原文策略源码如下:
#阻力支撑相对强度(RSRS)指标择时策略
导入函数库
from jqdata import *
import pandas as pd
import numpy as np
from sklearn import linear_model
from numpy import mean, std
初始化函数,设定要操作的股票、基准等等
def initialize(context):
# 定义一个全局变量, 保存要操作的股票
context.stock_id=‘510300.XSHG’
context.beat_list=[]
context.count=0
context.z_beta_r2_list=[]
context.n_value=18
context.m_value=400
# 设定沪深300作为基准
set_benchmark(‘000300.XSHG’)
# 开启动态复权模式(真实价格)
set_option(‘use_real_price’, True)
def before_trading_start(context):
advance_high_array=attribute_history(context.stock_id,400,‘60m’,‘high’)
advance_low_array=attribute_history(context.stock_id,400,‘60m’,‘low’)
for i in range(context.n_value,context.m_value):
sliding_windows_high_array=advance_high_array[i