# 最经典的Momentum和Contrarian在中国市场的测试 > 来源：https://uqer.io/community/share/549b5bc8f9f06c4bb8863237 ## Momentum 策略思路 + Momentum：业绩好的股票会继续保持其上涨的势头，业绩差的股票会保持其下跌的势头 策略实现 + Momentum：每次调仓将股票按照前一段时间的累计收益率排序并分组，买入历史累计收益 最高 的那一组 ```py start = datetime(2011, 1, 1) # 回测起始时间 end = datetime(2014, 8, 1) # 回测结束时间 benchmark = 'HS300' # 使用沪深 300 作为参考标准 universe = set_universe('SH50') # 股票池，上证50 capital_base = 100000 # 起始资金 refresh_rate = 10 window = 20 def initialize(account): # 初始化虚拟账户状态 account.amount = 300 account.universe = universe add_history('hist', window) def handle_data(account, data): # 每个交易日的买入卖出指令 momentum = {'symbol':[], 'c_ret':[]} for stk in account.hist: if 'closePrice' in account.hist[stk].columns: momentum['symbol'].append(stk) momentum['c_ret'].append(account.hist[stk].iloc[window-1,:]['closePrice']/account.hist[stk].iloc[0,:]['closePrice']) momentum = pd.DataFrame(momentum).sort(columns='c_ret').reset_index() momentum = momentum[len(momentum)*4/5:len(momentum)] buylist = momentum['symbol'].tolist() for stk in account.position.stkpos: if (stk not in buylist) and (account.position.stkpos[stk]>0): order_to(stk, 0) for stk in buylist: if account.position.stkpos.get(stk, 0)==0: order_to(stk, account.amount) ```  ## Contrarian 策略思路 + Contrarian：股票在经过一段时间的上涨之后会出现回落，一段时间的下跌之后会出现反弹 策略实现 + Contrarian：每次调仓将股票按照前一段时间的累计收益率排序并分组，买入历史累计收益 最低 的那一组 ```py start = datetime(2011, 1, 1) # 回测起始时间 end = datetime(2014, 8, 1) # 回测结束时间 benchmark = 'HS300' # 使用沪深 300 作为参考标准 universe = set_universe('SH50') # 股票池，上证50 capital_base = 100000 # 起始资金 refresh_rate = 10 window = 20 def initialize(account): # 初始化虚拟账户状态 account.amount = 300 account.universe = universe add_history('hist', window) def handle_data(account, data): # 每个交易日的买入卖出指令 contrarian = {'symbol':[], 'c_ret':[]} for stk in account.hist: if 'closePrice' in account.hist[stk].columns: contrarian['symbol'].append(stk) contrarian['c_ret'].append(account.hist[stk].iloc[window-1,:]['closePrice']/account.hist[stk].iloc[0,:]['closePrice']) contrarian = pd.DataFrame(contrarian).sort(columns='c_ret').reset_index() contrarian = contrarian[:len(contrarian)/5] buylist = contrarian['symbol'].tolist() for stk in account.position.stkpos: if (stk not in buylist) and (account.position.stkpos[stk]>0): order_to(stk, 0) for stk in buylist: if account.position.stkpos.get(stk, 0)==0: order_to(stk, account.amount) ```