北向资金A股择时策略（5年16倍）

策略作者: 水滴

```python
# 风险及免责提示：该策略由聚宽用户分享，仅供学习交流使用。
# 原文一般包含策略说明，如有疑问建议到原文和作者交流讨论。
# 克隆自聚宽文章：https://www.joinquant.com/post/28714
# 标题：北向资金A股择时策略（5年16倍）
# 作者：Matt9419
# 回测资金需要设置100万.

import pandas as pd
from jqdata import finance

def initialize(context):
    set_params()
    set_benchmark('000300.XSHG')
    set_option('use_real_price', True)
    log.set_level('order', 'error')

set_subportfolios([SubPortfolioConfig(cash=context.portfolio.starting_cash, type='index_futures')])
    set_order_cost(OrderCost(open_commission=0.000023, close_commission=0.000023,close_today_commission=0.0023), type='index_futures')
    set_option('futures_margin_rate', g.margin_rate)

run_daily(before_market_open, time='07:00', reference_security='IF8888.CCFX')
    run_daily(market_open, time='09:30', reference_security='IF8888.CCFX')
    
def set_params():
    """
    全局变量设定
    """
    # 期货合约
    g.future_symbol = 'IF'
    # 保证金率
    g.margin_rate = 0.1
    # 布林带参数
    g.window = 252
    g.stdev_n = 1.5
    # 资金占用比例
    g.cash_rate = 0.5
    
    g.mf, g.upper, g.lower = None, None, None
    g.hold_future = ''

def before_market_open(context):
    """
    开盘前运行
    """
    pre_date = (context.current_dt - datetime.timedelta(1)).strftime('%Y-%m-%d')
    g.mf, g.upper, g.lower = get_boll(pre_date)
    log.info('%.2f %.2f %.2f' % (g.mf, g.upper, g.lower))

def market_open(context):
    """
    开盘运行
    """
    # 获取当日主力合约
    dom_future = get_dominant_future(g.future_symbol)
    if get_security_info(dom_future).end_date.strftime('%Y-%m-%d') == context.current_dt.strftime('%Y-%m-%d'):
        dom_future = get_future_contracts(g.future_symbol)[1]
    # 有持仓
    if len(g.hold_future):
        long_positions = context.portfolio.positions
        if g.hold_future in long_positions:
            # 平多
            if g.mf < g.lower:
                order_target(g.hold_future, 0)
                g.hold_future = ''
                log.info('sell close')
            # 移仓换月
            elif g.hold_future != dom_future:
                order_target(g.hold_future, 0)
                log.info('sell close')
                cash = context.portfolio.available_cash * g.cash_rate
                order_value(dom_future, cash)
                g.hold_future = dom_future
                log.info('buy open')
        else:
            # 平空
            if g.mf > g.upper:
                order_target(g.hold_future, 0, side='short')
                g.hold_future = ''
                log.info('buy close')
            # 移仓换月
            elif g.hold_future != dom_future:
                order_target(g.hold_future, 0, side='short')
                log.info('buy close')
                cash = context.portfolio.available_cash * g.cash_rate
                order_value(dom_future, cash, side='short')
                g.hold_future = dom_future
                log.info('sell open')
    # 无持仓
    if len(g.hold_future) == 0:
        cash = context.portfolio.available_cash * g.cash_rate
        # 开多
        if g.mf > g.upper:
            order_value(dom_future, cash)
            g.hold_future = dom_future
            log.info('buy open')
        # 开空
        # elif g.mf < g.lower:
        #     order_value(dom_future, cash, side='short')
        #     g.hold_future = dom_future
        #     log.info('sell open')

def get_boll(end_date):
    """
    获取北向资金布林带
    """
    table = finance.STK_ML_QUOTA
    q = query(
        table.day, table.quota_daily, table.quota_daily_balance
    ).filter(
        table.link_id.in_(['310001', '310002']), table.day<=end_date
    ).order_by(table.day)
    money_df = finance.run_query(q)
    money_df['net_amount'] = money_df['quota_daily'] - money_df['quota_daily_balance']
    # 分组求和
    money_df = money_df.groupby('day')[['net_amount']].sum().iloc[-g.window:]
    mid = money_df['net_amount'].mean()
    stdev = money_df['net_amount'].std()
    upper = mid + g.stdev_n * stdev
    lower = mid - g.stdev_n * stdev
    mf = money_df['net_amount'].iloc[-1]
    return mf, upper, lower

```

发布时间: 2025-02-26 20:58:18

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