> 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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