主题：海龟系统

二楼，再给出一个python版本的。不过建议理解思路的话看一楼pel的，python版本可以了解下写法上的异同

# 本Python代码主要用于策略交易
# 可以自己import我们平台支持的第三方python模块，比如pandas、numpy等。
from PythonApi import *
import numpy as np
import talib
import math

#  在这个方法中编写任何的初始化逻辑。context对象将会在你的算法策略的任何方法之间做传递。--(必须实现)
def init(context):
    #入场周期
    context.X = 20
    #出场周期
    context.Y = 10
    #记录建仓的atr
    context.entry = 0
    #记录交易次数
    context.num = 0
    #交易标的
    context.s = context.run_info.base_book_id
    #记录上次开仓价
    context.enterprice = 0

# 你选择的品种的数据更新将会触发此段逻辑，例如日或分钟历史数据切片或者是实时数据切片更新。--(必须实现)
def handle_bar(context):
    close = history_bars(context.s,context.X+2,'self','close',include_now=True)
    high = history_bars(context.s,context.X+2,'self','high',include_now=True) 
    low = history_bars(context.s,context.X+2,'self','low',include_now=True)  
    if len(close) == context.X+2:
        #atr的计算参考这个帖子http://www.weistock.com/bbs/dispbbs.asp?boardid=10&Id=173300
        tr = talib.TRANGE(high,low,close)
        atr = talib.SMA(tr[1:],context.X)
        unit = int((get_account(6)*0.01) / (atr[-2] * get_dynainf(context.s,209)))
        #X天的高低点（不包含当天）
        X周期高点 = high[:-1].max()
        X周期低点 = low[:-1].min()
       
        #建立头寸,根据唐奇安通道创新高入场,关键点就是利用波动atr计算仓位数量,portfolio用来进行仓位的控制
        portfolio=get_portfolio (context.s, 2)
        if high[-1]>=X周期高点 and portfolio.buy_quantity==0 and portfolio.sell_quantity==0:
            buy_open(context.s, "Market",0 ,unit,serial_id = 1)
            context.entry = atr[-2]
            context.num = 1
            context.enterprice = close[-1]
        if low[-1]<=X周期低点 and portfolio.sell_quantity==0 and portfolio.buy_quantity==0:
            sell_open(context.s, "Market",0 ,unit,serial_id = 2)
            context.entry = atr[-2]
            context.num = 1
            context.enterprice = close[-1]
           
        #加仓,最高价比上次开仓价多0.5个atr（盈利加仓）
        if portfolio.sell_quantity ==0 and portfolio.buy_quantity>0 and high[-1]>context.enterprice + 0.5*context.entry and context.num<4:
            buy_open(context.s, "Market",0 ,unit,serial_id = 3)
            context.num+=1
            context.enterprice = close[-1]
        if portfolio.buy_quantity==0 and portfolio.sell_quantity>0 and low[-1]<context.enterprice - 0.5*context.entry and context.num<4:
            sell_open(context.s, "Market",0 ,unit,serial_id = 4)
            context.num+=1
            context.enterprice = close[-1]
           
        #出场，跌破短周期低点平多
        Y周期高点 = high[-context.Y-1:-1].max()
        Y周期低点 = low[-context.Y-1:-1].min()
        if portfolio.buy_quantity>0 and low[-1] < Y周期低点:
            sell_close(context.s,"Market",0,portfolio.buy_quantity,serial_id = 5)
        if portfolio.sell_quantity>0 and high[-1] > Y周期高点:
            buy_close(context.s,"Market",0,portfolio.sell_quantity,serial_id = 6)
           
        #止损，亏损幅度超过开仓2个atr幅度止损
        if portfolio.buy_quantity>0 and low[-1] < context.enterprice - 2*context.entry:
            sell_close(context.s,"Market",0,portfolio.buy_quantity,serial_id = 7)
        if portfolio.sell_quantity>0 and high[-1] > context.enterprice + 2*context.entry:
            buy_close(context.s,"Market",0,portfolio.sell_quantity,serial_id = 8)