增加交易策略、交易指标、量化库代码等文件夹

1.交易策略/1.CTA策略/2.VeighNa策略/Y04 基于趋势判断的股票量化择时策略/趋势择时策略.py

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+
+# coding: utf-8
+
+# In[ ]:
+
+# 导入函数库
+import jqdata
+import pandas as pd
+import numpy as np
+
+# 初始化函数，设定基准等等
+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)
+    # 股票类每笔交易时的手续费是：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(close_tax=0.001, open_commission=0.0003, close_commission=0.0003, min_commission=5), type='stock')
+
+#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
+)
+fdf = get_fundamentals(q)
+#取前50只股
+fdf=fdf.head(50)
+#获取股票列表
+stock_list=list(fdf['code'])
+trend={}
+for security in stock_list:
+    trend[security]='None'
+    
+def handle_data(context, data):
+    N = 20   # 计算TR时的N
+    M = 49   # 计算MATRIX时的M
+    num=3
+    length_of_data = N+M+num  # 取closeprice的天数，为了足够计算MATRIX、TRIX
+    
+    cash=context.portfolio.available_cash/50
+    for security in stock_list:
+        close_price=attribute_history(security,length_of_data,'1d',('close'),skip_paused=True)
+        where_are_nan = np.isnan(close_price)  
+        where_are_inf = np.isinf(close_price)  
+        close_price[where_are_nan] = 0  
+        close_price[where_are_inf] = 0
+        
+        MA5=close_price['close'][-5:].mean()
+        MA10=close_price['close'][-10:].mean()
+        ma5=close_price['close'][-6:-1].mean()
+        ma10=close_price['close'][-11:-1].mean()
+        
+        price_array={}
+        for i in range(0,M+num):
+            price_array[i]=close_price['close'][i:i+N]
+        #TR=收盘价的N日指数移动平均
+        TR={}
+        for i in range(0,M+num):
+            TR[i]=np.mean(price_array[i])  
+        #TRIX=(TR-昨日TR)/昨日TR*100
+        TRIX={}
+        for i in range(1,M+num):
+            if TR[i]==0:
+                TRIX[i]=0
+                continue
+            TRIX[i]=(TR[i]-TR[i-1])/TR[i]*100  
+        #MATRIX=TRIX的M日简单移动平均
+        MATRIX={}
+        for i in range(0,num):
+            TRIX_sum=0
+            for j in range(1,M):
+                TRIX_sum=TRIX_sum+TRIX[i+j]
+            MATRIX[i]=TRIX_sum/M
+        current_price=data[security].price
+        
+        length=0
+        for i in range(0,num-1):
+            if TRIX[M+i]>MATRIX[i]:
+                length=length+1
+            else:
+                length=length-1
+        if length>0 and MATRIX[num-1]>MATRIX[0]:
+            trend[security]='up'
+        elif length<0 and MATRIX[num-1]<MATRIX[0]:
+            trend[security]='down'
+        
+        if trend[security]=='up':
+            order_value(security,cash)
+        elif trend[security]=='down' and security in context.portfolio.positions:
+            if MA5<MA10:
+                order_target(security,0)
+            elif MA5>MA10 and ma5<ma10 :
+                order_value(security,cash)
+