羊驼反转策略
最后更新于：2022-04-01 21:56:26
# 羊驼反转策略
> 来源：https://uqer.io/community/share/566982a4f9f06c6c8a91b7a2
```py
# 第一步：设置基本参数
start = '2011-04-01' # 回测起始时间
end = '2015-12-01' # 回测结束时间
capital_base = 1000000 # 起始资金
refresh_rate = 10 # 调仓频率
benchmark = 'HS300' # 策略参考标准
freq = 'd' # 策略类型，'d'表示日间策略使用日线回测
# 第二步：选择主题，设置股票池
universe = set_universe('HS300') # 股票池
import numpy as np
import pandas as pd
data=DataAPI.MktStockFactorsOneDayGet(tradeDate='20110331',secID=universe,ticker=u"",field=['secID','REVS10'],pandas="1") #获取start前一日股票池中十日收益
buylist=data.dropna().sort(columns='REVS10',ascending=False).tail(10)['secID'].values.tolist() #将十日收益最差的十只股票组成list
def initialize(account): # 初始化虚拟账户状态
account.stocks_num=10
def handle_data(account): # 每个交易日的买入卖出指令
if account.stocks_num==10: #第一天交易使用buylist
global buylist
account.universe=buylist
hist_prices = account.get_attribute_history('closePrice', 1)
for i in account.universe:
order(i,100000/hist_prices[i][0])
account.stocks_num=1 #之后为非第一天交易策略
sellist=[]
replacelist=[]
sell=DataAPI.MktStockFactorsOneDayGet(tradeDate=account.current_date,secID=account.universe,ticker=u"",field=['secID','REVS10'],pandas="1") #获得十日以来账户中所有股票的收益
sellist.append(sell.min()['secID']) #找出收益最差的股票加入sellist
replace=DataAPI.MktStockFactorsOneDayGet(tradeDate=account.current_date,secID=universe,ticker=u"",field=['secID','REVS10'],pandas="1") #获得股票池中十日以来所有股票的收益
replace=replace.set_index('secID').drop(buylist)
replace=replace.dropna().sort(columns='REVS10',ascending=False).tail(1).reset_index()['secID'].values.tolist() #获得收益最差的股票作为账户中新的代替股票
replacelist.append(replace)
account.universe.remove(sell.min()['secID'])
account.universe=account.universe+replacelist[0]
hist_prices = account.get_attribute_history('closePrice', 1) #获取前一个交易日账户股票价格
for stk in sellist:
order_to(stk,0)
for stk in account.universe:
order(stk,account.cash/10/hist_prices[stk][0])
```
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