加速震荡交易策略

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# 加速震荡指标（Accelerator Oscillator）

import talib
import datetime
import numpy as np

def init(context):
    context.nday = 5 #短期值
    context.mday = 20 #长期值 
    # 定义股票池
    context.stocks = ['600519.SH','000333.SZ','600816.SH','300072.SZ']
    
def before_trading(context):
    cash =     context.portfolio.available_cash
    date = get_datetime()
    pass

def handle_bar(context, bar_dict):
    for stk in context.stocks:
        high = history(stk, ['high'], 30, '1d')['high'] #获取最高价数据
        low = history(stk, ['low'], 30, '1d')['low'] #获取最低价数据
        MP = np.array((high.values + low.values)/2) #计算MP = (high + low)/2
        AO = talib.MA(MP,context.nday) - talib.MA(MP,context.mday) #计算AO值
        AC = AO - talib.MA(AO,context.nday) # 计算AC值
        curPosition =     context.portfolio.positions[stk].amount#获取持股数量
        shares = context.portfolio.available_cash #取得当前资金
        # AC值自下而上穿越零轴时全仓买进
        if AC[-1]>0 and AC[-2]<0:
            order_value(stk,shares)
            log.info("买入 %s" % (stk))
        # AC值自上而下下穿零轴时清仓
        if AC[-1]<0 and AC[-2]>0 and curPosition>0:
            order_target_value(stk,0)
            log.info("卖出 %s" % (stk))