Smallest CSI 300 Stocks by Market Value

Article Strategy library · Author: Myquant

Summary

This example builds a daily stock universe from currently tradable Shanghai and Shenzhen listings, then intersects it with the CSI 300 constituents. It ranks the remaining stocks by market value and keeps the five smallest. The selection is a small capitalization tilt within the index, rather than a broad market-cap ranking across all listed shares.

The strategy stores the selected stocks’ latest daily bars and, when it has no positions, allocates 95% of available cash equally among them, sizing orders in 100-share lots using each stock’s close. When positions exist, it compares holdings with the selected list, closing holdings that are no longer selected. The document provides implementation logic but no backtest or return evidence. It does not explain how often selection is refreshed, and the visible code references a sell dictionary without initializing it, so the example may need correction before use. It also gives no explicit risk limits or controls for order fills.

Key ideas

The stock universe is the intersection of tradable Shanghai and Shenzhen listings and CSI 300 constituents.
The strategy ranks eligible stocks by market value and selects the five smallest.
Initial orders divide most available cash equally and round share quantities to 100-share lots.
Held stocks absent from the current selection are marked for closing.
The example supplies no performance evidence and leaves refresh timing and some implementation details unclear.

Tags

Equities Factor investing Position sizing China markets Execution

Full text

# Alpha


# Alpha









## Source (Apache-2.0)

```python
# !/usr/bin/env python
# -*- coding: utf-8 -*-
from Alpha import Alpha

'''
请在Strategy中修改个人账号密码和策略ID
'''

class Strategy(Alpha):
    def __init__(self, *args, **kwargs):
        super(Strategy, self).__init__(*args, **kwargs)
        self.md.subscribe('SHSE.000300.bar.60')  # 订阅一个symbol，在交易时间触发下单

    def initialize(self):
        # region 获取沪深300中当天可交易的股票
        instruments1 = self.get_instruments('SHSE', 1, 1)
        instruments2 = self.get_instruments('SZSE', 1, 1)
        symbol_list1 = set(instrument.symbol for instrument in instruments2 + instruments1)  # 获取当日可交易的股票，剔除B股
        constituents = self.get_constituents('SHSE.000300')
        symbol_list2 = set(constituent.symbol for constituent in constituents)  # 获取沪深300成分股（剔除ST、*ST股票，以及上市时间不足3个月等股票后剩余的股票）
        symbol_list = symbol_list1 & symbol_list2
        symbol_list = ','.join(symbol for symbol in symbol_list)
        # endregion

        # region 选出市值最小的5只
        market_index = self.get_last_market_index(symbol_list)
        data = [mi for mi in market_index]
        data = sorted(data, key=lambda mi: mi.market_value)[:5]  # 市值最小的5只
        # endregion

        # region 为了计算仓位，获取昨日dailybar，存入buy_dict
        buy_list = ','.join(d.symbol for d in data)
        dailybars = self.get_last_dailybars(buy_list)
        self.buy_dict = {dailybar.sec_id: dailybar for dailybar in dailybars}
        # endregion


    def handle_data(self):
        # region 没有持仓时直接open_long
        print(self.buy_dict.keys())
        positions = self.get_positions()
        if len(positions) == 0:
            cash = self.get_cash()
            for b in self.buy_dict.values():
                vol = int(cash.available * 0.95 / len(self.buy_dict) / b.close / 100) * 100
                self.open_long(b.exchange, b.sec_id, 0, vol)
            return
        # endregion

        # region 有持仓时结合持仓获取buy_dict，sell_dict
        for p in positions:
            if p.sec_id in self.buy_dict:
                self.buy_dict.pop(p.sec_id)
            else:
                self.sell_dict[p.sec_id] = p
        # endregion

        for p in self.sell_dict.values():  # 先卖出,卖盘成交时再买入，若资金足够也可以直接买入
            self.close_long(p.exchange, p.sec_id, 0, p.volume)

    def on_order_status(self, order):
        pass

if __name__ == '__main__':
    my_strategy = Strategy(
        username='username',  # 请修改账号
        password='password',  # 请修改密码
        strategy_id='strategy_id',  # 请修改策略ID
        mode=2,
        td_addr='localhost:8001')
    ret = my_strategy.run()
    print('exit code: ', ret)

```

Shown in full with attribution under the source's licence. Licence: Apache-2.0

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.

Selecting and Holding the Five Smallest CSI 300 Stocks by Market Value

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