利用股市板块轮流出现上涨行情,选择轮动上涨的股票。
选择标的:上证50、沪深300指数基金
判断指标:动量(当日收盘价-之前第20天收盘价) / 当日收盘价
判断条件:在动量大于0且没有持仓时,买入其中动量较大的一个并持有;在动量小于0的时候平仓。
调仓周期:每个交易日收盘时调仓。
ptrade上代码如下:
def initialize(context):
# 初始化此策略
# 设置我们要操作的股票池
g.security = ['510050.SS', '510300.SS']
set_universe(g.security)
def handle_data(context, data):
security = g.security
his_50 = get_history(20, frequency = '1d', field = 'close', security_list = security, fq = 'pre')
his_300 = get_history(20, frequency = '1d', field = 'close', security_list = security, fq = 'pre')
dong_50 = (data['510050.SS']['close'] - his_50['510050.SS'][0]) / data['510050.SS']['close']
dong_300 = (data['510300.SS']['close'] - his_300['510300.SS'][0]) / data['510300.SS']['close']
amount_50 = context.portfolio.positions['510050.SS']['amount']
amount_300 = context.portfolio.positions['510300.SS']['amount']
cash = context.portfolio.cash
if dong_50 < 0 and amount_50 > 0:
order_target('510050.SS', 0)
if dong_300 < 0 and amount_300 > 0:
order_target('510300.SS', 0)
if dong_50 > 0 and dong_50 > dong_300 and amount_50 == 0:
order_target_value('510050.SS', cash)
if dong_300 > 0 and dong_300 > dong_50 and amount_300 == 0:
order_target_value('510300.SS', cash)