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商品期货Python版MACD策略(教学)
Author:
雨幕(youquant), Date: 2020-06-30 14:02:19
Tags:
PythonMACD
商品期货Python版MACD策略(教学)
- 策略仅作教学使用。
- 如有问题欢迎留言。
- 商品期货策略,不支持数字货币。
'''backtest
start: 2020-03-01 00:00:00
end: 2020-06-29 00:00:00
period: 1h
basePeriod: 1m
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
'''
# 全局变量
ChartCfg = {
'__isStock': True,
'title': {
'text': 'Python MACD 策略图表'
},
'yAxis': [{
'title': {'text': 'K线'},
'style': {'color': '#4572A7'},
'opposite': False
}, {
'title': {'text': '指标轴'},
'opposite': True
}],
'series': [{
'type': 'candlestick',
'name': '当前周期',
'id': 'primary',
'data': []
}, {
'type': 'line',
'id': 'dif',
'name': 'DIF',
"yAxis" : 1,
'data': []
}, {
'type': 'line',
'id': 'dea',
'name': 'DEA',
"yAxis" : 1,
'data': []
}, {
'type': 'line',
'id': 'macd',
'name': 'MACD',
"yAxis" : 1,
'data': []
}]
}
IDLE = -1
def trade(direction, amount, price):
if direction == IDLE and amount > 0:
exchange.SetDirection("buy")
exchange.Buy(price, abs(amount))
elif direction == IDLE and amount < 0:
exchange.SetDirection("sell")
exchange.Sell(price, abs(amount))
if direction == PD_LONG or direction == PD_LONG_YD:
exchange.SetDirection("closebuy_today" if direction == PD_LONG else "closebuy")
exchange.Sell(price, abs(amount))
elif direction == PD_SHORT or direction == PD_SHORT_YD:
exchange.SetDirection("closesell_today" if direction == PD_SHORT else "closesell")
exchange.Buy(price, abs(amount))
def updatePos():
while True:
orders = _C(exchange.GetOrders)
if len(orders) == 0:
break
for i in range(len(orders)):
exchange.CancelOrder(orders[i].Id, orders[i])
Sleep(1000)
pos = _C(exchange.GetPosition)
if len(pos) == 0:
return IDLE, 0
return pos[0].Type, pos[0].Amount
def main():
global ChartCfg
state = IDLE
preTime = 0
chart = Chart(ChartCfg)
chart.reset()
while True:
if exchange.IO("status"):
info = _C(exchange.SetContractType, Symbol)
while True:
r = _C(exchange.GetRecords)
if len(r) > FastPeriod and len(r) > SlowPeriod and len(r) > SignalPeriod:
break
# 计算指标
macd = TA.MACD(r, FastPeriod, SlowPeriod, SignalPeriod)
if macd[0][-3] is None or macd[1][-3] is None:
continue
LogStatus(_D(), "已经连接")
# 画图
for i in range(len(r)):
if r[i]["Time"] == preTime:
chart.add(0, [r[i]["Time"], r[i]["Open"], r[i]["High"], r[i]["Low"], r[i]["Close"]], -1)
chart.add(1, [r[i]["Time"], macd[0][i]], -1)
chart.add(2, [r[i]["Time"], macd[1][i]], -1)
chart.add(3, [r[i]["Time"], macd[2][i]], -1)
elif r[i]["Time"] > preTime:
chart.add(0, [r[i]["Time"], r[i]["Open"], r[i]["High"], r[i]["Low"], r[i]["Close"]])
chart.add(1, [r[i]["Time"], macd[0][i]])
chart.add(2, [r[i]["Time"], macd[1][i]])
chart.add(3, [r[i]["Time"], macd[2][i]])
preTime = r[i]["Time"]
# 检测交易信号
if macd[0][-2] < 0 and macd[1][-2] < 0 and macd[0][-3] < macd[1][-3] and macd[0][-2] > macd[1][-2] and (state != PD_LONG and state != PD_LONG_YD):
# 平空仓,开多仓 或者 开多仓
state, amount = updatePos()
if state == PD_SHORT or state == PD_SHORT_YD:
trade(state, amount, r[-1]["Close"] + info["PriceTick"] * SlidePoint)
elif state == IDLE:
trade(state, Amount, r[-1]["Close"] + info["PriceTick"] * SlidePoint)
elif macd[0][-2] > 0 and macd[1][-2] > 0 and macd[0][-3] > macd[1][-3] and macd[0][-2] < macd[1][-2] and (state != PD_SHORT and state != PD_SHORT_YD):
# 平多仓,开空仓 或者 开空仓
state, amount = updatePos()
if state == PD_LONG or state == PD_LONG_YD:
trade(state, amount, r[-1]["Close"] - info["PriceTick"] * SlidePoint)
elif state == IDLE:
trade(state, -Amount, r[-1]["Close"] - info["PriceTick"] * SlidePoint)
else :
LogStatus(_D(), "未连接")
Sleep(500)
template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6