'''
1、首先计算:
(1)N日High的最高价HH, N日Close的最低价LC;
(2)N日Close的最高价HC，N日Low的最低价LL;
(3)Range = Max(HH-LC,HC-LL)
(4)BuyLine = Open + K1*Range
(5)SellLine = Open + K2*Range
2.构造系统
(1)当价格向上突破上轨时，如果当时持有空仓，则先平仓，再开多仓；如果没有持仓，则直接开多仓；
(2)当价格向下突破下轨时，如果当时持有多仓，则先平仓，再开空仓；如果没有持仓，则直接开空仓；
'''
def initialize(context):
# 设定沪深300作为基准
set_benchmark('000300.XSHG')
# True为开启动态复权模式，使用真实价格交易
set_option('use_real_price', True)
# 设定成交量比例
set_option('order_volume_ratio', 1)
# 关闭订单提醒
# log.set_level('order', 'error')
# 设定期货保证金比例
set_option('futures_margin_rate', 0.3)
# 设定操作金融期货
set_subportfolios([SubPortfolioConfig(cash=context.portfolio.cash, type='index_futures')])
# 金融期货close_today_commission可不用设定，平今仓默认0.0023
set_order_cost(OrderCost(open_commission=0.000023, close_commission=0.000023, close_today_commission=0.0023), type='index_futures')
#运行函数
run_daily(set_info, time='before_open', reference_security='IF1512.CCFX')
run_daily(trade, time='every_bar', reference_security='IF1512.CCFX')
def set_info(context):
# 分钟计数
g.minute_count = 0
def trade(context):
# 开盘第一分钟
if g.minute_count == 0:
# 获取当月可交易的 HS300 股指期货合约
g.security = get_stock_index_futrue_code(context,symbol='IF',month='current_month')
# 获取 BuyLine, SellLine
g.BuyLine, g.SellLine = dual_thrust(g.security,n=10,K1=0.5,K2=0.5)
# 分钟计数
g.minute_count += 1
# 开盘第一分钟之后
else:
# 获取标的可平多仓
long_closeable_amount = context.portfolio.long_positions[g.security].closeable_amount
# 获取标的可平空仓
short_closeable_amount = context.portfolio.short_positions[g.security].closeable_amount
# 获取标的的最新价
current_price = attribute_history(g.security, 1, '1m', ['close'], df=False)['close'][0]
# 当价格向上突破上轨时
if current_price > g.BuyLine:
# 如果当时持有空仓，则先平仓，再开多仓；
if(short_closeable_amount>0):
# 平空仓
order_target(g.security, 0 , side='short')
# 开1手多仓
order(g.security, 1, side='long')
log.info('持有空仓，先平仓，再开多仓')
# 如果没有持仓，则直接开多仓；
elif (short_closeable_amount == 0) and (long_closeable_amount == 0):
# 开1手多仓
order(g.security, 1, side='long')
log.info('没有持仓，开多仓')
# 当价格向下突破下轨时
elif current_price < g.SellLine:
# 如果当时持有多仓，则先平仓，再开空仓；
if (long_closeable_amount>0):
# 平多仓
order_target(g.security, 0 , side='long')
# 开1手空仓
order(g.security, 1, side='short')
log.info('持有多仓，先平仓，再开空仓')
# 如果没有持仓，则直接开空仓；
elif (short_closeable_amount == 0) and (long_closeable_amount == 0):
# 开1手空仓
order(g.security, 1, side='short')
log.info('没有持仓，则直接开空仓')
# 分钟计数
g.minute_count += 1
## 获取 BuyLine 和 SellLine
def dual_thrust(security,n,K1,K2):
hist = attribute_history(security, n, '1d', ['high','low','close','open'], df=False)
HH = max(hist['high'])
LC = min(hist['close'])
HC = max(hist['close'])
LL = min(hist['low'])
Open = get_current_data()[security].day_open
# 获取 Range
Range = max((HH-LC),(HC-LL))
# 计算BuyLine 和 SellLine
BuyLine = Open + K1 * Range
SellLine = Open - K2 * Range
# 返回结果
return BuyLine, SellLine
## 获取当天时间正在交易的股指期货合约
def get_stock_index_futrue_code(context,symbol,month='current_month'):
'''
获取当天时间正在交易的股指期货合约。其中:
symbol:
'IF' #沪深300指数期货
'IC' #中证500股指期货
'IH' #上证50股指期货
month:
'current_month' #当月
'next_month' #隔月
'next_quarter' #下季
'skip_quarter' #隔季
'''
display_name_dict = {'IF':'沪深300指数期货','IC':'中证500股指期货','IH':'上证50股指期货'}
month_dict = {'current_month':0, 'next_month':1, 'next_quarter':2, 'skip_quarter':3}
display_name = display_name_dict[symbol]
n = month_dict[month]
dt = context.current_dt.date()
a = get_all_securities(types=['futures'], date=dt)
try:
df = a[(a.display_name == display_name) & (a.start_date <= dt) & (a.end_date >= dt)]
if (len(df)>4) and (month in ('next_quarter','skip_quarter')):
return df.index[n+1]
else:
return df.index[n]
except:
return 'WARRING: 无此合约'
# 获取金融期货合约到期日
def get_CCFX_end_date(fature_code):
return get_security_info(fature_code).end_date
如有需要
，请加QQ：88652583 或微信： 88652583
