Quantopian 做多大市值科技和消費週期股，做空小市值和消費週期股回測

原創

2020-06-29 09:13

源碼

from quantopian.pipeline import Pipeline
from quantopian.algorithm import attach_pipeline, pipeline_output
from quantopian.pipeline.data.builtin import USEquityPricing
from quantopian.pipeline.factors import SimpleMovingAverage
from quantopian.pipeline.classifiers.morningstar import Sector
from quantopian.pipeline.data import morningstar as morningstar
from quantopian.pipeline.filters.morningstar import Q500US, Q1500US
from quantopian.pipeline.factors.morningstar import MarketCap
from quantopian.pipeline.data import Fundamentals  
import quantopian.algorithm as algo


def make_pipeline():
    q500 = Q500US()  
    mktcap = MarketCap()
    sector = morningstar.asset_classification.morningstar_sector_code.latest
    sectors_311 = sector.element_of([102, 311])
    mkt_cap = morningstar.valuation.market_cap.latest
    growth = Fundamentals.revenue_growth.latest
    forward_pe_ratio = Fundamentals.forward_pe_ratio.latest
    current_pe = Fundamentals.pe_ratio.latest
    
    pipe = Pipeline()
    attach_pipeline(pipe, 'pipeline_tutorial')
    pipe.add(Sector(), 'Sector')
    pipe.add(mktcap, 'mktcap')
    pipe.add(growth, 'growth')
    pipe.add(forward_pe_ratio, 'forward_pe_ratio')
    pipe.add(current_pe, 'current_pe')
    
    # log.info(current_pe / forward_pe_ratio)
    
    pipe.set_screen(sectors_311 & q500)
    # pipe.set_screen(q500)
    return pipe


def initialize(context):
    set_benchmark(symbol('QQQ'))
    
    algo.schedule_function(
        rebalance,
        algo.date_rules.month_start(),
        algo.time_rules.market_open(hours=1),
    )
   
    algo.attach_pipeline(make_pipeline(), 'pipeline')
    #購買持倉數量
    context.buy_stock_count = 10
    #槓桿大小
    leverage = 1.0
    context.buy_stock_percent = float(leverage / context.buy_stock_count)
    cash = context.portfolio.cash
    context.purchase_value = cash / context.buy_stock_count
    context.stocks_sold = []

def before_trading_start(context, data):
    output = pipeline_output('pipeline_tutorial')
    context.my_short_universe = output.sort('mktcap', ascending=True).iloc[0:context.buy_stock_count]
    context.my_long_universe = output.sort('mktcap', ascending=False).iloc[0:context.buy_stock_count]
    

 
    
def rebalance(context, data):
    """
    Execute orders according to our schedule_function() timing.
    """

    if True:
        # purchase_value = cash /  left_buy_count
        for stock in context.my_long_universe.index:
            if stock != symbol('QQQ'):
                order_target_percent(stock, context.buy_stock_percent * 1.3)
        for stock in context.my_short_universe.index:
            if stock != symbol('QQQ'):
                order_target_percent(stock, -context.buy_stock_percent * 0.5)
    
        for stock in context.portfolio.positions:
            if stock != symbol('QQQ'):
                if stock not in context.my_long_universe.index and stock not in context.my_long_universe.index:
                    order_target_value(stock, 0)
    pass