海龟交易系统

海龟交易系统也是非常经典的一种策略，我们也放出了范例代码如下，而关于海龟交易系统的介绍也可以参照 这篇帖子 。

  1. import numpy as np
  2. import talib
  3. import math
  4.  
  5.  
  6. def get_extreme(array_high_price_result, array_low_price_result):
  7.     np_array_high_price_result = np.array(array_high_price_result[:-1])
  8.     np_array_low_price_result = np.array(array_low_price_result[:-1])
  9.     max_result = np_array_high_price_result.max()
  10.     min_result = np_array_low_price_result.min()
  11.     return [max_result, min_result]
  12.  
  13.  
  14. def get_atr_and_unit( atr_array_result,  atr_length_result, portfolio_value_result):
  15.     atr =  atr_array_result[ atr_length_result-1]
  16.     unit = math.floor(portfolio_value_result * .01 / atr)
  17.     return [atr, unit]
  18.  
  19.  
  20. def get_stop_price(first_open_price_result, units_hold_result, atr_result):
  21.     stop_price = first_open_price_result - 2 * atr_result \
  22.                  + (units_hold_result - 1) * 0.5 * atr_result
  23.     return stop_price
  24.  
  25.  
  26. def init(context):
  27.     context.trade_day_num = 0
  28.     context.unit = 0
  29.     context.atr = 0
  30.     context.trading_signal = 'start'
  31.     context.pre_trading_signal = ''
  32.     context.units_hold_max = 4
  33.     context.units_hold = 0
  34.     context.quantity = 0
  35.     context.max_add = 0
  36.     context.first_open_price = 0
  37.     context.s = '000300.XSHG'
  38.     context.open_observe_time = 55
  39.     context.close_observe_time = 20
  40.     context.atr_time = 20
  41.  
  42.  
  43. def handle_bar(context, bar_dict):
  44.     portfolio_value = context.portfolio.portfolio_value
  45.     high_price = history_bars(context.s, context.open_observe_time+1, '1d', 'high')
  46.     low_price_for_atr = history_bars(context.s, context.open_observe_time+1, '1d', 'low')
  47.     low_price_for_extreme = history_bars(context.s, context.close_observe_time+1, '1d', 'low')
  48.     close_price = history_bars(context.s, context.open_observe_time+2, '1d', 'close')
  49.     close_price_for_atr = close_price[:-1]
  50.  
  51.     atr_array = talib.ATR(high_price, low_price_for_atr, close_price_for_atr, timeperiod=context.atr_time)
  52.  
  53.     maxx = get_extreme(high_price, low_price_for_extreme)[0]
  54.     minn = get_extreme(high_price, low_price_for_extreme)[1]
  55.     atr = atr_array[-2]
  56.  
  57.     if context.trading_signal != 'start':
  58.         if context.units_hold != 0:
  59.             context.max_add += 0.5 * get_atr_and_unit(atr_array, atr_array.size, portfolio_value)[0]
  60.     else:
  61.         context.max_add = bar_dict[context.s].last
  62.  
  63.     cur_position = context.portfolio.positions[context.s].quantity
  64.     available_cash = context.portfolio.cash
  65.     market_value = context.portfolio.market_value
  66.  
  67.     if (cur_position > 0 and
  68.             bar_dict[context.s].last < get_stop_price(context.first_open_price, context.units_hold, atr)):
  69.         context.trading_signal = 'stop'
  70.     else:
  71.         if cur_position > 0 and bar_dict[context.s].last < minn:
  72.             context.trading_signal = 'exit'
  73.         else:
  74.             if (bar_dict[context.s].last > context.max_add and context.units_hold != 0 and
  75.                     context.units_hold < context.units_hold_max and
  76.                     available_cash > bar_dict[context.s].last*context.unit):
  77.                 context.trading_signal = 'entry_add'
  78.             else:
  79.                 if bar_dict[context.s].last > maxx and context.units_hold == 0:
  80.                     context.max_add = bar_dict[context.s].last
  81.                     context.trading_signal = 'entry'
  82.  
  83.     atr = get_atr_and_unit(atr_array, atr_array.size, portfolio_value)[0]
  84.     if context.trade_day_num % 5 == 0:
  85.         context.unit = get_atr_and_unit(atr_array, atr_array.size, portfolio_value)[1]
  86.     context.trade_day_num += 1
  87.     context.quantity = context.unit
  88.  
  89.     if (context.trading_signal != context.pre_trading_signal or
  90.             (context.units_hold < context.units_hold_max and context.units_hold > 1) or
  91.             context.trading_signal == 'stop'):
  92.         if context.trading_signal == 'entry':
  93.             context.quantity = context.unit
  94.             if available_cash > bar_dict[context.s].last*context.quantity:
  95.                 order_shares(context.s, context.quantity)
  96.                 context.first_open_price = bar_dict[context.s].last
  97.                 context.units_hold = 1
  98.  
  99.         if context.trading_signal == 'entry_add':
  100.             context.quantity = context.unit
  101.             order_shares(context.s, context.quantity)
  102.             context.units_hold += 1
  103.  
  104.         if context.trading_signal == 'stop':
  105.             if context.units_hold > 0:
  106.                 order_shares(context.s, -context.quantity)
  107.                 context.units_hold -= 1
  108.  
  109.         if context.trading_signal == 'exit':
  110.             if cur_position > 0:
  111.                 order_shares(context.s, -cur_position)
  112.                 context.units_hold = 0
  113.  
  114.     context.pre_trading_signal = context.trading_signal