通联情绪指标策略，回测结果还不错

[datayes2015]

start = pd.datetime(2013, 11, 1)
end = pd.datetime(2014, 11, 1)
benchmark = 'HS300'
universe = read('3b_ticker.txt').split(',')
capital_base = 100000
csvs = ['3b_news.csv']

def initialize(account):
add_history('hist1', 1)

def handle_data(account, data):
for stock in universe:
if (stock not in account.hist1) or ('emotion' not in account.hist1[stock].columns):
continue

sig = account.hist1[stock].iloc[0,:]['emotion']
if sig > 0.2 and account.position.stkpos.get(stock, 0)==0:
order(stock, 100)
elif sig < 0 and account.position.stkpos.get(stock, 0)>0:
order_to(stock, 0)

年化收益率
24.4%
基准年化收益率
5.3%
阿尔法
0.19
贝塔
0.77
夏普比率
1.08
收益波动率
0.19
信息比率
1.18
最大回撤
17.9%

原帖地址： https://uqer.io/community/share/548111daf9f06c8e7733670a

[geeklian]

技术分析现在A股没啥用...
中央领导一句话，结果要么千股涨停要么跌停...