================================================================================
总体回测前
================================================================================
#总体回测前要做的事情
def initialize(context):
set_params() #1设置策参数
set_variables() #2设置中间变量
set_backtest() #3设置回测条件
#1
#设置策略参数
def set_params():
g.security = '000063.XSHE'
# 系统1入市的trailing date
g.short_in_date = 20
# 系统2入市的trailing date
g.long_in_date = 55
# 系统1 exiting market trailing date
g.short_out_date = 10
# 系统2 exiting market trailing date
g.long_out_date = 20
# g.dollars_per_share是标的股票每波动一个最小单位，1手股票的总价格变化量。
# 在国内最小变化量是0.01元，所以就是0.01×100=1
g.dollars_per_share = 1
# 可承受的最大损失率
g.loss = 0.1
# 若超过最大损失率，则调整率为：
g.adjust = 0.8
# 计算N值的天数
g.number_days = 20
# 最大允许单元
g.unit_limit = 4
# 系统1所配金额占总金额比例
g.ratio = 0.8
#2
#设置中间变量
def set_variables():
# 初始单元
g.unit = 1000
# A list storing info of N
g.N = []
# Record the number of days for this trading system
g.days = 0
# 系统1的突破价格
g.break_price1 = 0
# 系统2的突破价格
g.break_price2 = 0
# 系统1建的仓数
g.sys1 = 0
# 系统2建的仓数
g.sys2 = 0
# 系统1执行且系统2不执行
g.system1 = True
#3
#设置回测条件
def set_backtest():
# 作为判断策略好坏和一系列风险值计算的基准
set_benchmark(g.security)
set_option('use_real_price',True) #用真实价格交易
log.set_level('order','error') # 设置报错等级
================================================================================
每天开盘前
================================================================================
'''
#每天开盘前要做的事情
def before_trading_start(context):
set_slip_fee(context)
#4 根据不同的时间段设置滑点与手续费
def set_slip_fee(context):
# 将滑点设置为0
set_slippage(FixedSlippage(0))
# 根据不同的时间段设置手续费
dt=context.current_dt
if dt>datetime.datetime(2013,1, 1):
set_commission(PerTrade(buy_cost=0.0003, sell_cost=0.0013, min_cost=5))
elif dt>datetime.datetime(2011,1, 1):
set_commission(PerTrade(buy_cost=0.001, sell_cost=0.002, min_cost=5))
elif dt>datetime.datetime(2009,1, 1):
set_commission(PerTrade(buy_cost=0.002, sell_cost=0.003, min_cost=5))
else:
set_commission(PerTrade(buy_cost=0.003, sell_cost=0.004, min_cost=5))
================================================================================
每天交易时
================================================================================
# 按分钟回测
def handle_data(context, data):
dt = context.current_dt # 当前日期
current_price = data[g.security].price # 当前价格N
if dt.hour==9 and dt.minute==30:
g.days += 1
calculate_N() #计算N的值
if g.days > g.number_days:
# 当前持有的股票和现金的总价值
value = context.portfolio.portfolio_value
# 可花费的现金
cash = context.portfolio.cash
if g.sys1 == 0 and g.sys2 == 0:
# 若损失率大于g.loss，则调整（减小）可持有现金和总价值
if value < (1-g.loss)*context.portfolio.starting_cash:
cash *= g.adjust
value *= g.adjust
# 计算美元波动的价格
dollar_volatility = g.dollars_per_share*(g.N)[-1]
# 依本策略，计算买卖的单位
g.unit = value*0.01/dollar_volatility
# 系统1的操作
g.system1 = True
if g.sys1 == 0:
market_in(current_price, g.ratio*cash, g.short_in_date)
else:
stop_loss(current_price)
market_add(current_price, g.ratio*cash, g.short_in_date)
market_out(current_price, g.short_out_date)
# 系统2的操作
g.system1 == False
if g.sys2==0:
market_in(current_price, (1-g.ratio)*cash, g.long_in_date)
else:
stop_loss(current_price)
market_add(current_price, (1-g.ratio)*cash, g.long_in_date)
market_out(current_price, g.long_out_date)
#5
# 计算当前N的值
# 输入：none
# 输出：N的值的更新列表-list类型
def calculate_N():
# 如果交易天数小于等于20天
if g.days <= g.number_days:
price = attribute_history(g.security, g.days, '1d',('high','low','pre_close'))
lst = []
for i in range(0, g.days):
h_l = price['high'][i]-price['low'][i]
h_c = price['high'][i]-price['pre_close'][i]
c_l = price['pre_close'][i]-price['low'][i]
# 计算 True Range
True_Range = max(h_l, h_c, c_l)
lst.append(True_Range)
# 计算前g.days（小于等于20）天的True_Range平均值，即当前N的值：
current_N = np.mean(np.array(lst))
(g.N).append(current_N)
# 如果交易天数超过20天
else:
price = attribute_history(g.security, 1, '1d',('high','low','pre_close'))
h_l = price['high'][0]-price['low'][0]
h_c = price['high'][0]-price['pre_close'][0]
c_l = price['pre_close'][0]-price['low'][0]
# Calculate the True Range
True_Range = max(h_l, h_c, c_l)
# 计算前g.number_days（大于20）天的True_Range平均值，即当前N的值：
current_N = (True_Range + (g.number_days-1)*(g.N)[-1])/g.number_days
(g.N).append(current_N)
#6
# 入市：决定系统1、系统2是否应该入市，更新系统1和系统2的突破价格
# 海龟将所有资金分为2部分：一部分资金按系统1执行，一部分资金按系统2执行
# 输入：当前价格-float, 现金-float, 天数-int
# 输出：none
def market_in(current_price, cash, in_date):
# Get the price for the past "in_date" days
price = attribute_history(g.security, in_date, '1d', ('close'))
# Build position if current price is higher than highest in past
if current_price > max(price['close']):
# 计算可以买该股票的股数
num_of_shares = cash/current_price
if num_of_shares >= g.unit:
print ("买入")
print (current_price)
print (max(price['close']))
if g.system1 == True:
if g.sys1 < int(g.unit_limit*g.unit):
order(g.security, int(g.unit))
g.sys1 += int(g.unit)
g.break_price1 = current_price
else:
if g.sys2 < int(g.unit_limit*g.unit):
order(g.security, int(g.unit))
g.sys2 += int(g.unit)
g.break_price2 = current_price
#7
# 加仓函数
# 输入：当前价格-float, 现金-float, 天数-int
# 输出：none
def market_add(current_price, cash, in_date):
if g.system1 == True:
break_price=g.break_price1
else:
break_price=g.break_price2
# 每上涨0.5N，加仓一个单元
if current_price >= break_price + 0.5*(g.N)[-1]:
num_of_shares = cash/current_price
# 加仓
if num_of_shares >= g.unit:
print ("加仓")
print (g.sys1)
print (g.sys2)
print (current_price)
print (break_price + 0.5*(g.N)[-1])
if g.system1 == True:
if g.sys1 < int(g.unit_limit*g.unit):
order(g.security, int(g.unit))
g.sys1 += int(g.unit)
g.break_price1 = current_price
else:
if g.sys2 < int(g.unit_limit*g.unit):
order(g.security, int(g.unit))
g.sys2 += int(g.unit)
g.break_price2 = current_price
#8
# 离场函数
# 输入：当前价格-float, 天数-int
# 输出：none
def market_out(current_price, out_date):
# Function for leaving the market
price = attribute_history(g.security, out_date, '1d', ('close'))
# 若当前价格低于前out_date天的收盘价的最小值, 则卖掉所有持仓
if current_price < min(price['close']):
print ("离场")
print (current_price)
print (min(price['close']))
if g.system1 == True:
if g.sys1>0:
order(g.security, -g.sys1)
g.sys1 = 0
else:
if g.sys2>0:
order(g.security, -g.sys2)
g.sys2 = 0
#9
# 止损函数
# 输入：当前价格-float
# 输出：none
def stop_loss(current_price):
# 损失大于2N，卖出股票
if g.system1 == True:
break_price = g.break_price1
else:
break_price = g.break_price2
# If the price has decreased by 2N, then clear all position
if current_price < (break_price - 2*(g.N)[-1]):
print ("止损")
print (current_price)
print (break_price - 2*(g.N)[-1])
if g.system1 == True:
order(g.security, -g.sys1)
g.sys1 = 0
else:
order(g.security, -g.sys2)
g.sys2 = 0
================================================================================
每天收盘后
================================================================================
'''
# 每日收盘后要做的事情（本策略中不需要）
def after_trading_end(context):
return
################################################################################
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