参数设置同博客，但最后收益率，年化夏普率，风险度和博客中有出入。请大神帮看~
# -*- coding: utf-8 -*-
"""
@Time : 2020/5/1 10:37
@Author : 小韭韭
@Email : fredialei@gmail.com
@File : RBreaker.py
@Software: PyCharm
"""
from datetime import date, datetime
from tqsdk import TqApi, TqSim, TqBacktest, BacktestFinished, TargetPosTask
SYMBOL = "INE.sc1905" # 合约代码
CLOSE_HOUR, CLOSE_MINUTE = 14, 50 # 平仓时间
STOP_LOSS_PRICE = 30 # 止损点(价格)
NUM = 20 # 手数
INIT_BALANCE = 1000000 # 初始权益
def figure_trade_log(acc, init_balance):
import matplotlib.pyplot as plt
plt.figure(figsize=(10, 6))
trade_log = acc.trade_log
x = []
y = []
for k, v in trade_log.items():
x.append(k)
y.append((v['account']['balance'] - init_balance) / init_balance * 100)
plt.plot(x, y, marker='o', mec='r', mfc='w')
plt.xticks(rotation=-30)
plt.show()
def get_index_line(klines):
'''计算指标线'''
high = klines.high.iloc[-2] # 前一日的最高价
low = klines.low.iloc[-2] # 前一日的最低价
close = klines.close.iloc[-2] # 前一日的收盘价
pivot = (high + low + close) / 3 # 枢轴点
bBreak = high + 2 * (pivot - low) # 突破买入价
sSetup = pivot + (high - low) # 观察卖出价
sEnter = 2 * pivot - low # 反转卖出价
bEnter = 2 * pivot - high # 反转买入价
bSetup = pivot - (high - low) # 观察买入价
sBreak = low - 2 * (high - pivot) # 突破卖出价
print("已计算新标志线, 枢轴点: %f, 突破买入价: %f, 观察卖出价: %f, 反转卖出价: %f, 反转买入价: %f, 观察买入价: %f, 突破卖出价: %f"
% (pivot, bBreak, sSetup, sEnter, bEnter, bSetup, sBreak))
return pivot, bBreak, sSetup, sEnter, bEnter, bSetup, sBreak
acc = TqSim(init_balance=INIT_BALANCE)
try:
api = TqApi(acc, backtest=TqBacktest(start_dt=date(2018, 11, 14), end_dt=date(2018, 12, 25)), web_gui=True)
target_pos = TargetPosTask(api, SYMBOL) # 默认对价下单
quote = api.get_quote(SYMBOL)
klines = api.get_kline_serial(SYMBOL, 60 * 60 * 24) # 日线
position = api.get_position(SYMBOL)
target_pos_value = position.pos_long - position.pos_short # 净目标净持仓数
open_position_price = position.open_price_long if target_pos_value > 0 else position.open_price_short # 开仓价
pivot, bBreak, sSetup, sEnter, bEnter, bSetup, sBreak = get_index_line(klines) # 七条标准线
while True:
target_pos.set_target_volume(target_pos_value)
api.wait_update()
if api.is_changing(klines.iloc[-1], "datetime"): # 产生新k线,则重新计算7条指标线
pivot, bBreak, sSetup, sEnter, bEnter, bSetup, sBreak = get_index_line(klines)
if api.is_changing(quote, "datetime"):
now = datetime.strptime(quote.datetime, "%Y-%m-%d %H:%M:%S.%f")
if now.hour == CLOSE_HOUR and now.minute >= CLOSE_MINUTE: # 到达平仓时间: 平仓
print("临近本交易日收盘: 平仓")
target_pos_value = 0 # 平仓
pivot = bBreak = sSetup = sEnter = bEnter = bSetup = sBreak = float("nan") # 修改各指标线的值, 避免平仓后再次触发
'''交易规则'''
if api.is_changing(quote, "last_price"):
# print("最新价: %f" % quote.last_price)
# 开仓价与当前行情价之差大于止损点则止损
if (target_pos_value > 0 and open_position_price - quote.last_price >= STOP_LOSS_PRICE) or \
(target_pos_value < 0 and quote.last_price - open_position_price >= STOP_LOSS_PRICE):
print("止损")
target_pos_value = 0 # 平仓
# 反转:
if target_pos_value > 0: # 多头持仓
if quote.highest > sSetup and quote.last_price < sEnter:
# 多头持仓,当日内最高价超过观察卖出价后，
# 盘中价格出现回落，且进一步跌破反转卖出价构成的支撑线时，
# 采取反转策略，即在该点位反手做空
print("多头持仓,当日内最高价超过观察卖出价后跌破反转卖出价: 反手做空")
target_pos_value = -NUM # 做空
open_position_price = quote.last_price
elif target_pos_value < 0: # 空头持仓
if quote.lowest < bSetup and quote.last_price > bEnter:
# 空头持仓，当日内最低价低于观察买入价后，
# 盘中价格出现反弹，且进一步超过反转买入价构成的阻力线时，
# 采取反转策略，即在该点位反手做多
print("空头持仓,当日最低价低于观察买入价后超过反转买入价: 反手做多")
target_pos_value = NUM # 做多
open_position_price = quote.last_price
# 突破:
elif target_pos_value == 0: # 空仓条件
if quote.last_price > bBreak:
# 在空仓的情况下，如果盘中价格超过突破买入价，
# 则采取趋势策略，即在该点位开仓做多
print("空仓,盘中价格超过突破买入价: 开仓做多")
target_pos_value = NUM # 做多
open_position_price = quote.last_price
elif quote.last_price < sBreak:
# 在空仓的情况下，如果盘中价格跌破突破卖出价，
# 则采取趋势策略，即在该点位开仓做空
print("空仓,盘中价格跌破突破卖出价: 开仓做空")
target_pos_value = -NUM # 做空
open_position_price = quote.last_price
except BacktestFinished as e:
figure_trade_log(acc, INIT_BALANCE)
但应该不会很大