def initialize(context):
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\')
set_benchmark(\'000300.XSHG\')
g.security = get_index_stocks(\'000300.XSHG\')
g.N = 20
run_monthly(handle, 1)
def handle(context):
df = get_fundamentals(query(valuation.code, valuation.pe_ratio, indicator.inc_net_profit_year_on_year).filter(valuation.code.in_(g.security)))
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\')[:g.N]
tohold = df[\'code\'].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:
print(\'Buying\')
cash = context.portfolio.available_cash
cash_every_stock = cash / len(tobuy)
for stock in tobuy:
order_value(stock, cash_every_stock)
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