多因子 市值+roe

# 导入函数库
import jqdata 




# 策略初始化
def initialize(context):
    g.security = get_index_stocks('000002.XSHG')#股票池
    set_option('use_real_price',True)#价格前复权
    set_benchmark('000002.XSHG')
    set_order_cost(OrderCost(open_tax=0,close_tax=0.001, open_commission=0.0003, close_commission=0.0003,min_commission=5), type='stock')
    g.q=query(valuation,indicator).filter(valuation.code.in_(g.security))
    g.N=20
    run_monthly(handle,1)


def handle(context):
    df=get_fundamentals(g.q)[['code','market_cap','roe']]#花式索引
    df['market_cap']=(df['market_cap']-df['market_cap'].min())/(df['market_cap'].max()-df['market_cap'].min())
    df['roe']=(df['roe']-df['roe'].min())/(df['roe'].max()-df['roe'].min())
    df['score']=df['roe']-df['market_cap']
    df=df.sort_values('score').iloc[-g.N:,:]
    to_hold=df['code'].values
    for stock in context.portfolio.positions:
        if stock not in to_hold:
            order_target(stock,0)
    to_buy=[stock for stock in to_hold if stock not in context.portfolio.positions]
    if len(to_buy) >0:
        cash_per_stock = context.portfolio.available_cash/len(to_buy) 
        for stock in to_buy:
            order_value(stock,cash_per_stock)

回测：