python选股模型 均线_【干货分享】从零开始学量化：02双均线策略

#!/usr/bin/env python

# encoding: utf-8

import numpy as np

from gmsdk import *

from talib import SMA

import time

class MA(StrategyBase):

def __init__(self, *args, **kwargs):

super(MA, self).__init__(*args, **kwargs)

self.close_list = []

bars = self.get_last_n_bars('SHSE.600009', 60, 20, '2016-01-01 00:00:00')

last_closes = [bar.close for bar in bars]  # 提取每分钟收盘价

last_closes.reverse()  # 查询出的结果为倒序，需反转

self.close_list.extend(last_closes)

def on_bar(self, bar):

if bar.bar_type == 60:

position = self.get_positions()  # 获取持仓量

if len(position) == 0:  ##如果没有持仓，设self.holding = 0

self.holding = 0

if len(position) > 0:

if position[0].available_yesterday > 0:  # 如果有昨仓，设self.holding = 1

self.volume = position[0].available_yesterday

self.holding = 1

if position[0].available_today > 0:  # 如果有今仓，设self.holding = 2

self.holding = 2

self.close_list.append(bar.close)

if len(self.close_list) < 20:

self.MA10 = self.close_list[:]

self.MA20 = self.close_list[:]

if len(self.close_list) >= 20:

close = np.asarray(self.close_list)

self.MA10 = SMA(close, timeperiod=10)  # 10周期均线

self.MA20 = SMA(close, timeperiod=20)  # 20周期均线

if self.holding == 0:

if self.MA10[-1] > self.MA20[-1]:  # 10周期均线>20周期均线开仓

self.open_long('SHSE', '600009', 0, 10000)

if self.holding == 1:

if self.MA10[-1] < self.MA20[-1]:  # 10周期均线<20周期均线平仓

self.close_long('SHSE', '600009', 0, self.volume)

if self.holding == 2:

pass

if __name__ == '__main__':

ma = MA(

username='username',                       # 输入用户名

password='password',                       # 输入密码

strategy_id='strategy_2',                 # 输入策略ID

subscribe_symbols='SHSE.600009.bar.60',  # 输入订阅代码

mode=4,  # 选择模式

td_addr='localhost:8001'

)

ma.backtest_config(

start_time='2016-01-01 09:00:00',  # 起始时间

end_time='2017-01-01 09:00:00',    # 结束时间

initial_cash=1000000,                # 初始金额

transaction_ratio=1,                 # 成交比率

commission_ratio=0.0000,             # 手续费

slippage_ratio=0.000,                # 滑点

price_type=1)

start = time.time()

ret = ma.run()

end = time.time()

print(end - start)