持有市值最小的10只股票 · Python 量化交易教程

# 持有市值最小的10只股票 > 来源：https://uqer.io/community/share/5666456ef9f06c6c8a91b52d 策略是一直持有沪深当中流通市值最少的10只股票。分割线前部分是第一次买入10只市值最少的股票。分割线后部分是每次换股票的策略。1.因为持仓中可能有停牌，所以希望能把停牌的股票先排除在外，形成new持仓，就是需要换的股票，假如这里还有8只。（这里buylist应该如何传递之前的10只信息？）2.获得现在市场上市值最小的8只股票成为target，取8只是因为极端的情况下就是我把自己持仓的全部都卖出了，换成新的8只。3.判断，卖出，如果旧有的持仓中股票不在新的target里面，证明持有的市值大于target里面的，就卖出，获得资金；买入，若此时卖出了3只，则剩余5只，那么用资金平均买入target里面市值最小的3只。形成新的8只，加上原来停牌的2只，则一共10只。分割线后部分不知道如何写，希望指导，非常感谢。 ```py start = '2015-12-01' end = '2015-12-06' benchmark = 'HS300' universe = StockScreener(Factor.LFLO.nsmall(20)) capital_base = 100000 freq = 'd' refresh_rate = 1 # 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 n=10 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 print "current_date = %s"%(account.current_date.strftime('%Y%m%d')) buy_list=[] holding_first=DataAPI.MktEqudGet(secID=account.universe,tradeDate=account.current_date,field="tradeDate,secID,negMarketValue,closePrice",pandas="1")#获得市场上市值最少的10只股票 holding_first=holding_first.sort(columns='negMarketValue')[0:n] #选出第一次能交易的十只 print holding_first for stk in holding_first.secID: if len(buy_list)<10: order(stk,capital_base/n) buy_list.append(stk) print buy_list # ——————————————————————————————分割线 new_holding=DataAPI.MktEqudGet(secID='buy_list',tradeDate=account.current_date,field="tradeDate,secID,negMarketValue,closePrice",pandas="1")#在下一个交易周期中获得，当前持仓中能交易的个股信息 new_target=DataAPI.MktEqudGet(secID=account.universe,tradeDate=account.current_date,field="tradeDate,secID,negMarketValue,closePrice",pandas="1")#在下一个交易周期中获得，市场上市值最少的股票 new_target=new_target.sort(columns='negMarketValue')[0:len(new_holidng.secID)] #按照市值排序，并且选择与持仓可交易股票数量相等的股票数 for stock in newholding.secID: #卖出需要换掉的股票,获得相应的资金留作买股票用(先卖出) if stock not in new_target.secID: order_to(stock,0) new_holding.remove(stock) today_cash = account_cash + account.valid_secpos[stock] for stock in new_target.secID: #买入需要更换的股票,买入的数目与换出的数目相同且市值由小到大（再买入） if stock not in new_holding.secID and #买入的股票数目直到与换出的数目相等为止 order_to(stock,today_cash/len#买入的数目) #貌似需要再添加一个变量 ``` ![](https://box.kancloud.cn/2016-07-30_579cbdb140628.jpg) ``` current_date = 20151201 tradeDate secID negMarketValue closePrice 15 2015-12-01 300466.XSHE 600200000 30.01 2 2015-12-01 002735.XSHE 929800000 46.49 17 2015-12-01 300483.XSHE 974175000 62.85 3 2015-12-01 002743.XSHE 977251400 32.21 14 2015-12-01 300464.XSHE 985959000 47.70 16 2015-12-01 300472.XSHE 988197600 59.28 13 2015-12-01 300461.XSHE 998798400 59.88 5 2015-12-01 002755.XSHE 1004984400 39.66 6 2015-12-01 002760.XSHE 1019700000 46.35 7 2015-12-01 002761.XSHE 1044600000 34.82 ['300466.XSHE', '002735.XSHE', '300483.XSHE', '002743.XSHE', '300464.XSHE', '300472.XSHE', '300461.XSHE', '002755.XSHE', '002760.XSHE', '002761.XSHE'] current_date = 20151202 tradeDate secID negMarketValue closePrice 13 2015-12-02 300466.XSHE 660200000 33.01 2 2015-12-02 002735.XSHE 902000000 45.10 12 2015-12-02 300464.XSHE 939658200 45.46 3 2015-12-02 002743.XSHE 945091000 31.15 16 2015-12-02 300483.XSHE 947205000 61.11 4 2015-12-02 002755.XSHE 964440400 38.06 14 2015-12-02 300472.XSHE 997032700 59.81 1 2015-12-02 002734.XSHE 999050000 30.74 10 2015-12-02 300423.XSHE 1012220000 46.01 17 2015-12-02 603009.XSHG 1026528300 38.49 ['300466.XSHE', '002735.XSHE', '300464.XSHE', '002743.XSHE', '300483.XSHE', '002755.XSHE', '300472.XSHE', '002734.XSHE', '300423.XSHE', '603009.XSHG'] current_date = 20151203 tradeDate secID negMarketValue closePrice 13 2015-12-03 300466.XSHE 726200000 36.31 1 2015-12-03 002735.XSHE 961200000 48.06 2 2015-12-03 002743.XSHE 979678600 32.29 4 2015-12-03 002755.XSHE 1010559200 39.88 12 2015-12-03 300464.XSHE 1020684600 49.38 0 2015-12-03 002734.XSHE 1031550000 31.74 15 2015-12-03 300483.XSHE 1041910000 67.22 5 2015-12-03 002761.XSHE 1070700000 35.69 8 2015-12-03 300391.XSHE 1071222750 20.73 16 2015-12-03 603009.XSHG 1082001900 40.57 ['300466.XSHE', '002735.XSHE', '002743.XSHE', '002755.XSHE', '300464.XSHE', '002734.XSHE', '300483.XSHE', '002761.XSHE', '300391.XSHE', '603009.XSHG'] current_date = 20151204 tradeDate secID negMarketValue closePrice 12 2015-12-04 300466.XSHE 798800000 39.94 2 2015-12-04 002743.XSHE 994241800 32.77 3 2015-12-04 002755.XSHE 1028804000 40.60 0 2015-12-04 002734.XSHE 1031875000 31.75 11 2015-12-04 300464.XSHE 1051482900 50.87 14 2015-12-04 300483.XSHE 1059735000 68.37 15 2015-12-04 603009.XSHG 1064399700 39.91 1 2015-12-04 002735.XSHE 1070048000 47.77 16 2015-12-04 603022.XSHG 1088400000 54.42 10 2015-12-04 300423.XSHE 1095160000 49.78 ['300466.XSHE', '002743.XSHE', '002755.XSHE', '002734.XSHE', '300464.XSHE', '300483.XSHE', '603009.XSHG', '002735.XSHE', '603022.XSHG', '300423.XSHE'] ```