# 最經典的Momentum和Contrarian在中國市場的測試 > 來源：https://uqer.io/community/share/549b5bc8f9f06c4bb8863237 ## Momentum 策略思路 + Momentum：業績好的股票會繼續保持其上漲的勢頭，業績差的股票會保持其下跌的勢頭 策略實現 + Momentum：每次調倉將股票按照前一段時間的累計收益率排序并分組，買入歷史累計收益 最高 的那一組 ```py start = datetime(2011, 1, 1) # 回測起始時間 end = datetime(2014, 8, 1) # 回測結束時間 benchmark = 'HS300' # 使用滬深 300 作為參考標準 universe = set_universe('SH50') # 股票池，上證50 capital_base = 100000 # 起始資金 refresh_rate = 10 window = 20 def initialize(account): # 初始化虛擬賬戶狀態 account.amount = 300 account.universe = universe add_history('hist', window) def handle_data(account, data): # 每個交易日的買入賣出指令 momentum = {'symbol':[], 'c_ret':[]} for stk in account.hist: if 'closePrice' in account.hist[stk].columns: momentum['symbol'].append(stk) momentum['c_ret'].append(account.hist[stk].iloc[window-1,:]['closePrice']/account.hist[stk].iloc[0,:]['closePrice']) momentum = pd.DataFrame(momentum).sort(columns='c_ret').reset_index() momentum = momentum[len(momentum)*4/5:len(momentum)] buylist = momentum['symbol'].tolist() for stk in account.position.stkpos: if (stk not in buylist) and (account.position.stkpos[stk]>0): order_to(stk, 0) for stk in buylist: if account.position.stkpos.get(stk, 0)==0: order_to(stk, account.amount) ```  ## Contrarian 策略思路 + Contrarian：股票在經過一段時間的上漲之后會出現回落，一段時間的下跌之后會出現反彈 策略實現 + Contrarian：每次調倉將股票按照前一段時間的累計收益率排序并分組，買入歷史累計收益 最低 的那一組 ```py start = datetime(2011, 1, 1) # 回測起始時間 end = datetime(2014, 8, 1) # 回測結束時間 benchmark = 'HS300' # 使用滬深 300 作為參考標準 universe = set_universe('SH50') # 股票池，上證50 capital_base = 100000 # 起始資金 refresh_rate = 10 window = 20 def initialize(account): # 初始化虛擬賬戶狀態 account.amount = 300 account.universe = universe add_history('hist', window) def handle_data(account, data): # 每個交易日的買入賣出指令 contrarian = {'symbol':[], 'c_ret':[]} for stk in account.hist: if 'closePrice' in account.hist[stk].columns: contrarian['symbol'].append(stk) contrarian['c_ret'].append(account.hist[stk].iloc[window-1,:]['closePrice']/account.hist[stk].iloc[0,:]['closePrice']) contrarian = pd.DataFrame(contrarian).sort(columns='c_ret').reset_index() contrarian = contrarian[:len(contrarian)/5] buylist = contrarian['symbol'].tolist() for stk in account.position.stkpos: if (stk not in buylist) and (account.position.stkpos[stk]>0): order_to(stk, 0) for stk in buylist: if account.position.stkpos.get(stk, 0)==0: order_to(stk, account.amount) ```