国信证券学习系列（7）

跨品种套利策略：

本策略根据计算滚动的.过去的30个bar的均值正负0.5个标准差得到布林线
并在最新价差上穿上轨来做空价差,下穿下轨来做多价差
并在回归至上下轨水平内的时候平仓
 

获取数据：

# 获取两个品种的收盘价时间序列
    closes=ContextInfo.get_market_data(['close'], stock_code=ContextInfo.trade_pair, period = ContextInfo.period, count=31)
    if closes.empty:
        return

制作指标：

up_closes = closes[ContextInfo.trade_pair[0]]['close']
down_closes = closes[ContextInfo.trade_pair[1]]['close']
# 计算价差
spread = up_closes[:-1] - down_closes[:-1]
#spread=0
# 计算布林带上下轨
up = np.mean(spread) + 0.5 * np.std(spread)
down = np.mean(spread) - 0.5 * np.std(spread)
# 计算价差
if (up_closes[-1] is None) or (down_closes[-1] is None):
    spread_now=0
else:
    spread_now = up_closes[-1] - down_closes[-1]

策略代码：

#coding:gbk
'''
回测模型示例（非实盘交易策略）

本策略根据计算滚动的.过去的30个bar的均值正负0.5个标准差得到布林线
并在最新价差上穿上轨来做空价差,下穿下轨来做多价差
并在回归至上下轨水平内的时候平仓
'''

import numpy as np

def init(ContextInfo):
    ContextInfo.trade_pair=['rb00.SF','hc00.SF']
    ContextInfo.position_tag = {'long':False,'short':False}         #初始化持仓状态
    ContextInfo.set_universe(ContextInfo.trade_pair) # 设置标的期货合约对应股票池
    ContextInfo.accid = '103427'

def handlebar(ContextInfo):
    index = ContextInfo.barpos
    bartimetag = ContextInfo.get_bar_timetag(index)
    print(timetag_to_datetime(bartimetag,'%Y-%m-%d %H:%M%S'))
    # 获取两个品种的收盘价时间序列
    closes=ContextInfo.get_market_data(['close'], stock_code=ContextInfo.trade_pair, period = ContextInfo.period, count=31)
    if closes.empty:
        return

    up_closes = closes[ContextInfo.trade_pair[0]]['close']
    down_closes = closes[ContextInfo.trade_pair[1]]['close']
    # 计算价差
    spread = up_closes[:-1] - down_closes[:-1]
    #spread=0
    # 计算布林带上下轨
    up = np.mean(spread) + 0.5 * np.std(spread)
    down = np.mean(spread) - 0.5 * np.std(spread)
    # 计算价差
    if (up_closes[-1] is None) or (down_closes[-1] is None):
        spread_now=0
    else:
        spread_now = up_closes[-1] - down_closes[-1]
        
    #无交易时若价差上(下)穿布林带上(下)轨则做空(多)价差
    position_up_long = ContextInfo.position_tag['long']
    position_up_short = ContextInfo.position_tag['short']
    if not position_up_long and not position_up_short:
        if spread_now > up:
            #开空code1，开多code2
            sell_open(ContextInfo.trade_pair[0],1,ContextInfo,ContextInfo.accid)
            buy_open(ContextInfo.trade_pair[1],1,ContextInfo,ContextInfo.accid)
            ContextInfo.position_tag['short'] = True
        if spread_now < down:
            #开多code1，开空code2
            buy_open(ContextInfo.trade_pair[0],1,ContextInfo,ContextInfo.accid)
            sell_open(ContextInfo.trade_pair[1],1,ContextInfo,ContextInfo.accid)
            ContextInfo.position_tag['long'] = True
    # 价差回归时平仓
    elif position_up_short:
        if spread_now <= up:
            #平空code1，平多code2
            buy_close_tdayfirst(ContextInfo.trade_pair[0],1,ContextInfo,ContextInfo.accid)
            sell_close_tdayfirst(ContextInfo.trade_pair[1],1,ContextInfo,ContextInfo.accid)
            ContextInfo.position_tag['short'] = False
        # 跌破下轨反向开仓
        if spread_now < down:
            #开多code1，开空code2
            buy_open(ContextInfo.trade_pair[0],1,ContextInfo,ContextInfo.accid)
            sell_open(ContextInfo.trade_pair[1],1,ContextInfo,ContextInfo.accid)
            ContextInfo.position_tag['long'] = True
    elif position_up_long:
        if spread_now >= down:
            #平多code1，平空code2
            sell_close_tdayfirst(ContextInfo.trade_pair[0],1,ContextInfo,ContextInfo.accid)
            buy_close_tdayfirst(ContextInfo.trade_pair[1],1,ContextInfo,ContextInfo.accid)
            ContextInfo.position_tag['long'] = False
        if spread_now > up:
            #开空code1，开多code2
            sell_open(ContextInfo.trade_pair[0],1,ContextInfo,ContextInfo.accid)
            buy_open(ContextInfo.trade_pair[1],1,ContextInfo,ContextInfo.accid)
            ContextInfo.position_tag['short'] = True

    ContextInfo.paint('short_spread',int(spread_now > up),-1,0,'noaxis')
    ContextInfo.paint('long_spread',int(spread_now < down),-1,0,'noaxis')