python量化交易策略——唐奇安通道和海龟策略（1）

本文采用唐奇安通道和海龟策略相结合的方式

# coding=utf-8
from __future__ import print_function, absolute_import, unicode_literals
import numpy as np
import pandas as pd
from gm.api import *

'''
本策略基于海龟交易法的唐奇安通道。
以价格突破唐奇安通道的上下轨作为开仓信号，N倍ATR作为加仓或止损点。
'''


def init(context):
    # 设置合约标的
    context.symbol = 'DCE.I'
    # 设置计算唐奇安通道的参数
    context.n = 20
    # 设置ATR倍数
    context.atr_multiple = 0.5
    # 设置单笔开仓数量
    context.order_volume = 2
    # 设置单笔加减仓数量
    context.change_volume = 2
    # 订阅数据
    subscribe(symbols=context.symbol, frequency='60s', count=2)
    # 定时函数，开盘时运行
    schedule(schedule_func=algo, date_rule='1d', time_rule='09:00:00')
    schedule(schedule_func=algo, date_rule='1d', time_rule='21:00:00')


def algo(context):
    # 上一交易日
    last_date = get_previous_trading_date(exchange='SHFE', date=context.now)
    # 调取数据
    data = history_n(symbol=context.symbol, frequency='1d', count=context.n + 1, end_time=last_date,
                     fields='close,high,low,bob', df=True)  # 计算ATR
    # 计算ATR
    tr_list = []
    for i in range(1, len(data) - 1):
        tr = max(max((data['high'].iloc[i] - data['low'].iloc[i]),
                     abs(data['close'].shift(1).iloc[i] - data['high'].iloc[i])),
                 abs(data['close'].shift(1).iloc[i] - data['low'].iloc[i]))
        tr_list.append(tr)
    context.atr = int(np.floor(np.mean(tr_list)))
    context.atr_half = int(np.floor(context.atr_multiple * context.atr))
    # 计算唐奇安通道
    context.don_upper = np.max(data['high'].values[-context.n - 1:-1])
    context.don_lower = np.min(data['low'].values[-context.n - 1:-1])
    # 计算加仓点和止损点
    context.long_add_point = context.don_upper + context.atr_half  # 多仓加仓点
    context.long_stop_loss = context.don_upper - context.atr_half  # 多仓止损点
    context.short_add_point = context.don_lower - context.atr_half  # 空仓加仓点
    context.short_stop_loss = context.don_lower + context.atr_half  # 空仓止损点


def on_bar(context, bars):
    # 提取数据
    symbol = bars[0]['symbol']
    recent_data = context.data(symbol=context.symbol, frequency='60s', count=2, fields='close,high,low')
    new_price = recent_data['close'].values[-1]

    # 账户仓位情况
    position_long = context.account().position(symbol=symbol, side=PositionSide_Long)
    position_short = context.account().position(symbol=symbol, side=PositionSide_Short)

    # 当无持仓时
    if not position_long and not position_short:
        # 如果向上突破唐奇安通道上轨，则开多
        if new_price > context.don_upper:
            order_volume(symbol=symbol, side=OrderSide_Buy, volume=context.order_volume, order_type=OrderType_Market,
                         position_effect=PositionEffect_Open)
        # 如果向下突破唐奇安通道下轨，则开空
        if new_price < context.don_lower:
            order_volume(symbol=symbol, side=OrderSide_Sell, volume=context.order_volume, order_type=OrderType_Market,
                         position_effect=PositionEffect_Open)

    # 有持仓时
    # 持多仓
    if position_long:
        # 当突破加仓点时：加仓
        if new_price > context.long_add_point:
            order_volume(symbol=symbol, volume=context.change_volume, side=OrderSide_Buy, order_type=OrderType_Market,
                         position_effect=PositionEffect_Open)
            context.long_add_point += context.atr_half
            context.long_stop_loss += context.atr_half
        # 当跌破止损点时：减仓或清仓
        if new_price < context.long_stop_loss:
            volume_hold = position_long['volume']
            if volume_hold > context.order_volume:
                order_volume(symbol=symbol, volume=context.change_volume, side=OrderSide_Sell,
                             order_type=OrderType_Market, position_effect=PositionEffect_Close)
            else:
                order_volume(symbol=symbol, volume=volume_hold, side=OrderSide_Sell, order_type=OrderType_Market,
                             position_effect=PositionEffect_Close)
            context.long_add_point -= context.atr_half
            context.long_stop_loss -= context.atr_half

    # 持空仓
    if position_short:
        # 当跌破加仓点时：加仓
        if new_price < context.short_add_point:
            order_volume(symbol=symbol, volume=context.change_volume, side=OrderSide_Sell, order_type=OrderType_Market,
                         position_effect=PositionEffect_Open)
            context.short_add_point -= context.atr_half
            context.short_stop_loss -= context.atr_half
        # 当突破止损点时：减仓或清仓
        if new_price > context.short_stop_loss:
            volume_hold = position_short['volume']
            if volume_hold > context.atr_half:
                order_volume(symbol=symbol, volume=context.change_volume, side=OrderSide_Buy,
                             order_type=OrderType_Market, position_effect=PositionEffect_Close)
            else:
                order_volume(symbol=symbol, volume=volume_hold, side=OrderSide_Buy, order_type=OrderType_Market,
                             position_effect=PositionEffect_Close)
            context.short_add_point += context.atr_half
            context.short_stop_loss += context.atr_half


def on_order_status(context, order):
    # 标的代码
    symbol = order['symbol']
    # 委托价格
    price = order['price']
    # 委托数量
    volume = order['volume']
    # 目标仓位
    target_percent = order['target_percent']
    # 查看下单后的委托状态，等于3代表委托全部成交
    status = order['status']
    # 买卖方向，1为买入，2为卖出
    side = order['side']
    # 开平仓类型，1为开仓，2为平仓
    effect = order['position_effect']
    # 委托类型，1为限价委托，2为市价委托
    order_type = order['order_type']
    if status == 3:
        if effect == 1 and side == 1:
            side_effect = '开多仓'
        elif effect == 1 and side == 2:
            side_effect = '开空仓'
        elif effect == 2 and side == 1:
            side_effect = '平空仓'
        elif effect == 2 and side == 2:
            side_effect = '平多仓'
        order_type_word = '限价' if order_type == 1 else '市价'
        print('{}:标的：{}，操作：以{}{}，委托价格：{}，委托数量：{}'.format(context.now, symbol, order_type_word, side_effect, price,
                                                         volume))


def on_backtest_finished(context, indicator):
    print('*' * 50)
    print('回测已完成，请通过右上角“回测历史”功能查询详情。')


if __name__ == '__main__':
    '''
    strategy_id策略ID,由系统生成
    filename文件名,请与本文件名保持一致
    mode实时模式:MODE_LIVE回测模式:MODE_BACKTEST
    token绑定计算机的ID,可在系统设置-密钥管理中生成
    backtest_start_time回测开始时间
    backtest_end_time回测结束时间
    backtest_adjust股票复权方式不复权:ADJUST_NONE前复权:ADJUST_PREV后复权:ADJUST_POST
    backtest_initial_cash回测初始资金
    backtest_commission_ratio回测佣金比例
    backtest_slippage_ratio回测滑点比例
    '''
    run(strategy_id='99ff6300-f074-11ec-9359-a4c3f0c417b1',
        filename='main.py',
        mode=MODE_BACKTEST,
        #这里填写你的token编码，这里不方便填写
        token='**************************',
        backtest_start_time='2020-03-01 09:00:00',
        backtest_end_time='2020-06-30 15:00:00',
        backtest_adjust=ADJUST_PREV,
        backtest_initial_cash=1000000,
        backtest_commission_ratio=0.0001,
        backtest_slippage_ratio=0.0001)