用5日均线和10日均线进行判断

用5日均线和10日均线进行判断 — 改进版

最后更新于：2022-04-01 21:53:05

# 用5日均线和10日均线进行判断 --- 改进版> https://uqer.io/community/share/561e3a65f9f06c4ca82fb5ec## 1、 修改Adobe同学的代码```pydata=DataAPI.MktEqudGet(ticker="600030",beginDate="20131001")#选取600030股票a = data.closePriceB = []n = len(a)for i in range(10, n):x5 = a[i-5:i].mean() #5日均线值x10 = a[i-10:i].mean()#10日均线值B.append(x5 > x10)``````pyimport matplotlib.pyplot as plto = data.openPricem = len(B)w = 0#利润cash = 1000000 #操作金额1亿，但考虑买的份额为100的整数，取1百万amount = 0PL = [] #利润w的数组for i in range(1, m):k = i + 10if B[i-1] == 0 and B[i] == 1 and not amount:amount = cash // o[k] #买入份额cash -= o[k] * amountelif B[i-1] == 1 and B[i]==0 and amount:cash += o[k] * amount #卖出的金额amount = 0# print cash, amountPL.append(cash + o[k] * amount)print("利润：{}".format(PL[-1]))plt.plot(PL,color="green",label="Profit and Loss")plt.xlabel("Date")plt.ylabel("Price")plt.show()plt.plot(a[10:], color="red",label="Profit and Loss")plt.show()利润：1559132.78```## 2、 Uqer框架相同策略```pyimport numpy as npstart = '2013-10-01'# 回测起始时间end = '2015-10-13'# 回测结束时间benchmark = 'SH50'# 策略参考标准universe = ['600030.XSHG']# 股票池 中信证券capital_base = 100000# 起始资金commission = Commission(0.0,0.0)window_short = 5 # 短均线周期window_long = 10 # 长均线周期def initialize(account):# 初始化虚拟账户状态account.fund = universe[0]def handle_data(account): # 每个交易日的买入卖出指令cp_hist = account.get_attribute_history('closePrice', window_long)[account.fund]short_mean = np.mean(cp_hist[-window_short:]) # 计算短均线值long_mean = np.mean(cp_hist[-window_long:])#计算长均线值# 计算买入卖出信号if short_mean - long_mean > 0:if account.fund not in account.valid_secpos:# 空仓时全仓买入，买入股数为100的整数倍approximationAmount = int(account.cash / account.referencePrice[account.fund] / 100) * 100order(account.fund, approximationAmount)else:# 卖出时，全仓清空if account.fund in account.valid_secpos:order_to(account.fund, 0)```';