MACD指标策略

# -*- coding: utf-8 -*-
import talib
def initialize(context):
    # 初始化此策略
    # 设置我们要操作的股票池, 这里我们只操作一支股票
    g.security = '600570.SS'
    set_universe(g.security)
    

def handle_data(context, data):
    security = g.security
    
    # 得到五日均线价格
    prices = get_history(100, '1d', 'close', security, fq = 'pre', include = False)
    
    #当前的现金余额
    cash = context.portfolio.cash
    
    macd, signal, hist = talib.MACD(prices['close'].values, fastperiod=12, slowperiod=26, signalperiod=9)
    
    #当前的仓位
    curPosition = get_position(security).amount
    
    #当满足红柱时，全仓买入
    if hist[-1] > 0 and hist[-2] < 0 and curPosition == 0:
        order_value(security, cash)
        log.info('Buying %s' % (security))
    #当满足绿柱时，且持仓股不为0，全仓卖出
    if hist[-1] < 0 and hist[-2] > 0 and curPosition != 0:
        order_target(security, 0)
        log.info('Selling %s' % (security))