python N天择时选股策略

《海龟交易法则》中介绍了一种趋势类的择时策略——N日突破策略。策略的核心思想为：当天收盘价超过N1天内最高价认为上升趋势成立，作为买入信号；当天收盘价低于N2天内最低价格认为下跌趋势成立，作为卖出信号。也就是说，N日趋势突破买入即为N日创新高买入，股价创出阶段性新高或历史新高后，一方面说明该股有资金在运作，相对比较强势，更容易顺势而上，另一方面创新高后近期买入的投资者都有获利，上档的套牢盘比较少，股价上冲的阻力也较小，更容易继续上涨。反之，N日趋势跌破时卖出的逻辑思维一样成立。

实现例程

# N日突破择时策略
import pandas_datareader.data as web
import pandas as pd
import numpy as np
import datetime
import matplotlib.pyplot as plt


#股票数据获取及处理接口
def GetStockDatApi(stockName=None,stockTimeS=None,stockTimeE=None, N1=15,N2=5):

    stockdata = web.DataReader(stockName, "yahoo", stockTimeS, stockTimeE)

    stockdata['N1_High'] = stockdata.High.rolling(window=N1).max()#计算最近N1个交易日最高价
    expan_max = stockdata.Close.expanding().max()
    stockdata['N1_High'].fillna(value=expan_max,inplace=True)#目前出现过的最大值填充前N1个nan

    stockdata['N2_Low'] = stockdata.Low.rolling(window=N2).min()#计算最近N2个交易日最低价
    expan_min = stockdata.Close.expanding().min()
    stockdata['N2_Low'].fillna(value=expan_min,inplace=True)#目前出现过的最小值填充前N2个nan

    #收盘价超过N1最高价 买入股票持有
    buy_index = stockdata[stockdata.Close > stockdata.N1_High.shift(1)].index
    stockdata.loc[buy_index,'signal'] = 1
    #收盘价超过N2最低价 卖出股票持有
    sell_index = stockdata[stockdata.Close < stockdata.N2_Low.shift(1)].index
    stockdata.loc[sell_index,'signal'] = 0
    stockdata['signal'].fillna(method = 'ffill',inplace = True)
    stockdata['signal'] = stockdata.signal.shift(1)
    stockdata['signal'].fillna(method = 'bfill',inplace = True)

    return stockdata

# N日突破买卖信号区间显示
skip_days = 0

df_stockload = GetStockDatApi("600410.SS",datetime.datetime(2018, 10, 1), datetime.datetime(2019, 4, 1))

print(df_stockload)
df_stockload.Close.plot()

for kl_index, today in df_stockload.iterrows():
    if today.signal == 1 and skip_days == 0:  # 买入
        skip_days = -1
        start = df_stockload.index.get_loc(kl_index)
        plt.annotate('买入',xy=(kl_index,df_stockload.Close.asof(kl_index)),xytext=(kl_index, df_stockload.Close.asof(kl_index)+2),arrowprops=dict(facecolor='r',shrink=0.1),horizontalalignment='left',verticalalignment='top')
        print("buy:",kl_index)
    elif today.signal == 0 and skip_days == -1:  # 卖出
        skip_days = 0
        end = df_stockload.index.get_loc(kl_index)
        if df_stockload.Close[end] < df_stockload.Close[start]:  # 赔钱显示绿色
            plt.fill_between(df_stockload.index[start:end], 0, df_stockload.Close[start:end], color='green', alpha=0.38)
        else:  # 赚钱显示红色
            plt.fill_between(df_stockload.index[start:end], 0, df_stockload.Close[start:end], color='red', alpha=0.38)
        plt.annotate('卖出',xy=(kl_index,df_stockload.Close.asof(kl_index)),xytext=(kl_index+datetime.timedelta(days=5), df_stockload.Close.asof(kl_index)+2),arrowprops=dict(facecolor='g',shrink=0.1),horizontalalignment='left',verticalalignment='top')
        print("sell:",kl_index)
plt.legend(loc='best')
plt.title(u"华胜天成 N日突破择时")
plt.show()

"""
#买/卖时间
buy: 2018-11-07 00:00:00
sell: 2018-11-26 00:00:00
buy: 2019-01-17 00:00:00
sell: 2019-01-22 00:00:00
buy: 2019-02-19 00:00:00
"""

输出

总结

介绍了N日突破择时策略的实现，需要说明的是该策略中并未考虑风险因素、设定止损机制、仓位分配机制，并且也忽略了手续费，仅作为入门研究参考