import talib
import numpy as np
def initialize(context):
    # 设置是否是结算模式
    context.set_need_settle(False)
    # 设置最大杠杆
    context.set_max_leverage(1,'fill_amap')
    # 设置参数
    context.window = 20
def handle_data(context, data):
    
    if context.trading_day_index < context.window : # 在形成均线后才开始交易
        return
    
    today = data.current_dt.strftime('%Y-%m-%d') # 当前交易日期

    instrument = context.future_symbol(context.instruments[0]) # 交易标的
    curr_po = context.portfolio.positions[instrument] # 组合持仓
    curr_position = curr_po.amount # 持仓数量
    price = data.current(instrument, 'price') # 当前价格
    
    # 计算20天内最高价、最低价
    high_price = data.history(instrument, 'price', context.window, '1d').max()
    low_price = data.history(instrument, 'price', context.window, '1d').min()
    # 交易逻辑
    if price >= high_price and data.can_trade(instrument):
        context.order_target(instrument, 20) # 买入开仓
        print(today, curr_position, '买入开仓')
    elif price <= low_price and data.can_trade(instrument):
        context.order_target(instrument, -20) # 卖出开仓
        print(today, curr_position, '卖出开仓')
#启动回测
#策略回测接口: https://bigquant.com/docs/module_trade.html
m = M.trade.v3(
    instruments= ['RU1809.SHF'],
    start_date='2017-11-01',
    end_date='2018-06-01',
    initialize=initialize,
    handle_data=handle_data,
    # 买入订单以开盘价成交
    order_price_field_buy='open',
    # 卖出订单以开盘价成交
    order_price_field_sell='open',
    capital_base=1000000,
    benchmark='RU1809.SHF',
    m_deps=np.random.rand()
)