二八輪動策略

利用股市板塊輪流出現上漲行情，選擇輪動上漲的股票。

選擇標的：上證50、滬深300指數基金

判斷指標：動量（當日收盤價-之前第20天收盤價） /   當日收盤價

判斷條件：在動量大於0且沒有持倉時，買入其中動量較大的一個並持有；在動量小於0的時候平倉。

調倉週期：每個交易日收盤時調倉。

ptrade上代碼如下：

def initialize(context):
    # 初始化此策略
    # 設置我們要操作的股票池
    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)