跨期套利(期货)Python策略源码模板【东方财富Python量化】
[code]# coding=utf-8
from __future__ import print_function, absolute_import, unicode_literals
import numpy as np
from gm.api import *
'''
通过计算两个真实价格序列回归残差的0.9个标准差上下轨,并在价差突破上轨的时候做空价差,价差突破下轨的时候做多价差
并在回归至标准差水平内的时候平仓
回测数据为:DCE.m1801和DCE.m1805的1min数据
回测时间为:2017-09-25 08:00:00到2017-10-01 15:00:00
'''
def init(context):
context.goods = ['DCE.m1801', 'DCE.m1805']
# 订阅品种数据
subscribe(symbols=context.goods, frequency='1d', count=31, wait_group=True)
def on_bar(context, bars):
# 获取历史数据
close_1801 = context.data(symbol=context.goods[0], frequency='1d', count=31, fields='close')['close'].values
close_1805 = context.data(symbol=context.goods[1], frequency='1d', count=31, fields='close')['close'].values
# 计算上下轨
spread = close_1801[:-2] - close_1805[:-2]
spread_new = close_1801[-1] - close_1805[-1]
up = np.mean(spread) + 0.75 * np.std(spread)
down = np.mean(spread) - 0.75 * np.std(spread)
up_stop = np.mean(spread) + 2 * np.std(spread)
down_stop = np.mean(spread) - 2 * np.std(spread)
# 获取仓位
position1801_long = context.account().position(symbol = context.goods[0],side =PositionSide_Long)
position1801_short = context.account().position(symbol = context.goods[0],side =PositionSide_Short)
# 没有仓位时
if not position1801_short and not position1801_long:
# 上穿上轨时，买近卖远
if spread_new > up:
order_volume(symbol=context.goods[0], volume=1, order_type=OrderType_Market, side=OrderSide_Buy, position_effect=PositionEffect_Open)
order_volume(symbol=context.goods[1], volume=1, order_type=OrderType_Market, side=OrderSide_Sell, position_effect=PositionEffect_Open)
print('上穿上轨，买近卖远')
# 下穿下轨时，卖近买远
if spread_new < down:
order_volume(symbol=context.goods[0], volume=1, order_type=OrderType_Market, side=OrderSide_Sell, position_effect=PositionEffect_Open)
order_volume(symbol=context.goods[1], volume=1, order_type=OrderType_Market, side=OrderSide_Buy, position_effect=PositionEffect_Open)
print('下穿下轨，卖近买远')
# 价差回归到上轨时，平仓
if position1801_long:
if spread_new <= np.mean(spread):
order_close_all()
print('价差回归，平仓')
if spread_new > up_stop:
order_close_all()
print('达到止损点，全部平仓')
# 价差回归到下轨时，平仓
if position1801_short:
if spread_new >= np.mean(spread):
order_close_all()
print('价差回归，平全部仓')
if spread_new < down_stop:
order_close_all()
print('达到止损点，全部平仓')
if __name__ == '__main__':
'''
strategy_id策略ID,由系统生成
filename文件名,请与本文件名保持一致
mode实时模式:MODE_LIVE回测模式:MODE_BACKTEST
token绑定计算机的ID,可在系统设置-密钥管理中生成
backtest_start_time回测开始时间
backtest_end_time回测结束时间
backtest_adjust股票复权方式不复权:ADJUST_NONE前复权:ADJUST_PREV后复权:ADJUST_POST
backtest_initial_cash回测初始资金
backtest_commission_ratio回测佣金比例
backtest_slippage_ratio回测滑点比例
'''
run(strategy_id='strategy_id',
filename='main.py',
mode=MODE_BACKTEST,
token='{{token}}',
backtest_start_time='2017-07-01 08:00:00',
backtest_end_time='2017-12-31 16:00:00',
backtest_adjust=ADJUST_PREV,
backtest_initial_cash=2000000,
backtest_commission_ratio=0.0001,
backtest_slippage_ratio=0.0001)
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