from jqdata import *# 初始化函数，设定基准等等
def initialize(context):# 设定沪深300作为基准set_benchmark('000300.XSHG')# 开启动态复权模式(真实价格)set_option('use_real_price', True)# 股票类每笔交易时的手续费是：买入时佣金万分之三，卖出时佣金万分之三加千分之一印花税, 每笔交易佣金最低扣5块钱set_order_cost(OrderCost(close_tax=0.001, open_commission=0.0003, close_commission=0.0003, min_commission=5), type='stock')g.security = get_index_stocks('000300.XSHG')g.period = 30       # 选取30天籁计算收益率g.N = 10            # 总持有10只股票g.change = 1        # 每次只扔出一个，买入一个g.init = True       # 标识判断初始情况run_monthly(handle, 1)def get_sorted_stocks(context, stocks):# 给沪深300所有股票按收益增长率排序df = history(g.period, field='close', security_list=stocks).Tprint(df)df['ret'] = (df.iloc[:, len(df.columns)-1] - df.iloc[:,0]) / df.iloc[:,0]df = df.sort_values('ret', ascending=False)return df.index.valuesdef handle(context):if g.init:     # 初始化，买入收益增长率最小的N支stocks = get_sorted_stocks(context, g.security)[:g.N]cash = context.portfolio.available_cash * 0.9 / len(stocks)for stock in stocks:order_value(stock, cash)g.init = Falsereturn# 调仓卖掉原有股票中反转最小的股票stocks = get_sorted_stocks(context, context.portfolio.positions.keys())for stock in stocks[-g.change:]:order_target(stock, 0)# 调仓买入新的收益增长率最低的stocks = get_sorted_stocks(context, g.security)for stock in stocks:if len(context.portfolio.positions) >= g.N:breakif stock not in context.portfolio.positions:order_value(stock, context.portfolio.available_cash * 0.9)