介绍参考:
国内4种常用日内CTA策略介绍及实现:https://blog.csdn.net/u011331731/article/details/88326872
要点:
日High的最高价HH, N日Close的最低价LC
N日Close的最高价HC，N日Low的最低价LL
Range = Max(HH-LC,HC-LL)
BuyLine = Open + K1*Range
SellLine = Open - K2*Range
当价格向上突破上轨时，如果当时持有空仓，则先平仓，再开多仓；如果没有仓位，则直接开多仓；
当价格向下突破下轨时，如果当时持有多仓，则先平仓，再开空仓；如果没有仓位，则直接开空仓；
当K1时，多头相对容易被触发,当K1>K2时，空头相对容易被触发。因此，投资者在使用该策略时，一方面可以参考历史数据测试的最优参数，另一方面，则可以根据自己对后势的判断，或从其他大周期的技术指标入手，阶段性地动态调整K1和K2的值。
代码:
import talibfrom rqalpha.api import *import numpyimport pandas as pdfrom pandas import Seriesfrom rqalpha import run_funcfrom rqalpha.api import industry, update_universe, order_target_valuefrom rqalpha.utils import schedulerimport numpy as npimport pandas as pdimport loggingimport warningsfrom math import ceilimport numpy as npimport pandas as pdimport matplotlib.pyplot as pltfrom rqalpha.api import *import scipy.optimize as scoimport seaborn as snsimport talibfrom sklearn.metrics import mean_squared_errorfrom sklearn.model_selection import TimeSeriesSplitfrom sklearn.preprocessing import StandardScaler# 在这个方法中编写任何的初始化逻辑。context对象将会在你的算法策略的任何方法之间做传递。def init(context): context.future_id = "IH88" context.max_length = 10 subscribe(context.future_id) context.fired = False context.k1 = 0.5 context.k2 = 0.5 context.qty = 5# before_day_trading此函数会在每天日盘交易开始前被调用，当天只会被调用一次def before_day_trading(context): pass# 你选择的期货数据更新将会触发此段逻辑，例如日线或分钟线更新def handle_bar(context, bar_dict): if context.now.strftime('%H:%M') < '14:59': hist_close = history_bars(context.future_id, context.max_length, '1d', 'close') hist_high = history_bars(context.future_id, context.max_length, '1d', 'high') hist_low = history_bars(context.future_id, context.max_length, '1d', 'low') price_open = history_bars(context.future_id, 1, '1d', 'open')[0] range = max(max(hist_high) - min(hist_close), max(hist_close) - min(hist_low)) up = price_open + context.k1 * range down = price_open - context.k2 * range price_now = bar_dict[context.future_id].close if price_now > up: sell_qty = context.portfolio.positions[context.future_id].sell_quantity if sell_qty > 0: buy_close(context.future_id, sell_qty) buy_open(context.future_id, context.qty) if price_now < down: buy_qty = context.portfolio.positions[context.future_id].buy_quantity if buy_qty > 0: sell_close(context.future_id, buy_qty) sell_open(context.future_id, context.qty) else: buy_qty = context.portfolio.positions[context.future_id].buy_quantity sell_qty = context.portfolio.positions[context.future_id].sell_quantity if buy_qty > 0: sell_close(context.future_id, buy_qty) if sell_qty > 0: buy_close(context.future_id, sell_qty)# before_night_trading此函数会在每天夜盘交易开始前被调用，当天只会被调用一次def before_night_trading(context): pass这是个裸策略,未做任何优化,结果也不佳,也在意料之中的.
经典策略还是得依靠调优等方式改造后才能使用,要是拿来就用那历史上就出来无数的大富翁了.
参考:
https://www.ricequant.com/community/topic/2473
https://www.ricequant.com/community/topic/1726
https://www.ricequant.com/community/topic/4920
https://www.ricequant.com/community/topic/2411
https://www.ricequant.com/community/topic/4971
https://www.ricequant.com/community/topic/4830
https://www.ricequant.com/community/topic/36847
https://uqer.io/v3/community/share/586f319989e3ba0047efdc09
https://uqer.io/v3/community/share/587b860323a7d6004ba35de5
https://uqer.io/v3/community/share/57cff947228e5b049cfb8572