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.htmla
m = .trade.v3(
    instaruments=['UR2009.SHF']
    start_date='2019-09-01'
    end_date='2020-08-01'
    initialize=initialize
    handle_data=handle_data
    #买入定单以开盘价成交
    order_price_field_buy='open'
    #卖出订单以开盘价成交
    order_price_field_sell='open'
    capital_base=1000000
    benchmark='UR2009.SHF'
    m_deps=np.random.rand()
)