国内期货量化之天勤量化tqsdk-Doublema 双均线策略

Doublema 双均线策略#!/usr/bin/env python#-*- coding: utf-8 -*-__author__ = 'limin'vx=1985159637'''双均线策略注: 该示例策略仅用于功能示范, 实盘时请根据自己的策略/经验进行修改'''from tqsdk import TqApi, TqAuth, TargetPosTaskfrom tqsdk.tafunc

weixin_1985159637

1467人浏览 · 2021-12-01 22:22:17

weixin_1985159637 · 2021-12-01 22:22:17 发布

Doublema 双均线策略

#!/usr/bin/env python
#  -*- coding: utf-8 -*-
__author__ = 'limin'
vx=1985159637

'''
双均线策略
注: 该示例策略仅用于功能示范, 实盘时请根据自己的策略/经验进行修改
'''
from tqsdk import TqApi, TqAuth, TargetPosTask
from tqsdk.tafunc import ma

SHORT = 30  # 短周期
LONG = 60  # 长周期
SYMBOL = "SHFE.bu2012"  # 合约代码

api = TqApi(auth=TqAuth("信易账户", "账户密码"))
print("策略开始运行")

data_length = LONG + 2  # k线数据长度
# "duration_seconds=60"为一分钟线, 日线的duration_seconds参数为: 24*60*60
klines = api.get_kline_serial(SYMBOL, duration_seconds=60, data_length=data_length)
target_pos = TargetPosTask(api, SYMBOL)

while True:
    api.wait_update()

    if api.is_changing(klines.iloc[-1], "datetime"):  # 产生新k线:重新计算SMA
        short_avg = ma(klines["close"], SHORT)  # 短周期
        long_avg = ma(klines["close"], LONG)  # 长周期

        # 均线下穿，做空
        if long_avg.iloc[-2] < short_avg.iloc[-2] and long_avg.iloc[-1] > short_avg.iloc[-1]:
            target_pos.set_target_volume(-3)
            print("均线下穿，做空")

        # 均线上穿，做多
        if short_avg.iloc[-2] < long_avg.iloc[-2] and short_avg.iloc[-1] > long_avg.iloc[-1]:
            target_pos.set_target_volume(3)
            print("均线上穿，做多")