量化交易Python数据分析

最新推荐文章于 2024-04-30 10:52:24 发布

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最新推荐文章于 2024-04-30 10:52:24 发布

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文章标签： python 人工智能大数据

本文链接：https://blog.csdn.net/weixin_73136678/article/details/128555387

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基于python的量化交易分析

采用：

1. N日择时策略+ATR风险控制

# N日择时策略+ATR
def Nbreakstrategy(self,data,  N1, N2, n_win, n_loss):
    # N1天内最高价
    global start
    data['N1_high'] = data.High.rolling(window=N1).max()
    data['N1_high'] = data.N1_high.shift(1)
    max_val = data.Close.expanding().max()
    data['N1_high'].fillna(value=max_val, inplace=True)

    # N2天内最低价
    data['N2_low'] = data.Low.rolling(window=N2).min()
    data['N2_low'] = data.N2_low.shift(1)
    min_val = data.Close.expanding().min()
    data['N2_low'].fillna(value=min_val, inplace=True)


    # ATR止盈止损判断
    buy_price = 0
    for k_index, today in data.iterrows():
        tick = round(today.Close * 0.01, 2)
        # 买入
        if (today.Close - tick) > today.N1_high:
            print('N day buy: {} {}'.format(k_index,today.Close))
            buy_price = today.Close
            data.loc[k_index, 'signal'] = 1
        # 止损，收盘价少于买入价，卖出
        elif (buy_price != 0) and (buy_price > today.Close + tick) and ((buy_price - today.Close - tick) > n_loss * today.atr14):
            #print('stop loss: {} {} {}'.format(k_index, today.Close, buy_price))
            data.loc[k_index, 'signal'] = 0
            buy_price = 0
        # 止盈：收盘价多于买入价，卖出
        elif (buy_price != 0) and (buy_price < today.Close - tick) and ((today.Close - buy_price + tick) > n_win * to