python量化空单交易BOLL线买入、3天不创新低止盈

import numpy as np
import pandas as pd


# 期货策略类，包括开仓、买入、止盈、止损方法与策略执行主函数
class StockStrategy:
    df = None
    open_offset_num = 5
    buy_in_offset_num = 0
    stop_win_offset_num = 0
    stop_lose_num = 0
    price_list = []
    price_stop_lose = []
    flag_buy_in = False
    need_sell_out = False
    stop_lose_rate = 3

    # 初始化策略类StockStrategy
    def __init__(self, df: pd.DataFrame) -> None:
        self.df = df

    # 设置止损模块，止损比例
    def set_stop_lose_rate(self, slr) -> None:
        self.stop_lose_rate = slr

    # 设置偏移量: 开仓偏移、买入偏移和止盈偏移，如需修改止损量，需重写set_stop_lose_num(self, date)方法
    def set_offset_num(self, oon: int, bion: int, swon: int) -> None:
        if oon is not None:
            self.open_offset_num = oon  # 开仓偏移量
        if bion is not None:
            self.buy_in_offset_num = bion  # 买入偏移量
        if swon is not None:
            self.stop_win_offset_num = swon  # 卖出偏移量

    # 返回买卖结果
    def get_buy_sell_list(self) -> list:
        return self.stock_strategy_main()

    # 准备开仓模块
    def strategy_open(self, i) -> bool:
        df = self.df
        if df['hl'][i] <= (df['支撑线'][i] + self.open_offset_num):
            return True
        else:
            return False

    # 买入策略模块
    def strategy_buy_in(self, i) -> bool:
        df = self.df
        if df['hl'][i] >= (df['阻力线'][i] + self.buy_in_offset_num):
            return True
        else:
            return False

    # 止盈策略模块
    def strategy_stop_win(self, i) -> bool:
        df = self.df
        if len(self.price_list) < 3:  # 3天不到，观望
            self.price_list.append(df['Low'][i])
            return False
        if np.mean(self.price_list) > df['Low'][i]:  # 价格创新低等待
            del (self.price_list[0])
            self.price_list.append(df['Low'][i])
            return False

        if df['Low'][i] <= df['中界线'][i]:  # 价格不创新低了，但没突破中线不止盈
            self.price_list = []
            return True
        if df['Low'][i] <= (df['支撑线'][i] + self.stop_win_offset_num):
            return True
        else:
            return False

    # 止损策略模块
    def strategy_stop_lose(self, i, last_buy_in) -> bool:
        df = self.df
        if (df['hl'][i] - last_buy_in) > (self.stop_lose_num * self.stop_lose_rate):
            return True
        else:
            return False

    # 设置买卖止损值
    def set_stop_lose_num(self, i) -> int:
        df = self.df
        return df['阻力线'][i] - df['中界线'][i]

    # 买卖框架主函数,[{'buy_date': buy_date,'buy_price':buy_price,'sell_date':sell_date,'sell_price':sell_price},{}...]
    def stock_strategy_main(self) -> list:
        df = self.df

        last_buy_in_date = None
        last_buy_in_price = 0
        last_sell_out_date = None
        last_sell_out_price = 0
        buy_sell_dict = {}
        buy_sell_list = []
        for i in df.index[20:]:
            if self.flag_buy_in:  # 有没有条件买入做空，默认为没有买入条件False
                if self.strategy_buy_in(i):  # 最高价大于BOLL上端线了，买买买，空空空，不要怂，就是干
                    last_buy_in_date = i  # 买入日期记录一下
                    last_buy_in_price = df['Close'][i]  # 买入价格记录一下，后边好算盈亏
                    self.stop_lose_num = self.set_stop_lose_num(i)  # 设好止损，以防踩坑上不来
                    self.flag_buy_in = False  # 买入后，停止买入判断，以防买太多，死的惨
                    self.need_sell_out = True  # 开启卖出状态

                    continue
            if self.need_sell_out:  # 是否需要卖出，买入了就需要卖出
                # 能不能正常卖出，能的话，就准备继续买入，扩大战果
                if self.strategy_stop_win(i):  # 是否需要获利了结
                    last_sell_out_date = i  # 记录卖出日期
                    last_sell_out_price = df['Close'][i]  # 记录卖出价格

                    buy_sell_dict = {
                        'buy_date': last_buy_in_date,
                        'buy_price': last_buy_in_price,
                        'sell_date': last_sell_out_date,
                        'sell_price': last_sell_out_price
                    }
                    buy_sell_list.append(buy_sell_dict)
                    buy_sell_dict = {}
                    self.need_sell_out = False  # 卖光啦，不需要再卖出啦
                    self.flag_buy_in = True  # 空仓啦，可以准备再买点，发财，发财
                    continue
                # 需要止损了，忍痛割爱，冷静一下，暂时不具备买入条件
                elif self.strategy_stop_lose(i, last_buy_in_price):
                    last_sell_out_date = i  # 记录卖出日期
                    last_sell_out_price = df['Close'][i]  # 记录卖出价格
                    buy_sell_dict = {
                        'buy_date': last_buy_in_date,
                        'buy_price': last_buy_in_price,
                        'sell_date': last_sell_out_date,
                        'sell_price': last_sell_out_price
                    }
                    buy_sell_list.append(buy_sell_dict)
                    buy_sell_dict = {}
                    self.need_sell_out = False  # 卖了，不需要再卖出啦
                    continue
            # 没有需要卖出的商品，那就看看能不能准备买入，做点小买卖
            if self.need_sell_out is False:
                if self.strategy_open(i):  # 空头还可以嘛，再上去我就做空
                    self.flag_buy_in = True  # 开启买入做空模式
                    continue
        return buy_sell_list