ROE选股指标
最后更新于：2022-04-01 21:51:23
# ROE选股指标
> 来源：https://uqer.io/community/share/5668533af9f06c6c8a91b688
简单的ROE选股：按ROE排序选前10%的股票，等权重买入
```py
import numpy as np
import pandas as pd
start = '2015-01-01' # 回测起始时间
end = '2016-01-01' # 回测结束时间
benchmark = 'HS300' # 策略参考标准
universe = set_universe('HS300') # 证券池，支持股票和基金
capital_base = 100000 # 起始资金
freq = 'd' # 策略类型，'d'表示日间策略使用日线回测，'m'表示日内策略使用分钟线回测
refresh_rate = 20 # 调仓频率，表示执行handle_data的时间间隔，若freq = 'd'时间间隔的单位为交易日，若freq = 'm'时间间隔为分钟
def initialize(account): # 初始化虚拟账户状态
pass
def handle_data(account): # 每个交易日的买入卖出指令
factor = DataAPI.MktStockFactorsOneDayGet(secID=account.universe,tradeDate=account.previous_date,field='secID,ROE',pandas="1").dropna() #获取所有股票的相关因子
sec_val = {'symbol':[], 'factor_value':[]}
for index, row in factor.iterrows():
sec_val['symbol'].append(row['secID'])
sec_val['factor_value'].append(row['ROE'])
sec_val = pd.DataFrame(sec_val).sort(columns='factor_value').reset_index()
sec_val = sec_val[int(len(sec_val)*0.9):] #排序并选择前10%
buylist = list(sec_val.symbol) #买入股票列表
for stock in account.valid_secpos:
if stock not in buylist:
order_to(stock, 0)
for stock in buylist:
if stock not in account.valid_secpos:
order(stock, account.cash/len(buylist))
return
```
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