海龟交易法示例

回测时间选：2022-9-1至2023-9-1

def initialize(context):
    # 初始化策略
    
    g.security = "601858.SS"
    
    #设定每次开仓使用资金的比率
    g.capital_usage_ratio=0.98
    
    g.position=0
    
    set_universe(g.security)
    #设定手续费
    set_commission(commission_ratio=0.0003, min_commission=5.0, type="STOCK")
    #设定滑点
    set_slippage(slippage=0.002)
    
    
def handle_data(context, data):
    
    g.cash=context.portfolio.cash
    
    # log.info ("handle_data 运行了!")
    
    n1=15
    n2=5

    df=get_history(100, '1d', ['open','high','low','close'], g.security, fq=None, include=True)
    
    current_bar=df.iloc[-1]
    
    df=df[:-1]
    
    df["DonHi_n1"]=0
    df["DonLo_n1"]=0
    df["DonHi_n2"]=0
    df["DonLo_n2"]=0    
    
    for i in range(len(df)):
        df["DonHi_n1"]=df.high.rolling(n1).max()
        df["DonLo_n1"]=df.low.rolling(n1).min()
        df["DonHi_n2"]=df.high.rolling(n2).max()
        df["DonLo_n2"]=df.low.rolling(n2).min()
    
    df.dropna(inplace=True)
    
    
    # print (df.head(5))
    # print (df.tail(5))
    
    # print ("*"*50) 
    
    # print (current_bar)
    
    
    if g.position==0:
    
        if current_bar.high>=df["DonHi_n2"][-1]: 
            target_value=g.cash*g.capital_usage_ratio
            order_value(g.security, round(target_value,0))
            log.info("开仓",g.security,"目标金额：",target_value)
            g.position=1 
        
    if g.position==1:
    
        if current_bar.low<=df["DonLo_n1"][-1]: 
            order_target(g.security, 0)
            
            log.info("关仓",g.security,)
            g.position=0

回测结果