投资回报率ROIC中等市值

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/45757
# 标题：投资回报率ROIC中等市值
# 作者：明曦
# 原回测条件：2016-01-01 到 2023-12-29, ￥100000, 每天

import pandas as pd
from jqdata import *
import numpy as np
from jqfactor import *

def initialize(context):
    # setting
    log.set_level('order', 'error')
    set_option('use_real_price', True)
    set_option('avoid_future_data', True)
    set_slippage(FixedSlippage(0.003))
    # 设置交易成本万分之三，不同滑点影响可在归因分析中查看
    set_order_cost(OrderCost(open_tax=0, close_tax=0.001, open_commission=0.0003, close_commission=0.0003, close_today_commission=0, min_commission=5),type='stock')
    run_monthly(monthly_adjustment, 1, 'open')
    run_daily(prepare_stock_list, time='9:05', reference_security='000300.XSHG')
    g.stock_num =10
    g.hold_list = []
    
    
def prepare_stock_list(context):
    #获取已持有列表
    g.hold_list= []
    for position in list(context.portfolio.positions.values()):
        stock = position.security
        g.hold_list.append(stock)

def filter_roic(context,stock_list):
    yesterday = context.previous_date
    list=[]
    for stock in stock_list:
        roic=get_factor_values(stock, 'roic_ttm', end_date=yesterday,count=1)['roic_ttm'].iloc[0,0]
        if roic>0.08:
            list.append(stock)
            
    return list

def monthly_adjustment(context):
    yesterday = context.previous_date
    initial_list = get_all_securities().index.tolist()
    initial_list = filter_new_stock(context, initial_list)
    initial_list = filter_paused_stock(initial_list)
    initial_list = filter_kcbj_stock(initial_list)
    initial_list = filter_st_stock(initial_list)

df = get_fundamentals(query(
            valuation.code,
        ).filter(
            valuation.code.in_(initial_list),
            valuation.market_cap>500,#总市值（亿元）
            valuation.pe_ratio.between(0,50),#市盈率TTM
            indicator.eps>0.12,#每股收益
            indicator.roa>0.15,  #总资产收益
            (balance.total_liability/balance.total_sheet_owner_equities)<0.5,
            indicator.inc_total_revenue_year_on_year>0.3,#营业总收入同比增长率
            indicator.inc_revenue_year_on_year>0.2,#营业收入同比增长率
            balance.retained_profit>0,#未分配利润

).order_by(
        balance.retained_profit.desc()).limit(g.stock_num)).set_index('code').index.tolist()
    
    
    
    df=filter_roic(context,df)
    
    
    
    
    
    
    final_list=df
    for stock in g.hold_list:
        if stock not in final_list:
            position = context.portfolio.positions[stock]
            close_position(position)
    
    position_count = len(context.portfolio.positions)
    final_num = len(final_list)
    if final_num > position_count:
        value = context.portfolio.cash / (final_num - position_count)
        for stock in final_list:
            if context.portfolio.positions[stock].total_amount == 0:
                if open_position(stock, value):
                    if len(context.portfolio.positions) == final_num:
                        break

def filter_new_stock(context,stock_list):
    yesterday = context.previous_date
    return [stock for stock in stock_list if not yesterday - get_security_info(stock).start_date < datetime.timedelta(days=375)]

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
			and 'ST' not in current_data[stock].name
			and '*' not in current_data[stock].name
			and '退' not in current_data[stock].name]
			
def filter_kcbj_stock(stock_list):
    for stock in stock_list[:]:
        if stock[0] == '4' or stock[0] == '8' or stock[:2] == '68':
            stock_list.remove(stock)
    return stock_list
    
def open_position(security, value):
	order = order_target_value_(security, value)
	if order != None and order.filled > 0:
		return True
	return False
	
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)
	
def close_position(position):
	security = position.security
	order = order_target_value_(security, 0)  # 可能会因停牌失败
	if order != None:
		if order.status == OrderStatus.held and order.filled == order.amount:
			return True
	return False
	
def filter_paused_stock(stock_list):
	current_data = get_current_data()
	return [stock for stock in stock_list if not current_data[stock].paused]

```

发布时间: 2025-02-26 20:58:19

文章分类

关于作者

水滴

注册时间: