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- 日内高低点突破策略
日内高低点突破策略
Author:
Hukybo, Date: 2019-11-19 15:43:04
Tags:
Breakthrough
# 回测配置
'''backtest
start: 2015-02-22 00:00:00
end: 2019-10-17 00:00:00
period: 5m
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
'''
# 导入库
import time
# 定义全局变量：虚拟持仓、上轨、下轨
mp = on_line = under_line = 0
# 处理时间函数
def can_time(hour, minute):
hour = str(hour)
minute = str(minute)
if len(minute) == 1:
minute = "0" + minute
return int(hour + minute)
def onTick():
_C(exchange.SetContractType, "MA888") # 订阅期货品种
bar_arr = _C(exchange.GetRecords) # 获取K线数组
if len(bar_arr) < 10:
return
time_new = bar_arr[-1]['Time'] # 获取当根K线的时间戳
time_local_new = time.localtime(time_new / 1000) # 处理时间戳
hour_new = int(time.strftime("%H", time_local_new)) # 格式化时间戳，并获取小时
minute_new = int(time.strftime("%M", time_local_new)) # 格式化时间戳，并获取分钟
day_new = int(time.strftime("%d", time_local_new)) # 格式化时间戳，并获取日期
time_previous = bar_arr[-2]['Time'] # 获取上根K线的时间戳
previous = time.localtime(time_previous / 1000) # 处理时间戳
day_previous = int(time.strftime("%d", previous)) # 格式化时间戳，并获取日期
global mp, on_line, under_line # 引入全局变量
high = bar_arr[-2]['High'] # 获取上根K线的最高价
low = bar_arr[-2]['Low'] # 获取上根K线的最低价
if day_new != day_previous: # 如果是最新一根K线
on_line = high * up # 重置上轨
under_line = low * down # 重置下轨
can_trade = can_time(hour_new, minute_new)
if can_trade < 930: # 如果不是在规定交易的时间内
if high > on_line: # 如果上根K线最高价大于上轨
on_line = high * up # 重置上轨
if low < under_line: # 如果上根K线最低价小于下轨
under_line = low * down # 重置上轨
if on_line - under_line < 10: #如果上轨与下轨的差小于10
return
close_new = bar_arr[-1]['Close'] # 获取最新价格（卖价），用于开平仓
# 如果持多单，并且价格小于下轨或者非规定的交易时间
if mp > 0 and (close_new < under_line or can_trade > 1450):
exchange.SetDirection("closebuy") # 设置交易方向和类型
exchange.Sell(close_new - 1, 1) # 平多单
mp = 0 # 设置虚拟持仓的值，即空仓
# 如果持空单，并且价格大于上轨或者非规定的交易时间
if mp < 0 and (close_new > on_line or can_trade > 1450):
exchange.SetDirection("closesell") # 设置交易方向和类型
exchange.Buy(close_new, 1) # 平空单
mp = 0 # 设置虚拟持仓的值，即空仓
if mp == 0 and 930 < can_trade < 1450: # 如果当前无持仓，并且在规定的交易时间内
if close_new > on_line: # 如果价格大于上轨
exchange.SetDirection("buy") # 设置交易方向和类型
exchange.Buy(close_new, 1) # 开多单
mp = 1 # 设置虚拟持仓的值，即有多单
elif close_new < under_line: # 如果价格小于下轨
exchange.SetDirection("sell") # 设置交易方向和类型
exchange.Sell(close_new - 1, 1) # 开空单
mp = -1 # 设置虚拟持仓的值，即有空单
# 程序入口
def main():
while True:
onTick()
Sleep(1000) #休眠1秒
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