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反向动量策略（reverse momentum driven）

来源：https://uqer.io/community/share/5562c046f9f06c6c7404f9e3

import pandas as pd

start = '2011-11-01'
end   = '2015-03-01'
benchmark = 'HS300'
universe = set_universe('HS300')   # 股票池为沪深300
capital_base = 10000000
refresh_rate = 10

def initialize(account):
    pass

def handle_data(account):
    history = account.get_attribute_history('closePrice', 20)
    momentum = {'symbol':[], 'c_ret':[]}
    for stk in account.universe:
        momentum['symbol'].append(stk)
        momentum['c_ret'].append(history[stk][-1]/history[stk][0])
        
    # 按照过去20日收益率排序，并且选择前20%的股票作为买入候选
    momentum = pd.DataFrame(momentum).sort(columns='c_ret', ascending=False).reset_index()
    momentum = momentum[len(momentum)*4/5:len(momentum)]   # 选择
    buylist = momentum['symbol'].tolist()
    for stk in account.valid_secpos:
        if stk not in buylist:
            order_to(stk, 0)
   
    # 等权重买入所选股票
    portfolio_value = account.referencePortfolioValue
    for stk in buylist:
        if stk not in account.valid_secpos:
            order_to(stk, int(portfolio_value / account.referencePrice[stk] / 100.0 / len(buylist))*100)

bt
tradeDate cash security_position portfolio_value benchmark_return blotter
0 2011-11-29 1.627636 {u'600809.XSHG': 5700, u'600597.XSHG': 21100, ... 10057034.029636 0.013697 [Order(order time: datetime.datetime(2011, 11,...
1 2011-11-30 1.627636 {u'600809.XSHG': 5700, u'600597.XSHG': 21100, ... 9744501.409636 -0.033370 []
2 2011-12-01 1.627636 {u'600809.XSHG': 5700, u'600597.XSHG': 21100, ... 9865655.500636 0.024625 []
3 2011-12-02 1.627636 {u'600809.XSHG': 5700, u'600597.XSHG': 21100, ... 9708455.312636 -0.010180 []
4 2011-12-05 1.627636 {u'600809.XSHG': 5700, u'600597.XSHG': 21100, ... 9406180.945636 -0.014048 []
5 2011-12-06 1.627636 {u'600809.XSHG': 5700, u'600597.XSHG': 21100, ... 9415313.949636 -0.002000 []
6 2011-12-07 1.627636 {u'600809.XSHG': 5700, u'600597.XSHG': 21100, ... 9454383.554636 0.004724 []
7 2011-12-08 1.627636 {u'600809.XSHG': 5700, u'600597.XSHG': 21100, ... 9492264.755636 -0.001276 []
8 2011-12-09 1.627636 {u'600809.XSHG': 5700, u'600597.XSHG': 21100, ... 9410892.851636 -0.008531 []
9 2011-12-12 1.627636 {u'600809.XSHG': 5700, u'600597.XSHG': 21100, ... 9280515.559636 -0.010293 []
10 2011-12-13 6.144010 {u'000423.XSHE': 4200, u'600036.XSHG': 16300, ... 9116051.541010 -0.022506 [Order(order time: datetime.datetime(2011, 12,...
11 2011-12-14 6.144010 {u'000423.XSHE': 4200, u'600036.XSHG': 16300, ... 9042660.489010 -0.010094 []
12 2011-12-15 6.144010 {u'000423.XSHE': 4200, u'600036.XSHG': 16300, ... 8973191.009010 -0.023646 []
13 2011-12-16 6.144010 {u'000423.XSHE': 4200, u'600036.XSHG': 16300, ... 9203671.207010 0.021079 []
14 2011-12-19 6.144010 {u'000423.XSHE': 4200, u'600036.XSHG': 16300, ... 9272914.609010 -0.002394 []
15 2011-12-20 6.144010 {u'000423.XSHE': 4200, u'600036.XSHG': 16300, ... 9245375.546010 -0.003076 []
16 2011-12-21 6.144010 {u'000423.XSHE': 4200, u'600036.XSHG': 16300, ... 9134328.126010 -0.015971 []
17 2011-12-22 6.144010 {u'000423.XSHE': 4200, u'600036.XSHG': 16300, ... 9174823.752010 0.000952 []
18 2011-12-23 6.144010 {u'000423.XSHE': 4200, u'600036.XSHG': 16300, ... 9185929.702010 0.007613 []
19 2011-12-26 6.144010 {u'000423.XSHE': 4200, u'600036.XSHG': 16300, ... 9054507.546010 -0.009943 []
20 2011-12-27 9.172263 {u'601328.XSHG': 41600, u'600036.XSHG': 16300,... 8855733.701263 -0.013130 [Order(order time: datetime.datetime(2011, 12,...
21 2011-12-28 9.172263 {u'601328.XSHG': 41600, u'600036.XSHG': 16300,... 8820469.780263 0.001255 []
22 2011-12-29 9.172263 {u'601328.XSHG': 41600, u'600036.XSHG': 16300,... 8836530.533263 0.001487 []
23 2011-12-30 9.172263 {u'601328.XSHG': 41600, u'600036.XSHG': 16300,... 8976704.526263 0.014875 []
24 2012-01-04 9.172263 {u'601328.XSHG': 41600, u'600036.XSHG': 16300,... 8858664.267263 -0.020032 []
25 2012-01-05 9.172263 {u'601328.XSHG': 41600, u'600036.XSHG': 16300,... 8785873.316263 -0.009730 []
26 2012-01-06 9.172263 {u'601328.XSHG': 41600, u'600036.XSHG': 16300,... 8790219.626263 0.006245 []
27 2012-01-09 9.172263 {u'601328.XSHG': 41600, u'600036.XSHG': 16300,... 9032347.125263 0.034039 []
28 2012-01-10 9.172263 {u'601328.XSHG': 41600, u'600036.XSHG': 16300,... 9247829.118263 0.033260 []
29 2012-01-11 9.172263 {u'601328.XSHG': 41600, u'600036.XSHG': 16300,... 9186427.159263 -0.004797 []
... ... ... ... ... ... ...
755 2015-01-12 1.942737 {u'600036.XSHG': 23600, u'000776.XSHE': 22100,... 20280828.092737 -0.009344 []
756 2015-01-13 1.942737 {u'600036.XSHG': 23600, u'000776.XSHE': 22100,... 20204218.432737 0.000131 []
757 2015-01-14 1.942737 {u'600036.XSHG': 23600, u'000776.XSHE': 22100,... 20223885.602737 -0.003307 []
758 2015-01-15 1.942737 {u'600036.XSHG': 23600, u'000776.XSHE': 22100,... 20962393.212737 0.029036 []
759 2015-01-16 1.942737 {u'600036.XSHG': 23600, u'000776.XSHE': 22100,... 21076614.722737 0.008608 []
760 2015-01-19 3.731317 {u'601328.XSHG': 49500, u'600066.XSHG': 21600,... 19298994.131317 -0.077023 [Order(order time: datetime.datetime(2015, 1, ...
761 2015-01-20 3.731317 {u'601328.XSHG': 49500, u'600066.XSHG': 21600,... 19641436.921317 0.012240 []
762 2015-01-21 3.731317 {u'601328.XSHG': 49500, u'600066.XSHG': 21600,... 20548813.131317 0.044951 []
763 2015-01-22 3.731317 {u'601328.XSHG': 49500, u'600066.XSHG': 21600,... 20654164.321317 0.005277 []
764 2015-01-23 3.731317 {u'601328.XSHG': 49500, u'600066.XSHG': 21600,... 20704527.401317 0.001155 []
765 2015-01-26 3.731317 {u'601328.XSHG': 49500, u'600066.XSHG': 21600,... 20741863.411317 0.010150 []
766 2015-01-27 3.731317 {u'601328.XSHG': 49500, u'600066.XSHG': 21600,... 20501439.751317 -0.009161 []
767 2015-01-28 3.731317 {u'601328.XSHG': 49500, u'600066.XSHG': 21600,... 20072450.291317 -0.013877 []
768 2015-01-29 3.731317 {u'601328.XSHG': 49500, u'600066.XSHG': 21600,... 19879912.781317 -0.012346 []
769 2015-01-30 3.731317 {u'601328.XSHG': 49500, u'600066.XSHG': 21600,... 19612742.771317 -0.013616 []
770 2015-02-02 6.734377 {u'002153.XSHE': 4400, u'600498.XSHG': 19400, ... 19457712.474377 -0.023419 [Order(order time: datetime.datetime(2015, 2, ...
771 2015-02-03 6.734377 {u'002153.XSHE': 4400, u'600498.XSHG': 19400, ... 19862476.714377 0.024891 []
772 2015-02-04 6.734377 {u'002153.XSHE': 4400, u'600498.XSHG': 19400, ... 19714886.724377 -0.010379 []
773 2015-02-05 6.734377 {u'002153.XSHE': 4400, u'600498.XSHG': 19400, ... 19679598.144377 -0.010236 []
774 2015-02-06 6.734377 {u'002153.XSHE': 4400, u'600498.XSHG': 19400, ... 19297569.294377 -0.016194 []
775 2015-02-09 6.734377 {u'002153.XSHE': 4400, u'600498.XSHG': 19400, ... 19131675.244377 0.010114 []
776 2015-02-10 6.734377 {u'002153.XSHE': 4400, u'600498.XSHG': 19400, ... 19621103.094377 0.018238 []
777 2015-02-11 6.734377 {u'002153.XSHE': 4400, u'600498.XSHG': 19400, ... 20007845.234377 0.007978 []
778 2015-02-12 6.734377 {u'002153.XSHE': 4400, u'600498.XSHG': 19400, ... 20139049.804377 0.002548 []
779 2015-02-13 6.734377 {u'002153.XSHE': 4400, u'600498.XSHG': 19400, ... 20416511.184377 0.007829 []
780 2015-02-16 5.417277 {u'002153.XSHE': 4400, u'600498.XSHG': 19400, ... 21015638.057277 0.008547 [Order(order time: datetime.datetime(2015, 2, ...
781 2015-02-17 5.417277 {u'002153.XSHE': 4400, u'600498.XSHG': 19400, ... 20991534.387277 0.006526 []
782 2015-02-25 5.417277 {u'002153.XSHE': 4400, u'600498.XSHG': 19400, ... 20681973.077277 -0.012376 []
783 2015-02-26 5.417277 {u'002153.XSHE': 4400, u'600498.XSHG': 19400, ... 20936634.347277 0.025172 []
784 2015-02-27 5.417277 {u'002153.XSHE': 4400, u'600498.XSHG': 19400, ... 21204596.757277 0.001836 [] 
785 rows × 6 columns