十八、区块量化 CCI策略

# -*- coding: utf-8 -*-import talibimport cross_order as orderimport time
CCI_TIMEPERIOD = 20 # CCI计算周期
CCI_OVER_SOLD_THRESH = -250 # 超卖阈值
CCI_OVER_BOUGHT_THRESH = 350 # 超买阈值def main():print("任务开始时间：", time.strftime('%Y-%m-%d %H:%M:%S', time.localtime(time.time())))for symbol in order.symbol_pool:# 设置杠杆倍数 order.set_leverage(symbol=symbol, leverage='25')# 获取标的的最新价 data = order.get_candlesticks(symbol=symbol, interval='15m', limit=str(CCI_TIMEPERIOD + 1))
close = data['close']
high = data['high']
low = data['low']# 计算CCI cci = talib.CCI(high, low, close, timeperiod=CCI_TIMEPERIOD)# CCI策略 # CCi值上穿超卖阈值,做多 if (cci.iloc[-2] < CCI_OVER_SOLD_THRESH) and (cci.iloc[-1] >= CCI_OVER_SOLD_THRESH):
order.up_cross_order(symbol, 'CCi值上穿超卖阈值,做多')# CCI值下穿超买阈值,做空 elif (cci.iloc[-2] > CCI_OVER_BOUGHT_THRESH) and (cci.iloc[-1] <= CCI_OVER_BOUGHT_THRESH):
order.down_cross_order(symbol, 'CCI值下穿超买阈值,做空')
time.sleep(5)print("任务结束时间：", time.strftime('%Y-%m-%d %H:%M:%S', time.localtime(time.time())))if __name__ == '__main__':
main()