增加交易策略、交易指标、量化库代码等文件夹

2025-04-27 15:54:09 +08:00
parent ca3b209096
commit f57150dae8
589 changed files with 854346 additions and 1757 deletions
--- a/基于布林带的股票量化择时策略/布林策略.py
+++ b/基于布林带的股票量化择时策略/布林策略.py
@@ -0,0 +1,114 @@
+import numpy as np
+import pandas as pd    
+from pandas import Series,DataFrame
+
+def initialize(context):
+    # 设定沪深300作为基准
+    set_benchmark('000300.XSHG')
+    # 开启动态复权模式(真实价格)
+    set_option('use_real_price', True) 
+    # 股票类交易手续费是：买入时佣金万分之三，卖出时佣金万分之三加千分之一印花税, 每笔交易佣金最低扣5块钱
+    set_order_cost(OrderCost(open_tax=0, close_tax=0.001, \
+                             open_commission=0.0003, close_commission=0.0003,\
+                             close_today_commission=0, min_commission=5), type='stock')
+def handle_data(context, data):
+    #获取沪深300股票池
+    stock_set=get_index_stocks('000300.XSHG')
+    #此处可增加选股条件
+    q = query(
+        valuation.code, # 股票代码
+    ).filter(
+        valuation.code.in_(stock_set),#只对设定股票池执行
+    )
+    #获取财务数据，指定日期为回测当天
+    current_date=context.current_dt.strftime('%Y-%m-%d')
+    fdf = get_fundamentals(q,current_date)
+    #取前50只股
+    fdf=fdf.head(100)
+    #获取股票列表
+    get_stocks=list(fdf['code'])
+    # 去除ST，*ST
+    st=get_extras('is_st',get_stocks,current_date,current_date, df=True)
+    st=st.loc[current_date]
+    get_stocks=list(st[st==False].index)
+    #考虑5天的历史数据
+    num=5  
+    #轨线用前面20天数据计算
+    days=20
+    #每只股票可用资金为当前资金除以50
+    cash=context.portfolio.available_cash/100
+    #获取所有股票前num+days天收盘价数据
+    price=history(num+days,'1d','close',get_stocks,skip_paused=True)
+    where_are_nan = np.isnan(price)  
+    where_are_inf = np.isinf(price)  
+    price[where_are_nan] = 0  
+    price[where_are_inf] = 0
+    #循环每只股
+    for security in get_stocks:
+        #用数组保存均值，大小为num
+        mid=np.arange(num)
+        #标准差
+        std=np.arange(num)
+        #定义数组大小
+        close_data=np.arange(num*days).reshape(num,days)
+        for i in range(0,num):
+            for j in range(0,days):
+                close_data[i][j]=price[security][i+j]
+            #中轨线即均值为days天收盘价数据平均
+            mid[i]=np.mean(close_data[i])
+            #计算标准差
+            std[i]=np.std(close_data[i])
+        #上轨线=中轨线+两倍的标准差
+        up=mid[num-1]+2*std[num-1]
+        #下轨线
+        down=mid[num-1]-2*std[num-1]
+        #保存num天数据，判断开口收口或平口
+        boll=0
+        for i in range(0,num-1):
+            if std[i]>std[i+1]:
+                boll=boll+1
+            else:
+                boll=boll-1
+                
+        #判断目前股票是否停牌
+        paused=data[security].paused
+        
+        #取得当前股票价格
+        current_price=data[security].price
+        #如果连续num天开口
+        if boll==-4:
+                #如果当前价格超过昨日的上轨且价格高于均线
+            if current_price>up and current_price>mid[num-1]:
+                #计算可以买多少股票
+                num_of_shares=int(cash/current_price)
+                    #如果可以买的数量超过0并且股票未停牌
+                if num_of_shares>0 and paused==False:
+                    #购买股票
+                    order(security,+num_of_shares)
+                #如果当前价格跌破了昨日的下轨且价格低于均线
+            elif current_price<down and current_price<mid[num-1]:
+                #如果股票未停牌
+                if paused==False:
+                    #将股票卖空
+                    order_target(security,0)
+        #如果连续num天收口
+        if boll==4:
+            #股价超过上轨且价格低于均线时卖
+            if current_price>up and current_price<mid[num-1]:
+                if paused==False:
+                    order_target(security,0)
+            #跌破下轨且价格高于均线时买
+            elif current_price<down and current_price>mid[num-1]:
+                num_of_shares=int(cash/current_price)
+                if num_of_shares>0 and paused==False:
+                    order(security,+num_of_shares)
+        #连续平口
+        if boll in range(-1,1):
+            #价格在中轨线上且昨日均价高于三天前
+            if current_price>mid[num-1] and mid[num-1]>mid[num-3]:
+                num_of_shares=int(cash/current_price)
+                if num_of_shares>0 and paused==False:
+                    order(security,+num_of_shares)
+            if current_price<mid[num-1] and mid[num-1]<mid[num-3]:
+                if paused==False:
+                    order_target(security,0)