# recommendation based on subject > 来源：https://uqer.io/community/share/549d0203f9f06c4bb8863242 ## 策略思路： + step1：计算昨日所有主题的涨跌幅，根据涨跌幅排名，挑出涨幅最高的前`n_sub`个主题 + step2：根据昨日成交量挑选出每个主题的龙头股`n_bigstk`只 + 买入策略：昨日涨幅最高的前`n_sub`个主题，每个主题龙头股`n_bigstk`只，当日一共买入`m*n`只个股 + 卖出策略：持有固定天数`hold_days`，卖出。 此实验中，`n_sub=5`, `n_bigstk=5`, `hold_days=10` 文件`sub_stk_info.txt`是根据`dataapi`获得的文件，里面储存了多个主题及对应的股票列表，点击[这里](https://app.yinxiang.com/shard/s52/sh/cfee1210-3b74-4fdf-b7d1-9806815dc1cb/9f232abc1f0ac12c583528ba73d0a7b6)下载 ```py a2=read('sub_stk_info.txt') b2=a2.split('\r\n') b2=b2[:-1] sub_stk_dic={} universe1=set([]) IDmap=lambda x:x +'.XSHG' if x[0]=='6' else x+'.XSHE' for i2 in b2: i2=i2.split(':') i3=i2[1].split(',') sub_stk_dic[i2[0]]=map(IDmap,i3) universe1 |= set(i3) start = datetime(2013, 6, 23) # 回测起始时间 end = datetime(2014, 12, 23) # 回测结束时间 benchmark = 'HS300' # 使用沪深 300 作为参考标准 universe = map(IDmap, list(universe1)) capital_base = 100000 # 起始资金 #print len(universe) hold_days=10 sell_stk_list=[] for i in range(hold_days): sell_stk_list.append({}) j=hold_days def initialize(account): # 初始化虚拟账户状态 add_history('hist',1) def handle_data(account): # 每个交易日的买入卖出指令 global sell_stk_list global j #计算昨日主题涨跌幅 sub_increase_rate_dic={} sub_bigstk_dic={} #print 'today:',account.current_date for (subid,stkid_list) in sub_stk_dic.items(): increase_rate_list=[] turnvol_list=[] #记录每只股票的成交量 stk_turnvol_dic={} for stk in stkid_list: #停盘的情况 if (stk not in account.universe) : continue close_price=account.hist[stk].iloc[0,3] pre_close_price=account.hist[stk].iloc[0,4] turnoverVol=account.hist[stk].iloc[0,5] stk_turnvol_dic[stk]=turnoverVol increase_rate_yes=(close_price-pre_close_price)*turnoverVol/pre_close_price increase_rate_list.append(increase_rate_yes) turnvol_list.append(turnoverVol) big_stk_list=sorted(stk_turnvol_dic.keys(),key=lambda x:stk_turnvol_dic[x], reverse=True) #买龙头股，每个主题买n只龙头股 n_bigstk=5 big_stk_list=big_stk_list[0:n_bigstk] sub_bigstk_dic[subid]=big_stk_list increase_rate_w=sum(increase_rate_list)/sum(turnvol_list) sub_increase_rate_dic[subid]=increase_rate_w sub_increase_rate_dic_sorted=sorted(sub_increase_rate_dic.keys(), key = lambda x:sub_increase_rate_dic[x], reverse = True) n_sub=5 buy_subject_list=sub_increase_rate_dic_sorted[0:n_sub] buy_stk_list=[] for sub_id in buy_subject_list: buy_stk_list +=sub_bigstk_dic[sub_id] sell_next_dic={} for stk in buy_stk_list: if j>0: amount=int(account.position.cash/hold_days/len(buy_stk_list)/account.hist[stk].iloc[0,3]) j -=1 else: amount=int(account.position.cash/len(buy_stk_list)/account.hist[stk].iloc[0,3]) order(stk,amount) sell_next_dic[stk]=amount sell_stk_list.insert(0,sell_next_dic) #print 'sell_stk_list:',sell_stk_list sell_today_dic=sell_stk_list.pop() #print 'sell_today_dic',sell_today_dic if sell_today_dic!={}: for (stk,amt) in sell_today_dic.items(): #如果股票今天不能交易,就过hold_days再卖 if stk not in account.universe: sell_stk_list[0][stk]=amt else: order(stk,-amt) ```