QMT代码详解<一> 行业ETF轮动

#coding:gbk



'''

回测模型示例（非实盘交易策略）



本策略每隔1个月定时触发计算1000能源（399381.SZ）、1000材料（399382.SZ）、1000工业（399383.SZ）、

1000可选（399384.SZ）、1000消费（399385.SZ）、1000医药（399386.SZ）这几个行业指数过去

20个交易日的收益率并选取了收益率最高的指数的成份股并获取了他们的市值数据

随后把仓位调整至市值最大的5只股票上

该策略在股票指数日线下运行

'''

import numpy as np

import math

def init(ContextInfo):

    MarketPosition ={}

    ContextInfo.MarketPosition = MarketPosition #初始化持仓

    index_universe = ['399381.SZ','399382.SZ','399383.SZ','399384.SZ','399385.SZ','399386.SZ'] 

    index_stocks = []

    for index in index_universe:

        for stock in ContextInfo.get_sector(index): # 获取指数的成分股

            index_stocks.append(stock)

    ContextInfo.set_universe(index_universe+index_stocks)   #设定股票池,

    ContextInfo.day = 20

    ContextInfo.ratio = 0.8

    ContextInfo.holding_amount = 5

    ContextInfo.accountID='testS'



def handlebar(ContextInfo):

    buy_condition = False

    sell_condition = False

    d = ContextInfo.barpos

    print(d)

    lastdate = timetag_to_datetime(ContextInfo.get_bar_timetag(d - 1), '%Y%m%d')

    date = timetag_to_datetime(ContextInfo.get_bar_timetag(d), '%Y%m%d')

    print(date)

    index_list = ['399381.SZ','399382.SZ','399383.SZ','399384.SZ','399385.SZ','399386.SZ']

    return_index = []

    weight = ContextInfo.ratio/ContextInfo.holding_amount

    size_dict = {}

    if  (float(date[-4:-2]) != float(lastdate[-4:-2])):

        #print '---------------------------------------------------------------------------------'

        #print '当前交易日',date,date[-4:-2] 20210101 获取到的月份不一样，这样在每个月初会执行一次这个函数

        

        # 获取的是股票池的

        his = ContextInfo.get_history_data(21,'1d','close')

        

        #print "his",his,timetag_to_datetime(ContextInfo.get_bar_timetag(d),"%Y%m%d")

        for k in list(his.keys()):

            if len(his[k]) == 0:

                del his[k]

        for index in index_list:

            ratio = 0

            try:

                ratio = (his[index][-2] - his[index][0])/his[index][0]

            except KeyError:

                print('key error:' + index)

            except IndexError:

                print('list index out of range:' + index)

            return_index.append(ratio)

        # 获取指定数内收益率表现最好的行业

        best_index = index_list[np.argmax(return_index)]

        #print '当前最佳行业是：', ContextInfo.get_stock_name(best_index)[3:]+'行业'

        # 获取当天有交易的股票

        index_stock = ContextInfo.get_sector(best_index)

        stock_available = []

        for stock in index_stock:

            if ContextInfo.is_suspended_stock(stock) == False: # 是否停牌

                stock_available.append(stock)

                

        for stock in stock_available:

            if stock in list(his.keys()):

                #目前历史流通股本取不到，暂用总股本

                if len(his[stock]) >= 2:

                    stocksize =his[stock][-2] * float(ContextInfo.get_financial_data(['CAPITALSTRUCTURE.total_capital'],[stock],lastdate,date).iloc[0,-1])

                    size_dict[stock] = stocksize

                elif len(his[stock]) == 1:

                    stocksize =his[stock][-1] * float(ContextInfo.get_financial_data(['CAPITALSTRUCTURE.total_capital'],[stock],lastdate,date).iloc[0,-1])

                    size_dict[stock] = stocksize

                else:

                    return

        size_sorted = sorted(list(size_dict.items()), key = lambda item:item[1]) # 根据股本顺序排序

        pre_holding = []

        

        for tuple in size_sorted[-ContextInfo.holding_amount:]: # 最好不要占用关键词

            pre_holding.append(tuple[0])

        #print '买入备选',pre_holding

        #函数下单

        if len(pre_holding) > 0:

            sellshort_list = []

            for stock in list(ContextInfo.MarketPosition.keys()): # 遍历持仓，如果不在当前条件范围内，卖出

                if stock not in pre_holding and (stock in list(his.keys())):

                    order_shares(stock,-ContextInfo.MarketPosition[stock],'lastest',his[stock][-1],ContextInfo,ContextInfo.accountID)

                    print('sell',stock)

                    sell_condition = True

                    sellshort_list.append(stock)

            if len(sellshort_list) >0: # 这句多余

                for stock in sellshort_list:

                    del ContextInfo.MarketPosition[stock]

            

            for stock in pre_holding:

                if stock not in list(ContextInfo.MarketPosition.keys()): # 买入

                    Lots = math.floor(ContextInfo.ratio * (1.0/len(pre_holding)) * ContextInfo.capital / (his[stock][-1] * 100))

                    order_shares(stock,Lots *100,'lastest',his[stock][-1],ContextInfo,ContextInfo.accountID)

                    print('buy',stock)

                    buy_condition = True

                    ContextInfo.MarketPosition[stock] = Lots *100