便宜就是 alpha
最后更新于：2022-04-01 21:56:38
# 便宜就是 alpha
> 来源：https://uqer.io/community/share/5609169cf9f06c597565ef13
参考社区的策略，练手一个简单的调仓逻辑
## 策略思路
+ 一星期或者一个月一换仓
+ 每次换仓时，取股价最低的15只等权重买入
```py
import numpy as np
from heapq import nlargest, nsmallest
from CAL.PyCAL import *
start = datetime(2012, 1, 1)
end = datetime(2015, 8, 31)
benchmark = 'HS300' # 策略参考标准
universe = set_universe('ZZ500') + set_universe('HS300')
capital_base = 1000000
stk_num = 15 # 持仓股票数量
refresh_rate = 5
def initialize(account):
pass
def handle_data(account):
cal = Calendar('China.SSE')
# ----------------- 清洗universe --------------------------------
date = account.current_date
yesterday = cal.advanceDate(date, '-1B', BizDayConvention.Following)
yesterday = datetime(yesterday.year(), yesterday.month(), yesterday.dayOfMonth()).strftime('%Y%m%d'),
# 去除ST股
try:
STlist = DataAPI.SecSTGet(secID=account.universe, beginDate=yesterday, endDate=yesterday, field=['secID']).tolist()
account.universe = [s for s in account.universe if s not in STlist]
except:
pass
# 去除流动性差的股票
tv = account.get_attribute_history('turnoverValue', 20)
mtv = {sec: sum(tvs)/20. for sec,tvs in tv.items()}
account.universe = [s for s in account.universe if mtv.get(s, 0) >= 10**7]
# 去除新上市或复牌的股票
opn = account.get_attribute_history('openPrice', 1)
account.universe = [s for s in account.universe if not (np.isnan(opn.get(s, 0)[0]) or opn.get(s, 0)[0] == 0)]
# ----------------- 调仓逻辑 --------------------------------
bucket = {}
for stk in account.universe:
bucket[stk] = account.referencePrice[stk]
# 以前面计算得到的turnover_delta对股票池中股票排序，并取前stk_num只，力图满足比赛要求
# 注意：
# 这里我们其实取了股价最低的 stk_num*2 只，原因在于：为了满足参赛要求，调仓时候我们必须
# 达到一定仓位，如果取stk_num只，那么一旦遇到涨停停牌等买不进的情况，就跪了；所以我们拿
# stk_num*2 数量的股票，但是却将仓位分成stk_num份，每份买进一只，这样有一只买不进，就
# 买后面的，参赛调仓是不是保险了许多啊
buy_list = nsmallest(stk_num*2, bucket, key=bucket.get)
# 目前持仓中不在buy_list中的股票，清仓
for stk, amount in account.valid_secpos.items():
if stk not in buy_list:
order_to(stk, 0)
# buy_list中的股票，等权重买入
position_per_stk = account.referencePortfolioValue/stk_num # 将仓位分成stk_num份
for stk in buy_list:
if account.referencePrice[stk] > 0:
amount = int(position_per_stk/account.referencePrice[stk]/100.0) * 100
order_to(stk, amount)
return
```
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