if (_slope < self.params.up_slope):
self.order = self.close()
else:
# 判断是否可以加仓吧。
# 我的加仓方式是超过上个价格0.5个atr，就加仓一定比率
_price_trade = self.position.price + self.atr[
-1] * self.params.atr_add
if (_close > _price_trade):
_size = int(_max_size * self.params.ratio2)
# 不得超过最大比率
if (_size < _max_size * self.params.max_ratio):
self.order = self.buy(size=_size)
pass
# elif self.position.size < 0:
# if(_slope > self.params.down_slope):
# self.order = self.close()
if __name__ == '__main__':
# Create a cerebro entity
cerebro = CerebroBase.CerebroAGTD()
# Add a strategy
cerebro.addstrategy(Strategy_KAMA)
# Set our desired cash start
cerebro.set_cash(5000.0)
cerebro.show_analyzer(cerebro.run())
cerebro.show_plot()
if pclose < pstop:
self.close() # stop met - get out
else:
pdist = self.atr[0] * self.p.atrdist
# Update only if greater than
self.pstop = max(pstop, pclose - pdist)
self.buy_add()
# elif self.position.size < 0:
# pclose = self.data.close[0]
# pstop = self.pstop
# if pclose > pstop:
# self.close() # stop met - get out
# else:
# pdist = self.atr[0] * self.p.atrdist
# # Update only if greater than
# self.pstop = min(pstop, pclose + pdist)
# self.sell_add()
if __name__ == '__main__':
# Create a cerebro entity
cerebro = CerebroBase.CereborAGE()
# Add a strategy
cerebro.addstrategy(Strategy_MACD)
# Set our desired cash start
cerebro.set_cash(5000.0)
cerebro.show_analyzer(cerebro.run())
cerebro.show_plot()
关于资金管理，大体如下:
海龟交易 ： 海龟交易赢在资金管理，重要的是每次损失不超过1%
是根据真实波幅ATR来计算可能的亏损，再计算需要投入的手数
凯莉法则 ： 假设 p = 获胜的概率，q = 失败的概率，b = 赔率
那么需要投入的资金为f = (bp - q) / b
其中(bp - q) 可以理解为期望的盈利
如果这个为正，那么表示可以投入，
如果这个为负，表示不可以投入。
"""
# Check if an order is pending ... if yes, we cannot send a 2nd one
if self.order:
return
pass
if __name__ == '__main__':
# 测试策略在这里
# Create a cerebro entity
cerebro = CerebroBase.CerebroAGUSDO()
# Add a strategy
cerebro.addstrategy(Strategy_sample)
# Set our desired cash start
cerebro.set_cash(10000.0)
# run
results = cerebro.run()
# 显示分析师的结果
cerebro.show_analyzer(results)
# 用图表显示结果
cerebro.show_plot()
if self.kama[0] > self.kama[-1] and self.kama[-2] > self.kama[-1]:
self.order = self.buy()
pass
elif self.kama[0] < self.kama[-1] and self.kama[-2] < self.kama[-1]:
# 这里就是卖掉了
self.order = self.close()
pass
# Check if we are in the market
if not self.position:
pass
# 如果没有订单。
else:
# 到这里往往表示有订单了。
pass
print(1 / 0)
if __name__ == '__main__':
# Create a cerebro entity
cerebro = CerebroBase.CerebroAUTD()
# Add a strategy
cerebro.addstrategy(Strategy_KAMA)
# Set our desired cash start
cerebro.set_cash(5000.0)
cerebro.show_analyzer(cerebro.run())
cerebro.show_plot()