本策略是以沪深300为基准标的，通过期货和现货进行对冲，期货以沪深300股指期货为投资标的，现货沪深300成分股作为股票池，进行定数触发和调仓，以获取收益的同时控制风险。
- # coding=utf-8
- from __future__ import print_function, absolute_import, unicode_literals
- from gm.api import *
- '''
- 本策略每隔1个月定时触发计算SHSE.000300成份股的过去的EV/EBITDA并选取EV/EBITDA大于0的股票
- 随后平掉排名EV/EBITDA不在最小的30的股票持仓并等权购买EV/EBITDA最小排名在前30的股票
- 并用相应的CFFEX.IF对应的真实合约等额对冲
- 回测数据为:SHSE.000300和他们的成份股和CFFEX.IF对应的真实合约
- 回测时间为:2017-07-01 08:00:00到2017-10-01 16:00:00
- '''
- def init(context):
- # 每月第一个交易日09:40:00的定时执行algo任务
- schedule(schedule_func=algo, date_rule='1m', time_rule='09:40:00')
- # 设置开仓在股票和期货的资金百分比(期货在后面自动进行杠杆相关的调整)
- context.percentage_stock = 0.4
- context.percentage_futures = 0.4
- def algo(context):
- # 获取当前时刻
- now = context.now
- # 获取上一个交易日
- last_day = get_previous_trading_date(exchange='SHSE', date=now)
- # 获取沪深300成份股
- stock300 = get_history_constituents(index='SHSE.000300', start_date=last_day,
- end_date=last_day)[0]['constituents'].keys()
- # 获取上一个工作日的CFFEX.IF对应的合约
- index_futures = get_continuous_contracts(csymbol='CFFEX.IF', start_date=last_day, end_date=last_day)[-1]['symbol']
- # 获取当天有交易的股票
- not_suspended_info = get_history_instruments(symbols=stock300, start_date=now, end_date=now)
- not_suspended_symbols = [item['symbol'] for item in not_suspended_info if not item['is_suspended']]
- # 获取成份股EV/EBITDA大于0并为最小的30个
- fin = get_fundamentals(table='tq_sk_finindic', symbols=not_suspended_symbols,
- start_date=now, end_date=now, fields='EVEBITDA',
- filter='EVEBITDA>0', order_by='EVEBITDA', limit=30, df=True)
- fin.index = fin.symbol
- # 获取当前仓位
- positions = context.account().positions()
- # 平不在标的池或不为当前股指期货主力合约对应真实合约的标的
- for position in positions:
- symbol = position['symbol']
- sec_type = get_instrumentinfos(symbols=symbol)[0]['sec_type']
- # 若类型为期货且不在标的池则平仓
- if sec_type == SEC_TYPE_FUTURE and symbol != index_futures:
- order_target_percent(symbol=symbol, percent=0, order_type=OrderType_Market,
- position_side=PositionSide_Short)
- print('市价单平不在标的池的', symbol)
- elif symbol not in fin.index:
- order_target_percent(symbol=symbol, percent=0, order_type=OrderType_Market,
- position_side=PositionSide_Long)
- print('市价单平不在标的池的', symbol)
- # 获取股票的权重
- percent = context.percentage_stock / len(fin.index)
- # 买在标的池中的股票
- for symbol in fin.index:
- order_target_percent(symbol=symbol, percent=percent, order_type=OrderType_Market,
- position_side=PositionSide_Long)
- print(symbol, '以市价单调多仓到仓位', percent)
- # 获取股指期货的保证金比率
- ratio = get_history_instruments(symbols=index_futures, start_date=last_day, end_date=last_day)[0]['margin_ratio']
- # 更新股指期货的权重
- percent = context.percentage_futures * ratio
- # 买入股指期货对冲
- order_target_percent(symbol=index_futures, percent=percent, order_type=OrderType_Market,
- position_side=PositionSide_Short)
- print(index_futures, '以市价单调空仓到仓位', percent)
- if __name__ == '__main__':
- '''
- strategy_id策略ID,由系统生成
- filename文件名,请与本文件名保持一致
- mode实时模式:MODE_LIVE回测模式:MODE_BACKTEST
- token绑定计算机的ID,可在系统设置-密钥管理中生成
- backtest_start_time回测开始时间
- backtest_end_time回测结束时间
- backtest_adjust股票复权方式不复权:ADJUST_NONE前复权:ADJUST_PREV后复权:ADJUST_POST
- backtest_initial_cash回测初始资金
- backtest_commission_ratio回测佣金比例
- backtest_slippage_ratio回测滑点比例
- '''
- run(strategy_id='strategy_id',
- filename='main.py',
- mode=MODE_BACKTEST,
- token='token_id',
- backtest_start_time='2017-07-01 08:00:00',
- backtest_end_time='2017-10-01 16:00:00',
- backtest_adjust=ADJUST_PREV,
- backtest_initial_cash=10000000,
- backtest_commission_ratio=0.0001,
- backtest_slippage_ratio=0.0001)
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