经典的轨道突破策略

经典的轨道突破策略

根据均线进行价格趋势追踪是一种常用的方法，通过比较不同均线速度的改变程度来判断买入与卖出点，根据其统计特性从而形成一套完整的交易策略

轨道线是趋势线概念的延伸，当股价沿道趋势上涨到某一价位水准时会遇到阻力，回档至某一水准时又获得支撑，轨道线就在接高点的延长线及接低点的延长线之间上下来回，当轨迹线确立后，股价就可以非常容易地找出高低价位所在，投资人可依此判断来操作股票

Dual Thrust 策略

Dual Thrust 简称DT，是Michael Chalek 在80年代开发的，是海外TOP10交易系统中的一个，属于开盘区间突破类交易系统，以今日开盘价 加 / 减一定比例的昨日振幅确定上下轨，日内突破上轨时平空做多，突破下轨时平多做空

# coding=utf-8
from __future__ import print_function, absolute_import
from gm.api import *
import numpy as np 
import talib 

# 策略中必须有init方法
def init(context):
    context.symbol = "SHSE.600000" # sys.argv[1]
    context.frequency = "1d"
    context.fields = "symbol,open,high,low,close,volume,eob"
    context.count = 25

    context.k1 = 0.7

    schedule(schedule_func=algo,date_rule="1d",time_rule="09:30:00")
    context.flag = 100
    context.flag_check = 2   # int(sys.argv[5])

def algo(context):

    today = context.now
    print(today)
    last_day = get_previous_trading_date("SZSE",today)
    print(last_day)
    data = history_n(symbol=context.symbol, frequency=context.frequency, count=context.count,
                     end_time=last_day, fields=context.fields,
                     fill_missing="last", adjust=ADJUST_PREV, df=True)
    print(data)

    today_data = history_n(symbol=context.symbol, frequency=context.frequency, count=context.count,
                     end_time=today, fields=context.fields,
                     fill_missing="last", adjust=ADJUST_PREV, df=True)

    open = np.asarray((data["open"].values))  
    high = np.asarray((data["high"].values))
    low = np.asarray((data["low"].values))
    close = np.asarray((data["close"].values))

    today_open = np.asarray((today_data["open"].values))[-1]

    hh = np.max(high)
    hc = np.max(close)

    lc = np.min(close)
    ll = np.min(low)

    range = np.max([hh-hc,lc-ll])

    ## 实时回测 
    # data_now = current(symbols=context.symbol)[0]
    # print(current(symbols=context.symbol))
    # data_now_open = data_now["open"]
    # data_now_price = data_now["price"]

    ## 历史回测
    data_now = current(symbols=context.symbol)[0]
    data_now_open = today_open
    data_now_price = data_now["price"]

    range_up_price = data_now_open + context.k1 * range
    if (data_now_price > range_up_price):
        order_target_percent(symbol=context.symbol, percent=0.75, position_side=PositionSide_Long, order_type=OrderType_Market, price=0)
        context.flag = 0
    if (data_now_price < range_up_price):
        order_target_percent(symbol=context.symbol, percent=0, position_side=PositionSide_Long,order_type=OrderType_Market, price=0)


if __name__ == '__main__':
    run(strategy_id='xxxxxxxxxxxxxxxxxxxxxx',
        filename='main.py',
        mode=MODE_BACKTEST,
        token='xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx',
        backtest_start_time='2017-01-01 09:00:00',
        backtest_end_time='2017-12-31 15:00:00',
        backtest_initial_cash=20000,
        backtest_adjust=ADJUST_PREV
        )

Dynamic Breakout II 策略

# coding=utf-8
from __future__ import print_function, absolute_import
from gm.api import *
import numpy as np 
import talib 

# 策略中必须有init方法
def init(context):
    
    context.symbol = "SZSE.300296"
    context.frequency = "1d"
    context.fields = "open,high,low,close,volume"
    context.ceilingAmt = 60
    context.floorAmt = 20
    context.bolBandTrig = 1

    schedule(schedule_func=algo, date_rule="1d", time_rule="09:30:00")

lookBackDays = 30

def algo(context):
    global lookBackDays

    today = context.now
    print(today)
    last_day = get_previous_trading_date("SZSE",today)

    data = history_n(symbol=context.symbol, frequency = context.frequency, count=int(lookBackDays),
                     end_time=last_day, fields=context.fields,
                     fill_missing="last", adjust=ADJUST_PREV, df=True)

    close = np.asarray((data["close"].values))
    high = np.asarray((data["high"].values))
    low = np.asarray((data["low"].values))

    todayVolatility = np.std(close)
    yesterDayVolatility = np.std(close[:-1])
    deltaVolatility = (todayVolatility - yesterDayVolatility) / todayVolatility

    lookBackDays = np.round(lookBackDays * (1 + deltaVolatility))
    lookBackDays = np.min([lookBackDays,context.ceilingAmt])
    lookBackDays = np.max([lookBackDays,context.floorAmt])

    MidLine = np.average(close)
    Band = np.std(close)

    upBand = MidLine + context.bolBandTrig * Band
    lowBand = MidLine - context.bolBandTrig * Band

    buyPoint = np.max(high)
    sellPoint = np.min(low)
    current_data = current(symbols= context.symbol)
    print(current_data)
    current_price = current_data[0]["price"]

    if ((close[-1] > upBand) and (current_price > buyPoint)):
        order_percent(symbol=context.symbol, percent=1, side=OrderSide_Buy,position_effect = PositionEffect_Open , order_type=OrderType_Market, price=0)

    if ((close[-1] < lowBand) and (current_price < sellPoint)):
        order_percent(symbol=context.symbol, percent=0, side=OrderSide_Sell,position_effect = PositionEffect_Open , order_type=OrderType_Market, price=0)



if __name__ == '__main__':
    run(strategy_id='xxxxxxxxxxxxxxxxxxxxxxxx',
        filename='main.py',
        mode=MODE_BACKTEST,
        token='xxxxxxxxxxxxxxxxxxxxxxxx',
        backtest_start_time='2017-01-01 09:00:00',
        backtest_end_time='2017-12-31 15:00:00',
        backtest_initial_cash=20000,
        backtest_adjust=ADJUST_PREV)