【量化】多只股票策略

g.security = ['600570.SS', '600130.SS']

def initialize(context):
    pass

def handle_data(context, data):
    security = g.security
    
    for stock in security:
        sid = symbol(stock)
        
        current_price = data[sid]['open']
        amount = context.portfolio.positions[sid].amount
        last = data[sid].mavg(2) * 2 - data[sid]['price']
        
        if amount == 0:
            order(sid, 100)
            log.info('buy %s' % stock)
        elif last < current_price and amount > 100:
            order(sid, -100)
            log.info('sell %s' % stock)
        elif last > current_price:
            order(sid, 100)
            log.info('buy %s' % stock)