strategy7: recommendation based on theme
最后更新于：2022-04-01 21:57:10
# strategy7: recommendation based on theme
> 来源：https://uqer.io/community/share/54a3c0bff9f06c276f6519e7
```py
universe=set_universe('HS300')
tickers=''
for stk in universe:
tickers += stk[0:6]+','
tickers=tickers.strip(",")
theme_infos=DataAPI.ThemeThemesGet(ticker=tickers,beginDate='20141201',endDate='20141230',field=['themeID','themeName'])
#建立一个字典theme_id_name_dic，储存themeID与themeName对应关系
#建立一个字典theme_stk_dic，储存主题与个股的对应关系
theme_id_name_dic={}
theme_stk_dic={}
for i in range(len(theme_infos)):
ticker = theme_infos.loc[i,'ticker']
if ticker[0]=='6':
ticker += '.XSHG'
else:
ticker += '.XSHE'
themeID = theme_infos.loc[i,'themeID']
themeName = theme_infos.loc[i,'themeName']
#建立themeID与themeName的对应关系
if themeID not in theme_id_name_dic:
theme_id_name_dic[themeID] = themeName
#建立主题与个股的对应关系，其中的stock均不带后缀
if themeID not in theme_stk_dic:
theme_stk_dic[themeID] = [ticker]
else:
theme_stk_dic[themeID].append(ticker)
#过滤掉无效的主题
filter_theme_id_name_dic={}
filter_stk_theme_dic={}
filter_theme_stk_dic={}
#训练得到有效主题
for (theme_id,stk_list) in theme_stk_dic.items():
if len(stk_list)>5:
filter_theme_id_name_dic[theme_id] = theme_id_name_dic[theme_id]
filter_theme_stk_dic[theme_id] = stk_list
for (theme_id,stk_list) in filter_theme_stk_dic.items():
for stk in stk_list:
if stk not in filter_stk_theme_dic:
filter_stk_theme_dic[stk] = [theme_id]
else:
filter_stk_theme_dic[stk].append(theme_id)
filter_universe = filter_stk_theme_dic.keys()
```
```py
start = datetime(2013, 6, 23) # 回测起始时间
end = datetime(2014, 12, 23) # 回测结束时间
benchmark = 'HS300' # 策略参考标准
universe = filter_universe # 股票池
capital_base = 100000 # 起始资金
window=1
hold_days=2 #股票持有时间
sell_stk_list=[]
for i in range(hold_days):
sell_stk_list.append({})
def initialize(account): # 初始化虚拟账户状态
add_history('hist',window)
def handle_data(account): # 每个交易日的买入卖出指令
theme_increase_raw={}
theme_increase = {}
n_theme = 6 #挑选涨得最好的几个主题
n_bigstk1 = 0 #根据过去涨幅挑选龙头股
n_bigstk2 = 2 #根据过去成交量大小挑选龙头股
for stk in account.universe:
theme_list = filter_stk_theme_dic[stk]
close_price = account.hist[stk]['closePrice'].iloc[-1]
pre_close_price = account.hist[stk]['preClosePrice'].iloc[0]
increase_rate = (close_price-pre_close_price)*1.0/pre_close_price
sum_turnoverVol = sum(list(account.hist[stk]['turnoverVol']))
num_increase = increase_rate * sum_turnoverVol
#计算主题涨幅
for theme_id in theme_list:
if theme_id not in theme_increase:
theme_increase_raw[theme_id] = [num_increase,sum_turnoverVol]
else:
theme_increase_raw[theme_id][0] += num_increase
theme_increase_raw[theme_id][1] += sum_turnoverVol
for (theme_id,theme_increase_list) in theme_increase_raw.items():
theme_increase[theme_id] = theme_increase_raw[theme_id][0]*1.0/theme_increase_raw[theme_id][1]
#将主题按涨幅排序，排名靠前的挑选出来。
theme_list_sort = sorted(theme_increase.keys(), key = lambda x:theme_increase[x], reverse=True)
good_theme = theme_list_sort[0:n_theme]
buy_list = []
#print 'theme_list_sort:',theme_list_sort
#print 'good_theme',good_theme
#挑选涨幅好的主题对应的龙头股，涨的多就是龙头股
for theme in good_theme:
#print account.current_date,theme_id_name_dic[theme],theme_increase[theme]
stk_list = filter_theme_stk_dic[theme]
stk_increase_dic = {}
for stk in stk_list:
if stk not in account.universe: continue
close_price = account.hist[stk]['closePrice'].iloc[-1]
pre_close_price = account.hist[stk]['preClosePrice'].iloc[0]
increase_rate = (close_price-pre_close_price)*1.0/pre_close_price
sum_turnoverVol = account.hist[stk]['turnoverVol'].iloc[window-1]
stk_increase_dic[stk] = [increase_rate,sum_turnoverVol]
stk_list_sort1 = sorted(stk_increase_dic.keys(), key =lambda x:stk_increase_dic[x][0], reverse = True)
stk_list_sort2 = sorted(stk_increase_dic.keys(), key =lambda x:stk_increase_dic[x][1], reverse = True)
#print stk_list_sort[0:n_bigstk]
buy_list += stk_list_sort1[0:n_bigstk1]+stk_list_sort2[0:n_bigstk2]
#买入股票，并将买入信息写入到卖出股票中
per_money=account.cash/len(buy_list)
sell_next_dic = {}
for stk in buy_list:
amount = int(per_money/account.hist[stk]['closePrice'].iloc[window-1])
order(stk,amount)
sell_next_dic[stk]=amount
sell_stk_list.append(sell_next_dic)
sell_today_dic=sell_stk_list.pop(0)
if sell_today_dic!={}:
for (stk,amt) in sell_today_dic.items():
#如果股票今天不能交易,就下一天再卖
if stk not in account.universe:
sell_stk_list[0][stk]=amt
else:
order(stk,-amt)
```
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