def setup(self):
"""
Set up the ini_dic, benchmark_data, trade_days and order_days.
"""
self.ini_dic = {}
self.ret = pd.DataFrame()
self.benchmark_data = pd.DataFrame()
self.history_max = 0
self.capital = []
self.cash = capital_base
for stock in self.universe:
try:
data = ssdata.get_data(secid=stock,
start_date=self.start_date,
end_date=self.end_date,
field='open').sort_index()
self.ini_dic[stock] = data
except Exception:
self.universe.remove(stock)
print("Stock ", stock, " data unavailable.")
try:
data = ssdata.get_data(secid=self.benchmark,
start_date=self.start_date,
end_date=self.end_date,
field='open').sort_index()
self.benchmark_data = self.benchmark_data.append(data)
except Exception:
print("Benchmark ", self.benchmark, " data unavailable.")
self.trade_days = self.ini_dic[self.universe[0]].index
self.order_days = self.get_order_days()
def get_order_days(freq):
# if freq==20: # 每月更新直接用已有数据
# days=list((ssdata.get_data(secid='430002.OC',start_date=start_date,end_date=end_date,field='open').sort_index()).index)
# return (days)
if freq == 1:
days=list((ssdata.get_data(secid='000001.XSHE',start_date=start_date,end_date=end_date,field='open').sort_index()).index)
return (days)
else:
trade_days=list((ssdata.get_data(secid='000001.XSHE',start_date=start_date,end_date=end_date,field='open').sort_index()).index)
days=[]
for i in range(len(trade_days)):
if i % freq == 0:
days.append(trade_days[i])
return (days)
def setup(self):
"""
用来初始化账户，得到ini_dic, benchmark_data, trade_days 和 order_days等。
"""
# 初始化这些变量
self.ini_dic = {}
self.ret = pd.DataFrame()
self.benchmark_data = pd.DataFrame()
self.history_max = 0
self.capital = []
self.cash = self.capital_base
# 遍历universe，通过ssdata包获取股票数据，存入ini_dic
# 注：新三板股票都是月度数据
for stock in self.universe:
# 使用try-except是为了防止获取不到某些数据
try:
# 得到的data是一个dataframe
data = ssdata.get_data(secid=stock,
start_date=self.start_date,
end_date=self.end_date,
field='open,yoyop').dropna().\
sort_index()
self.ini_dic[stock] = data
print("Succeed: ", stock,
self.universe.index(stock) + 1, '/', len(self.universe))
except Exception:
print(stock, "data unavailable.",
self.universe.index(stock) + 1, '/', len(self.universe))
# 把获取不到数据的股票从universe中去掉
self.universe = list(self.ini_dic.keys())
# 获取benchmark的数据
try:
data = ssdata.get_data(secid=self.benchmark,
start_date=self.start_date,
end_date=self.end_date,
field='open').sort_index().dropna()
self.benchmark_data = self.benchmark_data.append(data)
except Exception:
print("Benchmark ", self.benchmark, " data unavailable.")
# 交易日列表
self.trade_days = self.benchmark_data.index
# 调用下面的get_order_days函数算出下单日列表
self.order_days = self.get_order_days()
def initialize(date) :
ini_dic={}
for stock in data_list:
try:
data=ssdata.get_data(secid=stock,start_date=start_date,end_date=end_date,field='open,avgprice,close,pb,roediluted,yoyor,yoyop,yoypni').sort_index()
ini_dic[stock]=data
print ('success')
except:
data_list.remove(stock)
print (stock,'无数据')
return (ini_dic)
def handle_data(date):
selected = pd.DataFrame()
# 获取全部股票池数据
#today_data=ssdata.get_data(secid=data_list,start_date=date,end_date=date,field=['yoyop'])
# 选取处于创新层的股票
#today_data=today_data[today_data['CREATIVECLASSORNOT']== '是']
# 去掉没有数据的股票
today_data=pd.DataFrame()
for stock in data_list:
data=ssdata.get_data(secid=stock,start_date=date,end_date=date,field=['yoyop'])
today_data=today_data.append(data)
today_data=today_data[np.isnan(today_data['yoyop']) == False]
today_data=today_data[today_data['yoyop']>0]
# 降序排列所选数据
today_data['value']=today_data['yoyop']
# 选出标的
today_data = today_data.sort_values('value',ascending = False)[:5]
#print (today_data)
# 买入列表
buylist=list(today_data['secid'])
#buylist=data_list
return buylist
# data_list=target
# 2018年6月创新层股票名单
#data_list=['430002.OC', '430005.OC', '430014.OC', '430021.OC','430037.OC', '430038.OC', '430046.OC', '430051.OC', '430054.OC', '430055.OC', '430062.OC', '430074.OC', '430075.OC', '430077.OC', '430084.OC', '430085.OC', '430090.OC', '430097.OC', '430109.OC', '430120.OC', '430127.OC', '430130.OC', '430139.OC', '430140.OC', '430141.OC', '430152.OC', '430159.OC', '430165.OC', '430169.OC', '430173.OC', '430174.OC', '430176.OC', '430178.OC', '430182.OC', '430183.OC', '430198.OC', '430208.OC', '430211.OC', '430222.OC', '430225.OC', '430226.OC', '430236.OC', '430244.OC', '430245.OC', '430253.OC', '430258.OC', '430260.OC', '430261.OC', '430267.OC', '430276.OC', '430300.OC', '430305.OC', '430318.OC', '430325.OC', '430330.OC', '430331.OC', '430335.OC', '430338.OC', '430350.OC', '430353.OC', '430356.OC', '430366.OC', '430367.OC', '430372.OC', '430374.OC', '430375.OC', '430376.OC', '430377.OC', '430382.OC', '430383.OC', '430394.OC', '430405.OC', '430408.OC', '430418.OC', '430422.OC', '430430.OC', 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'839258.OC', '839264.OC', '839271.OC', '839275.OC', '839281.OC', '839284.OC', '839295.OC', '839296.OC', '839306.OC', '839316.OC', '839373.OC', '839411.OC', '839456.OC', '839483.OC', '839484.OC', '839505.OC', '839603.OC', '839639.OC', '839646.OC', '839695.OC', '839697.OC', '839712.OC', '839719.OC', '839729.OC', '839737.OC', '839797.OC', '839798.OC', '839805.OC', '839816.OC', '839878.OC', '839884.OC', '839930.OC', '839951.OC', '870009.OC', '870035.OC', '870040.OC', '870049.OC', '870147.OC', '870162.OC', '870170.OC', '870177.OC', '870190.OC', '870229.OC', '870231.OC', '870239.OC', '870257.OC', '870259.OC', '870270.OC', '870309.OC', '870336.OC', '870338.OC', '870361.OC', '870387.OC', '870399.OC', '870409.OC', '870490.OC', '870510.OC', '870552.OC', '870614.OC', '870643.OC', '870706.OC', '870714.OC', '870725.OC', '870773.OC', '870812.OC', '870844.OC', '870984.OC', '870997.OC', '870998.OC', '871042.OC', '871082.OC', '871177.OC', '871195.OC', '871224.OC', '871326.OC', '871348.OC', '871370.OC', '871396.OC', '871481.OC', '871543.OC', '871642.OC', '871655.OC', '871703.OC', '872034.OC', '872049.OC', '872087.OC', '872149.OC', '872186.OC', '872210.OC', '872242.OC', '872351.OC', '872358.OC', '872440.OC', '872627.OC']
#data_list=['000001.XSHE','002142.XSHE', '002807.XSHE','002839.XSHE','600000.XSHG', '600015.XSHG','600016.XSHG', '600036.XSHG', '600908.XSHG', '600919.XSHG', '600926.XSHG', '601009.XSHG', '601128.XSHG', '601166.XSHG', '601169.XSHG', '601229.XSHG', '601288.XSHG', '601328.XSHG', '601398.XSHG', '601818.XSHG', '601838.XSHG', '601939.XSHG','601988.XSHG','601997.XSHG', '601998.XSHG',
# '603323.XSHG'][:10]
data_list=['000001.XSHE','002142.XSHE', '002807.XSHE','600000.XSHG']
# 设置调仓频率
freq=20 # 单位：日
order_days = get_order_days(freq)
# 交易日列表
trade_days=list((ssdata.get_data(secid='000001.XSHE',start_date=start_date,end_date=end_date,field='open').sort_index()).index)
start_date=trade_days[0].strftime('%Y-%m-%d') # 实际开始日期 （包含本月）
end_date=trade_days[-1].strftime('%Y-%m-%d') # 实际截止日期（不包含本月）
# 基准为新三板指数'899001.CSI'
#benchmark = pd.read_csv('899001.CSI.csv',index_col=0)[start_date:end_date] # 基准csv文件
benchmark = ssdata.get_data(secid='000001.XSHE' ,start_date=start_date,end_date=end_date,field='open')#基准
# 设置起始资金、股票仓位、现金仓位
capital = []
position = 0.
cash = 1000000
tax=0.001
commission = 0.00025
return buylist
######################## 定义回测参数 ##########################
# 起始日截止日,必须属于交易日列表
start_date='2017-02-01'
end_date='2018-06-01'
# 股票池（创新层全部股票）
#data_list = ['430002.OC']
data_list=['430002.OC','430014.OC','430037.OC','430046.OC','430054.OC','430005.OC','430021.OC','430038.OC','430051.OC','430055.OC']
#data_list=['430002.OC', '430005.OC', '430014.OC', '430021.OC', '430037.OC', '430038.OC', '430046.OC', '430051.OC', '430054.OC', '430055.OC', '430062.OC', '430074.OC', '430075.OC', '430077.OC', '430084.OC', '430085.OC', '430090.OC', '430097.OC', '430109.OC', '430120.OC', '430127.OC', '430130.OC', '430139.OC', '430140.OC', '430141.OC', '430152.OC', '430159.OC', '430165.OC', '430169.OC', '430173.OC', '430174.OC', '430176.OC', '430178.OC', '430182.OC', '430183.OC', '430198.OC', '430208.OC', '430211.OC', '430222.OC', '430225.OC', '430226.OC', '430236.OC', '430244.OC', '430245.OC', '430253.OC', '430258.OC', '430260.OC', '430261.OC', '430267.OC', '430276.OC', '430300.OC', '430305.OC', '430318.OC', '430325.OC', '430330.OC', '430331.OC', '430335.OC', '430338.OC', '430350.OC', '430353.OC', '430356.OC', '430366.OC', '430367.OC', '430372.OC', '430374.OC', '430375.OC', '430376.OC', '430377.OC', '430382.OC', '430383.OC', '430394.OC', '430405.OC', '430408.OC', '430418.OC', '430422.OC', '430430.OC', '430432.OC', '430437.OC', '430455.OC', '430457.OC', '430458.OC', '430459.OC', '430462.OC', '430472.OC', '430485.OC', '430488.OC', '430489.OC', '430492.OC', '430500.OC', '430505.OC', '430508.OC', '430512.OC', '430515.OC', '430523.OC', '430539.OC', '430552.OC', '430555.OC', '430556.OC', '430578.OC', '430595.OC', '430596.OC', '430597.OC', '430607.OC', '430609.OC', '430618.OC', '430651.OC', '430659.OC', '430665.OC', '430675.OC', '430680.OC', '430682.OC', '430714.OC', '430718.OC', '430730.OC', '430742.OC', '430754.OC', '430755.OC', '830776.OC', '830777.OC', '830783.OC', '830793.OC', '830799.OC', '830809.OC', '830810.OC', '830813.OC', '830815.OC', '830818.OC', '830821.OC', '830827.OC', '830828.OC', '830830.OC', '830832.OC', '830833.OC', '830837.OC', '830845.OC', '830850.OC', '830851.OC', '830855.OC', '830862.OC', '830866.OC', '830879.OC', '830881.OC', '830894.OC', '830899.OC', '830917.OC', '830922.OC', '830927.OC', '830931.OC', '830933.OC', '830936.OC', '830938.OC', '830944.OC', '830946.OC', '830947.OC', '830955.OC', '830964.OC', '830966.OC', '830974.OC', '830978.OC', '830988.OC', '830993.OC', '830999.OC', '831011.OC', '831015.OC', '831019.OC', '831030.OC', '831045.OC', '831049.OC', '831053.OC', '831057.OC', '831063.OC', '831067.OC', '831072.OC', '831083.OC', '831084.OC', '831099.OC', '831101.OC', '831108.OC', '831114.OC', '831126.OC', '831129.OC', '831140.OC', '831142.OC', '831149.OC', '831152.OC', '831159.OC', '831161.OC', '831162.OC', '831173.OC', '831175.OC', '831177.OC', '831186.OC', '831187.OC', '831194.OC', '831207.OC', '831235.OC', '831242.OC', '831243.OC', '831248.OC', '831253.OC', '831274.OC', '831276.OC', '831278.OC', '831287.OC', '831289.OC', '831299.OC', '831305.OC', '831306.OC', '831311.OC', '831315.OC', '831327.OC', '831330.OC', '831343.OC', '831344.OC', '831345.OC', '831353.OC', '831354.OC', '831355.OC', '831367.OC', '831370.OC', '831378.OC', '831385.OC', '831386.OC', '831392.OC', '831417.OC', '831439.OC', '831450.OC', '831472.OC', '831475.OC', '831484.OC', '831486.OC', '831496.OC', '831511.OC', '831512.OC', '831513.OC', '831529.OC', '831533.OC', '831546.OC', '831550.OC', '831557.OC', '831558.OC', '831562.OC', '831565.OC', '831566.OC', '831568.OC', '831576.OC', '831583.OC', '831595.OC', '831601.OC', '831603.OC', '831609.OC', '831614.OC', '831626.OC', '831628.OC', '831633.OC', '831635.OC', '831640.OC', '831663.OC', '831672.OC', '831675.OC', '831688.OC', '831697.OC', '831698.OC', '831701.OC', '831706.OC', '831709.OC', '831710.OC', '831711.OC', '831718.OC', '831725.OC', '831728.OC', '831729.OC', '831742.OC', '831743.OC', '831776.OC', '831829.OC', '831839.OC', '831844.OC', '831852.OC', '831866.OC', '831873.OC', '831885.OC', '831888.OC', '831890.OC', '831900.OC', '831913.OC', '831925.OC', '831929.OC', '831930.OC', '831940.OC', '831943.OC', '831961.OC', '831971.OC', '831972.OC', '831981.OC', '831984.OC', '831988.OC', '831999.OC', '832003.OC', '832007.OC', '832014.OC', '832026.OC', '832028.OC', '832041.OC', '832047.OC', '832060.OC', '832063.OC', '832075.OC', '832080.OC', '832081.OC', '832086.OC', '832093.OC', '832094.OC', '832107.OC', '832108.OC', '832110.OC', '832120.OC', '832123.OC', '832126.OC', '832127.OC', '832132.OC', '832133.OC', '832134.OC', '832135.OC', '832136.OC', '832139.OC', '832149.OC', '832151.OC', '832159.OC', '832167.OC', '832172.OC', '832175.OC', '832178.OC', '832184.OC', '832188.OC', '832196.OC', '832201.OC', '832213.OC', '832214.OC', '832218.OC', '832221.OC', '832230.OC', '832236.OC', '832246.OC', '832255.OC', '832258.OC', '832265.OC', '832276.OC', '832278.OC', '832280.OC', '832281.OC', '832283.OC', '832297.OC', '832303.OC', '832308.OC', '832316.OC', '832317.OC', '832320.OC', '832325.OC', '832327.OC', '832329.OC', '832340.OC', '832353.OC', '832354.OC', '832359.OC', '832390.OC', '832397.OC', '832398.OC', '832399.OC', '832404.OC', '832412.OC', '832422.OC', '832432.OC', '832444.OC', '832449.OC', '832452.OC', '832453.OC', '832455.OC', '832462.OC', '832467.OC', '832469.OC', '832482.OC', '832491.OC', '832499.OC', '832511.OC', '832522.OC', '832532.OC', '832533.OC', '832540.OC', '832555.OC', '832559.OC', '832562.OC', '832563.OC', '832566.OC', '832571.OC', '832579.OC', '832580.OC', '832585.OC', '832586.OC', '832588.OC', '832597.OC', '832602.OC', '832616.OC', '832620.OC', '832638.OC', '832641.OC', '832645.OC', '832646.OC', '832666.OC', '832693.OC', '832705.OC', '832707.OC', '832735.OC', '832763.OC', '832768.OC', '832773.OC', '832774.OC', '832783.OC', '832786.OC', '832792.OC', '832800.OC', '832802.OC', '832814.OC', '832821.OC', '832840.OC', '832850.OC', '832854.OC', '832859.OC', '832873.OC', '832881.OC', '832893.OC', '832896.OC', '832898.OC', '832899.OC', '832902.OC', '832910.OC', '832918.OC', '832927.OC', '832929.OC', '832938.OC', '832950.OC', '832953.OC', '832958.OC', '832959.OC', '832960.OC', '832966.OC', '832971.OC', '832973.OC', '832974.OC', '832975.OC', '832978.OC', '832982.OC', '833014.OC', '833029.OC', '833037.OC', '833041.OC', '833047.OC', '833057.OC', '833066.OC', '833099.OC', '833105.OC', '833132.OC', '833146.OC', '833147.OC', '833158.OC', '833159.OC', '833160.OC', '833182.OC', '833183.OC', '833186.OC', '833197.OC', '833222.OC', '833224.OC', '833255.OC', '833266.OC', '833278.OC', '833284.OC', '833288.OC', '833292.OC', '833295.OC', '833300.OC', '833308.OC', '833311.OC', '833330.OC', '833331.OC', '833339.OC', '833341.OC', '833355.OC', '833366.OC', '833371.OC', '833374.OC', '833379.OC', '833382.OC', '833414.OC', '833423.OC', '833426.OC', '833442.OC', '833448.OC', '833449.OC', '833451.OC', '833466.OC', '833482.OC', '833493.OC', '833497.OC', '833503.OC', '833506.OC', '833517.OC', '833528.OC', '833529.OC', '833532.OC', '833533.OC', '833553.OC', '833559.OC', '833581.OC', '833619.OC', '833623.OC', '833624.OC', '833627.OC', '833629.OC', '833631.OC', '833644.OC', '833653.OC', '833654.OC', '833656.OC', '833658.OC', '833659.OC', '833662.OC', '833682.OC', '833684.OC', '833694.OC', '833722.OC', '833742.OC', '833743.OC', '833755.OC', '833757.OC', '833767.OC', '833770.OC', '833790.OC', '833796.OC', '833819.OC', '833827.OC', '833833.OC', '833840.OC', '833856.OC', '833874.OC', '833881.OC', '833896.OC', '833913.OC', '833914.OC', '833954.OC', '833960.OC', '833972.OC', '833994.OC', '833997.OC', '834013.OC', '834019.OC', '834020.OC', '834021.OC', '834023.OC', '834070.OC', '834082.OC', '834084.OC', '834102.OC', '834122.OC', '834126.OC', '834134.OC', '834153.OC', '834154.OC', '834156.OC', '834178.OC', '834179.OC', '834187.OC', '834195.OC', '834203.OC', '834206.OC', '834209.OC', '834222.OC', '834240.OC', '834255.OC', '834262.OC', '834270.OC', '834303.OC', '834342.OC', '834365.OC', '834385.OC', '834415.OC', '834425.OC', '834428.OC', '834438.OC', '834440.OC', '834474.OC', '834475.OC', '834476.OC', '834489.OC', '834496.OC', '834498.OC', '834507.OC', '834509.OC', '834534.OC', '834549.OC', '834568.OC', '834598.OC', '834616.OC', '834618.OC', '834620.OC', '834631.OC', '834641.OC', '834653.OC', '834678.OC', '834680.OC', '834682.OC', '834683.OC', '834687.OC', '834695.OC', '834698.OC', '834707.OC', '834713.OC', '834720.OC', '834729.OC', '834732.OC', '834742.OC', '834761.OC', '834762.OC', '834765.OC', '834767.OC', '834770.OC', '834771.OC', '834772.OC', '834791.OC', '834793.OC', '834802.OC', '834803.OC', '834817.OC', '834825.OC', '834832.OC', '834845.OC', '834857.OC', '834874.OC', '834877.OC', '834887.OC', '834898.OC', '834980.OC', '834984.OC', '834996.OC', '835002.OC', '835003.OC', '835021.OC', '835024.OC', '835032.OC', '835033.OC', '835035.OC', '835092.OC', '835093.OC', '835145.OC', '835181.OC', '835184.OC', '835185.OC', '835192.OC', '835197.OC', '835212.OC', '835217.OC', '835259.OC', '835265.OC', '835296.OC', '835298.OC', '835300.OC', '835322.OC', '835348.OC', '835359.OC', '835368.OC', '835381.OC', '835387.OC', '835401.OC', '835414.OC', '835425.OC', '835474.OC', '835483.OC', '835505.OC', '835508.OC', '835538.OC', '835557.OC', '835572.OC', '835577.OC', '835611.OC', '835654.OC', '835663.OC', '835710.OC', '835787.OC', '835842.OC', '835850.OC', '835859.OC', '835860.OC', '835902.OC', '835911.OC', '835955.OC', '835959.OC', '835961.OC', '835990.OC', '835995.OC', '836030.OC', '836042.OC', '836052.OC', '836053.OC', '836066.OC', '836081.OC', '836093.OC', '836108.OC', '836116.OC', '836129.OC', '836149.OC', '836183.OC', '836190.OC', '836200.OC', '836232.OC', '836263.OC', '836267.OC', '836330.OC', '836346.OC', '836433.OC', '836437.OC', '836455.OC', '836460.OC', '836473.OC', '836529.OC', '836559.OC', '836583.OC', '836589.OC', '836610.OC', '836617.OC', '836625.OC', '836645.OC', '836675.OC', '836686.OC', '836689.OC', '836690.OC', '836703.OC', '836708.OC', '836709.OC', '836728.OC', '836734.OC', '836792.OC', '836800.OC', '836801.OC', '836813.OC', '836859.OC', '836870.OC', '836875.OC', '836899.OC', '836916.OC', '836989.OC', '837022.OC', '837092.OC', '837097.OC', '837128.OC', '837138.OC', '837160.OC', '837181.OC', '837183.OC', '837193.OC', '837249.OC', '837293.OC', '837299.OC', '837321.OC', '837331.OC', '837348.OC', '837353.OC', '837424.OC', '837443.OC', '837449.OC','837472.OC', '837498.OC', '837500.OC', '837558.OC', '837567.OC', '837610.OC', '837628.OC', '837665.OC', '837673.OC', '837674.OC', '837689.OC', '837729.OC', '837747.OC', '837761.OC', '837770.OC', '837796.OC', '837797.OC', '837932.OC', '837935.OC', '837939.OC', '837953.OC', '838006.OC', '838030.OC', '838053.OC', '838104.OC', '838115.OC', '838123.OC', '838154.OC', '838163.OC', '838210.OC', '838220.OC', '838257.OC', '838265.OC', '838317.OC', '838324.OC', '838349.OC', '838357.OC', '838384.OC', '838413.OC', '838428.OC', '838483.OC', '838484.OC', '838504.OC', '838517.OC', '838526.OC', '838535.OC', '838564.OC', '838570.OC', '838593.OC', '838641.OC', '838650.OC', '838659.OC', '838696.OC', '838777.OC', '838810.OC', '838823.OC', '838827.OC', '838830.OC', '838843.OC', '838849.OC', '838924.OC', '838943.OC', '838944.OC', '838974.OC', '838984.OC', '839056.OC', '839074.OC', '839123.OC', '839133.OC', '839135.OC', '839149.OC', '839167.OC', '839202.OC', '839205.OC', '839230.OC', '839242.OC', '839258.OC', '839264.OC', '839271.OC', '839275.OC', '839281.OC', '839284.OC', '839295.OC', '839296.OC', '839306.OC', '839316.OC', '839373.OC', '839411.OC', '839456.OC', '839483.OC', '839484.OC', '839505.OC', '839603.OC', '839639.OC', '839646.OC', '839695.OC', '839697.OC', '839712.OC', '839719.OC', '839729.OC', '839737.OC', '839797.OC', '839798.OC', '839805.OC', '839816.OC', '839878.OC', '839884.OC', '839930.OC', '839951.OC', '870009.OC', '870035.OC', '870040.OC', '870049.OC', '870147.OC', '870162.OC', '870170.OC', '870177.OC', '870190.OC', '870229.OC', '870231.OC', '870239.OC', '870257.OC', '870259.OC', '870270.OC', '870309.OC', '870336.OC', '870338.OC', '870361.OC', '870387.OC', '870399.OC', '870409.OC', '870490.OC', '870510.OC', '870552.OC', '870614.OC', '870643.OC', '870706.OC', '870714.OC', '870725.OC', '870773.OC', '870812.OC', '870844.OC', '870984.OC', '870997.OC', '870998.OC', '871042.OC', '871082.OC', '871177.OC', '871195.OC', '871224.OC', '871326.OC', '871348.OC', '871370.OC', '871396.OC', '871481.OC', '871543.OC', '871642.OC', '871655.OC', '871703.OC', '872034.OC', '872049.OC', '872087.OC', '872149.OC', '872186.OC', '872210.OC', '872242.OC', '872351.OC', '872358.OC', '872440.OC', '872627.OC']
# 每月第一个交易日列表
trade_days=list(ssdata.get_data(secid='430002.OC',start_date=start_date,end_date=end_date,field='open').index)
start_date=trade_days[0].strftime('%Y-%m-%d') # 实际开始日期 （包含）
end_date=trade_days[-1].strftime('%Y-%m-%d') # 实际截止日期（包含）
# 基准为新三板指数'899001.CSI'
#benchmark = ssdata.get_data(secid='600036.sh' ,start_date=start_date,end_date=end_date,field='open')#基准
# 设置起始资金、股票仓位、现金仓位
capital = []
position = 0.
cash = 1000000
# 设置调仓频率
freq=1
tax=0.001
commission = 0.00025
# 历史最大回撤初始值
