【基本面指标】Cash Cow
最后更新于：2022-04-01 21:51:33
# 【基本面指标】Cash Cow
> 来源：https://uqer.io/community/share/55418287f9f06c1c3d687fde
## 策略思路
每个季度，计算沪深300成分股资产负债表中的 现金及现金等价物/总资产 ，数值以最近一次披露的财报为准
清仓，选出该比率最大的前30只股票，将资金分成30份，分别买入
每60个交易日调仓一次
```py
from heapq import nlargest
from datetime import timedelta
start = '2010-01-01'
end = '2015-04-01'
benchmark = 'HS300'
universe = set_universe('HS300')
capital_base = 500000
refresh_rate = 60
def initialize(account):
pass
def handle_data(account):
cashpct = getCashPct(account.universe, account.current_date)
buylist = nlargest(30, cashpct, key=cashpct.get)
for stock in account.valid_secpos:
order_to(stock, 0)
for stock in buylist:
order(stock, int(account.referencePortfolioValue/len(buylist)/account.referencePrice[stock]/100)*100)
def getCashPct(universe, date):
start, end = (date - timedelta(weeks=26)).strftime('%Y%m%d'), date.strftime('%Y%m%d')
N = len(universe)
if N == 0:
return None
elif N <= 45:
batches = [universe]
else:
batches = [universe[i:i+45] for i in range(0, N, 45)]
CashPct = {}
for sub in batches:
df = DataAPI.FdmtBSGet(secID=','.join(sub), publishDateBegin=start, publishDateEnd=end, field=['secID', 'cashCEquiv', 'TAssets'])
for stock in sub:
try:
df_sub = df[df.secID==stock]
df_sub['pct'] = df_sub['cashCEquiv'] / df_sub['TAssets']
CashPct[stock] = df_sub['pct'].mean()
except:
pass
return CashPct
```
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