量化交易策略二_双均线策略

双均线策略

def initialize(context):
    set_benchmark('000300.XSHG')
    set_option('use_real_price',True)
    set_order_cost(OrderCost(open_tax=0, close_tax=0.001, open_commission=0.0003, close_commission=0.0003,close_today_commission=0, min_commission=5),type='stock')
    
    g.security = ['601318.XSHG']
    g.p1 = 5
    g.p2 = 10
    
def handle_data(context,data):
    for stock in g.security:
        #金叉：如果5日均线大于10日均线并且不持仓
        #死叉：当如5日均线小于10日均线并且持仓
        df = attribute_history(stock,g.p2)
        ma10 = df['close'].mean()
        ma5 = df ['close'][-5:].mean()
        
        if ma10 > ma5 and stock in context.portfolio.positions:
            #死叉
            order_target(stock,0)

        if ma10 < ma5  and  stock not in  context.portfolio.positions:
            #金叉
            order(stock,context.portfolio.available_cash*0.8)