银行股轮动
最后更新于：2022-04-01 21:56:58
# 银行股轮动
> 来源：https://uqer.io/community/share/55d0314af9f06c915418c69a
策略说明：持续持有两支市净率最低银行股，每月换仓
```py
import numpy as np
import pandas as pd
from pandas import DataFrame
import datetime
start = '2011-01-01'
end = '2015-08-14'
benchmark = 'HS300'
universe = ['000001.XSHE','002142.XSHE','600000.XSHG','600015.XSHG','600016.XSHG','600036.XSHG','601009.XSHG','601166.XSHG','601169.XSHG','601288.XSHG','601328.XSHG','601398.XSHG','601818.XSHG','601939.XSHG','601988.XSHG','601998.XSHG']
capital_base = 10000000
refresh_rate = 20
def initialize(account):
pass
def handle_data(account):
cal = Calendar('China.SSE')
lastTDay = cal.advanceDate(account.current_date,'-1B',BizDayConvention.Preceding)
today_str = lastTDay.strftime("%Y%m%d")
tickers = []
for stk in account.universe:
if not np.isnan(account.referencePrice[stk]):
tickers.append(stk[0:6])
try:
d=DataAPI.MktEqudGet(secID=u"",ticker=tickers,tradeDate=today_str,beginDate=u"",endDate=u"",field="secID,PB",pandas="1")
d=d.sort(columns='PB',ascending=1)
d=d.head(2)
buylist = d['secID'].tolist()
for stk in account.valid_secpos:
if stk not in buylist:
order_to(stk, 0)
# 等权重买入所选股票
portfolio_value = account.referencePortfolioValue
for stk in buylist:
if stk not in account.valid_secpos:
order_to(stk, int(portfolio_value / account.referencePrice[stk] / 100.0 / len(buylist))*100)
except:
return
```
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