Python 精简多品种 MACD 趋势策略

Python 精简多品种 MACD 趋势策略

Author: Zero, Date: 2017-06-18 11:35:13

Tags: 趋势 Python MACD 多品种

需要引用小小梦公开的商品期货交易类库

python版CTP商品期货交易类库(支持2/3 测试版)

'''

/*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)

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