因子选股

 

# 导入函数库
from jqdata import *

# 初始化函数，设定基准等等
def initialize(context):
    # 设定沪深300作为基准
    set_benchmark('000300.XSHG')
    # 开启动态复权模式(真实价格)
    set_option('use_real_price', True)
    # 输出内容到日志 log.info()
    log.info('初始函数开始运行且全局只运行一次')
    # 过滤掉order系列API产生的比error级别低的log
    # log.set_level('order', 'error')
    
    ### 股票相关设定 ###
    # 股票类每笔交易时的手续费是：买入时佣金万分之三，卖出时佣金万分之三加千分之一印花税, 每笔交易佣金最低扣5块钱
    set_order_cost(OrderCost(close_tax=0.001, open_commission=0.0003, close_commission=0.0003, min_commission=5), type='stock')
    g.security = get_index_stocks('000300.XSHG')
    g.q = query(valuation).filter(valuation.code.in_(g.security))
    g.N = 10
    run_monthly(handle,1)

def handle(context):
    df = get_fundamentals(g.q)
    df = df.sort_values(by='market_cap')
    df = df[:g.N]
    tohold = df['code'].values
    print(tohold)
    
    for stock in context.portfolio.positions:
        if stock not in tohold:
            #卖出
            order_target(stock,0)
            
    tobuy = [stock for stock in tohold if stock not in context.portfolio.positions]
    
    cash = context.portfolio.available_cash
    n = len(tobuy)
    #买入
    for stock in tobuy:
        order_value(stock,int(cash/n))

 

 

来源：oschina

链接：https://my.oschina.net/u/4275665/blog/4436873