# ROIC&cashROIC > 来源：https://uqer.io/community/share/564d30eff9f06c4446b483db ```py from CAL.PyCAL import * import numpy as np from pandas import DataFrame , Series start = '2015-01-01' # 回测起始时间 end = '2015-11-01' # 回测结束时间 benchmark = 'HS300' # 策略参考标准 universe = set_universe('HS300') # 证券池，支持股票和基金 capital_base = 100000 # 起始资金 freq = 'd' # 策略类型，'d'表示日间策略使用日线回测，'m'表示日内策略使用分钟线回测 refresh_rate = 30 # 调仓频率，表示执行handle_data的时间间隔，若freq = 'd'时间间隔的单位为交易日，若freq = 'm'时间间隔为分钟 cal = Calendar('China.SSE') def initialize(account): # 初始化虚拟账户状态 pass def handle_data(account): # 每个交易日的买入卖出指令 today = account.current_date.strftime('%Y%m%d') yesterday = cal.advanceDate(account.current_date, '-1B', BizDayConvention.Following).strftime('%Y%m%d') ROIC = {} cashROIC = {} # EBITToTOR EBITToTOR = DataAPI.MktStockFactorsOneDayGet(tradeDate=yesterday,secID=account.universe,field=u"secID,EBITToTOR",pandas="1") EBITToTOR.drop_duplicates('secID' , inplace= True) EBITToTOR.set_index('secID' , inplace = True) # tRevenue : 营业收入 tRevenue = DataAPI.FdmtISAllLatestGet(secID=account.universe,endDate=u"20151101",beginDate=u"20150101",field=u"secID,tRevenue",pandas="1") tRevenue.drop_duplicates('secID' , inplace= True) tRevenue.set_index('secID' , inplace = True) # 自由现金流 freeCF = DataAPI.FdmtCFAllLatestGet(secID=account.universe,endDate=u"20151101",beginDate=u"20150101",field=u"secID,NCFOperateA,purFixAssetsOth,dispFixAssetsOth",pandas="1") freeCF.drop_duplicates('secID' , inplace= True) freeCF.set_index('secID' , inplace= True) # IC : 投入资本 IC = DataAPI.FdmtBSAllLatestGet(secID=account.universe,endDate=u"20151101",beginDate=u"20150101",field=u"secID,TShEquity,LTBorr",pandas="1") IC.drop_duplicates('secID' , inplace= True) IC.set_index('secID' , inplace = True) for s in account.universe: ROIC[s] = (EBITToTOR['EBITToTOR'][s] * tRevenue['tRevenue'][s] * (1-0.25)) / (IC['TShEquity'][s] + IC['LTBorr'][s]) cashROIC[s] = (freeCF['NCFOperateA'][s] - (freeCF['purFixAssetsOth'][s] - freeCF['dispFixAssetsOth'][s])) / (IC['TShEquity'][s] + IC['LTBorr'][s]) # ROIC ROIC = Series(ROIC) ROIC.sort(ascending = False) ROIC.dropna(inplace = True) ROIC = ROIC[0:60] buylist1 = list(ROIC.index) # cashROIC cashROIC = Series(cashROIC) cashROIC.sort(ascending = False) cashROIC.dropna(inplace = True) cashROIC = cashROIC[0:60] buylist2 = list(cashROIC.index) # buylist为buylist1与buylist2的交集 buylist = list(set(buylist1)&set(buylist2)) print 'buylist', len(buylist) print buylist sell_list = [x for x in account.valid_secpos if x not in buylist] for s in sell_list : order_to(s,0) total_money = account.referencePortfolioValue for s in buylist: if s in account.valid_secpos: pass else: order(s,total_money/(len(buylist)-len(set(buylist)&set(account.valid_secpos)))/account.referencePrice[s]) ```  ``` buylist 24 ['601601.XSHG', '601899.XSHG', '000895.XSHE', '000539.XSHE', '600276.XSHG', '600011.XSHG', '600887.XSHG', '000712.XSHE', '600863.XSHG', '600018.XSHG', '000538.XSHE', '600900.XSHG', '002470.XSHE', '600600.XSHG', '600153.XSHG', '002304.XSHE', '600104.XSHG', '000333.XSHE', '600873.XSHG', '600578.XSHG', '000999.XSHE', '002294.XSHE', '601006.XSHG', '600177.XSHG'] buylist 24 ['600027.XSHG', '000559.XSHE', '601899.XSHG', '000895.XSHE', '000876.XSHE', '000539.XSHE', '600276.XSHG', '600011.XSHG', '601006.XSHG', '000538.XSHE', '600900.XSHG', '002470.XSHE', '600600.XSHG', '600153.XSHG', '600332.XSHG', '002304.XSHE', '600104.XSHG', '000333.XSHE', '600873.XSHG', '600578.XSHG', '000999.XSHE', '002294.XSHE', '000712.XSHE', '600177.XSHG'] buylist 21 ['600276.XSHG', '600900.XSHG', '600104.XSHG', '600011.XSHG', '600887.XSHG', '600873.XSHG', '600027.XSHG', '601006.XSHG', '600663.XSHG', '600018.XSHG', '000538.XSHE', '601899.XSHG', '600863.XSHG', '002470.XSHE', '002304.XSHE', '000999.XSHE', '000895.XSHE', '000876.XSHE', '600153.XSHG', '600177.XSHG', '000712.XSHE'] buylist 22 ['601601.XSHG', '600027.XSHG', '000876.XSHE', '600276.XSHG', '600011.XSHG', '600887.XSHG', '600863.XSHG', '000538.XSHE', '002470.XSHE', '600332.XSHG', '002304.XSHE', '601377.XSHG', '600104.XSHG', '000333.XSHE', '600873.XSHG', '601628.XSHG', '002294.XSHE', '600663.XSHG', '000712.XSHE', '600886.XSHG', '601318.XSHG', '600177.XSHG'] buylist 22 ['601216.XSHG', '600027.XSHG', '000895.XSHE', '000876.XSHE', '600011.XSHG', '600887.XSHG', '000538.XSHE', '002470.XSHE', '600649.XSHG', '600332.XSHG', '002304.XSHE', '601377.XSHG', '600104.XSHG', '000333.XSHE', '600873.XSHG', '600578.XSHG', '600741.XSHG', '601628.XSHG', '000999.XSHE', '600795.XSHG', '600663.XSHG', '601318.XSHG'] buylist 26 ['601216.XSHG', '600340.XSHG', '000876.XSHE', '600276.XSHG', '600011.XSHG', '600887.XSHG', '601006.XSHG', '600018.XSHG', '000538.XSHE', '002470.XSHE', '000069.XSHE', '600332.XSHG', '002304.XSHE', '601377.XSHG', '600104.XSHG', '000333.XSHE', '600578.XSHG', '601628.XSHG', '000999.XSHE', '002294.XSHE', '600795.XSHG', '600663.XSHG', '600863.XSHG', '600060.XSHG', '601318.XSHG', '600177.XSHG'] buylist 28 ['002304.XSHE', '601216.XSHG', '600027.XSHG', '601111.XSHG', '601899.XSHG', '000878.XSHE', '600018.XSHG', '000895.XSHE', '600276.XSHG', '600887.XSHG', '601006.XSHG', '601601.XSHG', '601088.XSHG', '002470.XSHE', '000069.XSHE', '600332.XSHG', '600597.XSHG', '601377.XSHG', '600873.XSHG', '600578.XSHG', '600649.XSHG', '601628.XSHG', '002294.XSHE', '600795.XSHG', '600663.XSHG', '600863.XSHG', '601318.XSHG', '600177.XSHG'] ```