QMT实战：双均线回测（1）

#encoding:gbk
import numpy as np
import pandas as pd
import datetime
import talib


"""
示例说明：双均线回测，通过计算快慢双均线，在金叉时买入，死叉时做卖出
"""


class _c():
  pass
C = _c() #创建空的类的实例 用来保存全局变量


def init(C):
  C.stock= C.stockcode + '.' + C.market #品种为模型交易界面选择品种，本例默认为沪深300指数
  C.stock="601857.SH"
  C.line10=10   #快线周期
  C.line20=20   #慢线周期
  #设置股票池 订阅品种行情
  C.set_universe([C.stock])
  C.accountid="test"


def handlebar(C):
  #K线的日期
  
  bar_date = timetag_to_datetime(C.get_bar_timetag(C.barpos), '%Y%m%d%H%M%S')
  #获取行情数据
  local_data = C.get_market_data_ex(['close'], [C.stock], end_time = bar_date, period = C.period, count = max(C.line10, C.line20), subscribe = False)
  close_list = list(local_data[C.stock].iloc[:, 0])
  #print(close_list)
  if len(close_list)<1:
    print(bar_date," 获取行情数据失败")
  #获取两条均线前一天的值
  pre_line1 = round(np.mean(close_list[-C.line10-1:-1]),2)
  pre_line2 = round(np.mean(close_list[-C.line20-1:-1]),2)
  #print(f"前一天,短均线{pre_line1},短均线{pre_line2}")
  #获取两条均线当天的数值
  current_line1 = round(np.mean(close_list[-C.line10:]),2)
  current_line2 = round(np.mean(close_list[-C.line20:]),2)
  #print(f"{bar_date},短均线{current_line1},短均线{current_line2}")

  #获取股票账户资金余额
  available_cash=get_stock_cash(C.accountid)
  print(f"资金余额,{available_cash}")

  # 获取股票账户持仓总数
  holding_vol = get_stock_holdings(C.accountid,C.stock)
  print(f"持仓总数,{C.stock}，{holding_vol}")
  
  #如果快线穿过慢线,则买入
  if  holding_vol==0 and pre_line1<pre_line2 and current_line1 > current_line2:
    #msg = f"{bar_date} 双均线实盘 {C.stock} 上穿均线 买入"
    #print(msg)
    vol = int(available_cash / close_list[-1] / 100) * 100
    # 下单开仓
    passorder(23, 1101, C.accountid, C.stock, 5, -1, vol, C)
    print(f"{bar_date} 开仓")
    C.draw_text(1, 1, '开')

  #如果快线下穿慢线,则卖出
  elif  holding_vol > 0 and pre_line1>pre_line2 and current_line1 < current_line2:
    #msg = f"{bar_date}双均线实盘 {C.stock} 下穿均线 卖出 "
    #print(msg)
    # 状态变更为未持仓
    C.holding = False
    # 下单平仓
    passorder(24, 1101, C.accountid, C.stock, 5, -1, holding_vol, C)
    print(f"{bar_date} 平仓")
    C.draw_text(1, 1, '平')

def get_stock_cash(accountid):
  account = get_trade_detail_data(accountid, 'stock', 'account')
  account = account[0]
  available_cash = int(account.m_dAvailable)
  return available_cash

def get_stock_holdings(accountid,stock):
  holdings = get_trade_detail_data(accountid, 'stock', 'position')
  holdings = {i.m_strInstrumentID + '.' + i.m_strExchangeID: i.m_nVolume for i in holdings}
  holding_vol = holdings[stock] if stock in holdings else 0
  return holding_vol