python海龟代码大全_海龟交易系统的Python完全版 | RiceQuant米筐量化社区 交易策略论坛...

@zhaoyang-chen 海龟的Python版出炉。

为方便对比，这里把java、python两种语言代码同时贴出，回测时间及初始资金均使用页面默认的20140104-20150104，100000.0软妹币。

turtle_java

public class TurtleOriginalStrategy implements IHStrategy {

Core talibCore;

//定义全局变量

static int tradedayNum = 0;

static double unit = 0;

static double atr = 0;

static String tradingSignal = "start";

static String preTradingSignal = "";

static int units_hold_max = 4;

static int units_hold = 0;

static double quantity = 0;

static double max_add = 0;

static double firstOpenPrice = 0;

//计算最大最小值

public double[] getExtremem(double[] arrayHighPriceResult, double[] arrayLowPriceResult) {

DescriptiveStatistics forMax = new DescriptiveStatistics();

for (int i = 0; i < arrayHighPriceResult.length-1; i++) {

forMax.addValue(arrayHighPriceResult[i]);

}

double maxResult = forMax.getMax();

DescriptiveStatistics forMin = new DescriptiveStatistics();

for (int i = 0; i < arrayLowPriceResult.length-1; i++) {

forMin.addValue(arrayLowPriceResult[i]);

}

double minResult = forMin.getMin();

double[] forExtremum = new double[2];

forExtremum[0] = maxResult;

forExtremum[1] = minResult;

return forExtremum;

}

//计算Atr以及单位

public double[] getAtrAndUnit(double[] atrArrayResult, MInteger atrLengthResult, double portfolioValueResult) {

double atr = atrArrayResult[atrLengthResult.value-1];

double unit = Math.floor(portfolioValueResult * .01 / atr);

double[] atrAndUnit = new double[2];

atrAndUnit[0] = atr;

atrAndUnit[1] = unit;

return atrAndUnit;

}

//计算止损线价位

public double getStopPrice(double firstOpenPriceResult, int units_hold_result, double atrResult) {

double stopPrice = firstOpenPriceResult - 2*atrResult + (units_hold_result-1)*0.5*atrResult;

return stopPrice;

}

@Override

public void init(IHInformer informer, IHInitializers initializers) {

talibCore = new Core();

int openObserveTime = 55;

int closeObserveTime = 20;

int atrTime = 20;

MInteger atrBegin = new MInteger();

MInteger atrLength = new MInteger();<