策略编写求助区-请各大神帮忙把这个策略改为金字塔代码金字塔客服中心 - 专业程序化交易软件提供商

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-  金字塔客服中心 - 专业程序化交易软件提供商  (http://weistock.com/bbs/index.asp)
--  策略编写求助区  (http://weistock.com/bbs/list.asp?boardid=11)
----  请各大神帮忙把这个策略改为金字塔代码  (http://weistock.com/bbs/dispbbs.asp?boardid=11&id=161482)

--  作者：lyt369
--  发布时间：2018/2/5 13:03:07
--  请各大神帮忙把这个策略改为金字塔代码

请各大神帮忙把这个策略改为金字塔代码
套利策略:https://uqer.io/community/share/5833aa0f228e5ba297a91aeb
由于帖子内容长度不能大于116240,您已经输入了148410个字----所以分两段
universe = [\'RBM0\', \'IM0\', \'JM0\'] # 策略期货合约
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start = \'2013-11-01\' # 回测开始时间
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end = \'2016-11-18\' # 回测结束时间
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capital_base = 300000 # 初试可用资金
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refresh_rate = 1 # 调仓周期
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freq = \'d\' # 调仓频率：m-> 分钟；d-> 日
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diff = []
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def initialize(futures_account): # 初始化虚拟期货账户，一般用于设置计数器，回测辅助变量等。
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futures_account.symbol0 = \'RB1405\'
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futures_account.symbol1 = \'I1405\'
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futures_account.symbol2 = \'J1405\'
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pass
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?
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def handle_data(futures_account): # 回测调仓逻辑，每个调仓周期运行一次，可在此函数内实现信号生产，生成调仓指令。
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long_position_0 = futures_account.position.get(futures_account.symbol0, dict()).get(\'long_position\', 0)
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short_position_0 = futures_account.position.get(futures_account.symbol0, dict()).get(\'short_position\', 0)
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?
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long_position_1 = futures_account.position.get(futures_account.symbol1, dict()).get(\'long_position\', 0)
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short_position_1 = futures_account.position.get(futures_account.symbol1, dict()).get(\'short_position\', 0)
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?
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long_position_2 = futures_account.position.get(futures_account.symbol2, dict()).get(\'long_position\', 0)
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short_position_2 = futures_account.position.get(futures_account.symbol2, dict()).get(\'short_position\', 0)
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if get_symbol(universe[0]) != futures_account.symbol0 or get_symbol(universe[1]) != futures_account.symbol1 or get_symbol(universe[2]) != futures_account.symbol2:
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if long_position_0 != 0:
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print futures_account.current_date, \'主力更换，平仓\'
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order(futures_account.symbol0, -long_position_0, \'close\')
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order(futures_account.symbol1, short_position_1, \'close\')
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order(futures_account.symbol2, short_position_2, \'close\')
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?
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if short_position_0 != 0:
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print futures_account.current_date, \'主力更换，平仓\'
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order(futures_account.symbol0, short_position_0, \'close\')
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order(futures_account.symbol1, -long_position_1, \'close\')
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order(futures_account.symbol2, -long_position_2, \'close\')
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futures_account.symbol0 = get_symbol(universe[0])
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futures_account.symbol1 = get_symbol(universe[1])
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futures_account.symbol2 = get_symbol(universe[2])
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--  作者：lyt369
--  发布时间：2018/2/5 13:04:32
--  笫二段

笫二段

else:
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futures_account.symbol0 = get_symbol(universe[0])
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futures_account.symbol1 = get_symbol(universe[1])
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futures_account.symbol2 = get_symbol(universe[2])
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?
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close_hist0 = get_symbol_history(symbol=futures_account.symbol0, field=[\'closePrice\'], time_range=1)
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close_hist1 = get_symbol_history(symbol=futures_account.symbol1, field=[\'closePrice\'], time_range=1)
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close_hist2 = get_symbol_history(symbol=futures_account.symbol2, field=[\'closePrice\'], time_range=1)
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?
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close0 = np.array(close_hist0[futures_account.symbol0][\'closePrice\'])[-1]
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close1 = np.array(close_hist1[futures_account.symbol1][\'closePrice\'])[-1]
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close2 = np.array(close_hist2[futures_account.symbol2][\'closePrice\'])[-1]
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?
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if short_position_0 == 0 and close0 - 1.6 * close1 - 0.5 * close2 - 1100 > 300:
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print futures_account.current_date, \'做空螺纹\'
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print close0 - 1.6 * close1 - 0.5 * close2 - 1100
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order(futures_account.symbol0, -20, \'open\')
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order(futures_account.symbol1, 3, \'open\')
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order(futures_account.symbol2, 1, \'open\')
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if long_position_0 == 0 and close0 - 1.6 * close1 - 0.5 * close2 - 1100 < -250:
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print futures_account.current_date, \'做多螺纹\'
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print close0 - 1.6 * close1 - 0.5 * close2 - 1100
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order(futures_account.symbol0, 20, \'open\')
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order(futures_account.symbol1, -3, \'open\')
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order(futures_account.symbol2, -1, \'open\')
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# 平仓
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if close0 - 1.6 * close1 - 0.5 * close2 - 1100 < 100:
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if short_position_0 != 0:
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print futures_account.current_date, \'平仓\'
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print close0 - 1.6 * close1 - 0.5 * close2 - 1100
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order(futures_account.symbol0, short_position_0, \'close\')
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if long_position_1 != 0:
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order(futures_account.symbol1, -long_position_1, \'close\')
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if long_position_2 != 0:
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order(futures_account.symbol2, -long_position_2, \'close\')
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if close0 - 1.6 * close1 - 0.5 * close2 - 1100 > 100:
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if long_position_0 != 0:
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print futures_account.current_date, \'平仓\'
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print close0 - 1.6 * close1 - 0.5 * close2 - 1100
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order(futures_account.symbol0, short_position_0, \'close\')
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if short_position_1 != 0:
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order(futures_account.symbol1, -long_position_1, \'close\')
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if short_position_2 != 0:
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order(futures_account.symbol2, -long_position_2, \'close\')

--  作者：fly
--  发布时间：2018/5/31 16:01:28
--
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[此贴子已经被作者于2018/5/31 16:03:25编辑过]