价值投资--低估价值选股策略

def initialize(context):

g.stockindex = '000300.XSHG' # 指数

g.security = get_index_stocks(g.stockindex)

set_universe(g.security)

set_benchmark('000300.XSHG')

# run_daily(update_benchmark, time='before_open')

set_commission(PerTrade(buy_cost=0.0003, sell_cost=0.0013, min_cost=5))

g.stocknum = 25 # 持股数

## 自动设定调仓月份（如需使用自动，注销下段）

f = 4 # 调仓频率

(range(1,13,12/f))

g.Transfer_date = range(1,13,12/f)

## 手动设定调仓月份（如需使用手动，注销上段）

# g.Transfer_date = (3,9)

# run_daily(dapan_stoploss) #根据大盘止损，如不想加入大盘止损，注释此句即可## 按月调用程序

run_monthly(Transfer,20)

# 每个单位时间(如果按天回测,则每天调用一次,如果按分钟,则每分钟调用一次)调用一次def Transfer(context):

months = context.current_dt.month

if months in g.Transfer_date:

## 分配资金

if len(context.portfolio.positions) < g.stocknum :

Num = g.stocknum - len(context.portfolio.positions)

Cash = context.portfolio.cash/Num

else:

Cash = context.portfolio.cash

## 获得Buylist

Buylist = Check_Stocks(context)

(len(Buylist))

# (Buylist)

## 卖出

if len(context.portfolio.positions) > 0:

for stock in context.portfolio.positions.keys():

if stock not in Buylist:

order_target(stock, 0)

## 买入

if len(Buylist) > 0:

for stock in Buylist:

if stock not in context.portfolio.positions.keys():

order_value(stock,Cash)

else:

pass

def Check_Stocks(context):

security = get_index_stocks(g.stockindex)

Stocks = get_fundamentals(query(

valuation.code,

valuation.pb_ratio,

balance.total_assets,

balance.total_liability,

balance.total_current_assets,

balance.total_current_liability

).filter(

valuation.code.in_(security),

valuation.pb_ratio < 2,

valuation.pb_ratio > 0,

balance.total_current_assets/balance.total_current_liability > 1.2 ))

Stocks['Debt_Asset'] = Stocks['total_liability']/Stocks['total_assets']

me = Stocks['Debt_Asset'].median()

Code = Stocks[Stocks['Debt_Asset'] > me].code

return list(Code)

def dapan_stoploss(context):

## 根据局大盘止损，具体用法详见dp_stoploss函数说明

stoploss = dp_stoploss(kernel=2, n=10, zs=0.1)

if stoploss:

if len(context.portfolio.positions)>0:

for stock in list(context.portfolio.positions.keys()):

order_target(stock, 0)

# return

def dp_stoploss(kernel=2, n=10, zs=0.03):

'''

方法1：当大盘N日均线(默认60日)与昨日收盘价构成“死叉”，则发出True信号方法2：当大盘N日内跌幅超过zs，则发出True信号

'''

# 止损方法1：根据大盘指数N日均线进行止损

if kernel == 1:

t = n+2

hist = attribute_history('000300.XSHG', t, '1d', 'close', df=False)

temp1 = sum(hist['close'][1:-1])/float(n)