更新了一个分仓策略

.python-version

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+3.11

Lib/stock/separate_warehouse.py

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+# https://www.joinquant.com/algorithm/index/edit?algorithmId=4519676386ce59c6457da930b52d0e7c&startTime=2015-07-01&endTime=2016-04-06&baseCapital=100000&frequency=day&pyVersion=2
+
+# 克隆自聚宽文章：https://www.joinquant.com/post/1079
+# 标题：多策略组合利器——分仓管控技术【非交易策略】
+# 作者：莫邪的救赎
+
+def initialize(context):
+    # 获取股票
+    df = get_fundamentals(query(
+            valuation.code,valuation.market_cap
+        ).order_by(
+            valuation.market_cap.asc()
+        ).limit(
+            200
+        )).dropna()
+    g.security = list(df['code'])
+    g.buylist = g.security[-100:]
+    set_universe(g.security)
+    
+    log.set_level('order', 'error')#屏蔽order warning提示
+    g.stocknum = 5 #仓位数
+    g.per_sell_stock = [] #欲卖出股票列表
+    g.proportion_initial_buy_cash = 0.6 #建仓资金占总资金的比例
+    g.proportion_cash = 0.4 #预留补仓现金比例占总资金的比例
+    #（0.6代表用仓位总资金的六成用于建仓，其余四成用于加仓）
+    initialize_position_cash(context) #初始化仓位个数及资金
+    # 执行函数
+    run_daily(buy_stocks, time='open')
+    run_daily(overweight_and_stop_profit, time='open')
+    run_daily(stop_loss, time='open')
+    run_daily(change_position_cash, time='after_close')
+
+def before_trading_start(context):
+    #获取前日持仓股票列表
+    g.already_hold_stock = context.portfolio.positions.keys()
+    log.info('buylist长度：%s',len(g.buylist))
+
+def initialize_position_cash(context):
+    '''
+    初始化每个仓位的信息
+    '''
+    start_cash = context.portfolio.starting_cash
+    every_position = start_cash/g.stocknum
+    g.hold_temp = {'total':every_position, 'initial_buy_cash':every_position*g.proportion_initial_buy_cash, 'cash':every_position*g.proportion_cash}
+    g.hold = {} # 仓位信息
+    g.hold_stock_name = {} # 仓位对于的股票名称
+    for i in range(g.stocknum):
+        g.hold[i] = g.hold_temp.copy() 
+        g.hold_stock_name[i] = None #仓位为空，则对应的value值为None
+    # log.info('init hold:',g.hold)
+    # log.info('hold_stock_name:',g.hold_stock_name)
+
+def buy_stocks(context):
+    current_data = get_current_data(g.buylist)
+    for stock in g.buylist:
+        if current_data[stock].paused == 0:#跳过停牌
+            for n in g.hold_stock_name.items():
+                if n[1] == None:
+                    g.hold_stock_name[n[0]] = stock #标记仓位对应的股票
+                    Cash = g.hold[n[0]]['initial_buy_cash'] #获取建仓资金
+                    order_value(stock, Cash) #建仓
+                    # log.info('buy: %s',stock)
+                    g.buylist.remove(stock)
+                    break
+                else:
+                    pass
+        else:
+            g.buylist.remove(stock)
+    # log.info('hold_stock_name:',g.hold_stock_name)
+def overweight_and_stop_profit(context):
+    '''
+    加仓以及止盈
+    '''
+    hold_stock = context.portfolio.positions.keys()
+    if len(hold_stock)>0:
+        current_data = get_current_data(hold_stock)
+        for stock in hold_stock:
+            #跳过停牌，因为T+1。所以sellable_amount>0即跳过当日建仓的股票
+            if current_data[stock].paused == 0 and context.portfolio.positions[stock].sellable_amount>0:
+                avg_cost = context.portfolio.positions[stock].avg_cost #持仓成本
+                price = context.portfolio.positions[stock].price #持仓股票当前价
+                # 根据触发条件，对不在“欲卖出”列表的股票进行加仓，降低持仓成本
+                if ((price/avg_cost) <= 0.9) and (stock not in g.per_sell_stock):
+                    log.info("overweight: %s", stock) #打印加仓股票代码
+                    i = get_key(stock) #获取加仓股票对应的key值，get_key函数见下
+                    Cash = get_buy_cash(i) #获取用于加仓资金，get_buy_cash函数见下
+                    order_value(stock, Cash) #买入
+                    # log.info('buy: %s',stock)
+                # 止盈
+                elif (price/avg_cost) >= 1.2:
+                    order_target(stock, 0)
+                    log.info('sell: %s', stock)
+                    # 如果股票在“欲卖出”列表中，则将其删除
+                    if stock in g.per_sell_stock:
+                        g.per_sell_stock.remove(stock)
+            else:
+                pass
+
+def get_key(stock):
+    '''
+    获取stock在g.hold_stock_name对应的key值
+    '''
+    for n in g.hold_stock_name.items():
+        if n[1] == stock:
+            return n[0]
+
+def get_buy_cash(i):
+    '''
+    获取g.hold中i键对应仓位的可用购买现金，
+    这里设定：将剩余四成仓位分两次购买
+    （如需更改购买现金占比，请自行修改）
+    并在现金用尽之后，将股票加入“欲卖出”股票列表，如下跌找过一定比例，则进行止损
+    '''
+    all_cash = g.hold[i]['cash'] #仓位中可用现金
+    total = g.hold[i]['total'] #仓位初始总资金
+    if all_cash/total > 0.3:
+        cash = all_cash*0.5
+        return cash
+    elif all_cash/total < 0.3:
+        will_sell_stock = g.hold_stock_name[i]
+        if will_sell_stock not in g.per_sell_stock:
+            g.per_sell_stock.append(will_sell_stock)
+        cash = all_cash
+        return cash
+
+def stop_loss(context):
+    '''
+    “欲卖出”股票列表，如下跌找过一定比例，则进行止损
+    '''
+    if len(g.per_sell_stock)>0:
+        current_data = get_current_data(g.per_sell_stock)
+        for stock in g.per_sell_stock:
+            if current_data[stock].paused == 0: #跳过停牌
+                avg_cost = context.portfolio.positions[stock].avg_cost
+                price = context.portfolio.positions[stock].price
+                if (price/avg_cost) <= 0.9:
+                    order_target(stock, 0)
+                    g.per_sell_stock.remove(stock)
+                    log.info('sell: %s', stock)
+            else:
+                pass
+    else:
+        pass
+
+
+def change_position_cash(context):
+    '''
+    I.  更新每个仓位的可用现金
+
+    II. 将已卖掉的股票现金仓位进行资金再平衡。
+    （这里只是将当前空余的仓位进行了资金再平衡
+    如，有N支仓位空余，及重新平均分配N支仓位的资金）
+    '''
+    g.selled_list_keys = [] #已卖掉的股票keys
+    g.rebalance_total_money = 0 #再分仓的总金额
+
+    trades=get_orders() #过去当天订单
+    hold_stock = context.portfolio.positions
+    for t in trades.values(): 
+        # 更新每个仓位的可用现金
+        if t.is_buy and t.filled > 0: #买入有效订单
+            if (t.security not in g.already_hold_stock) and (hold_stock[t.security].sellable_amount  > 0):
+                i = get_key(t.security)
+                # g.hold[i]['initial_buy_cash'] = t.cash
+                g.hold[i]['cash'] = g.hold[i]['total'] - t.cash #更新可用现金
+            elif (t.security in g.already_hold_stock) and (hold_stock[t.security].sellable_amount  > 0):
+                i = get_key(t.security)
+                # g.hold[i]['initial_buy_cash'] = g.hold[i]['cash'] + t.cash
+                g.hold[i]['cash'] = g.hold[i]['cash'] - t.cash #更新可用现金
+
+        # 将已卖掉的股票现金仓位进行资金再平衡。
+        elif not t.is_buy and t.filled > 0:#卖出有效订单
+            if t.security not in context.portfolio.positions.keys():
+                i = get_key(t.security)
+                g.selled_list_keys.append(i)
+                g.rebalance_total_money += t.cash
+
+    # 资金重分配函数，如需隔离仓位，则不用执行该函数
+    if len(g.selled_list_keys) > 0:
+        rebalance_money(g.selled_list_keys, g.rebalance_total_money)
+    
+    # 打印结果（用于调试）
+    # log.info('hold:',g.hold)
+    log.info('hold_stock_name:',g.hold_stock_name)
+    log.info('per_sell_stock:',g.per_sell_stock)
+
+def rebalance_money(selled_list_keys, rebalance_total_money):
+    '''
+    资金重分配函数
+    如需隔离仓位，则不用执行该函数
+    '''
+    # 获取再分仓的总金额
+    for i in selled_list_keys:
+        rebalance_total_money += g.hold[i]['cash']
+    
+    # 确定每个仓位的总金额
+    every_position = rebalance_total_money/len(selled_list_keys)
+    
+    # 资金重分配
+    for i in selled_list_keys:
+        g.hold_stock_name[i] = None
+        g.hold[i]['total'] = every_position
+        g.hold[i]['initial_buy_cash'] = every_position*g.proportion_initial_buy_cash
+        g.hold[i]['cash'] = every_position*g.proportion_cash

main.py

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+def main():
+    print("Hello from jukuan!")
+
+
+if __name__ == "__main__":
+    main()

pyproject.toml

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+[project]
+name = "jukuan"
+version = "0.1.0"
+description = "Add your description here"
+readme = "README.md"
+requires-python = ">=3.11"
+dependencies = []