金融量化分析【day113】：PGEC策略

一、PGE简介

二、PGE代码

# 导入函数库
import jqdata
import pandas as pd

def initialize(context):
    set_benchmark('000300.XSHG')
    set_option('use_real_price', True)
    set_order_cost(OrderCost(close_tax=0.001, open_commission=0.0003, close_commission=0.0003, min_commission=5), type='stock')

    g.security = get_index_stocks('000300.XSHG')
    g.N = 20
    g.q = query(valuation.code, valuation.pe_ratio, indicator.inc_net_profit_year_on_year).filter(valuation.code.in_(g.security))
    run_monthly(handle, 1)

def handle(context):
    df = get_fundamentals(g.q)
    df = df[(df['pe_ratio']>0) & (df['inc_net_profit_year_on_year']>0)]
    df['peg'] = df['pe_ratio'] / df['inc_net_profit_year_on_year'] / 100
    df = df.sort(columns='peg')
    tohold = df['code'][:g.N].values

    for stock in context.portfolio.positions:
        if stock not in tohold:
            order_target_value(stock, 0)

    tobuy = [stock for stock in tohold if stock not in context.portfolio.positions]

    if len(tobuy) > 0:
        cash = context.portfolio.available_cash / len(tobuy)
        cash_every_stock = cash / len(tobuy)
        for stock in tobuy:
            order_value(stock, cash_every_stock)

三、长线测试