【量化】猛犸策略

import random
import time
import uuid

g.security = []
g.daycount = 0
stockstemp = get_index_stocks('000300.XBHS')
total = len(stockstemp)
g.holdstocks = []
while len(g.security) < 15 :
    stock = stockstemp[random.randint(0, total-1)]
    if stock not in g.security:
        g.security.append(stock)     


def initialize(context):     
    context.universe = g.security

def handle_data(context, data):
    # 最大持仓股票支数
    maxhold = 5
    totalsize = len(context.universe)
    print(totalsize)
    # 取得当前的现金
    cash = context.portfolio.cash
    g.daycount = g.daycount + 1
    if len(g.holdstocks) == 0 : #初始状态
        count = maxhold
        singlemoney = cash / 5
       
        while count > 0 :
            buystock = context.universe[random.randint(0, totalsize-1)]
            if buystock not in g.holdstocks and symbol(buystock) in data:
                g.holdstocks.append(buystock)
                # 用所有 singlemoney 买入股票
                print('buystock=' +  buystock)
                print('singlemoney=' +  str(singlemoney))
                order_value(symbol(buystock), singlemoney)
                # 记录这次买入
                #log.info("Buying %s" % (buystock))
                print("Buying %s" % (buystock))
                count = count - 1
                print('count=' +  str(count))
                
    elif g.daycount > 7 and g.daycount % 5 == 1 : #5 days change
       
        print('g.daycount=' +  str(g.daycount))
        #选择过去7天表现最差的股票卖出       
        weakstock = ''
        WeakReturns = 10000.0
        #dfhis = history(7, unit='1d', field='price', security_list=g.holdstocks, df=False)
        dfhis = history(7, '1d', field='price')
        
        for stock in g.holdstocks :
            if symbol(stock) in data : #停牌票跳过
                continue
            startprice = dfhis[symbol(stock)][0]
            endprice = dfhis[symbol(stock)][-1]
            
            curReturns = (endprice - startprice) / startprice
            print('curReturns=' +  str(curReturns))
            if curReturns < WeakReturns : 
                WeakReturns = curReturns
                weakstock = stock
        if weakstock == '' : 
            weakstock = g.holdstocks[0]
        sellstock = weakstock
        print('weakstock=' +  weakstock)
      
        g.holdstocks.remove(weakstock)
        # 卖出所有股票,使这只股票的最终持有量为0
        order_target(symbol(sellstock), 0)
        # 记录这次卖出
        #log.info("selling %s" % (sellstock))
        print("selling %s" % (sellstock))
        
        while True:
            buystock = context.universe[random.randint(0, totalsize-1)]
            if buystock not in g.holdstocks and buystock != sellstock and symbol(buystock) in data:
                g.holdstocks.append(buystock)
                # 用所有 cash 买入股票
                print('buystock=' +  buystock)
                print('cash=' +  str(cash))
                order_value(symbol(buystock), cash)
                # 记录这次买入
                #log.info("Buying %s" % (buystock))
                print("Buying %s" % (buystock))
                break