双均线突破-附带止盈止损

利用短期均线 MAS 和长期均线 MAL 生成开平仓信号：

MAS 上穿 MAL，形成做多信号，买入开仓；
MAS 上穿 MAL，形成做空信号，卖出开仓；
止盈 [基于 Bar 线的止盈]：浮动盈利 / 保证金 > 5%， 计算 | 浮动盈利×保证金比例 / 保证金；
止损 [基于 Bar 线的止损]：浮动亏损 / 保证金 < 3%， 计算 | 浮动亏损×保证金比例 / 保证金。

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双均线突破策略

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import re
import talib
import pandas as pd
import numpy as np
import quartz_futures as qf
from quartz_futures.api import *

参数初始化

universe = [‘RB1610’] # 策略证券池
start = pd.datetime(2016, 6, 1) # 回测开始时间
end = pd.datetime(2016, 9, 1) # 回测结束时间
capital_base = 1e4 # 初试可用资金
refresh_rate = 1 # 调仓周期
freq = ‘d’ # 调仓频率：s -> 秒；m-> 分钟；d-> 日；

自动生成保证金比例： margin_rate

margin_ratio = DataAPI.FutuGet(ticker = universe, field = [‘ticker’,’tradeMarginRatio’], pandas = ‘1’)
margin_rate = dict(zip(margin_ratio.ticker.tolist(), [0.01*index for index in margin_ratio.tradeMarginRatio.tolist()]))

策略初始化函数，一般用于设置计数器，回测辅助变量等。

def initialize(futures_account):
pass

回测调仓逻辑，每个调仓周期运行一次，可在此函数内实现信号生产，生成调仓指令。

def handle_data(futures_account):
symbol, amount = universe[0], 1
history_data = get_symbol_history(symbol = symbol, time_range = 20)[symbol]

## 计算 MA_S 和 MS_L
MA_S = talib.MA(history_data['closePrice'].apply(float).values, timeperiod = 5)
MA_L = talib.MA(history_data['closePrice'].apply(float).values, timeperiod = 10)


current_long = futures_account.position.get(symbol, dict()).get('long_position', 0)
current_short = futures_account.position.get(symbol, dict()).get('short_position', 0)    
if MA_S[-1] > MA_L[-1] and MA_S[-2] < MA_L[-2]:
    if current_short > 0:
        print futures_account.current_date, futures_account.current_time, '买入平仓'
        order(symbol, current_short, 'close')
    if current_long < amount:
        print futures_account.current_date, futures_account.current_time, '买入开仓'
        order(symbol, amount, 'open')

if MA_S[-1] < MA_L[-1] and MA_S[-2] > MA_L[-2]:
    if current_long > 0:
        print futures_account.current_date, futures_account.current_time,'卖出平仓'
        order(symbol, -current_long, 'close')
    if current_short < amount:
        print futures_account.current_date, futures_account.current_time, '卖出开仓'
        order(symbol, -amount, 'open')


profit = futures_account.position.get(symbol, dict()).get('profit', 0)
margin = futures_account.position.get(symbol, dict()).get('long_margin', 0) - futures_account.position.get(symbol, dict()).get('short_margin', 0)

if margin and profit/margin < -0.03:
    if current_long > 0:
        order(symbol, -current_long, 'close')
    if current_short > 0:
        order(symbol, current_short, 'close')
    print futures_account.current_date, futures_account.current_time, '止损'
if margin and profit/margin > 0.05:
    if current_long > 0:
        order(symbol, -current_long, 'close')
    if current_short > 0:
        order(symbol, current_short, 'close')
    print futures_account.current_date, futures_account.current_time, '止盈'