原文策略源码如下：
#低估值+TRIX+RSI 低回撤策略
import jqdata

导入talib库命名为tl

import talib as tl

导入numpy库命名为tl

import numpy as np

导入 technical_analysis 库

from jqlib.technical_analysis import *
‘’’

总体回测前

‘’’

配置参数最多持有几只股票

MAX_OWN_NUM = 2

配置参数买入单只股票,最大使用可用资金的几分之1

CASH_SP_COUNT = 2

配置参数每天开仓买入,最大使用多少可用资金额

CASH_MAX_USE = 20000

配置参数每只股票买入最大使用多少资金额

CASH_MAX_USE_PERSTOCK = 10000

初始化函数，设定基准等等

def initialize(context):
# 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’)
log.set_level(‘order’, ‘error’)
g.HighAfterEntry = {} #存放持仓股票买入后所创最高价
g.holdday = {}#存放持仓股票买入后持仓天数
### 股票相关设定 ###
#交易费率:
set_order_cost(OrderCost(close_tax=0.001#印花税
, open_commission=0.0003#佣金
, close_commission=0.0003
, min_commission=5), type=‘stock’)
## 运行函数
# 盘前运行
run_daily(before_market_open, time=‘before_open’)
# 盘中运行
run_daily(market_open, time=‘close-10m’)
# 盘后运行
run_daily(after_market_close, time=‘after_close’)

‘’’

每天开盘前

‘’’

盘前运行

def before_market_open(context):
g.date = context.current_dt.strftime("%Y-%m-%d")
# 输出运行时间
log.info(‘盘前运行:’+str(context.current_dt.time()))
#设定备选股票池（中证800）
g.codelist = get_index_stocks(‘000300.XSHG’)
#g.codelist = [‘601231.XSHG’]
#log.info(‘codelist:’,g.codelist)
g.codelist = gl_tp(g.codelist)# 过滤停牌股票
#log.info(‘codelist_tp:’,g.codelist)
g.codelist = gl_st(g.codelist)# 过滤ST股票
#log.info(‘codelist_st:’,g.codelist)
# 开盘前更新 g.HighAfterEntry 持仓股票买入后历史最高价
update_HighAfterEntry(context)

过滤停牌股票

def gl_tp(codelist):
current_data = get_current_data()
codelist = [code for code in codelist if not current_data[code].paused]
return codelist

过滤ST股票

def gl_st(codelist):
current_data = get_current_data()
codelist = [code for code in codelist if not current_data[code].is_st]
return codelist

更新 g.HighAfterEntry 持仓股票买入后历史最高价

def update_HighAfterEntry(context):
if len(g.HighAfterEntry) > 0:
for code in g.HighAfterEntry.keys():
sj = get_bars(code, 1, unit=‘1d’,fields=[‘close’],include_now=True)
if g.HighAfterEntry[code] < sj[‘close’][-1]:
g.HighAfterEntry[code] = sj[‘close’][-1]
else:
pass
#log.info(‘最高价:’, g.HighAfterEntry)

‘’’

================================================================================
‘’’

盘中运行

def market_open(context):

log.info('盘中运行:'+str(context.current_dt.time()))
sell_pd(context)##  卖出扫描判断
tdsell(context)##  卖出

buy_pd(context)##  买入扫描判断
tdbuy(context)##  买入

‘’’

每天交易时买入程序

‘’’
def Check_Stocks(context):
security = g.codelist
Stocks = get_fundamentals(query(
valuation.code,
valuation.pb_ratio,
balance.total_assets,
balance.total_liability,
balance.total_current_assets,
balance.total_current_liability
).filter(
valuation.code.in_(security),
valuation.pb_ratio < 2,
valuation.pb_ratio > 0,
balance.total_current_assets/balance.total_current_liability > 1.2
))

Stocks['Debt_Asset'] = Stocks['total_liability']/Stocks['total_assets']
me = Stocks['Debt_Asset'].median()
Code = Stocks[Stocks['Debt_Asset'] > me].code
return list(Code)

买入扫描判断

def buy_pd(context):
buy = []
own_num = len(context.portfolio.positions)#当前持仓数
if own_num < MAX_OWN_NUM:#如果当前持仓数<最大持仓数，执行选股
codelist = Check_Stocks(context)
for code in codelist:
if code in context.portfolio.positions:#剔除持仓股票
continue#继续，作用不执行剩余代码，结束本次循环
if btj1(code)==False or btj2(code)False:
continue
#elif btj3(code) == False:
# continue
#elif btj4(context,code) False:
# continue

        else :
            buy.append(code)#append添加，在buy中添加股票代码
        #当达到最大持有数是，停止选股
        if len(buy) + own_num == MAX_OWN_NUM:
            break

#set()创建一个无序不重复元素集,可以计算交集'&'、差集'-'、并集'|'运算
g.tdbuy = list(set(buy) - set(g.tdsell))#剔除今日卖出的股票
#log.info(' tdbuy ',g.tdbuy)#在日志中输出
return

买入

def tdbuy(context):
buylist = g.tdbuy
if len(buylist)>0:#len=长度，如果买入列表长度>0
#每份资金=min(设定.最大可用现金,账户现金)/max(今日买入只数,买入单只股票,最大使用可用资金的几分之1）
per_cash = min(CASH_MAX_USE,context.portfolio.available_cash)/max(len(buylist),CASH_SP_COUNT)
else:#否则
per_cash = 0
for code in buylist:
# 用所有 cash 买入股票
order_value(code, per_cash)
# 记录这次买入
#log.info(“开仓，买入 %s” % (code))
return
####买入条件1：
def btj1(code):
a = bei_li(code)
b = RS(code)
tj = False
if a == -1:
tj = True
return tj
def btj2(code):
a = bei_li(code)
b = RS(code)
tj = False
if b == -1:
tj = True
return tj
####买入条件2：
‘’’

每天交易时卖出程序

‘’’

卖出扫描判断

def sell_pd(context):
g.tdsell = []
if len(context.portfolio.positions)>0:
for code in context.portfolio.positions:#如果股票在持仓中
if stj1(code) == True :
g.tdsell.append(code)
#log.info('tdsell ',g.tdsell)

卖出

def tdsell(context):
sell_list = g.tdsell

for code in sell_list:
    # 卖出所有股票,使这只股票的最终持有量为0
    order_target(code, 0)
    # 记录这次卖出
    #log.info("平仓，卖出 %s" % (code))
return

####卖出条件1
def stj1(code):
a = bei_li(code)
b = RS(code)
tj = False
if b == 1 or a==1:
tj = True
return tj

‘’’

盘后运行

‘’’

收盘后运行函数

def after_market_close(context):
log.info(str(‘盘后运行:’+str(context.current_dt.time())))
ji_lu(context)

#画线
record (a=GetCurrentPositionCount(context))
#record ()
#record ()
log.info('一天结束\n══════════════════════════════════════════════════════════════════════════════════════════════════════════════════')

def ji_lu(context):
trades = get_orders() #得到当天所有成交记录
for t in trades.values():
#if t.is_buy and t.filled>0:
if t.action == ‘open’ and t.filled>0:
x = str(t.security)
g.HighAfterEntry[x] = t.price
#elif not t.is_buy and t.filled>0:
elif t.action == ‘close’ and t.filled>0:
xx = str(t.security)
try:
del g.HighAfterEntry[xx]
except:
g.HighAfterEntry[xx] = 0
log.info(“成交记录 \n
代码：%s\n
方向：%s\n
价格：%s\n
数量：%s\n”
,t.security,t.action,t.price,t.filled)

获取当前持有几只股票

def GetCurrentPositionCount(context):
c=0#初始为0只，空仓
# context.portfolio.positions = 当前持仓
for code in context.portfolio.positions:
if context.portfolio.positions[code].total_amount>0:#如果仓位>0
c+=1 #c+1
return c

‘’’

附属程序

‘’’

def bei_li(code):
security=code
check_date=g.date
TRIX1,MATRIX1 = TRIX(security,check_date, N = 12, M = 20)
TRIX11=TRIX1[security]
MATRIX11=MATRIX1[security]
dev_type = None
if TRIX1[security]>MATRIX1[security]:

    dev_type = -1

elif TRIX1[security] < MATRIX1[security]: 
    
    
    dev_type = 1
else:  
   
    dev_type = 0

return dev_type

def RS(code):
security=code
check_date=g.date
RSI1 = RSI(security,check_date, N1=6)
RSI11=RSI1[security]
dev_type = None
if 80>RSI11>55 or RSI11<15:

    dev_type = -1

elif 50>RSI11>20 or RSI11>85: 
   
    
    dev_type = 1
else:  
 
    dev_type = 0

return dev_type

来源：CSDN

作者：程序化小学生

链接：https://blog.csdn.net/weixin_45131220/article/details/103489566

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