聚宽源码09

谁都会走 提交于 2019-12-12 07:33:38

原文策略源码如下:

期货日频多品种,MA双均线+百分比追踪止损

导入函数库

from jqdata import *

def initialize(context):
# 设置参数
set_info(context)
# 不设定基准,在多品种的回测当中基准没有参考意义
set_benchmark(‘511880.XSHG’)
# 开启动态复权模式(真实价格)
set_option(‘use_real_price’, True)
# 过滤掉order系列API产生的比error级别低的log
log.set_level(‘order’, ‘error’)
### 期货相关设定 ###
# 设定账户为金融账户
set_subportfolios([SubPortfolioConfig(cash=context.portfolio.starting_cash, type=‘futures’)])
# 期货类每笔交易时的手续费是:买入时万分之2.5,卖出时万分之2.5,平今仓为万分之2.5
set_order_cost(OrderCost(open_commission=0.00025, close_commission=0.00025,close_today_commission=0.00025), type=‘index_futures’)
# 设定保证金比例15%
set_option(‘futures_margin_rate’, 0.15)
# 开盘前运行
run_daily( before_market_open, time=‘before_open’, reference_security=get_future_code(‘RB’))
# 开盘时运行
run_daily( market_open, time=‘open’, reference_security=get_future_code(‘RB’))
# 收盘后运行
run_daily( after_market_close, time=‘after_close’, reference_security=get_future_code(‘RB’))
# 设置滑点(单边万5,双边千1)
set_slippage(PriceRelatedSlippage(0.001),type=‘future’)

参数设置函数

def set_info(context):

#######变量设置########
g.LastRealPrice = {} # 最新真实合约价格字典(用于吊灯止损)
g.HighPrice = {} # 各品种最高价字典(用于吊灯止损)
g.LowPrice = {} # 各品种最低价字典(用于吊灯止损)
g.future_list = []  # 设置期货品种列表
g.TradeLots = {}  # 各品种的交易手数信息
g.PriceArray = {} # 信号计算价格字典
g.Price_dict = {} # 各品种价格列表字典
g.Times = {} # 计数器(用于防止止损重入)
g.Reentry_long = False # 止损后重入标记
g.Reentry_short = False # 止损后重入标记
g.MappingReal = {} # 真实合约映射(key为symbol,value为主力合约)
g.MappingIndex = {} # 指数合约映射 (key为 symbol,value为指数合约
#######参数设置########
g.FastWindow = 5 # 快线窗口长度
g.SlowWindow = 20 # 慢线窗口长度
g.Cross = 0 # 均线交叉判定信号
g.stop = 0.05 # 止损比例
g.margin_rate = 0.15 # 定义保证金率
# 交易的期货品种信息
g.instruments = ['TA','P','CU','ZN','C','AG','RU','AL','L','RB','CS','SF','JD','CF','J','M','V','I']

# 价格列表初始化
set_future_list(context)

def set_future_list(context):
for ins in g.instruments:
idx = get_future_code(ins)
dom = get_dominant_future(ins)
# 填充映射字典
g.MappingIndex[ins] = idx
g.MappingReal[ins] = dom
#设置主力合约已上市的品种基本参数
if dom == ‘’:
pass
else:
if dom not in g.future_list:
g.future_list.append(dom)
g.HighPrice[dom] = False
g.LowPrice[dom] = False
g.Times[dom] = 0

‘’’
换月模块逻辑(ins是期货品种的symbol(如‘RB’),dom或future指合约(如’RB1610.XSGE’),idx指指数合约(如’RB8888.XSGE‘)
1.在第一天开始时,将所有期货品种最初的主力合约写入MappingReal与MappingIndex当中
2.每天开盘获取一遍ins对应的主力合约,判断是否在MappingReal中,若不在,则执行replace模块
3.replace模块中,卖出原来持有的主力合约,等量买入新合约;修改MappingReal
‘’’

开盘前运行函数

def before_market_open(context):
# 输出运行时间
log.info(‘函数运行时间(before_market_open):’+str(context.current_dt.time()))
send_message(‘开始交易’)

# 过滤无主力合约的品种,传入并修改期货字典信息
for ins in g.instruments:
    dom = get_dominant_future(ins)
    if dom == '':
        pass
    else:
        # 判断是否执行replace_old_futures
        if dom == g.MappingReal[ins]:
            pass
        else:
            replace_old_futures(context,ins,dom)
            g.future_list.append(dom)
            g.HighPrice[dom] = False
            g.LowPrice[dom] = False
            g.Times[dom] = 0
        
        # 每个品种使用初始资金starting_cash的10%开仓
        g.TradeLots[dom] = get_lots(context.portfolio.starting_cash/len(g.instruments),ins)

开盘时运行函数

def market_open(context):
# 输出函数运行时间
#log.info(‘函数运行时间(market_open):’+str(context.current_dt.time()))
# 以下是主循环
for ins in g.instruments:
# 过滤空主力合约品种
if g.MappingReal[ins] != ‘’:
IndexFuture = g.MappingIndex[ins]
RealFuture = g.MappingReal[ins]
# 获取当月合约交割日期
end_date = get_CCFX_end_date(RealFuture)
# 当月合约交割日当天不开仓
if (context.current_dt.date() == end_date):
return
else:
g.LastRealPrice[RealFuture] = attribute_history(RealFuture,1,‘1d’,[‘close’])[‘close’][-1]
# 获取价格list
g.PriceArray[IndexFuture] = attribute_history(IndexFuture,50,‘1d’,[‘close’,‘open’,‘high’,‘low’])
g.CurrentPrice = g.PriceArray[IndexFuture][‘close’][-1]
g.ClosePrice = g.PriceArray[IndexFuture][‘close’]
# 如果没有数据,返回
if len(g.PriceArray[IndexFuture]) < 50:
return
else:

                #设置两条均线
                MaFast = g.ClosePrice[-g.FastWindow:].mean()
                MaSlow = g.ClosePrice[-g.SlowWindow:].mean()
                
                #判断均线交叉(金叉死叉)
                if MaFast>MaSlow:
                    g.Cross = 1
                elif MaFast<MaSlow:
                    g.Cross = -1
                else:
                    g.Cross = 0
                    
                #判断交易信号:均线交叉+可二次入场条件成立
                if  g.Cross == 1 and g.Reentry_long == False:
                    g.Signal = 1
                elif g.Cross == -1 and g.Reentry_short == False:
                    g.Signal = -1
                else:
                    g.Signal = 0
                    
                # 执行交易
                Trade(context,RealFuture)
                # 止损后,运行防止充入模块
                Dont_Re_entry(context,RealFuture)
                # 计数器+1
                if RealFuture in g.Times.keys():
                    g.Times[RealFuture] += 1 
                else:
                    g.Times[RealFuture] = 0

收盘后运行函数

def after_market_close(context):
log.info(str(‘函数运行时间(after_market_close):’+str(context.current_dt.time())))
# 得到当天所有成交记录
trades = get_trades()
for _trade in trades.values():
log.info(‘成交记录:’+str(_trade))
log.info(‘一天结束’)
log.info(’##############################################################’)

交易模块

def Trade(context,RealFuture):

# 快线高于慢线,且追踪止损失效,则可开多仓
if g.Signal == 1 and context.portfolio.long_positions[RealFuture].total_amount == 0:
    if context.portfolio.long_positions[RealFuture].total_amount != 0:
        log.info('空头有持仓:%s'%(RealFuture))
    order_target(RealFuture,0,side='short')
    order_target(RealFuture,g.TradeLots[RealFuture],side='long')
    g.HighPrice[RealFuture] = g.LastRealPrice[RealFuture]
    g.LowPrice[RealFuture] = False
    log.info('正常买多合约:%s'%(RealFuture))
    

elif g.Signal == -1 and context.portfolio.short_positions[RealFuture].total_amount == 0:
    if context.portfolio.short_positions[RealFuture].total_amount != 0:
        log.info('多头有持仓:%s'%(RealFuture))
    order_target(RealFuture,0,side ='long')
    order_target(RealFuture,g.TradeLots[RealFuture],side='short')
    g.LowPrice[RealFuture] = g.LastRealPrice[RealFuture]
    g.HighPrice[RealFuture] = False
    log.info('正常卖空合约:%s'%(RealFuture))
else:
     TrailingStop(context,RealFuture)

追踪止损后,防止立刻重入模块

因为追踪止损条件领先于金叉死叉,所以在止损后,要防止系统再次高位入场

def Dont_Re_entry(context,future):
# 防重入模块:上一次止损后20根bar内不交易,但如果出现价格突破事件则20根bar的限制失效
#设置最高价与最低价(注意:需要错一位,不能算入当前价格)
g.Highest_high_2_20 = g.ClosePrice[-21:-1].max()
g.Lowest_low_2_20 = g.ClosePrice[-21:-1].min()

if  g.Reentry_long == True:
    if g.Times[future] > 20 or g.CurrentPrice > g.Highest_high_2_20 :
        g.Reentry_long = False
if  g.Reentry_short == True:
    if g.Times[future] > 20 or g.CurrentPrice < g.Lowest_low_2_20 :
        g.Reentry_short = False

追踪止损模块(百分比止损)

def TrailingStop(context,RealFuture):

# 记录多空仓位
long_positions = context.portfolio.long_positions
short_positions = context.portfolio.short_positions

# 通过for循环逐一平仓(多头)
if RealFuture in long_positions.keys():
    if long_positions[RealFuture].total_amount > 0:
        if g.HighPrice[RealFuture]:
            g.HighPrice[RealFuture] = max(g.HighPrice[RealFuture], g.LastRealPrice[RealFuture])
            if g.LastRealPrice[RealFuture]  < g.HighPrice[RealFuture]*(1-g.stop):
                log.info('多头止损:\t' +  RealFuture)
                order_target(RealFuture,0,side = 'long')
                g.Reentry_long = True
                
# 通过for循环逐一平仓(空头)
if RealFuture in short_positions.keys():
    if short_positions[RealFuture].total_amount > 0:
        if g.LowPrice[RealFuture]:
            g.LowPrice[RealFuture] = min(g.LowPrice[RealFuture], g.LastRealPrice[RealFuture])
            if g.LastRealPrice[RealFuture]  > g.LowPrice[RealFuture]*(1+g.stop):
                log.info('空头止损:\t' + RealFuture)
                order_target(RealFuture,0,side = 'short')
                g.Reentry_short = True

移仓模块:当主力合约更换时,平当前持仓,更换为最新主力合约

def replace_old_futures(context,ins,dom):

LastFuture = g.MappingReal[ins]

if LastFuture in context.portfolio.long_positions.keys():
    lots_long = context.portfolio.long_positions[LastFuture].total_amount
    order_target(LastFuture,0,side='long')
    order_target(dom,lots_long,side='long')
    print('主力合约更换,平多仓换新仓')

if LastFuture in context.portfolio.short_positions.keys():
    lots_short = context.portfolio.short_positions[dom].total_amount
    order_target(LastFuture,0,side='short')
    order_target(dom,lots_short,side='short')
    print('主力合约更换,平空仓换新仓')

g.MappingReal[ins] = dom     

获取当天时间正在交易的期货主力合约函数

def get_future_code(symbol):
future_code_list = {‘A’:‘A8888.XDCE’, ‘AG’:‘AG8888.XSGE’, ‘AL’:‘AL8888.XSGE’, ‘AU’:‘AU8888.XSGE’,
‘B’:‘B8888.XDCE’, ‘BB’:‘BB8888.XDCE’, ‘BU’:‘BU8888.XSGE’, ‘C’:‘C8888.XDCE’,
‘CF’:‘CF8888.XZCE’, ‘CS’:‘CS8888.XDCE’, ‘CU’:‘CU8888.XSGE’, ‘ER’:‘ER8888.XZCE’,
‘FB’:‘FB8888.XDCE’, ‘FG’:‘FG8888.XZCE’, ‘FU’:‘FU8888.XSGE’, ‘GN’:‘GN8888.XZCE’,
‘HC’:‘HC8888.XSGE’, ‘I’:‘I8888.XDCE’, ‘IC’:‘IC8888.CCFX’, ‘IF’:‘IF8888.CCFX’,
‘IH’:‘IH8888.CCFX’, ‘J’:‘J8888.XDCE’, ‘JD’:‘JD8888.XDCE’, ‘JM’:‘JM8888.XDCE’,
‘JR’:‘JR8888.XZCE’, ‘L’:‘L8888.XDCE’, ‘LR’:‘LR8888.XZCE’, ‘M’:‘M8888.XDCE’,
‘MA’:‘MA8888.XZCE’, ‘ME’:‘ME8888.XZCE’, ‘NI’:‘NI8888.XSGE’, ‘OI’:‘OI8888.XZCE’,
‘P’:‘P8888.XDCE’, ‘PB’:‘PB8888.XSGE’, ‘PM’:‘PM8888.XZCE’, ‘PP’:‘PP8888.XDCE’,
‘RB’:‘RB8888.XSGE’, ‘RI’:‘RI8888.XZCE’, ‘RM’:‘RM8888.XZCE’, ‘RO’:‘RO8888.XZCE’,
‘RS’:‘RS8888.XZCE’, ‘RU’:‘RU8888.XSGE’, ‘SF’:‘SF8888.XZCE’, ‘SM’:‘SM8888.XZCE’,
‘SN’:‘SN8888.XSGE’, ‘SR’:‘SR8888.XZCE’, ‘T’:‘T8888.CCFX’, ‘TA’:‘TA8888.XZCE’,
‘TC’:‘TC8888.XZCE’, ‘TF’:‘TF8888.CCFX’, ‘V’:‘V8888.XDCE’, ‘WH’:‘WH8888.XZCE’,
‘WR’:‘WR8888.XSGE’, ‘WS’:‘WS8888.XZCE’, ‘WT’:‘WT8888.XZCE’, ‘Y’:‘Y8888.XDCE’,
‘ZC’:‘ZC8888.XZCE’, ‘ZN’:‘ZN8888.XSGE’}
try:
return future_code_list[symbol]
except:
return ‘WARNING: 无此合约’

获取交易手数函数

def get_lots(cash,symbol):
# 合约规模(Contract Size),也称交易单位
future_Contract_Size = {‘A’:10, ‘AG’:15, ‘AL’:5, ‘AU’:1000,
‘B’:10, ‘BB’:500, ‘BU’:10, ‘C’:10,
‘CF’:5, ‘CS’:10, ‘CU’:5, ‘ER’:10,
‘FB’:500, ‘FG’:20, ‘FU’:50, ‘GN’:10,
‘HC’:10, ‘I’:100, ‘IC’:200, ‘IF’:300,
‘IH’:300, ‘J’:100, ‘JD’:5, ‘JM’:60,
‘JR’:20, ‘L’:5, ‘LR’:10, ‘M’:10,
‘MA’:10, ‘ME’:10, ‘NI’:1, ‘OI’:10,
‘P’:10, ‘PB’:5, ‘PM’:50, ‘PP’:5,
‘RB’:10, ‘RI’:20, ‘RM’:10, ‘RO’:10,
‘RS’:10, ‘RU’:10, ‘SF’:5, ‘SM’:5,
‘SN’:1, ‘SR’:10, ‘T’:10000, ‘TA’:5,
‘TC’:100, ‘TF’:10000, ‘V’:5, ‘WH’:20,
‘WR’:10, ‘WS’:50, ‘WT’:10, ‘Y’:10,
‘ZC’:100, ‘ZN’:5}
future = get_dominant_future(symbol)
# 获取价格list
Price_dict = attribute_history(future,10,‘1d’,[‘open’])
# 如果没有数据,返回
if len(Price_dict) == 0:
return
else:
# 获得最新开盘价,计算能够下单多少手
open_price = Price_dict.iloc[-1]
# 返回手数(价格合约规模=名义价值)
# 此处没有使用杠杆,每次以starting_cash初始资金的10%去下单
return cash/(open_price
g.margin_rate*future_Contract_Size[symbol])

获取金融期货合约到期日

def get_CCFX_end_date(fature_code):
# 获取金融期货合约到期日
return get_security_info(fature_code).end_date

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