KDJ策略（1）超买超卖¶

import numpy as np
import pandas as pd
from pandas import DataFrame
import talib as ta

# 选取腾讯控股
instruments = ['0700.HKEX']  
# 开始时间
start_date = '2011-11-08'  
# 结束时间
end_date = '2017-11-08'
# 策略比较参考标准，恒生指数
benchmark = 'HSI.HKEX'

# 初始化账户
def initialize(context):
    context.set_commission(PerOrder(buy_cost=0.0003, sell_cost=0.0013, min_cost=5)) # 设置手续费，买入成本为万分之三，卖出为千分之1.3


def handle_data(context, data):
    k = instruments[0] # 标的为字符串格式
    sid = context.symbol(k) # 将标的转化为equity格式
    price = data.current(sid, 'price') # 最新价格
    cash = context.portfolio.cash  # 现金
    cur_position = context.portfolio.positions[sid].amount # 持仓
    curr= data.current(sid,'price')
    indicators={}      #指标
    hp=data.history(sid, 'high', 50, '1d')
    lp=data.history(sid, 'low', 50, '1d')
    cp=data.history(sid, 'close', 50, '1d')
    indicators['k'],indicators['d']=ta.STOCH(np.array(hp,dtype='f8'),np.array(lp,dtype='f8'),np.array(cp,dtype='f8'),fastk_period=9,slowk_period=3,slowk_matype=0,slowd_period=3,slowd_matype=0)
    indicators['j']=np.array(indicators['k'])*3-np.array(indicators['d'])*2
    indicators['closePrice']=cp
    indicators=pd.DataFrame(indicators)#将字典形式转化为dataframe格式
    # 交易逻辑
    if indicators.iloc[-1]['k'] > 80 and indicators.iloc[-1]['d'] > 80:
        if indicators.iloc[-1]['j'] > 100 and cur_position >= 0:
            context.order_target_percent(sid, 0)
    elif indicators.iloc[-1]['k'] < 20 and indicators.iloc[-1]['d'] < 20:
        if indicators.iloc[-1]['j'] < 0 and cash >= 0:
            number = (int((cash / curr) / 100)) * 100
            if number > 0:
                context.order_target_percent(sid, number)   

m=M.trade.v3(
    instruments=instruments,
    start_date=start_date,
    end_date=end_date,
    initialize=initialize,
    handle_data=handle_data,
    order_price_field_buy='open', # 以开盘价买入
    order_price_field_sell='open', # 以开盘价卖出
    capital_base=1000000, # 本金
    benchmark=benchmark,
    )