if self.volume == 0: return # 这天没有成交量，跳过
self.donchian.update()
signal = self.donchian.signal
if isinstance(signal, EntrySignal):
quantity = self.__get_position_size(signal.price)
print '## buy signal', signal.price, quantity
if quantity > 0:
self.buy('long', signal.price, quantity)
self.last_buy_price = signal.price
self.stop_price = signal.price - 2 * self.pre_atr
print 'buy', self.datetime[0].date(
), signal.price, quantity, self.cash(), signal.desc
elif isinstance(signal, ExitSignal):
if self.position() > 0:
self.sell('long', signal.price, self.position())
self.stop_price = None
print 'sel', self.datetime[0].date(
), signal.price, self.position(), signal.desc
elif self.stop_price is not None and self.low <= self.stop_price:
if self.position() > 0:
self.sell('long', self.close, self.position())
self.stop_price = None
print 'sel', self.datetime[0].date(
), self.close, self.position(), 'stop'
if __name__ == '__main__':
import sys
code = sys.argv[1]
fw.run(TurtleStrategy, code)
P = 10 # 最少交易股数，这里假设是10
quantity = int(self.cash() / self.open / P) * P
return quantity
def on_bar(self):
""" 策略函数，对每根Bar运行一次。"""
if self.volume == 0: return # 这天没有成交量，跳过
IN = 20
OUT = 10
price = self.close[0]
upper = max([self.close[i] for i in range(0, IN)])
down = min([self.close[i] for i in range(0, OUT)])
if self.position() == 0 and price >= upper:
quantity = self.__get_position_size()
if quantity > 0:
self.buy('long', price, quantity, contract = code)
self.buy_price = price
self.num_cont += 1
#print 'buy', self.datetime[0].date(), price, quantity
elif self.position() > 0 and price <= down:
self.sell('long', price, self.position())
#print 'sel', self.datetime[0].date(), price, self.position()
#print '---'
if price > self.buy_price:
self.num_win += 1
if __name__ == '__main__':
import sys
code = sys.argv[1]
fw.run(DonChianStrategy, code)
quantity = int(self.cash() / price / P) * P
return quantity
def on_bar(self):
""" 策略函数，对每根Bar运行一次。"""
if self.volume == 0: return # 这天没有成交量，跳过
price = self.close[0]
if self.position(
) == 0 and self.mashort > self.malong: # and self.mashort[1] <= self.malong[1]:
if self.high <= self.close:
print 'fail to buy!'
return
quantity = self.__get_position_size(price)
if quantity > 0:
self.buy('long', price, quantity, contract=code)
self.buy_price = price
self.num_cont += 1
#print 'buy', self.datetime[0].date(), price, quantity
elif self.position() > 0 and self.mashort < self.malong:
self.sell('long', price, self.position())
#print 'sel', self.datetime[0].date(), price, self.position()
#print '---'
if price > self.buy_price:
self.num_win += 1
if __name__ == '__main__':
import sys
code = sys.argv[1]
fw.run(MaStrategy, code)
def __get_position_size(self, price):
P = 10 # 最少交易股数，这里假设是10
quantity = int(self.cash() / price / P) * P
return quantity
def on_bar(self):
""" 策略函数，对每根Bar运行一次。"""
if self.volume == 0: return # 这天没有成交量，跳过
price = self.close[0]
if self.position() == 0 and self.mashort > self.malong:# and self.mashort[1] <= self.malong[1]:
if self.high <= self.close:
print 'fail to buy!'
return
quantity = self.__get_position_size(price)
if quantity > 0:
self.buy('long', price, quantity, contract = code)
self.buy_price = price
self.num_cont += 1
#print 'buy', self.datetime[0].date(), price, quantity
elif self.position() > 0 and self.mashort < self.malong:
self.sell('long', price, self.position())
#print 'sel', self.datetime[0].date(), price, self.position()
#print '---'
if price > self.buy_price:
self.num_win += 1
if __name__ == '__main__':
import sys
code = sys.argv[1]
fw.run(MaStrategy, code)
def on_bar(self):
self.__update_atr()
if self.volume == 0: return # 这天没有成交量，跳过
self.donchian.update()
signal = self.donchian.signal
if isinstance(signal, EntrySignal):
quantity = self.__get_position_size(signal.price)
print '## buy signal', signal.price, quantity
if quantity > 0:
self.buy('long', signal.price, quantity)
self.last_buy_price = signal.price
self.stop_price = signal.price - 2 * self.pre_atr
print 'buy', self.datetime[0].date(), signal.price, quantity, self.cash(), signal.desc
elif isinstance(signal, ExitSignal):
if self.position() > 0:
self.sell('long', signal.price, self.position())
self.stop_price = None
print 'sel', self.datetime[0].date(), signal.price, self.position(), signal.desc
elif self.stop_price is not None and self.low <= self.stop_price:
if self.position() > 0:
self.sell('long', self.close, self.position())
self.stop_price = None
print 'sel', self.datetime[0].date(), self.close, self.position(), 'stop'
if __name__ == '__main__':
import sys
code = sys.argv[1]
fw.run(TurtleStrategy, code)
quantity = int(self.cash() / price / P) * P
return quantity
def on_bar(self):
""" 策略函数，对每根Bar运行一次。"""
if self.volume == 0: return # 这天没有成交量，跳过
IN = 20
OUT = 10
price = self.close[0]
upper = max([self.close[i] for i in range(0, IN)])
down = min([self.close[i] for i in range(0, OUT)])
if self.position() == 0 and self.high >= upper:
quantity = self.__get_position_size(price)
if quantity > 0:
self.buy('long', price, quantity)
self.buy_price = price
self.num_cont += 1
#print 'buy', self.datetime[0].date(), price, quantity
elif self.position() > 0 and self.low <= down:
self.sell('long', price, self.position())
#print 'sel', self.datetime[0].date(), price, self.position()
#print '---'
if price > self.buy_price:
self.num_win += 1
if __name__ == '__main__':
import sys
code = sys.argv[1]
fw.run(DonChianStrategy, code)
