菲阿里四价策略-期货分钟_new
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策略介绍
菲阿里四价指的是：昨日高点、昨日低点、昨天收盘、今天开盘四个价格。 菲阿里四价上下轨的计算非常简单。昨日高点为上轨，昨日低点为下轨。当价格突破上轨时，买入开仓；当价格突破下轨时，卖出开仓。
策略流程
- 筛选条件：菲阿里四价上下轨的计算非常简单。昨日高点为上轨，昨日低点为下轨。当价格突破上轨时，买入开仓；当价格突破下轨时，卖出开仓。
- 策略回测：回测时间为2023-04-01 09:00:00至2023-05-01 15:15:00。
策略实现
输入特征模块
- 四价：
open, high, low, close； - 过滤条件中进行期货合约的筛选：
instrument in ('ru2309.SHF')
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数据抽取模块
- 将数据抽取出来，在这当中设置起始时间为2023-04-01 09:00:00，结束时间为2023-05-01 15:15:00。
BigTrader模块
- 在
m3”BigTrader“模块中，实现交易逻辑，依据条件进行买卖。 - K线处理函数
# 交易引擎：bar数据处理函数，每个时间单位执行一次
def bigquant_run(context, data):
import pandas as pd
from bigtrader.constant import Direction
from bigtrader.constant import OrderType
#获取当前时间
cur_date = data.current_dt.strftime('%Y-%m-%d %H:%M:%S')
now_data = context.data[context.data.date==cur_date]
if len(now_data)==0:
return
for instr in context.ins:
long_position = context.get_account_position(instr, direction=Direction.LONG).avail_qty#多头持仓
short_position = context.get_account_position(instr, direction=Direction.SHORT).avail_qty#空头持仓
in_data = now_data[now_data['instrument']==instr]
if(len(in_data)==0):
return
# 最新价格
price = in_data['close'].values[0]
high = in_data['high'].values[0]
low = in_data['low'].values[0]
if context.flag == 0:
context.today_open = in_data['open'].values[0]
# 均线
ma = in_data['ma'].values[0]
# 前一分钟均线/价格
ma_1 = in_data['ma_1'].values[0]
price_1 = in_data['close_1'].values[0]
closetime_nightshift = (datetime.strptime(context.closetime_night,'%H:%M') + timedelta(minutes = 30)).strftime('%H:%M')
# 尾盘平仓
if((cur_date>=context.closetime_day and cur_date<="15:00") or (cur_date>=context.closetime_night and cur_date<=closetime_nightshift)):
if(long_position != 0):
rv = context.sell_close(instr, long_position, price, order_type=OrderType.MARKET)
msg = "{} 尾盘平多 for {} 最新价={} 下单函数返回={}".format(cur_date,instr,str(price),str(rv))
context.write_log(msg, stdout=1) #输出关键日志
if(short_position != 0):
rv = context.buy_close(instr, short_position, price, order_type=OrderType.MARKET)
msg = "{} 尾盘平空 for {} 最新价={} 下单函数返回={}".format(cur_date,instr,str(price),str(rv))
context.write_log(msg, stdout=1) #输出关键日志
#尾盘不开新仓，直接返回
return
if long_position != 0 and price < context.today_open:
rv = context.sell_close(instr, long_position, price, order_type=OrderType.MARKET)
msg = "{} 平多 for {} 最新价={} 下单函数返回={}".format(cur_date,instr,str(price),str(rv))
context.write_log(msg, stdout=1)
elif short_position != 0 and price > context.today_open:
rv = context.buy_close(instr, short_position, price, order_type=OrderType.MARKET)
msg = "{} 平多 for {} 最新价={} 下单函数返回={}".format(cur_date,instr,str(price),str(rv))
context.write_log(msg, stdout=1)
if long_position == 0 and price < high and context.count<=1:
rv = context.buy_open(instr, context.order_num, price, order_type=OrderType.MARKET)
msg = "{} 开多 for {} 最新价={} 下单函数返回={}".format(cur_date,instr,str(price),str(rv))
context.count += 1
context.write_log(msg, stdout=1)
elif short_position == 0 and price < low and context.count<=1:
rv = context.sell_open(instr, context.order_num, price, order_type=OrderType.MARKET)
msg = "{} 开多 for {} 最新价={} 下单函数返回={}".format(cur_date,instr,str(price),str(rv))
context.count += 1
context.write_log(msg, stdout=1)
策略源码
https://bigquant.com/codesharev2/d2fb8c9d-40d7-4e40-8998-76dd54773013
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