Momentum策略

来源：https://uqer.io/community/share/5526191ef9f06c8f33904571

import pandasas pdfrom pandasimport Series, DataFramestart = datetime(2011,1,1)end = datetime(2014,8,1)benchmark ='SH50'universe = set_universe('SH50')capital_base =100000refresh_rate =10window =20definitialize(account):    account.amount =300    add_history('hist', window)defhandle_data(account):    momentum = {'symbol':[],'c_ret':[]}for stkin account.universe:        momentum = pd.DataFrame(momentum)        momentum = momentum.append([{'symbol':stk,'c_ret':account.hist[stk]['closePrice'].iloc[-1]/account.hist[stk]['closePrice'].iloc[0]}])        momentum = momentum.sort(columns='c_ret').reset_index(drop=True)              momentum = momentum[len(momentum)*4/5:len(momentum)]        buylist = momentum['symbol'].tolist()for stkin account.stkpos:if (stknotin buylist)and (account.stkpos[stk]>0):                order_to(stk,0)for stkin buylist:if account.stkpos.get(stk,0) ==0:                order_to(stk, account.amount)