# 便宜就是 alpha > 來源：https://uqer.io/community/share/5609169cf9f06c597565ef13 參考社區的策略，練手一個簡單的調倉邏輯 ## 策略思路 + 一星期或者一個月一換倉 + 每次換倉時，取股價最低的15只等權重買入 ```py import numpy as np from heapq import nlargest, nsmallest from CAL.PyCAL import * start = datetime(2012, 1, 1) end = datetime(2015, 8, 31) benchmark = 'HS300' # 策略參考標準 universe = set_universe('ZZ500') + set_universe('HS300') capital_base = 1000000 stk_num = 15 # 持倉股票數量 refresh_rate = 5 def initialize(account): pass def handle_data(account): cal = Calendar('China.SSE') # ----------------- 清洗universe -------------------------------- date = account.current_date yesterday = cal.advanceDate(date, '-1B', BizDayConvention.Following) yesterday = datetime(yesterday.year(), yesterday.month(), yesterday.dayOfMonth()).strftime('%Y%m%d'), # 去除ST股 try: STlist = DataAPI.SecSTGet(secID=account.universe, beginDate=yesterday, endDate=yesterday, field=['secID']).tolist() account.universe = [s for s in account.universe if s not in STlist] except: pass # 去除流動性差的股票 tv = account.get_attribute_history('turnoverValue', 20) mtv = {sec: sum(tvs)/20. for sec,tvs in tv.items()} account.universe = [s for s in account.universe if mtv.get(s, 0) >= 10**7] # 去除新上市或復牌的股票 opn = account.get_attribute_history('openPrice', 1) account.universe = [s for s in account.universe if not (np.isnan(opn.get(s, 0)[0]) or opn.get(s, 0)[0] == 0)] # ----------------- 調倉邏輯 -------------------------------- bucket = {} for stk in account.universe: bucket[stk] = account.referencePrice[stk] # 以前面計算得到的turnover_delta對股票池中股票排序，并取前stk_num只，力圖滿足比賽要求 # 注意： # 這里我們其實取了股價最低的 stk_num*2 只，原因在于：為了滿足參賽要求，調倉時候我們必須 # 達到一定倉位，如果取stk_num只，那么一旦遇到漲停停牌等買不進的情況，就跪了；所以我們拿 # stk_num*2 數量的股票，但是卻將倉位分成stk_num份，每份買進一只，這樣有一只買不進，就 # 買后面的，參賽調倉是不是保險了許多啊 buy_list = nsmallest(stk_num*2, bucket, key=bucket.get) # 目前持倉中不在buy_list中的股票，清倉 for stk, amount in account.valid_secpos.items(): if stk not in buy_list: order_to(stk, 0) # buy_list中的股票，等權重買入 position_per_stk = account.referencePortfolioValue/stk_num # 將倉位分成stk_num份 for stk in buy_list: if account.referencePrice[stk] > 0: amount = int(position_per_stk/account.referencePrice[stk]/100.0) * 100 order_to(stk, amount) return ```