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大资金强基本面优质股组合策略 收益1217% 无小市值因子
策略
作者: 水滴
```python # 风险及免责提示：该策略由聚宽用户在聚宽社区分享，仅供学习交流使用。 # 原文一般包含策略说明，如有疑问请到原文和作者交流讨论。 # 原文网址：https://www.joinquant.com/post/42029 # 标题：大资金优质股策略，总收益1217%！无小市值因子！ # 作者：hello friends # 回测资金 10000000 from jqfactor import neutralize from jqfactor import winsorize from jqfactor import standardlize import pandas as pd import statsmodels.api as sm from jqdata import * from jqfactor import get_factor_values import datetime # 初始化函数 def initialize(context): # 设定基准 set_benchmark('000905.XSHG') # 用真实价格交易 set_option('use_real_price', True) # 打开防未来函数 set_option("avoid_future_data", True) # 过滤掉order系列API产生的比error级别低的log log.set_level('order', 'error') # 初始化全局变量 g.stock_num = 8#持股数 g.limit_days = 20#用来检查最近20天内列表中有涨停的股票 g.hold_list = [] # 设置交易时间，每天运行 run_daily(prepare_stock_list, time='9:05', reference_security='000300.XSHG') # run_weekly(weekly_adjustment, weekday=1, time='9:30', reference_security='000300.XSHG') run_monthly(monthly_adjustment, monthday=1, time='9:30', reference_security='000300.XSHG') #每周获取股票列表，去除最近20天内曾经涨停过的和曾经买过的股，去掉下跌趋势明显的 run_daily(check_limit_up, time='14:00', reference_security='000300.XSHG') #把昨日涨停今天没涨停的股票卖出 # 1-2 选股模块：根据因子找出股票 def get_stock_list(context): yesterday=context.previous_date # 去掉次新股 by_date = context.previous_date - datetime.timedelta(days=375) initial_list = get_all_securities(date=by_date).index.tolist() # 去科创，ST initial_list = filter_kcb_stock(initial_list) sample = filter_st_stock(initial_list) #FCF/市值和roe双因子得出 q=query(valuation.code, (cash_flow.net_operate_cash_flow-cash_flow.subtotal_invest_cash_outflow)/100000000, (cash_flow.net_operate_cash_flow-cash_flow.subtotal_invest_cash_outflow)/(valuation.market_cap*100000000), indicator.roe, indicator.net_profit_margin, indicator.inc_net_profit_year_on_year, valuation.circulating_market_cap ).filter(valuation.code.in_(sample),#选股条件 (cash_flow.net_operate_cash_flow-cash_flow.subtotal_invest_cash_outflow)/(valuation.market_cap*100000000)>0.02, indicator.adjusted_profit>0,#季度扣非利润 indicator.roe>3,#季度ROE大于5% indicator.net_profit_margin>10,#净利率大于10% indicator.inc_net_profit_to_shareholders_year_on_year>5#归母净利同比增长＞5%，数据不对？？？ ).order_by( (cash_flow.net_operate_cash_flow-cash_flow.subtotal_invest_cash_outflow)/(valuation.market_cap*100000000).desc() ) #用DF来承接查询的数据 df=get_fundamentals(q,date=None) #进行列名更改 df.columns=['code', '自由现金流（亿元）','FCF/市值(排序列)','roe','净利率','归母净利润YOY','流通市值'] df.index=df.code.values del df['code'] df #去极值、中性化、标准化 factors_list=['FCF/市值(排序列)','roe'] df['score']=0 for factor in factors_list: df[factor]=winsorize(df[factor], qrange=[0.05,0.93], inclusive=True, inf2nan=True, axis=0)#默认axis=1对行做处理 df[factor]=neutralize(df[factor], how=['jq_l1', 'market_cap'], date=None, axis=0)#默认axis=1对行做处理，默认date=None #是否有未来函数？ df[factor]=standardlize(df[factor], inf2nan=True, axis=0)#默认axis=1对行做处理 df['score']=df['score']+df[factor] #等权加分排序,取分数最高的前10个 df3=df.sort_values("score",ascending=False).iloc[:10] WNS1_list=df3.index.tolist() print('选股结果：',len(WNS1_list)) return WNS1_list # 1-3 准备股票池 def prepare_stock_list(context): # 获取已持有列表 g.hold_list = list(context.portfolio.positions) # 获取持仓的昨日涨停列表 g.high_limit_list = [] if g.hold_list: df = get_price(g.hold_list, end_date=context.previous_date, frequency='daily', fields=['close', 'high_limit', 'paused'], count=1, panel=False) g.high_limit_list = df.query('close==high_limit and paused==0')['code'].tolist()#paused为0表示不停牌 # 1-4 整体调整持仓 def monthly_adjustment(context): # type: (Context) -> None # 获取应买入列表 target_list = get_stock_list(context)#获取股票列表 # target_list = filter_paused_stock(target_list) target_list = filter_limit_stock(context, target_list) # 调仓：不在列表，昨日未涨停的持仓票卖出。 for stock in g.hold_list: if (stock not in target_list) and (stock not in g.high_limit_list): log.info("卖出[%s]" % stock) position = context.portfolio.positions[stock] close_position(position) else: log.info("已持有[%s]" % stock) position_count = len(context.portfolio.positions) target_num = g.stock_num if target_num > position_count: value = context.portfolio.available_cash / (target_num - position_count) for stock in target_list: if stock not in context.portfolio.positions: if open_position(stock, value): if len(context.portfolio.positions) >= g.stock_num: break # 1-5 调整昨日涨停股票 def check_limit_up(context): current_data = get_current_data() if g.high_limit_list:#if list: list非0非空，则为true for stock in g.high_limit_list: if current_data[stock].last_price < current_data[stock].high_limit: log.info("[%s]涨停打开，卖出" % stock) position = context.portfolio.positions[stock] close_position(position) else: log.info("[%s]涨停，继续持有" % stock) # 2-1 过滤停牌股票 def filter_paused_stock(stock_list): current_data = get_current_data() return [stock for stock in stock_list if not current_data[stock].paused] # 2-2 过滤ST及其他具有退市标签的股票 def filter_st_stock(stock_list): current_data = get_current_data() return [stock for stock in stock_list if not ( current_data[stock].is_st or 'ST' in current_data[stock].name or '*' in current_data[stock].name or '退' in current_data[stock].name)] # 2-4 过滤涨停的股票 def filter_limit_stock(context, stock_list): # type: (Context, list) -> list current_data = get_current_data() holdings = list(context.portfolio.positions) return [stock for stock in stock_list if (stock in holdings) or current_data[stock].low_limit < current_data[stock].last_price < current_data[stock].high_limit] # 2-6 过滤科创板 def filter_kcb_stock(stock_list): return [stock for stock in stock_list if not stock.startswith('68')] # 3-1 交易模块-自定义下单 def order_target_value_(security, value): if value == 0: log.debug("Selling out %s" % security) else: log.debug("Order %s to value %f" % (security, value)) return order_target_value(security, value) # 3-2 交易模块-开仓 def open_position(security, value): _order = order_target_value_(security, value) if _order is not None and _order.filled > 0: return True return False # 3-3 交易模块-平仓 def close_position(position): security = position.security _order = order_target_value_(security, 0) # 可能会因停牌失败 if _order is not None: if _order.status == OrderStatus.held and _order.filled == _order.amount: return True return False ```
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