2365 低开买入小市值策略（剥头皮策略）3.0 总结 45324

# 低开买入小市值策略（剥头皮策略）3.0 总结


from jqdata import *


def initialize(context):
    log.set_level('order', 'warning')
    set_option('use_real_price', True)
    set_option("avoid_future_data", True)
    #set_option("t0_mode", True) 
    set_slippage(FixedSlippage(0.02))
    # set_commission(PerTrade(buy_cost=0.0003, sell_cost=0.0013, min_cost=5))
    set_order_cost(OrderCost(open_tax=0, close_tax=0.001, open_commission=0.0003, close_commission=0.0003, close_today_commission=0, min_commission=5), type='stock')
    set_benchmark('399303.XSHE')
    
    g.choice = 500
    g.stock_num = 5
    g.stock_pool=[]
    # 模拟实盘中使用
    # run_daily(sell, time='9:26', reference_security='399303.XSHE')
    # run_daily(buy, time='9:27', reference_security='399303.XSHE')
    
    # 回测使用
    run_daily(my_trade, time='9:30', reference_security='399303.XSHE')

def filter_specials(context, stock_list):
    # type: (Context, int) -> list
    """
    过滤掉：1）三停：涨停、跌停、停牌；2）三特：st, *st, 退；3）科创、创业; 4）次新；
    适用于开盘前选股，如果是盘中，用curr_data[security].last_price替代curr_data[stock].day_open
    
    """
    curr_data = get_current_data()
    stock_list = [stock for stock in stock_list if not (
            # (curr_data[stock].day_open == curr_data[stock].high_limit) or   # 涨停开盘
            # (curr_data[stock].day_open == curr_data[stock].low_limit) or    # 跌停开盘
            curr_data[stock].paused or  # 停牌
            curr_data[stock].is_st or   # ST
            ('ST' in curr_data[stock].name) or
            ('*' in curr_data[stock].name) or
            ('退' in curr_data[stock].name) or
            # (stock.startswith('30')) or    # 创业
            (stock.startswith('688'))   # 科创
    )]
    #
    return stock_list

def before_trading_start(context):  # 该函数启动时间为'09:00'
    fundamentals_data = get_fundamentals(query(valuation.code, valuation.market_cap).order_by(valuation.market_cap.asc()).limit(g.choice))
    g.stock_pool = list(fundamentals_data['code'])
    g.stock_pool = filter_specials(context, g.stock_pool)

def my_trade(context):
    sell(context)
    buy(context)

def sell(context):
    for position in list(context.portfolio.positions.values()):
        if position.closeable_amount>0:
            close_position(position)

关键函数解锁后查看：

# 3-1 交易模块-自定义下单
def order_target_value_(security, value):
    if value == 0:
        log.debug("Selling out %s" % security)
    else:
        log.debug("Order %s to value %f" % (security, value))
    return order_target_value(security, value)


# 3-2 交易模块-开仓
def open_position(security, value):
    print("buy:"+security+" "+str(value))
    _order = order_target_value_(security, value)
    if _order is not None and _order.filled > 0:
        return True
    return False


# 3-3 交易模块-平仓
def close_position(position):
    security = position.security
    _order = order_target_value_(security, 0)  # 可能会因停牌失败
    if _order is not None:
        if _order.status == OrderStatus.held and _order.filled == _order.amount:
            return True
    return False

2025-02-23