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Python 精简多品种 MACD 趋势策略
Author:
扫地僧, Date: 2017-06-18 11:35:13
Tags:
趋势PythonMACD多品种
'''
/*backtest
start: 2016-01-30
end: 2016-12-30
period: 1440
periodBase: 60
mode: 0
*/
'''
class Trader:
def __init__(self, q, symbol):
self.q = q
self.symbol = symbol
self.position = 0
self.isPending = False
def onOpen(self, task, ret):
if ret:
self.position = ret['position']['Amount'] * (1 if (ret['position']['Type'] == PD_LONG or ret['position']['Type'] == PD_LONG_YD) else -1)
Log(task["desc"], "Position:", self.position, ret)
self.isPending = False
def onCover(self, task, ret):
self.isPending = False
self.position = 0
Log(task["desc"], ret)
def onTick(self):
if self.isPending:
return
ct = exchange.SetContractType(self.symbol)
if not ct:
return
r = exchange.GetRecords()
if not r or len(r) < 35:
return
macd = TA.MACD(r)
diff = macd[0][-2] - macd[1][-2]
if abs(diff) > 0 and self.position == 0:
self.isPending = True
self.q.pushTask(exchange, self.symbol, ("buy" if diff > 0 else "sell"), 1, self.onOpen)
if abs(diff) > 0 and ((diff > 0 and self.position < 0) or (diff < 0 and self.position > 0)):
self.isPending = True
self.q.pushTask(exchange, self.symbol, ("closebuy" if self.position > 0 else "closesell"), 1, self.onCover)
def main():
q = ext.NewTaskQueue()
Log(_C(exchange.GetAccount))
tasks = []
for symbol in ContractList.split(','):
tasks.append(Trader(q, symbol.strip()))
while True:
if exchange.IO("status"):
for t in tasks:
t.onTick()
q.poll()
Sleep(1000)
template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6