克隆策略

双均线模板策略

版本 v1.0

目录

策略交易规则

策略构建步骤

正文

一、双均线模板策略的交易规则

金叉死叉策略其实就是双均线策略。策略思想是：当短期均线上穿长期均线时，形成金叉，此时买入股票。当短期均线下穿长期均线时，形成死叉，此时卖出股票。研究表明，双均线系统虽然简单，但只要严格执行，也能长期盈利。

二、策略构建步骤

1、确定股票池和回测时间

通过证券代码列表输入要回测的两只股票，以及回测的起止日期。

2、确定买卖原则

当短期均线上穿长期均线时，形成金叉，此时买入股票。当短期均线下穿长期均线时，形成死叉，此时卖出股票。

3、模拟回测

通过 trade 模块中的初始化函数定义交易手续费。 通过 trade 模块中的主函数(handle函数)形成金叉买入股票；形成死叉卖出股票。并打印交易日志。

4、标的

广发纳指100ETF：159941.ZOF

华夏新汽车ETF：515030.HOF

5、仓位

等权重，单个基金50%

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    In [136]:
    # 本代码由可视化策略环境自动生成 2021年11月26日 10:46
# 本代码单元只能在可视化模式下编辑。您也可以拷贝代码，粘贴到新建的代码单元或者策略，然后修改。


# 回测引擎：初始化函数，只执行一次
def m2_initialize_bigquant_run(context):
    # 系统已经设置了默认的交易手续费和滑点，要修改手续费可使用如下函数
    context.set_commission(PerOrder(buy_cost=0.0003, sell_cost=0.0013, min_cost=5))
# 回测引擎：每日数据处理函数，每天执行一次
def m2_handle_data_bigquant_run(context, data):
    # 按日期过滤得到今日的预测数据
    
    for sid in context.instruments:
        # 标的为字符串格式
        sid = context.symbol(sid)# 标的为字符串格
        price = data.current(sid, 'price') # 最新价格
        short_mavg = data.history(sid, 'price', 3, '1d').mean() # 短期均线
        long_mavg = data.history(sid, 'price', 30, '1d').mean() # 长期均线
        cur_position =  context.portfolio.positions[sid].amount # 持仓数量 
        weight = 1 / len(context.instruments) # 等权重

        #交易逻辑
        # 如果短期均线大于长期均线形成金叉，并且没有持仓，并且该股票可以交易
        if short_mavg > long_mavg and cur_position == 0 and data.can_trade(sid):  
            context.order_target_percent(sid, weight) # 买入
            print('{}全仓买入{}股票'.format(data.current_dt.strftime('%Y-%m-%d'),sid.symbol))
        # 如果短期均线小于长期均线形成死叉，并且有持仓，并且该股票可以交易
        elif short_mavg < long_mavg and cur_position > 0 and data.can_trade(sid):  
            context.order_target_percent(sid, 0) # 全部卖出
            print('{}卖出{}股票'.format(data.current_dt.strftime('%Y-%m-%d'),sid.symbol))
        
        

# 回测引擎：准备数据，只执行一次
def m2_prepare_bigquant_run(context):
    pass

# 回测引擎：每个单位时间开始前调用一次，即每日开盘前调用一次。
def m2_before_trading_start_bigquant_run(context, data):
    pass


m7 = M.instruments.v2(
    start_date='2017-01-20',
    end_date='2021-09-01',
    market='CN_FUND',
    instrument_list="""159941.ZOF
515030.HOF""",
    max_count=0
)

m2 = M.trade.v4(
    instruments=m7.data,
    start_date='',
    end_date='',
    initialize=m2_initialize_bigquant_run,
    handle_data=m2_handle_data_bigquant_run,
    prepare=m2_prepare_bigquant_run,
    before_trading_start=m2_before_trading_start_bigquant_run,
    volume_limit=0,
    order_price_field_buy='open',
    order_price_field_sell='open',
    capital_base=1000000,
    auto_cancel_non_tradable_orders=True,
    data_frequency='daily',
    price_type='真实价格',
    product_type='股票',
    plot_charts=True,
    backtest_only=False,
    benchmark=''
)
    • 收益率115.55%
    • 年化收益率18.79%
    • 基准收益率46.26%
    • 阿尔法0.14
    • 贝塔0.3
    • 夏普比率1.02
    • 胜率0.45
    • 盈亏比4.96
    • 收益波动率15.13%
    • 信息比率0.03
    • 最大回撤13.97%
    bigcharts-data-start/{"__type":"tabs","__id":"bigchart-d65a71679438405babf0559e49baeeed"}/bigcharts-data-end