> 策略名称

Python版商品期货跨期布林对冲策略

> 策略作者

Hukybo

> 策略描述

参考文章：https://www.fmz.com/bbs-topic/5726

> 策略参数

|参数|默认值|描述|

|----|----|----|

|SA|rb2010|合约A|

|SB|rb2101|合约B|

|OpAmount|true|开仓手数|

|CoverAll|false|启动时平掉所有仓位|

|MAPeriod|20|布林周期参数|

|ATRRatio|2|布林乘数参数|

> 源码 (python)

``` python

'''backtest

start: 2020-02-17 09:00:00

end: 2020-06-12 15:00:00

period: 1d

basePeriod: 1m

exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]

args: [["ATRRatio",3]]

'''

class Hedge:

def __init__(self, q, e, initAccount, symbolA, symbolB, maPeriod, atrRatio, opAmount):

self.q = q

self.initAccount = initAccount

self.status = 0

self.symbolA = symbolA

self.symbolB = symbolB

self.e = e

self.isBusy = False

self.maPeriod = maPeriod

self.atrRatio = atrRatio

self.opAmount = opAmount

def poll(self):

if (self.isBusy or not exchange.IO("status")) or not ext.IsTrading(self.symbolA):

Sleep(1000)

return

exchange.SetContractType(self.symbolA)

recordsA = exchange.GetRecords()

exchange.SetContractType(self.symbolB)

recordsB = exchange.GetRecords()

if not recordsA or not recordsB:

return

if recordsA[-1]["Time"] != recordsB[-1]["Time"]:

return

minL, rA, rB = min(len(recordsA), len(recordsB)), recordsA.copy(), recordsB.copy()

rA.reverse()

rB.reverse()

arrDiff = []

for i in range(minL):

arrDiff.append(rB[i]["Close"] - rA[i]["Close"])

arrDiff.reverse()

if len(arrDiff) < self.maPeriod:

return

boll = TA.BOLL(arrDiff, self.maPeriod, self.atrRatio)

ext.PlotLine("上轨", boll[0][-2], recordsA[-2]["Time"])

ext.PlotLine("中轨", boll[1][-2], recordsA[-2]["Time"])

ext.PlotLine("下轨", boll[2][-2], recordsA[-2]["Time"])

ext.PlotLine("收盘价差价", arrDiff[-2], recordsA[-2]["Time"])

LogStatus(f"{_D()}\n上轨：{boll[0][-1]}\n中轨：{boll[1][-1]}\n下轨：{boll[2][-1]}\n当前收盘差价：{arrDiff[-1]}")

action = 0

if self.status == 0:

if arrDiff[-1] > boll[0][-1]:

Log("开仓 A买B卖", "，A最新价格：", recordsA[-1]["Close"], "，B最新价格：", recordsB[-1]["Close"], "#FF0000")

action = 2

elif arrDiff[-1] < boll[2][-1]:

Log("开仓 A卖B买", "，A最新价格：", recordsA[-1]["Close"], "，B最新价格：", recordsB[-1]["Close"], "#FF0000")

action = 1

elif self.status == 1 and arrDiff[-1] > boll[1][-1]:

Log("平仓 A买B卖", "，A最新价格：", recordsA[-1]["Close"], "，B最新价格：", recordsB[-1]["Close"], "#FF0000")

action = 2

elif self.status == 2 and arrDiff[-1] < boll[1][-1]:

Log("平仓 A卖B买", "，A最新价格：", recordsA[-1]["Close"], "，B最新价格：", recordsB[-1]["Close"], "#FF0000")

action = 1

if action == 0:

return

self.isBusy = True

tasks = []

if action == 1:

tasks.append([self.symbolA, "sell" if self.status == 0 else "closebuy"])

tasks.append([self.symbolB, "buy" if self.status == 0 else "closesell"])

elif action == 2:

tasks.append([self.symbolA, "buy" if self.status == 0 else "closesell"])

tasks.append([self.symbolB, "sell" if self.status == 0 else "closebuy"])

def callBack(task, ret):

def callBack(task, ret):

self.isBusy = False

if task["action"] == "sell":

self.status = 2

elif task["action"] == "buy":

self.status = 1

else:

self.status = 0

account = _C(exchange.GetAccount)

LogProfit(account["Balance"] - self.initAccount["Balance"], account)

self.q.pushTask(self.e, tasks[1][0], tasks[1][1], self.opAmount, callBack)

self.q.pushTask(self.e, tasks[0][0], tasks[0][1], self.opAmount, callBack)

def main():

while not exchange.IO("status"):

Sleep(1000)

initAccount = _C(exchange.GetAccount)

q = ext.NewTaskQueue()

p = ext.NewPositionManager()

if CoverAll:

p.CoverAll()

t = Hedge(q, exchange, initAccount, SA, SB, MAPeriod, ATRRatio, OpAmount)

while True:

q.poll()

t.poll()

```

> 策略出处

https://www.fmz.com/strategy/231803

> 更新时间

2020-10-21 16:35:32

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