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