def return_cycle(cycle_context, cycle):
kline = api.get_kline_serial(type, cycle)
close = kline['close']
M20 = tafunc.ma(close, 20)
M40 = tafunc.ma(close, 40)
DIFF = tafunc.ema(close, 12) - tafunc.ema(close, 26)
DEA = tafunc.ema(DIFF, 9)
DDEA2 = DEA > 2 #结算价上涨
KDEA2 = DEA < 2 #结算价下跌
settle = close
DSETTLE = settle >= tafunc.ref(settle, 1)
KSETTLE = settle <= tafunc.ref(settle, 1)
dictionary = {
'M20': M20,
'M40': M40,
'DIFF': DIFF,
'DEA': DEA,
'DDEA2': DDEA2,
'KDEA2': KDEA2,
'DSETTLE': DSETTLE,
'KSETTLE': KSETTLE
}
return dictionary[cycle_context]
def find_boll_daily(self, start_id, dklines):
p = 1
n = 5
new_df = pd.DataFrame()
mid = tafunc.ma(dklines["close"], n)
std = dklines["close"].rolling(n).std()
new_df["mid"] = mid
new_df["top"] = mid + p * std
new_df["bottom"] = mid - p * std
boll = new_df
ma_ck = 0
j = 1
for i in range(j + 1, j + 3 + 1):
ma_ck += list(boll["mid"])[-i] - list(boll["mid"])[-(i + 1)]
#print(ma_ck)
if (ma_ck > 0):
self.boll_top = int(
list(boll["mid"])[-(j + 1)] + std.iloc[-(j + 1)] * 1.3)
self.boll_bottom = int(
list(boll["mid"])[-(j + 1)] - std.iloc[-(j + 1)])
elif (ma_ck < 0):
self.boll_top = int(
list(boll["mid"])[-(j + 1)] + std.iloc[-(j + 1)])
self.boll_bottom = int(
list(boll["mid"])[-(j + 1)] - std.iloc[-(j + 1)] * 1.3)
def find_boll_daily(self, start_id, dklines):
'''
boll=BOLL(dklines, 6, 1.5)
self.boll_bottom = list(boll["bottom"])[-2]
self.boll_top = list(boll["top"])[-2]
'''
p = 1
n = 5
new_df = pd.DataFrame()
mid = tafunc.ma(dklines["close"], n)
std = dklines["close"].rolling(n).std()
new_df["mid"] = mid
new_df["top"] = mid + p * std
new_df["bottom"] = mid - p * std
#boll=BOLL(dklines,5, 1)
boll = new_df
ma_ck = 0
j = 1
for i in range(j+1, j+3+1):
ma_ck += list(boll["mid"])[-i] - list(boll["mid"])[-(i+1)]
#print(ma_ck)
if (ma_ck > 0):
self.boll_top = int(list(boll["mid"])[-(j+1)] + std.iloc[-(j+1)]*1.2)
self.boll_bottom = int(list(boll["mid"])[-(j+1)] - std.iloc[-(j+1)])
self.boll_trade_dir = TradeDirection.BUYONLY
if (ma_ck < 0):
self.boll_top = int(list(boll["mid"])[-(j+1)] + std.iloc[-(j+1)])
self.boll_bottom = int(list(boll["mid"])[-(j+1)] - std.iloc[-(j+1)]*1.2)
self.boll_trade_dir = TradeDirection.SELLONLY
'''
def get_ma_key(self, klines):
ma_list = [5, 10, 20, 30, 40, 60]
list_len = len(ma_list)
for i in range(0, list_len):
ma = tafunc.ma(klines.close, ma_list[i])
name = "ma%d" % (ma_list[i])
relative_position = "cross" #above、below、cross
last_crossup = 60
last_crossdown = 60
if (klines.iloc[-1].low > ma.iloc[-1]):
relative_position = "above"
elif (klines.iloc[-1].high < ma.iloc[-1]):
relative_position = "below"
# last_crossup
for j in range(1, 100):
if (klines.iloc[-j].low >= ma.iloc[-j]
and klines.iloc[-(j + 1)].low <= ma.iloc[-(j + 1)]):
last_crossup = j
break
#last_crossdown
for j in range(1, 100):
if (klines.iloc[-j].high <= ma.iloc[-j]
and klines.iloc[-(j + 1)].high >= ma.iloc[-(j + 1)]):
last_crossdown = j
break
'''
if (relative_position == "above"):
self.key_ll.loc[len(self.key_ll)] = [name, ma.iloc[-1], relative_position, last_crossup, last_crossdown]
elif (relative_position == "below"):
self.key_hh.loc[len(self.key_hh)] = [name, ma.iloc[-1], relative_position, last_crossup, last_crossdown]
'''
self.keys.loc[len(self.keys)] = [
name, ma.iloc[-1], relative_position, last_crossup,
last_crossdown
]
def generate_event(self, klines):
#key_len = len(self.key_ll)
#for ll in self.key_ll:
#c = ['tag', 'title', 'first', 'second']
c = [
'tag', 'first_crossover', 'send_crossover', 'first_crossdown',
'send_crossdown', 'first_stick', 'send_stick'
]
self.cross = pd.DataFrame(columns=c)
kpattern_list = [] #KPattern
ma_list = [5, 10, 20, 30, 40, 60]
list_len = len(ma_list)
for i in range(0, list_len):
ma = tafunc.ma(klines.close, ma_list[i])
name = "ma%d" % (ma_list[i])
first_cd, send_cd = self.two_crossdown(list(ma), klines)
#self.cross.loc[len(self.cross)] = [name, "two_crossdown", first_bar, send_bar]
print("two_crossdown", name, first_cd, send_cd)
first_cu, send_cu = self.two_crossover(list(ma), klines)
self.cross.loc[len(self.cross)] = [
name, first_cd, send_cd, first_cu, send_cu, 100, 100
]
print("two_crossdown", name, first_cu, send_cu)
key_name = ["bottom", "top", "mid"]
boll = BOLL(klines, self.BOLL_TERM, self.BOLL_DIF)
for i in range(0, 3):
name = key_name[i]
first_cd, send_cd = self.two_crossdown(list(boll[key_name[i]]),
klines)
#self.cross.loc[len(self.cross)] = [name, "two_crossdown", first_bar, send_bar]
print("two_crossdown", name, first_cd, send_cd)
first_cu, send_cu = self.two_crossover(list(boll[key_name[i]]),
klines)
self.cross.loc[len(self.cross)] = [
name, first_cd, send_cd, first_cu, send_cu, 100, 100
]
print("two_crossover", name, first_cu, send_cu)
for index, row in self.cross.iterrows():
first_cu = row['first_crossover']
send_cu = row['send_crossover']
first_cd = row['first_crossdown']
send_cd = row['send_crossdown']
#print(row['first_bar'], row['send_bar'])
if (first_cu < 4 and first_cd > 5 and send_cu - first_cu > 15):
#key_price 支撑
print("StdCrossGoBack up")
print(row)
#====
kpt = KPBackFromKeySupportLine(1)
kpt.bar = first_cu
kpattern_list.append(kpt)
if (first_cu > 5 and first_cd < 4 and send_cd - first_cd < 15):
#key_price 反转
print("StdCrossReverse")
print(row)
#=========
kpt = KPBackFromKeyResistanceLine(1)
kpt.bar = first_cd
kpattern_list.append(kpt)
return kpattern_list
# "duration_seconds=60"为一分钟线, 日线的duration_seconds参数为: 24*60*60
klines = api.get_kline_serial(SYMBOL, duration_seconds=1*60, data_length=data_length)
#收盘后不可查
target_pos = TargetPosTask(api, SYMBOL)
position = api.get_position(SYMBOL)#指定一个品种查看持仓相关信息
account = api.get_account()#获取用户账户资金信息
while True:
api.wait_update()
if api.is_changing(klines.iloc[-1], "datetime"): # 产生新k线:重新计算SMA
klines["ma5"]=ma(klines["close"], 5)
klines["ma10"]=ma(klines["close"], 10)
klines["ma89"]=ma(klines["close"], 89)
klines["ma144"]=ma(klines["close"], 144)
sar=SAR(klines, 4, 0.02, 0.2)
if api.is_changing(klines.iloc[-1], "datetime"): # 产生新k线:重新计算SMA
if klines['close'].iloc[-1] < klines['ma89'].iloc[-2]:
if klines["ma5"].iloc[-2] < klines["ma10"].iloc[-2] and klines["ma10"].iloc[-1] > klines["ma5"].iloc[-1]:
target_pos.set_target_volume(-1)
print("均线下穿，做空")
elif klines["close"].iloc[-2] > klines["ma5"].iloc[-2]:
target_pos.set_target_volume(0)
print("均线上穿，平空")
# 均线上穿，做多
SYMBOL = "SHFE.bu1912" # 合约代码
api = TqApi()
print("策略开始运行")
data_length = LONG + 2 # k线数据长度
# "duration_seconds=60"为一分钟线, 日线的duration_seconds参数为: 24*60*60
klines = api.get_kline_serial(SYMBOL,
duration_seconds=60,
data_length=data_length)
target_pos = TargetPosTask(api, SYMBOL)
while True:
api.wait_update()
if api.is_changing(klines.iloc[-1], "datetime"): # 产生新k线:重新计算SMA
short_avg = ma(klines["close"], SHORT) # 短周期
long_avg = ma(klines["close"], LONG) # 长周期
# 均线下穿，做空
if long_avg.iloc[-2] < short_avg.iloc[-2] and long_avg.iloc[
-1] > short_avg.iloc[-1]:
target_pos.set_target_volume(-3)
print("均线下穿，做空")
# 均线上穿，做多
if short_avg.iloc[-2] < long_avg.iloc[-2] and short_avg.iloc[
-1] > long_avg.iloc[-1]:
target_pos.set_target_volume(3)
print("均线上穿，做多")
def double_moving_average(api: TqApi,
symbol: str,
max_position: int = 10,
fast: int = 5,
slow: int = 20):
strategy_name: str = 'DoubleMovingAverage'
api: TqApi = api
symbol: str = symbol
timeout: int = 5
max_position: int = max_position
fast: int = fast
slow: int = slow
ma: DataFrame = DataFrame()
tq_account: Account = api.get_account()
tq_position: Position = api.get_position(symbol)
tq_candlestick: DataFrame = api.get_kline_serial(symbol=symbol,
duration_seconds=24 * 60 *
60)
tq_target_pos = TargetPosTask(api, symbol)
deadline: float
try:
while True:
deadline = time.time() + timeout
if not api.wait_update(deadline=deadline):
raise RuntimeError('没有在规定时间内获得数据！')
# api.wait_update()
if api.is_changing(tq_candlestick):
ma['fast'] = tafunc.ma(tq_candlestick.close, fast)
ma['slow'] = tafunc.ma(tq_candlestick.close, slow)
tq_candlestick['ma_fast'] = ma['fast']
tq_candlestick['ma_fast.color'] = 'green'
tq_candlestick['ma_slow'] = ma['slow']
tq_candlestick['ma_slow.color'] = 0xFF9933CC
# 最新的快均线数值 > 最新的慢均线数值，且 前一根快均线数值 < 前一根慢均线数值
# 即快均线从下向上穿过慢均线
if (ma['fast'].iloc[-1] > ma['slow'].iloc[-1]
and ma['fast'].iloc[-2] < ma['slow'].iloc[-2]):
# # 如果有空仓，平空仓
# if tq_position.pos_short > 0:
# api.insert_order(symbol=symbol,
# direction='BUY',
# offset='CLOSE',
# limit_price=tq_candlestick.close.iloc[-1],
# volume=tq_position.pos_short
# )
# # 开多仓
# api.insert_order(symbol=symbol,
# direction='BUY',
# offset='OPEN',
# limit_price=tq_candlestick.close.iloc[-1],
# volume=max_position
# )
tq_target_pos.set_target_volume(max_position)
# 最新的快均线数值 < 最新的慢均线数值，且 前一根快均线数值 > 前一根慢均线数值
# 即快均线从上向下穿过慢均线
if (ma['fast'].iloc[-1] < ma['slow'].iloc[-1]
and ma['fast'].iloc[-2] > ma['slow'].iloc[-2]):
# # 如果有多仓，平多仓
# if tq_position.pos_short > 0:
# api.insert_order(symbol=symbol,
# direction='SELL',
# offset='CLOSE',
# limit_price=tq_candlestick.close.iloc[-1],
# volume=tq_position.pos_short
# )
# # 开空仓
# api.insert_order(symbol=symbol,
# direction='SELL',
# offset='OPEN',
# limit_price=tq_candlestick.close.iloc[-1],
# volume=max_position
# )
tq_target_pos.set_target_volume(-max_position)
except BacktestFinished:
api.close()
print(f'参数: fast={fast}, slow={slow}, 最终权益={tq_account["balance"]}')
# 实盘交易
# api = TqApi(TqAccount("G光大期货","[账号]","[密码]"), web_gui=True)
# 回测模式
from datetime import date
api = TqApi(backtest=TqBacktest(date(2019, 7, 1), date(2019, 12, 1)),
web_gui=True)
# 策略初始化
symbol = "CFFEX.IF1912"
klines = api.get_kline_serial(symbol, 60 * 15) # 订阅15分钟K线序列
target_pos = TargetPosTask(api, symbol)
try:
while True:
api.wait_update()
if api.is_changing(klines):
# MA120的最新值
ma120 = ma(klines.close, 120).iloc[-1]
# MA10上穿MA20的bool序列的最新值
up_cross = crossup(ma(klines.close, 10), ma(klines.close,
20)).iloc[-1]
# MA10下穿MA20的bool序列的最新值
down_cross = crossdown(ma(klines.close, 10), ma(klines.close,
20)).iloc[-1]
# 如果最新K线收盘价在MA120上方
if klines.close.iloc[-1] > ma120:
# 如果MA10上穿MA20，开一手
if up_cross:
target_pos.set_target_volume(1)
# 如果MA10下穿MA20，平仓
elif down_cross:
target_pos.set_target_volume(0)
# 如果最新K线收盘价在MA120下方
def on_day_bar(self, dklines):
self.ma10day = 0
ma = tafunc.ma(dklines.close, 20)
self.ma20day = ma.iloc[-1]
self.ma30day = 0
self.key_ma = 0
self.debug("key_price = %d" % (self.key_price))
if (self.key_price != 0):
return
#理论上用不到了，用KParser
#get ma20 price
if (dklines.iloc[-1].close > self.ma20day):
last_crossup_ma = 30
for i in range(1, 30):
if (dklines.iloc[-i].low > ma.iloc[-i]
and dklines.iloc[-(i + 1)].low <= ma.iloc[-i]):
last_crossup_ma = i
break
if (last_crossup_ma > 10): #支撑
#self.key_price = self.ma20day
self.key_ma = self.ma20day
elif (dklines.iloc[-1].close < self.ma20day):
last_crossdown_ma = 30
for i in range(1, 30):
if (dklines.iloc[-i].high < ma.iloc[-i]
and dklines.iloc[-(i + 1)].high >= ma.iloc[-i]):
last_crossdown_ma = i
break
if (last_crossdown_ma > 10): #阻力
#self.key_price = self.ma20day
self.key_ma = self.ma20day
# self.key_price = self.ma20day
#获取反复触及的线
high_id = pplib.get_key_high_bar(dklines, 10)
low_id = pplib.get_key_low_bar(dklines, 10)
self.debug("hh_hard_touch high_id=%d" % (high_id))
self.debug("ll_hard_touch low_id=%d" % (low_id))
self.hh_hard_touch = 0
self.ll_hard_touch = 0
if (high_id < low_id and high_id < 5):
self.hh_hard_touch = dklines.iloc[-high_id].high
self.debug("hh_hard_touch=%d" % (self.hh_hard_touch))
elif (low_id < high_id and low_id < 5):
self.ll_hard_touch = dklines.iloc[-low_id].low
self.debug("ll_hard_touch=%d" % (self.ll_hard_touch))
self.KParser.on_bar(dklines)
self.find_key_mode()
kp_event = self.KParser.generate_event(dklines)
self.boardcast_kpevent(kp_event)
day_price = dklines.iloc[-1].close
self.key_ll_ma = self.KParser.get_last_key_ll_price(day_price, 5)
self.key_hh_ma = self.KParser.get_last_key_hh_price(day_price, 5)
#平均price, 计算key
priceCombine = PriceCombine()
priceCombine.refer_price = day_price
priceCombine.min_diff = -10
priceCombine.max_diff = 100
priceCombine.add(self.key_hh_ma)
priceCombine.add(self.hh_hard_touch)
key_hh = priceCombine.get()
priceCombine.min_diff = -100
priceCombine.max_diff = 10
priceCombine.add(self.key_ll_ma)
priceCombine.add(self.ll_hard_touch)
key_ll = priceCombine.get()
self.debug("final_key_hh=%d, final_key_ll=%d" % (key_hh, key_ll))
if (key_hh != 0):
self.set_indor_value(Indicator.KeyHHPrice, key_hh)
if (key_ll != 0):
self.set_indor_value(Indicator.KeyLLPrice, key_ll)
