行業輪動策略：
本策略每隔1個月定時觸發計算1000能源（399381.SZ）、1000材料（399382.SZ）、1000工業（399383.SZ）、1000可選（399384.SZ）、1000消費（399385.SZ）、1000醫藥（399386.SZ）這幾個行業指數過去20個交易日的收益率并選取了收益率最高的指數的成份股并獲取了他們的市值數據隨后把倉位調整至市值最大的5只股票上
該策略在股票指數日線下運行
獲取股票池：
index_list = ['399381.SZ','399382.SZ','399383.SZ','399384.SZ','399385.SZ','399386.SZ']獲取收益率最高的指數的成分股：
for k in list(his.keys()):if len(his[k]) == 0:del his[k]for index in index_list:ratio = 0try:ratio = (his[index][-2] - his[index][0])/his[index][0]except KeyError:print('key error:' + index)except IndexError:print('list index out of range:' + index)return_index.append(ratio)# 獲取指定數內收益率表現最好的行業best_index = index_list[np.argmax(return_index)]獲取股票對應的市值：
# 獲取當天有交易的股票index_stock = ContextInfo.get_sector(best_index)stock_available = []for stock in index_stock:if ContextInfo.is_suspended_stock(stock) == False:stock_available.append(stock)for stock in stock_available:if stock in list(his.keys()):#目前歷史流通股本取不到，暫用總股本if len(his[stock]) >= 2:stocksize =his[stock][-2] * float(ContextInfo.get_financial_data(['CAPITALSTRUCTURE.total_capital'],[stock],lastdate,date).iloc[0,-1])size_dict[stock] = stocksizeelif len(his[stock]) == 1:stocksize =his[stock][-1] * float(ContextInfo.get_financial_data(['CAPITALSTRUCTURE.total_capital'],[stock],lastdate,date).iloc[0,-1])size_dict[stock] = stocksizeelse:returnsize_sorted = sorted(list(size_dict.items()), key = lambda item:item[1])pre_holding = []策略代碼：
#coding:gbk'''
回測模型示例（非實盤交易策略）本策略每隔1個月定時觸發計算1000能源（399381.SZ）、1000材料（399382.SZ）、1000工業（399383.SZ）、
1000可選（399384.SZ）、1000消費（399385.SZ）、1000醫藥（399386.SZ）這幾個行業指數過去
20個交易日的收益率并選取了收益率最高的指數的成份股并獲取了他們的市值數據
隨后把倉位調整至市值最大的5只股票上
該策略在股票指數日線下運行
'''
import numpy as np
import math
def init(ContextInfo):MarketPosition ={}ContextInfo.MarketPosition = MarketPosition #初始化持倉index_universe = ['399381.SZ','399382.SZ','399383.SZ','399384.SZ','399385.SZ','399386.SZ'] index_stocks = []for index in index_universe:for stock in ContextInfo.get_sector(index):index_stocks.append(stock)ContextInfo.set_universe(index_universe+index_stocks) #設定股票池ContextInfo.day = 20ContextInfo.ratio = 0.8ContextInfo.holding_amount = 5ContextInfo.accountID='testS'def handlebar(ContextInfo):buy_condition = Falsesell_condition = Falsed = ContextInfo.barposlastdate = timetag_to_datetime(ContextInfo.get_bar_timetag(d - 1), '%Y%m%d')date = timetag_to_datetime(ContextInfo.get_bar_timetag(d), '%Y%m%d')print(date)index_list = ['399381.SZ','399382.SZ','399383.SZ','399384.SZ','399385.SZ','399386.SZ']return_index = []weight = ContextInfo.ratio/ContextInfo.holding_amountsize_dict = {}if (float(date[-4:-2]) != float(lastdate[-4:-2])):#print '---------------------------------------------------------------------------------'#print '當前交易日',date,date[-4:-2]his = ContextInfo.get_history_data(21,'1d','close')#print "his",his,timetag_to_datetime(ContextInfo.get_bar_timetag(d),"%Y%m%d")for k in list(his.keys()):if len(his[k]) == 0:del his[k]for index in index_list:ratio = 0try:ratio = (his[index][-2] - his[index][0])/his[index][0]except KeyError:print('key error:' + index)except IndexError:print('list index out of range:' + index)return_index.append(ratio)# 獲取指定數內收益率表現最好的行業best_index = index_list[np.argmax(return_index)]#print '當前最佳行業是：', ContextInfo.get_stock_name(best_index)[3:]+'行業'# 獲取當天有交易的股票index_stock = ContextInfo.get_sector(best_index)stock_available = []for stock in index_stock:if ContextInfo.is_suspended_stock(stock) == False:stock_available.append(stock)for stock in stock_available:if stock in list(his.keys()):#目前歷史流通股本取不到，暫用總股本if len(his[stock]) >= 2:stocksize =his[stock][-2] * float(ContextInfo.get_financial_data(['CAPITALSTRUCTURE.total_capital'],[stock],lastdate,date).iloc[0,-1])size_dict[stock] = stocksizeelif len(his[stock]) == 1:stocksize =his[stock][-1] * float(ContextInfo.get_financial_data(['CAPITALSTRUCTURE.total_capital'],[stock],lastdate,date).iloc[0,-1])size_dict[stock] = stocksizeelse:returnsize_sorted = sorted(list(size_dict.items()), key = lambda item:item[1])pre_holding = []for tuple in size_sorted[-ContextInfo.holding_amount:]:pre_holding.append(tuple[0])#print '買入備選',pre_holding#函數下單if len(pre_holding) > 0:sellshort_list = []for stock in list(ContextInfo.MarketPosition.keys()):if stock not in pre_holding and (stock in list(his.keys())):order_shares(stock,-ContextInfo.MarketPosition[stock],'lastest',his[stock][-1],ContextInfo,ContextInfo.accountID)print('sell',stock)sell_condition = Truesellshort_list.append(stock)if len(sellshort_list) >0:for stock in sellshort_list:del ContextInfo.MarketPosition[stock]for stock in pre_holding:if stock not in list(ContextInfo.MarketPosition.keys()):Lots = math.floor(ContextInfo.ratio * (1.0/len(pre_holding)) * ContextInfo.capital / (his[stock][-1] * 100))order_shares(stock,Lots *100,'lastest',his[stock][-1],ContextInfo,ContextInfo.accountID)print('buy',stock)buy_condition = TrueContextInfo.MarketPosition[stock] = Lots *100#ContextInfo.paint('do_buy', int(buy_condition), -1, 0)#ContextInfo.paint('do_sell', int(sell_condition), -1, 0)
)
)