from jqdata import *def initialize(context):set_benchmark('000300.XSHG')set_option('use_real_price', True)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')# 选市值作为因子，要从表valuation中market_cap字段获取sqlachmy的query对象g.q = query(valuation).filter(valuation.code.in_(g.security))g.N = 20      #20支市值最小的股票# 假设因子选股策略是每30天执行一次#方式一：# g.days = -1# def handle_data(context,data):#     g.days += 1#     if g.days % 30 == 0:#         pass#方式二：# 定时执行函数，每个月第1个交易日执行handle函数run_monthly(handle, 1)
def handle(context):df = get_fundamentals(g.q)[['code','market_cap']]df = df.sort_values('market_cap').iloc[:g.N,:]  #选出20支print(df)to_hold = df['code'].valuesfor stock in context.portfolio.positions:if stock not in to_hold:order_target(stock, 0)to_buy = [stock for stock in to_hold if stock not in context.portfolio.positions]if len(to_buy) > 0:cash_per_stock = context.portfolio.available_cash / len(to_buy)for stock in to_buy:order_value(stock, cash_per_stock)

from jqdata import *def initialize(context):set_benchmark('000300.XSHG')set_option('use_real_price', True)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')# 选市值作为因子，要从表valuation中market_cap字段获取sqlachmy的query对象g.q = query(valuation, indicator).filter(valuation.code.in_(g.security))g.N = 20      #20支股票
run_monthly(handle, 1)
def handle(context):df = get_fundamentals(g.q)[['code','market_cap','roe']]df['market_cap'] = (df['market_cap']-df['market_cap'].min())/(df['market_cap'].max()-df['market_cap'].min())df['roe'] = (df['roe']-df['roe'].min())/(df['roe'].max()-df['roe'].min())# 双因子评分：市盈率越大越好，市值越小越好df['score'] = df['roe'] - df['market_cap']# 对评分排序，选最大的20支股票df = df.sort_values('score').iloc[-g.N:,:]to_hold = df['code'].valuesfor stock in context.portfolio.positions:if stock not in to_hold:order_target(stock, 0)to_buy = [stock for stock in to_hold if stock not in context.portfolio.positions]if len(to_buy) > 0:cash_per_stock = context.portfolio.available_cash / len(to_buy)for stock in to_buy:order_value(stock, cash_per_stock)