本策略根据计算滚动的.过去的30个1min的bar的均值正负2个标准差得到布林线，并在最新价差上穿上轨来做空价差,下穿下轨来做多价差，并在回归至上下轨水平内的时候平仓
回测数据为:SHFE.rb1801和SHFE.hc1801的1min数据
回测时间为:2017-09-01 08:00:00到2017-10-01 16:00:00
- coding=utf-8
- from __future__ import print_function, absolute_import, unicode_literals
- from gm.api import *
- import numpy as np
- def init(context):
- # 进行套利的品种
- context.goods = ['SHFE.rb1801', 'SHFE.hc1801']
- # 订阅行情
- subscribe(symbols=context.goods, frequency='60s', count=31, wait_group=True)
- def on_bar(context, bars):
- # 获取两个品种的时间序列
- data_rb = context.data(symbol=context.goods[0], frequency='60s', count=31, fields='close')
- close_rb = data_rb.values
- data_hc = context.data(symbol=context.goods[1], frequency='60s', count=31, fields='close')
- close_hc = data_hc.values
- # 计算价差
- spread = close_rb[:-1] - close_hc[:-1]
- # 计算布林带的上下轨
- up = np.mean(spread) + 2 * np.std(spread)
- down = np.mean(spread) - 2 * np.std(spread)
- # 计算最新价差
- spread_now = close_rb[-1] - close_hc[-1]
- # 无交易时若价差上(下)穿布林带上(下)轨则做空(多)价差
- position_rb_long = context.account().position(symbol=context.goods[0], side=PositionSide_Long)
- position_rb_short = context.account().position(symbol=context.goods[0], side=PositionSide_Short)
- if not position_rb_long and not position_rb_short:
- if spread_now > up:
- order_target_volume(symbol=context.goods[0], volume=1, order_type=OrderType_Market,
- position_side=PositionSide_Short)
- print(context.goods[0], '以市价单开空仓一手')
- order_target_volume(symbol=context.goods[1], volume=1, order_type=OrderType_Market,
- position_side=PositionSide_Long)
- print(context.goods[1], '以市价单开多仓一手')
- if spread_now < down:
- order_target_volume(symbol=context.goods[0], volume=1, order_type=OrderType_Market,
- position_side=PositionSide_Long)
- print(context.goods[0], '以市价单开多仓一手')
- order_target_volume(symbol=context.goods[1], volume=1, order_type=OrderType_Market,
- position_side=PositionSide_Short)
- print(context.goods[1], '以市价单开空仓一手')
- # 价差回归时平仓
- elif position_rb_short:
- if spread_now <= up:
- order_close_all()
- print('价格回归,平所有仓位')
- # 跌破下轨反向开仓
- if spread_now < down:
- order_target_volume(symbol=context.goods[0], volume=1, order_type=OrderType_Market,
- position_side=PositionSide_Long)
- print(context.goods[0], '以市价单开多仓一手')
- order_target_volume(symbol=context.goods[1], volume=1, order_type=OrderType_Market,
- position_side=PositionSide_Short)
- print(context.goods[1], '以市价单开空仓一手')
- elif position_rb_long:
- if spread_now >= down:
- order_close_all()
- print('价格回归,平所有仓位')
- # 涨破上轨反向开仓
- if spread_now > up:
- order_target_volume(symbol=context.goods[0], volume=1, order_type=OrderType_Market,
- position_side=PositionSide_Short)
- print(context.goods[0], '以市价单开空仓一手')
- order_target_volume(symbol=context.goods[1], volume=1, order_type=OrderType_Market,
- position_side=PositionSide_Long)
- print(context.goods[1], '以市价单开多仓一手')
- 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_id',
- backtest_start_time='2017-09-01 08:00:00',
- backtest_end_time='2017-10-01 16:00:00',
- backtest_adjust=ADJUST_PREV,
- backtest_initial_cash=500000,
- backtest_commission_ratio=0.0001,
- backtest_slippage_ratio=0.0001)
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