羊驼反转策略（修改版）
最后更新于：2022-04-01 21:56:24
# 羊驼反转策略（修改版）
> 来源：https://uqer.io/community/share/566c0e3cf9f06c6c8a91ceec
```py
# 第一步：设置基本参数
start = '2015-01-01' # 回测起始时间
end = '2015-12-01' # 回测结束时间
capital_base = 1000000 # 起始资金
refresh_rate = 5 # 调仓频率
benchmark = 'HS300' # 策略参考标准
freq = 'd' # 策略类型，'d'表示日间策略使用日线回测
# 第二步：选择主题，设置股票池
universe = set_universe('HS300') # 股票池
import numpy as np
import pandas as pd
def initialize(account): # 初始化虚拟账户状态
account.stocks_num=10
def handle_data(account): # 每个交易日的买入卖出指令
if account.stocks_num==10: #第一天交易使用buylist
account.stocks_num=1
keylist=[]
data=DataAPI.MktStockFactorsOneDayGet(tradeDate=account.current_date,secID=account.universe,ticker=u"",field=['secID','REVS10'],pandas="1") #获取start前一日股票池中十日收益
keylist=data.dropna().sort(columns='REVS10',ascending=False).tail(10)['secID'].values.tolist() #将十日收益最差的十只股票组成list
#hist_prices = account.get_attribute_history('closePrice', 1)
for i in keylist:
order(i,100000/account.referencePrice[i])
else:
sellist=[]
replacelist=[]
keylist=[]
for key in account.valid_secpos.keys():
keylist.append(key)
sell=DataAPI.MktStockFactorsOneDayGet(tradeDate=account.current_date,secID=keylist,ticker=u"",field=['secID','REVS10'],pandas="1") #获得十日账户中所有股票的收益
sellist.append(sell.min()['secID']) #找出收益最差的股票加入sellist
replace=DataAPI.MktStockFactorsOneDayGet(tradeDate=account.current_date,secID=universe,ticker=u"",field=['secID','REVS10'],pandas="1") #获得股票池中十日以来
replace=replace.set_index('secID').drop(keylist).dropna()
replace=replace.sort(columns='REVS10',ascending=False).tail(1).reset_index()['secID'].values.tolist() #获得收益最差的股票作为账户中新的代替股票
keylist.remove(sellist[0])
replacelist=replacelist+replace
keylist.append(replacelist[0])
#print keylist
for stk in sellist:
order_to(stk, 0)
for stk in replacelist:
order(stk,account.cash/account.referencePrice[stk])
#print account.valid_secpos
```
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