今天给大家分享一个互联网流传甚广的“股息率”策略。
股息率一个指标就能代表公司的现金流情况，利润情况，估值情况。我们再加一个，
营业收入增长率>5% 这个值大家可以自行调整。来避开那些 价！值！陷 ! 阱 !
一个好的爱情观，哦不是投资策略，最重要的应该包含两点：
1.选股
2.仓位
股息率指标天然的完成了这两点，这个策略长这样：
1.选出股息大于6%，营收增长率大于5%的股票加入股票池（未来可将6%改为分级A最高隐含收益率）
2.股票大于10支就等比例满仓，股票小于10支，就每支股票10%剩下的买固定收益（仓位控制）
最后呢，由于股息发放的时间不是固定的，我们用一个dataframe更新和维护股息信息，这样如果今年还没有发放股息，需要用去年的股息来覆盖
先用get_fundamentals 拿到今年至今为止的股息率情况，存起来。
fundamental_df = get_fundamentals(
query(
fundamentals.eod_derivative_indicator.dividend_yield,
fundamentals.financial_indicator.inc_operating_revenue,
fundamentals.eod_derivative_indicator.market_cap
).filter(
fundamentals.financial_indicator.inc_operating_revenue >5
).filter(
fundamentals.eod_derivative_indicator.dividend_yield > 4.5
)
.order_by(
fundamentals.eod_derivative_indicator.dividend_yield .desc()
).limit(
num_stocks
)
)接下来创建或者维护 一个dataframe，计算每家家公司的股息，这样如果到了第二年还没有发放股息，去年的股息就被存下来了，如果发放了就被更新了。
li=list(fundamental_df.columns.values)
if context.flag:
dividend = []
for stock in li:
di = float(fundamental_df[stock]['dividend_yield'])/100
di = di*float(fundamental_df[stock]['market_cap'])
dividend.append([di])
div=np.array(dividend)
context.df = pd.DataFrame(div.T,index=['dividend'],columns=li)
logger.info(context.df)
context.flag = False
else:
li2 = list(context.df.columns.values)
for stock in li:
if stock not in li2:
di = float(fundamental_df[stock]['dividend_yield'])/100
di = di*float(fundamental_df[stock]['market_cap'])
context.df.insert(0,stock,[di])
else:
di = float(fundamental_df[stock]['dividend_yield'])/100
di = di*float(fundamental_df[stock]['market_cap'])
context.df[stock]['dividend']=di
#logger.info(context.df)
stocks=context.df.columns.values最后拿到dataframe 里的股票数据，重新拿到市值并按 股息/市值 计算股息率 并排序。
fundamental_df = get_fundamentals(
query(
fundamentals.eod_derivative_indicator.market_cap,fundamentals.financial_indicator.inc_operating_revenue
).filter(
fundamentals.financial_indicator.inc_operating_revenue >5
).filter(
fundamentals.income_statement.stockcode.in_(stocks)
)
)
stocks=fundamental_df.columns.values
dividend_yield=[]
for stock in stocks:
rate=context.df[stock]['dividend']/float(fundamental_df[stock]['market_cap'])
dividend_yield.append(rate)
df = pd.DataFrame(dividend_yield,index=stocks,columns=['dividend_yield'])
df=df[df['dividend_yield']>0.06]
logger.info(df)
context.fundamental_df = fundamental_df
context.stocks = df.T.columns.values
这样我们就做到了用去年保存下来的股息来代替今年可能是空白的股息了，不会错过任何一个对的人哦不是对的股票!收益图：
风险指标：
源代码：
In [ ]:
# 可以自己import我们平台支持的第三方python模块，比如pandas、numpy等。
import pandas as pd
import numpy as np
import datetime
import math
import talib
CAP=0
OBSERVATION = 40
SMA5 = 5
SMA10=10
# 在这个方法中编写任何的初始化逻辑。context对象将会在你的算法策略的任何方法之间做传递。
def init(context):
context.fja_list=['150283.XSHE','150249.XSHE','502007.XSHG','150259.XSHE','150217.XSHE','150245.XSHE','502049.XSHG','150241.XSHE','150231.XSHE','150257.XSHE','150169.XSHE','150177.XSHE','150243.XSHE','150329.XSHE','150051.XSHE','150179.XSHE','150186.XSHE','150255.XSHE','150171.XSHE','150315.XSHE','150227.XSHE','150018.XSHE','150237.XSHE','150235.XSHE','150279.XSHE','150305.XSHE','150269.XSHE','150181.XSHE','502004.XSHG','150229.XSHE','150173.XSHE','150277.XSHE','150200.XSHE','150209.XSHE','150194.XSHE','150273.XSHE','150184.XSHE','150205.XSHE','150309.XSHE','150275.XSHE']
context.cur_stock=''
update_universe(context.fja_list)
scheduler.run_daily(rebalance)
context.flag=True
# 你选择的证券的数据更新将会触发此段逻辑，例如日或分钟历史数据切片或者是实时数据切片更新
def handle_bar(context, bar_dict):
pass
def before_trading(context):
num_stocks = 20
#删选股票
fundamental_df = get_fundamentals(
query(
fundamentals.eod_derivative_indicator.dividend_yield,
fundamentals.financial_indicator.inc_operating_revenue,
fundamentals.eod_derivative_indicator.market_cap
).filter(
fundamentals.financial_indicator.inc_operating_revenue >5
).filter(
fundamentals.eod_derivative_indicator.dividend_yield > 4.5
)
.order_by(
fundamentals.eod_derivative_indicator.dividend_yield .desc()
).limit(
num_stocks
)
)
li=list(fundamental_df.columns.values)
if context.flag:
dividend = []
for stock in li:
di = float(fundamental_df[stock]['dividend_yield'])/100
di = di*float(fundamental_df[stock]['market_cap'])
dividend.append([di])
div=np.array(dividend)
context.df = pd.DataFrame(div.T,index=['dividend'],columns=li)
logger.info(context.df)
context.flag = False
else:
li2 = list(context.df.columns.values)
for stock in li:
if stock not in li2:
di = float(fundamental_df[stock]['dividend_yield'])/100
di = di*float(fundamental_df[stock]['market_cap'])
context.df.insert(0,stock,[di])
else:
di = float(fundamental_df[stock]['dividend_yield'])/100
di = di*float(fundamental_df[stock]['market_cap'])
context.df[stock]['dividend']=di
#logger.info(context.df)
stocks=context.df.columns.values
fundamental_df = get_fundamentals(
query(
fundamentals.eod_derivative_indicator.market_cap,fundamentals.financial_indicator.inc_operating_revenue
).filter(
fundamentals.financial_indicator.inc_operating_revenue >5
).filter(
fundamentals.income_statement.stockcode.in_(stocks)
)
)
stocks=fundamental_df.columns.values
dividend_yield=[]
for stock in stocks:
rate=context.df[stock]['dividend']/float(fundamental_df[stock]['market_cap'])
dividend_yield.append(rate)
df = pd.DataFrame(dividend_yield,index=stocks,columns=['dividend_yield'])
df=df[df['dividend_yield']>0.06]
logger.info(df)
context.fundamental_df = fundamental_df
context.stocks = df.T.columns.values
def rebalance(context,bar_dict):
stocks = set(list(context.stocks))
num = 0
num=len(stocks)
if num>9:
num=0
else:
num=(10-num)/10
holdings = set(get_holdings(context))
to_buy = stocks - holdings
to_sell = holdings - stocks
if not context.cur_stock=='':
logger.info(num)
order_target_percent(context.cur_stock,num)
if context.cur_stock in to_sell:
to_sell.remove(context.cur_stock)
to_buy=list(to_buy)
for stock in to_sell:
high = history(OBSERVATION,'1d','high')[stock].values
low = history(OBSERVATION,'1d','low')[stock].values
close = history(OBSERVATION,'1d','close')[stock].values
MIX = (high + low +close)/3
sma = talib.SMA(MIX,20)
currentPrice = bar_dict[stock].close
if sma[-1]>0:
if currentPrice < sma[-1]:
if (bar_dict[stock].low<bar_dict[stock].high*0.995):
order_target_percent(stock , 0)
if len(to_buy) == 0:
return
to_buy = get_trading_stocks(to_buy, context, bar_dict)
cash = context.portfolio.cash
portfolio_value=context.portfolio.portfolio_value
if len(to_buy) >0:
average_value = context.portfolio.cash*0.95/len(to_buy)
if average_value>context.portfolio.portfolio_value *0.1:
average_value=context.portfolio.portfolio_value *0.1
for stock in to_buy:
if bar_dict[stock].is_trading:
if (bar_dict[stock].low<bar_dict[stock].high*0.995)and(history(3,'1d','close')[stock].ix[1]>0):
order_target_value(stock, average_value)
min_stock='150283.XSHE'#当日最小折价率基金
min_discount=0#当日最小折价率
cur_discount=0#当前持仓基金折价率
#获得当前持仓基金折价率
if context.cur_stock!='':
cur_discount=bar_dict[context.cur_stock].discount_rate
#获得当日最小折价率基金代码及折价率
for stock in context.fja_list:
if min_discount>bar_dict[stock].discount_rate:
min_stock=stock
min_discount=bar_dict[stock].discount_rate
#第一次买入
if context.cur_stock=='':
shares = context.portfolio.cash/bar_dict[min_stock].close
order_shares(min_stock,shares)
logger.info("买入:"+min_stock+str(shares))
context.cur_stock=min_stock
else:
#如果当日最小折价率与当前持仓折价率相差超过1则轮仓
if context.cur_stock!=min_stock and bar_dict[min_stock].is_trading and bar_dict[context.cur_stock].is_trading and cur_discount-min_discount>1:
order_target_percent(context.cur_stock,0)
logger.info("卖出:"+context.cur_stock)
shares = context.portfolio.cash/bar_dict[min_stock].close
order_shares(min_stock,shares)
logger.info("买入:"+min_stock+str(shares))
context.cur_stock=min_stock
logger.info(context.cur_stock+str(cur_discount))
def get_trading_stocks(to_buy, context, bar_dict):
trading_stocks = []
for stock in to_buy:
if bar_dict[stock].is_trading:
trading_stocks.append(stock)
return trading_stocks
def get_holdings(context):
positions = context.portfolio.positions
holdings = []
for position in positions:
if positions[position].quantity > 0:
holdings.append(position)
return holdings
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