@zhaoyang-chen 海龟的Python版出炉。

为方便对比，这里把java、python两种语言代码同时贴出，回测时间及初始资金均使用页面默认的20140104-20150104，100000.0软妹币。

turtle_java

public class TurtleOriginalStrategy implements IHStrategy {

Core talibCore;

//定义全局变量

static int tradedayNum = 0;

static double unit = 0;

static double atr = 0;

static String tradingSignal = "start";

static String preTradingSignal = "";

static int units_hold_max = 4;

static int units_hold = 0;

static double quantity = 0;

static double max_add = 0;

static double firstOpenPrice = 0;

//计算最大最小值

public double[] getExtremem(double[] arrayHighPriceResult, double[] arrayLowPriceResult) {

DescriptiveStatistics forMax = new DescriptiveStatistics();

for (int i = 0; i < arrayHighPriceResult.length-1; i++) {

forMax.addValue(arrayHighPriceResult[i]);

}

double maxResult = forMax.getMax();

DescriptiveStatistics forMin = new DescriptiveStatistics();

for (int i = 0; i < arrayLowPriceResult.length-1; i++) {

forMin.addValue(arrayLowPriceResult[i]);

}

double minResult = forMin.getMin();

double[] forExtremum = new double[2];

forExtremum[0] = maxResult;

forExtremum[1] = minResult;

return forExtremum;

}

//计算Atr以及单位

public double[] getAtrAndUnit(double[] atrArrayResult, MInteger atrLengthResult, double portfolioValueResult) {

double atr = atrArrayResult[atrLengthResult.value-1];

double unit = Math.floor(portfolioValueResult * .01 / atr);

double[] atrAndUnit = new double[2];

atrAndUnit[0] = atr;

atrAndUnit[1] = unit;

return atrAndUnit;

}

//计算止损线价位

public double getStopPrice(double firstOpenPriceResult, int units_hold_result, double atrResult) {

double stopPrice = firstOpenPriceResult - 2*atrResult + (units_hold_result-1)*0.5*atrResult;

return stopPrice;

}

@Override

public void init(IHInformer informer, IHInitializers initializers) {

talibCore = new Core();

int openObserveTime = 55;

int closeObserveTime = 20;

int atrTime = 20;

MInteger atrBegin = new MInteger();

MInteger atrLength = new MInteger();

String stockId = "CSI300.INDX";

initializers.instruments((universe) -> universe.add(stockId));

initializers.events().statistics((stats, info, trans) -> {

//获取组合总价值，包含市场价值与剩余资金

double portfolioValue = info.portfolio().getPortfolioValue();

double[] highPrice = stats.get(stockId).history(openObserveTime+1, HPeriod.Day).getHighPrice();

double[] lowPriceForAtr = stats.get(stockId).history(openObserveTime+1, HPeriod.Day).getLowPrice();

double[] lowPriceForExtremem = stats.get(stockId).history(closeObserveTime+1, HPeriod.Day).getLowPrice();

double[] closePrice = stats.get(stockId).history(openObserveTime+2, HPeriod.Day).getClosingPrice();

double closePriceForAtr[] = new double[closePrice.length-1];

for (int i = 0; i < closePrice.length-1; i++) {

closePriceForAtr[i] = closePrice[i];

}

double[] atrArray = new double[openObserveTime];

//Talib计算N即ATR

RetCode retCode = talibCore.atr(0, openObserveTime-1, highPrice, lowPriceForAtr, closePriceForAtr, atrTime, atrBegin, atrLength, atrArray);

double max = getExtremem(highPrice, lowPriceForExtremem)[0];

double min = getExtremem(highPrice, lowPriceForExtremem)[1];

double atr = atrArray[atrLength.value-1];

informer.info(lowPriceForExtremem[lowPriceForExtremem.length - 1]);

informer.info("#######");

informer.info(max);

informer.info(min);

informer.info(atr);

informer.info("#######");

if (tradingSignal != "start") {

if (units_hold != 0) {

max_add += 0.5 * getAtrAndUnit(atrArray, atrLength, portfolioValue)[0];

}

} else {

max_add = stats.get(stockId).getLastPrice();

}

informer.info(units_hold);

double curPosition = info.position(stockId).getNonClosedTradeQuantity();

double availableCash = info.portfolio().getAvailableCash();

double marketValue = info.portfolio().getMarketValue();

if (curPosition > 0 & stats.get(stockId).getLastPrice() < getStopPrice(firstOpenPrice, units_hold, atr)) {

tradingSignal = "stop";

} else {

if (curPosition > 0 & stats.get(stockId).getLastPrice() < min) {

tradingSignal = "exit";

} else {

if (stats.get(stockId).getLastPrice() > max_add & units_hold != 0 & units_hold < units_hold_max & availableCash > stats.get(stockId).getLastPrice()*unit) {

tradingSignal = "entry_add";

} else {

if (stats.get(stockId).getLastPrice() > max & units_hold == 0) {

max_add = stats.get(stockId).getLastPrice();

tradingSignal = "entry";

}

}

}

}

//informer.info(tradingSignal);

atr = getAtrAndUnit(atrArray, atrLength, portfolioValue)[0];

if (tradedayNum % 5 == 0) {

unit = getAtrAndUnit(atrArray, atrLength, portfolioValue)[1];

}

tradedayNum += 1;

double quantity = unit;

if (tradingSignal != preTradingSignal | (units_hold < units_hold_max & units_hold > 1) | tradingSignal == "stop") {

if (tradingSignal == "entry") {

quantity = unit;

if (availableCash > stats.get(stockId).getLastPrice()*quantity) {

trans.buy(stockId).shares(quantity).commit();

firstOpenPrice = stats.get(stockId).getLastPrice();

units_hold = 1;

informer.info("entrybuy" + quantity);

}

}

if (tradingSignal == "entry_add") {

quantity = unit;

trans.buy(stockId).shares(quantity).commit();

units_hold += 1;

informer.info("entry_addbuy" + quantity);

}

if (tradingSignal == "stop") {

if (/*curPosition marketValue*/ units_hold > 0) {

trans.sell(stockId).shares(quantity).commit();

units_hold -= 1;

informer.info("stop" + quantity);

}

}

if (tradingSignal == "exit") {

if (curPosition > 0) {

trans.sell(stockId).shares(curPosition).commit();

units_hold = 0;

informer.info("exitsell" + curPosition);

}

}

}

preTradingSignal = tradingSignal;

});

}

}

结果：

turtle_python

import numpy as np

import talib

import math

def getExtremem(arrayHighPriceResult, arrayLowPriceResult):

np_arrayHighPriceResult = np.array(arrayHighPriceResult[:-1])

np_arrayLowPriceResult = np.array(arrayLowPriceResult[:-1])

maxResult = np_arrayHighPriceResult.max()

minResult = np_arrayLowPriceResult.min()

return [maxResult, minResult]

def getAtrAndUnit(atrArrayResult, atrLengthResult, portfolioValueResult):

atr = atrArrayResult[atrLengthResult-1]

unit = math.floor(portfolioValueResult * .01 / atr)

return [atr, unit]

def getStopPrice(firstOpenPriceResult, units_hold_result, atrResult):

stopPrice = firstOpenPriceResult - 2*atrResult + (units_hold_result-1)*0.5*atrResult

return stopPrice

def init(context):

context.tradedayNum = 0

context.unit = 0

context.atr = 0

context.tradingSignal = 'start'

context.preTradingSignal = ''

context.units_hold_max = 4

context.units_hold = 0

context.quantity = 0

context.max_add = 0

context.firstOpenPrice = 0

context.s = 'CSI300.INDX'

update_universe([context.s])

context.openObserveTime = 55;

context.closeObserveTime = 20;

context.atrTime = 20;

def handle_bar(context, bar_dict):

portfolioValue = context.portfolio.portfolio_value

highPrice = history(context.openObserveTime+1, '1d', 'high')[context.s]

lowPriceForAtr = history(context.openObserveTime+1, '1d', 'low')[context.s]

lowPriceForExtremem = history(context.closeObserveTime+1, '1d', 'low')[context.s]

closePrice = history(context.openObserveTime+2, '1d', 'close')[context.s]

closePriceForAtr = closePrice[:-1]

atrArray = talib.ATR(highPrice.values, lowPriceForAtr.values, closePriceForAtr.values, timeperiod=context.atrTime)

maxx = getExtremem(highPrice.values, lowPriceForExtremem.values)[0]

minn = getExtremem(highPrice.values, lowPriceForExtremem.values)[1]

atr = atrArray[-2]

if (context.tradingSignal != 'start'):

if (context.units_hold != 0):

context.max_add += 0.5 * getAtrAndUnit(atrArray, atrArray.size, portfolioValue)[0]

else:

context.max_add = bar_dict[context.s].last

curPosition = context.portfolio.positions[context.s].quantity

availableCash = context.portfolio.cash

marketValue = context.portfolio.market_value

if (curPosition > 0 and bar_dict[context.s].last < minn):

context.tradingSignal = 'exit'

else:

if (curPosition > 0 and bar_dict[context.s].last < getStopPrice(context.firstOpenPrice, context.units_hold, atr)):

context.tradingSignal = 'stop'

else:

if (bar_dict[context.s].last > context.max_add and context.units_hold != 0 and context.units_hold < context.units_hold_max and availableCash > bar_dict[context.s].last*context.unit):

context.tradingSignal = 'entry_add'

else:

if (bar_dict[context.s].last > maxx and context.units_hold == 0):

context.max_add = bar_dict[context.s].last

context.tradingSignal = 'entry'

atr = getAtrAndUnit(atrArray, atrArray.size, portfolioValue)[0]

if context.tradedayNum % 5 == 0:

context.unit = getAtrAndUnit(atrArray, atrArray.size, portfolioValue)[1]

context.tradedayNum += 1

context.quantity = context.unit

if (context.tradingSignal != context.preTradingSignal or (context.units_hold < context.units_hold_max and context.units_hold > 1) or context.tradingSignal == 'stop'):

if context.tradingSignal == 'entry':

context.quantity = context.unit

if availableCash > bar_dict[context.s].last*context.quantity:

order_shares(context.s, context.quantity)

context.firstOpenPrice = bar_dict[context.s].last

context.units_hold = 1

if context.tradingSignal == 'entry_add':

context.quantity = context.unit

order_shares(context.s, context.quantity)

context.units_hold += 1

if context.tradingSignal == 'stop':

if (context.units_hold > 0):

order_shares(context.s, -context.quantity)

context.units_hold -= 1

if context.tradingSignal == 'exit':

if curPosition > 0:

order_shares(context.s, -curPosition)

context.units_hold = 0

context.preTradingSignal = context.tradingSignal

结果：

PLUS：

1.没用到python的一些黑法术的情况下java代码190行，python代码120行。

2.java编译小猫耳朵猛抖8下，python编译小猫耳朵猛抖了13下。

回测收益回测年化收益基准收益AlphaBetaSharpe最大回撤

31.685%32.190%56.904%0.03660.45372.5366-3.720%

Created with Highstock 4.2.4缩放1月3月6月1年全部从2014-01-06到2014-12-31累计收益2014-022014-042014-062014-082014-102014-12-10.00%-5.00%0%5.00%10.00%15.00%20.00%25.00%30.00%35.00%40.00%45.00%50.00%55.00%60.00%65.00%

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