双均线策略加上MACD指标过滤（附:量化策略源码）

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# -*- coding: utf-8 -*-# 简便起见，可以直接用 from gm.api import *
from gm.api import run
from gm.api import ADJUST_PREV
from gm.api import MODE_BACKTEST
from gm.api import subscribe
from gm.api import history_n
from gm.api import order_percent
from gm.api import order_volume
from gm.api import (OrderSide_Buy, OrderSide_Sell)
from gm.api import (PositionEffect_Open, PositionEffect_Close)
from gm.api import OrderType_Market
from datetime import datetime
from datetime import timedelta
import talib
import numpy as np
from collections import deque#本策略基于掘金量化交易平台 网址：www.myquant.cn# 常用参量设置
DATE_STR = "%Y-%m-%d"
TIME_STR = "%Y-%m-%d %H:%M:%S"HIST_WINDOW = 40
SHORT_PERIOD = 5
LONG_PERIOD = 20def init(context):# 全局变量设置context.dict_stock_price = dict()# 以 50 EFT作为交易标的context.stock_pool = ['SHSE.600000']# 订阅日线行情subscribe(symbols=context.stock_pool, frequency='1d', wait_group=True)# 日期设定，避免出现未来函数，将起始日往前取一日start_date = datetime.strptime(context.backtest_start_time, TIME_STR)context.start_date = datetime.strftime(start_date - timedelta(days=1),TIME_STR)# 获取起始日之前行情，便于计算指标deque_close = deque(maxlen=HIST_WINDOW)for stock in context.stock_pool:history_info = history_n(symbol=stock, frequency='1d', count=HIST_WINDOW,adjust=ADJUST_PREV,adjust_end_time=context.backtest_end_time,end_time=context.start_date,fields='close')for bar in history_info:deque_close.append(bar['close'])context.dict_stock_price.setdefault(stock, deque_close)print('finish initialization')def on_bar(context, bars):for bar in bars:if bar.symbol not in context.dict_stock_price.keys():print('Warning: cannot obtain price of stock {} at date {}'.format(bar.symbol, context.now))# 数据填充context.dict_stock_price[bar.symbol].append(bar.close)# 计算指标，这里以双均线为例closes = np.array(context.dict_stock_price[bar.symbol])short_ma = talib.SMA(closes, SHORT_PERIOD)long_ma = talib.SMA(closes, LONG_PERIOD)macd, macd_signal, macd_hist = talib.MACD(closes, fastperiod=12, slowperiod=26, signalperiod=9)# 金叉，满仓买入if short_ma[-2] <= long_ma[-2] and short_ma[-1] > long_ma[-1]:order_percent(symbol=bar.symbol,percent=1.0,side=OrderSide_Buy,order_type=OrderType_Market,position_effect=PositionEffect_Open,price=0)print(context.now)# 死叉或者 MACD 绿柱，全部卖出pos = context.account().position(symbol=bar.symbol, side=OrderSide_Buy)if (short_ma[-2] >= long_ma[-2] and short_ma[-1] < long_ma[-1]) or \macd_hist[-1] < 0:if pos is None:continueorder_volume(symbol=bar.symbol,volume=pos.volume,side=OrderSide_Sell,order_type=OrderType_Market,position_effect=PositionEffect_Close,price=0)
if __name__ == "__main__":run(strategy_id='569b4ffc-6d44-11e8-bd88-80ce62334e41',filename='demo_05.py',mode=MODE_BACKTEST,backtest_adjust=ADJUST_PREV,token='64c33fc82f334e11e1138eefea8ffc241db4a2a0',backtest_start_time='2017-01-17 09:00:00',backtest_end_time='2018-06-21 15:00:00')

来源：掘金量化 myquant.cn