[wind.selected.FTCA]

ftca.py

from WindPy import *
import pandas as pd
from pandas import DataFrame

import ffn
w.start()
all_data={}
a=w.weqs('tp')#筛选出自由流通市值在50-200亿元之间，成交量增加50%，涨幅大于4%，且不为今年上市的新股
for ticker in a.Data[0]:
    all_data[ticker]=w.wsd(ticker,'close','20170101')
price=DataFrame({tic:data.Data[0] for tic,data in all_data.items()},index=all_data[next(iter(all_data))].Times) 
syzs=(1+price.pct_change()).cumprod()
syzs.iloc[0,:]=1
print(syzs.calc_ftca(threshold=0.5))#FTCA筛选分类