交易资金比例
- context.ratio = 0.8
- def algo(context):
- # 获取当前时间
- now = context.now
- # 获取上一个交易日
- last_day = get_previous_trading_date(exchange='SHSE', date=now)
- # 获取沪深300成份股
- context.stock300 = get_history_constituents(index='SHSE.000300', start_date=last_day,
- end_date=last_day)[0]['constituents'].keys()
- # 获取当天有交易的股票
- not_suspended_info = get_history_instruments(symbols=context.stock300, start_date=now, end_date=now)
- not_suspended_symbols = [item['symbol'] for item in not_suspended_info if not item['is_suspended']]
- trade_symbols = []
- if not not_suspended_symbols:
- print('没有当日交易的待选股票')
- return
- for stock in not_suspended_symbols:
- recent_data = history_n(symbol=stock, frequency='1d', count=context.count, fields='pre_close,open',
- fill_missing='Last', adjust=ADJUST_PREV, end_time=now, df=True)
- diff = recent_data['open'] - recent_data['pre_close']
- # 获取累计天数超过阙值的标的池.并剔除当天没有交易的股票
- if len(diff[diff > 0]) >= context.count_bench:
- trade_symbols.append(stock)
- print('本次股票池有股票数目: ', len(trade_symbols))
- # 计算权重
- percent = 1.0 / len(trade_symbols) * context.ratio
- # 获取当前所有仓位
- positions = context.account().positions()
- # 如标的池有仓位,平不在标的池的仓位
- for position in positions:
- symbol = position['symbol']
- if symbol not in trade_symbols:
- order_target_percent(symbol=symbol, percent=0, order_type=OrderType_Market,
- position_side=PositionSide_Long)
- print('市价单平不在标的池的', symbol)
- # 对标的池进行操作
- for symbol in trade_symbols:
- order_target_percent(symbol=symbol, percent=percent, order_type=OrderType_Market,
- position_side=PositionSide_Long)
- print(symbol, '以市价单调整至权重', percent)
- if __name__ == '__main__':
- '''
- strategy_id策略ID,由系统生成
- filename文件名,请与本文件名保持一致
- mode实时模式:MODE_LIVE回测模式:MODE_BACKTEST
- token绑定计算机的ID,可在系统设置-密钥管理中生成
- backtest_start_time回测开始时间
- backtest_end_time回测结束时间
- backtest_adjust股票复权方式不复权:ADJUST_NONE前复权:ADJUST_PREV后复权:ADJUST_POST
- backtest_initial_cash回测初始资金
- backtest_commission_ratio回测佣金比例
- backtest_slippage_ratio回测滑点比例
- '''
- run(strategy_id='strategy_id',
- filename='main.py',
- mode=MODE_BACKTEST,
- token='token_id',
- backtest_start_time='2017-07-01 08:00:00',
- backtest_end_time='2017-10-01 16:00:00',
- backtest_adjust=ADJUST_PREV,
- backtest_initial_cash=10000000,
- backtest_commission_ratio=0.0001,
- backtest_slippage_ratio=0.0001)
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