# test for my self
#bulid on 2020-08-15
import talib
instruments=["300576.SZA"]
start_date="2019-01-01"
end_date="2020-08-01"
def initialize(context):
context.set_commission(PerDollar(0.0015)) # 手续费设置
# 需要设置计算MACD的相关参数参数
context.short = 12
context.long = 26
context.smoothperiod = 9
context.observation = 100
def handle_data(context, data):
if context.trading_day_index < 100: # 在100个交易日以后才开始真正运行
return
sid = context.symbol(instruments[0])
# 获取价格数据
prices = data.history(sid, 'price', context.observation, '1d')
# 用Talib计算MACD取值，得到三个时间序列数组，分别为macd, signal 和 hist
macd, signal, hist = talib.MACD(np.array(prices), context.short,
context.long, context.smoothperiod)
# 计算现在portfolio中股票的仓位
cur_position = context.portfolio.positions[sid].amount
# 策略逻辑
# 卖出逻辑 macd下穿signal
if macd[-1] - signal[-1] < 0 and macd[-2] - signal[-2] > 0:
# 进行清仓
if cur_position > 0 and data.can_trade(sid):
context.order_target_value(sid, 0)
# 买入逻辑 macd上穿signal
if macd[-1] - signal[-1] > 0 and macd[-2] - signal[-2] < 0:
# 买入股票
if cur_position == 0 and data.can_trade(sid):
context.order_target_percent(sid, 1)
m=M.trade.v3(
instruments=instruments,
start_date=start_date,
end_date=end_date,
initialize=initialize,
handle_data=handle_data,
order_price_field_buy='open',
order_price_field_sell='open',
capital_base=float("1.0e6"),
benchmark='000300.INDX',
result:
if i select the 000651.SZA
收益率1.17%年化收益率0.77%基准收益率55.95%阿尔法-0.07贝塔0.2夏普比率-0.04胜率0.56盈亏比0.91收益波动率17.37%信息比率-0.08最大回撤14.62%
but same stagety for 300576.SZA
收益率103.37%年化收益率59.34%基准收益率55.95%阿尔法0.43贝塔0.49夏普比率1.1胜率0.5盈亏比2.82收益波动率51.92%信息比率0.03最大回撤31.93%
the stock selection is key point.