金融量化 - 技术分析策略和交易系统_SMA+CCI交易系统

双技术指标：SMA+CCI交易系统

以SMA作为开平仓信号，同时增加CCI作为过滤器；
当股价上穿SMA，同时CCI要小于-100，说明是在超卖的情况下，上穿SMA，做多；交易信号更可信；
当股价下穿SMA，同时CCI要大于+100，说明是在超买的情况下，下穿SMA，做空；交易信号更可信；

import numpy as np
import pandas as pd
import talib as ta
import tushare as ts
import matplotlib as mpl
import matplotlib.pyplot as plt
import seaborn as sns
%matplotlib inline
# 确保‘-’号显示正常
mpl.rcParams['axes.unicode_minus']=False
# 确保中文显示正常
mpl.rcParams['font.sans-serif'] = ['SimHei']  

1. 数据准备

# 获取数据
stock_index = ts.get_k_data('hs300', '2016-01-01', '2017-06-30')
stock_index.set_index('date', inplace=True)
stock_index.sort_index(inplace = True)
stock_index.head()

	open	close	high	low	volume	code
date
2016-01-04	3725.86	3470.41	3726.25	3469.01	115370674.0	hs300
2016-01-05	3382.18	3478.78	3518.22	3377.28	162116984.0	hs300
2016-01-06	3482.41	3539.81	3543.74	3468.47	145966144.0	hs300
2016-01-07	3481.15	3294.38	3481.15	3284.74	44102641.0	hs300
2016-01-08	3371.87	3361.56	3418.85	3237.93	185959451.0	hs300

# 计算指标sma，cci
stock_index['sma'] = ta.SMA(np.asarray(stock_index['close']), 5)
stock_index['cci'] = ta.CCI(np.asarray(stock_index['high']), np.asarray(stock_index['low']), np.asarray(stock_index['close']), timeperiod=20)

plt.subplot(2,1,1)
plt.title('沪深300 sma cci指标图')
plt.gca().axes.get_xaxis().set_visible(False)
stock_index['close'].plot(figsize = (10,8))
stock_index['sma'].plot(figsize=