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+# 导入函数库
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+from jqdata import *
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+from jqdata import finance
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+import pandas as pd
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+import numpy as np
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+from datetime import date, datetime, timedelta, time
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+import re
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+
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+# 顺势交易策略 v001
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+# 基于均线走势（前提条件）+ K线形态（开盘价差、当天价差）的期货交易策略
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+#
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+# 核心逻辑：
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+# 1. 开盘时检查均线走势（MA30<=MA20<=MA10<=MA5为多头，反之为空头）
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+# 2. 检查开盘价差是否符合方向要求（多头>=0.5%，空头<=-0.5%）
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+# 3. 14:35和14:55检查当天价差（多头>0，空头<0），满足条件则开仓
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+# 4. 应用固定止损和动态追踪止盈
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+# 5. 自动换月移仓
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+
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+# 设置以便完整打印 DataFrame
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+pd.set_option('display.max_rows', None)
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+pd.set_option('display.max_columns', None)
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+pd.set_option('display.width', None)
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+pd.set_option('display.max_colwidth', 20)
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+
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+## 初始化函数，设定基准等等
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+def initialize(context):
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+ # 设定沪深300作为基准
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+ set_benchmark('000300.XSHG')
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+ # 开启动态复权模式(真实价格)
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+ set_option('use_real_price', True)
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+ # 输出内容到日志
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+ log.info('=' * 60)
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+ log.info('均线形态交易策略 v001 初始化开始')
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+ log.info('策略类型: 均线走势 + K线形态')
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+ log.info('=' * 60)
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+
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+ ### 期货相关设定 ###
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+ # 设定账户为金融账户
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+ set_subportfolios([SubPortfolioConfig(cash=context.portfolio.starting_cash, type='index_futures')])
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+ # 期货类每笔交易时的手续费是: 买入时万分之0.23,卖出时万分之0.23,平今仓为万分之23
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+ set_order_cost(OrderCost(open_commission=0.000023, close_commission=0.000023, close_today_commission=0.0023), type='index_futures')
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+
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+ # 设置期货交易的滑点
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+ set_slippage(StepRelatedSlippage(2))
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+
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+ # 初始化全局变量
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+ g.usage_percentage = 0.8 # 最大资金使用比例
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+ g.max_margin_per_position = 20000 # 单个标的最大持仓保证金（元）
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+
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+ # 均线策略参数
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+ g.ma_periods = [5, 10, 20, 30] # 均线周期
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+ g.ma_historical_days = 60 # 获取历史数据天数（确保足够计算MA30）
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+ g.ma_open_gap_threshold = 0.002 # 方案1开盘价差阈值（0.2%）
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+ g.ma_pattern_lookback_days = 10 # 历史均线模式一致性检查的天数
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+ g.ma_pattern_consistency_threshold = 0.8 # 历史均线模式一致性阈值（80%）
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+ g.check_intraday_spread = False # 是否检查日内价差（True: 检查, False: 跳过）
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+ g.ma_proximity_min_threshold = 8 # MA5与MA10贴近计数和的最低阈值
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+
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+ # 均线价差策略方案选择
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+ g.ma_gap_strategy_mode = 2 # 策略模式选择（1: 原方案, 2: 新方案）
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+ g.ma_open_gap_threshold2 = 0.002 # 方案2开盘价差阈值（0.2%）
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+ g.ma_intraday_threshold_scheme2 = 0.005 # 方案2日内变化阈值（0.5%）
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+
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+ # 止损止盈策略参数
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+ g.fixed_stop_loss_rate = 0.01 # 固定止损比率（1%）
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+ g.ma_offset_ratio_normal = 0.003 # 均线跟踪止盈常规偏移量（0.3%）
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+ g.ma_offset_ratio_close = 0.01 # 均线跟踪止盈收盘前偏移量（1%）
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+ g.days_for_adjustment = 4 # 持仓天数调整阈值
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+
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+ # 输出策略参数
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+ log.info("均线形态策略参数:")
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+ log.info(f" 均线周期: {g.ma_periods}")
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+ log.info(f" 策略模式: 方案{g.ma_gap_strategy_mode}")
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+ log.info(f" 方案1开盘价差阈值: {g.ma_open_gap_threshold:.1%}")
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+ log.info(f" 方案2开盘价差阈值: {g.ma_open_gap_threshold2:.1%}")
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+ log.info(f" 方案2日内变化阈值: {g.ma_intraday_threshold_scheme2:.1%}")
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+ log.info(f" 历史均线模式检查天数: {g.ma_pattern_lookback_days}天")
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+ log.info(f" 历史均线模式一致性阈值: {g.ma_pattern_consistency_threshold:.1%}")
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+ log.info(f" 均线贴近计数阈值: {g.ma_proximity_min_threshold}")
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+ log.info(f" 是否检查日内价差: {g.check_intraday_spread}")
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+ log.info(f" 固定止损: {g.fixed_stop_loss_rate:.1%}")
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+ log.info(f" 均线跟踪止盈常规偏移: {g.ma_offset_ratio_normal:.1%}")
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+ log.info(f" 均线跟踪止盈收盘前偏移: {g.ma_offset_ratio_close:.1%}")
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+ log.info(f" 持仓天数调整阈值: {g.days_for_adjustment}天")
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+
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+ # 期货品种完整配置字典
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+ g.futures_config = {
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+ # 贵金属
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+ 'AU': {'has_night_session': True, 'margin_rate': {'long': 0.14, 'short': 0.14}, 'multiplier': 1000, 'trading_start_time': '21:00'},
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+ 'AG': {'has_night_session': True, 'margin_rate': {'long': 0.14, 'short': 0.14}, 'multiplier': 15, 'trading_start_time': '21:00'},
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+
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+ # 有色金属
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+ 'CU': {'has_night_session': True, 'margin_rate': {'long': 0.09, 'short': 0.09}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'AL': {'has_night_session': True, 'margin_rate': {'long': 0.09, 'short': 0.09}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'ZN': {'has_night_session': True, 'margin_rate': {'long': 0.09, 'short': 0.09}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'PB': {'has_night_session': True, 'margin_rate': {'long': 0.09, 'short': 0.09}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'NI': {'has_night_session': True, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 1, 'trading_start_time': '21:00'},
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+ 'SN': {'has_night_session': True, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 1, 'trading_start_time': '21:00'},
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+ 'SS': {'has_night_session': True, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+
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+ # 黑色系
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+ 'RB': {'has_night_session': True, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'HC': {'has_night_session': True, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'I': {'has_night_session': True, 'margin_rate': {'long': 0.1, 'short': 0.1}, 'multiplier': 100, 'trading_start_time': '21:00'},
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+ 'JM': {'has_night_session': True, 'margin_rate': {'long': 0.22, 'short': 0.22}, 'multiplier': 100, 'trading_start_time': '21:00'},
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+ 'J': {'has_night_session': True, 'margin_rate': {'long': 0.22, 'short': 0.22}, 'multiplier': 60, 'trading_start_time': '21:00'},
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+
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+ # 能源化工
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+ 'SP': {'has_night_session': True, 'margin_rate': {'long': 0.1, 'short': 0.1}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'FU': {'has_night_session': True, 'margin_rate': {'long': 0.08, 'short': 0.08}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'BU': {'has_night_session': True, 'margin_rate': {'long': 0.04, 'short': 0.04}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'RU': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'BR': {'has_night_session': True, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'SC': {'has_night_session': True, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 1000, 'trading_start_time': '21:00'},
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+ 'NR': {'has_night_session': True, 'margin_rate': {'long': 0.13, 'short': 0.13}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'LU': {'has_night_session': True, 'margin_rate': {'long': 0.15, 'short': 0.15}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'LC': {'has_night_session': False, 'margin_rate': {'long': 0.1, 'short': 0.1}, 'multiplier': 1, 'trading_start_time': '09:00'},
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+
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+ # 化工
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+ 'FG': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 20, 'trading_start_time': '21:00'},
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+ 'TA': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'MA': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'SA': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 20, 'trading_start_time': '21:00'},
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+ 'L': {'has_night_session': True, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'V': {'has_night_session': True, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'EG': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'PP': {'has_night_session': True, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'EB': {'has_night_session': True, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'PG': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 20, 'trading_start_time': '21:00'},
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+
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+ # 农产品
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+ 'RM': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'OI': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'CF': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'SR': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'PF': {'has_night_session': True, 'margin_rate': {'long': 0.1, 'short': 0.1}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'C': {'has_night_session': True, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'CS': {'has_night_session': True, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'CY': {'has_night_session': True, 'margin_rate': {'long': 0.15, 'short': 0.15}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'A': {'has_night_session': True, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'B': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'M': {'has_night_session': True, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'Y': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'P': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+
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+ # 无夜盘品种
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+ 'IF': {'has_night_session': False, 'margin_rate': {'long': 0.08, 'short': 0.08}, 'multiplier': 300, 'trading_start_time': '09:30'},
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+ 'IH': {'has_night_session': False, 'margin_rate': {'long': 0.08, 'short': 0.08}, 'multiplier': 300, 'trading_start_time': '09:30'},
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+ 'IC': {'has_night_session': False, 'margin_rate': {'long': 0.08, 'short': 0.08}, 'multiplier': 200, 'trading_start_time': '09:30'},
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+ 'IM': {'has_night_session': False, 'margin_rate': {'long': 0.08, 'short': 0.08}, 'multiplier': 200, 'trading_start_time': '09:30'},
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+ 'AP': {'has_night_session': False, 'margin_rate': {'long': 0.08, 'short': 0.08}, 'multiplier': 10, 'trading_start_time': '09:00'},
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+ 'CJ': {'has_night_session': False, 'margin_rate': {'long': 0.09, 'short': 0.09}, 'multiplier': 5, 'trading_start_time': '09:00'},
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+ 'PK': {'has_night_session': False, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 5, 'trading_start_time': '09:00'},
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+ 'JD': {'has_night_session': False, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 10, 'trading_start_time': '09:00'},
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+ 'LH': {'has_night_session': False, 'margin_rate': {'long': 0.1, 'short': 0.1}, 'multiplier': 16, 'trading_start_time': '09:00'}
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+ }
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+
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+ # 策略品种选择策略配置
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+ # 方案1：全品种策略 - 考虑所有配置的期货品种
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+ g.strategy_focus_symbols = ['IC', 'LH'] # 空列表表示考虑所有品种
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+
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+ # 方案2：精选品种策略 - 只交易流动性较好的特定品种（如需使用请取消下行注释）
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+ # g.strategy_focus_symbols = ['RM', 'CJ', 'CY', 'JD', 'L', 'LC', 'SF', 'SI']
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+
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+ log.info(f"品种选择策略: {'全品种策略（覆盖所有配置品种）' if not g.strategy_focus_symbols else '精选品种策略（' + str(len(g.strategy_focus_symbols)) + '个品种）'}")
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+
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+ # 交易记录和数据存储
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+ g.trade_history = {} # 持仓记录 {symbol: {'entry_price': xxx, 'direction': xxx, ...}}
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+ g.daily_ma_candidates = {} # 通过均线和开盘价差检查的候选品种 {symbol: {'direction': 'long'/'short', 'open_price': xxx, ...}}
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+ g.today_trades = [] # 当日交易记录
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+ g.excluded_contracts = {} # 每日排除的合约缓存 {dominant_future: {'reason': 'ma_trend'/'open_gap', 'trading_day': xxx}}
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+ g.ma_checked_underlyings = {} # 记录各品种在交易日的均线检查状态 {symbol: trading_day}
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+ g.last_ma_trading_day = None # 最近一次均线检查所属交易日
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+
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+ # 定时任务设置
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+ # 夜盘开始（21:05） - 均线和开盘价差检查
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+ run_daily(check_ma_trend_and_open_gap, time='21:05:00', reference_security='IF1808.CCFX')
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+
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+ # 日盘开始 - 均线和开盘价差检查
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+ run_daily(check_ma_trend_and_open_gap, time='09:05:00', reference_security='IF1808.CCFX')
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+ run_daily(check_ma_trend_and_open_gap, time='09:35:00', reference_security='IF1808.CCFX')
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+
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+ # 盘中价差检查和开仓（14:35和14:55）
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+ run_daily(check_intraday_price_diff, time='14:35:00', reference_security='IF1808.CCFX')
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+ run_daily(check_intraday_price_diff, time='14:55:00', reference_security='IF1808.CCFX')
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+
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+ # 夜盘止损止盈检查
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+ run_daily(check_stop_loss_profit, time='21:05:00', reference_security='IF1808.CCFX')
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+ run_daily(check_stop_loss_profit, time='21:35:00', reference_security='IF1808.CCFX')
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+ run_daily(check_stop_loss_profit, time='22:05:00', reference_security='IF1808.CCFX')
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+ run_daily(check_stop_loss_profit, time='22:35:00', reference_security='IF1808.CCFX')
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+
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+ # 日盘止损止盈检查
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+ run_daily(check_stop_loss_profit, time='09:05:00', reference_security='IF1808.CCFX')
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+ run_daily(check_stop_loss_profit, time='09:35:00', reference_security='IF1808.CCFX')
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+ run_daily(check_stop_loss_profit, time='10:05:00', reference_security='IF1808.CCFX')
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+ run_daily(check_stop_loss_profit, time='10:35:00', reference_security='IF1808.CCFX')
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+ run_daily(check_stop_loss_profit, time='11:05:00', reference_security='IF1808.CCFX')
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+ run_daily(check_stop_loss_profit, time='11:25:00', reference_security='IF1808.CCFX')
|
|
|
+ run_daily(check_stop_loss_profit, time='13:35:00', reference_security='IF1808.CCFX')
|
|
|
+ run_daily(check_stop_loss_profit, time='14:05:00', reference_security='IF1808.CCFX')
|
|
|
+ run_daily(check_stop_loss_profit, time='14:35:00', reference_security='IF1808.CCFX')
|
|
|
+ run_daily(check_stop_loss_profit, time='14:55:00', reference_security='IF1808.CCFX')
|
|
|
+
|
|
|
+ # 收盘后
|
|
|
+ run_daily(after_market_close, time='15:30:00', reference_security='IF1808.CCFX')
|
|
|
+
|
|
|
+ log.info('=' * 60)
|
|
|
+
|
|
|
+############################ 主程序执行函数 ###################################
|
|
|
+
|
|
|
+def get_current_trading_day(current_dt):
|
|
|
+ """根据当前时间推断对应的期货交易日"""
|
|
|
+ current_date = current_dt.date()
|
|
|
+ current_time = current_dt.time()
|
|
|
+
|
|
|
+ trade_days = get_trade_days(end_date=current_date, count=1)
|
|
|
+ if trade_days and trade_days[0] == current_date:
|
|
|
+ trading_day = current_date
|
|
|
+ else:
|
|
|
+ next_days = get_trade_days(start_date=current_date, count=1)
|
|
|
+ trading_day = next_days[0] if next_days else current_date
|
|
|
+
|
|
|
+ if current_time >= time(20, 59):
|
|
|
+ next_trade_days = get_trade_days(start_date=trading_day, count=2)
|
|
|
+ if len(next_trade_days) >= 2:
|
|
|
+ return next_trade_days[1]
|
|
|
+ if len(next_trade_days) == 1:
|
|
|
+ return next_trade_days[0]
|
|
|
+ return trading_day
|
|
|
+
|
|
|
+
|
|
|
+def normalize_trade_day_value(value):
|
|
|
+ """将交易日对象统一转换为 datetime.date"""
|
|
|
+ if isinstance(value, date) and not isinstance(value, datetime):
|
|
|
+ return value
|
|
|
+ if isinstance(value, datetime):
|
|
|
+ return value.date()
|
|
|
+ if hasattr(value, 'to_pydatetime'):
|
|
|
+ return value.to_pydatetime().date()
|
|
|
+ try:
|
|
|
+ return pd.Timestamp(value).date()
|
|
|
+ except Exception:
|
|
|
+ return value
|
|
|
+
|
|
|
+
|
|
|
+def check_ma_trend_and_open_gap(context):
|
|
|
+ """阶段一：开盘时均线走势和开盘价差检查（一天一次）"""
|
|
|
+ log.info("=" * 60)
|
|
|
+ current_trading_day = get_current_trading_day(context.current_dt)
|
|
|
+ log.info(f"执行均线走势和开盘价差检查 - 时间: {context.current_dt}, 交易日: {current_trading_day}")
|
|
|
+ log.info("=" * 60)
|
|
|
+
|
|
|
+ # 先检查换月移仓
|
|
|
+ position_auto_switch(context)
|
|
|
+
|
|
|
+ # 检查是否进入新交易日，必要时清空缓存
|
|
|
+ if g.last_ma_trading_day != current_trading_day:
|
|
|
+ if g.excluded_contracts:
|
|
|
+ log.info(f"交易日切换至 {current_trading_day}，清空上一交易日的排除缓存")
|
|
|
+ g.excluded_contracts = {}
|
|
|
+ g.ma_checked_underlyings = {}
|
|
|
+ g.last_ma_trading_day = current_trading_day
|
|
|
+
|
|
|
+ # 获取当前时间
|
|
|
+ current_time = str(context.current_dt.time())[:5] # HH:MM格式
|
|
|
+
|
|
|
+ # 筛选可交易品种（根据交易开始时间判断）
|
|
|
+ focus_symbols = g.strategy_focus_symbols if g.strategy_focus_symbols else list(g.futures_config.keys())
|
|
|
+ tradable_symbols = []
|
|
|
+
|
|
|
+ # 根据当前时间确定可交易的时段
|
|
|
+ # 21:05 -> 仅接受21:00开盘的合约
|
|
|
+ # 09:05 -> 接受09:00或21:00开盘的合约
|
|
|
+ # 09:35 -> 接受所有时段（21:00, 09:00, 09:30）的合约
|
|
|
+ for symbol in focus_symbols:
|
|
|
+ trading_start_time = get_futures_config(symbol, 'trading_start_time', '09:05')
|
|
|
+ should_trade = False
|
|
|
+
|
|
|
+ if current_time == '21:05':
|
|
|
+ # 夜盘开盘：仅接受21:00开盘的品种
|
|
|
+ should_trade = trading_start_time.startswith('21:00')
|
|
|
+ elif current_time == '09:05':
|
|
|
+ # 日盘早盘：接受21:00和09:00开盘的品种
|
|
|
+ should_trade = trading_start_time.startswith('21:00') or trading_start_time.startswith('09:00')
|
|
|
+ elif current_time == '09:35':
|
|
|
+ # 日盘晚开：接受所有品种（21:00, 09:00, 09:30）
|
|
|
+ should_trade = True
|
|
|
+
|
|
|
+ if should_trade:
|
|
|
+ tradable_symbols.append(symbol)
|
|
|
+
|
|
|
+ if not tradable_symbols:
|
|
|
+ log.info(f"当前时间 {current_time} 无品种开盘，跳过检查")
|
|
|
+ return
|
|
|
+
|
|
|
+ log.info(f"当前时间 {current_time} 开盘品种: {tradable_symbols}")
|
|
|
+
|
|
|
+ # 对每个品种执行均线和开盘价差检查
|
|
|
+ for symbol in tradable_symbols:
|
|
|
+ if g.ma_checked_underlyings.get(symbol) == current_trading_day:
|
|
|
+ log.info(f"{symbol} 已在交易日 {current_trading_day} 完成均线检查，跳过本次执行")
|
|
|
+ continue
|
|
|
+
|
|
|
+ try:
|
|
|
+ g.ma_checked_underlyings[symbol] = current_trading_day
|
|
|
+ # 获取主力合约
|
|
|
+ dominant_future = get_dominant_future(symbol)
|
|
|
+ # log.debug(f"{symbol} 主力合约: {dominant_future}")
|
|
|
+ if not dominant_future:
|
|
|
+ log.info(f"{symbol} 未找到主力合约，跳过")
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 检查是否在排除缓存中（当日已检查过但不符合条件）
|
|
|
+ if dominant_future in g.excluded_contracts:
|
|
|
+ excluded_info = g.excluded_contracts[dominant_future]
|
|
|
+ if excluded_info['trading_day'] == current_trading_day:
|
|
|
+ # log.debug(f"{symbol} 在排除缓存中（原因: {excluded_info['reason']}），跳过")
|
|
|
+ continue
|
|
|
+ else:
|
|
|
+ # 新的一天，从缓存中移除（会在after_market_close统一清理，这里也做兜底）
|
|
|
+ del g.excluded_contracts[dominant_future]
|
|
|
+
|
|
|
+ # 检查是否已有持仓
|
|
|
+ if check_symbol_prefix_match(dominant_future, set(g.trade_history.keys())):
|
|
|
+ log.info(f"{symbol} 已有持仓，跳过")
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 获取历史数据（需要足够计算MA30）
|
|
|
+ # 使用get_price获取数据，可以正确处理夜盘品种
|
|
|
+ # 注意：historical_data最后一行是昨天的数据，不包含今天的数据
|
|
|
+ historical_data = get_price(dominant_future, end_date=context.current_dt,
|
|
|
+ frequency='1d', fields=['open', 'close', 'high', 'low'],
|
|
|
+ count=g.ma_historical_days)
|
|
|
+
|
|
|
+ if historical_data is None or len(historical_data) < max(g.ma_periods):
|
|
|
+ log.info(f"{symbol} 历史数据不足，跳过")
|
|
|
+ continue
|
|
|
+
|
|
|
+ previous_trade_days = get_trade_days(end_date=current_trading_day, count=2)
|
|
|
+ previous_trade_days = [normalize_trade_day_value(d) for d in previous_trade_days]
|
|
|
+ previous_trading_day = None
|
|
|
+ if len(previous_trade_days) >= 2:
|
|
|
+ previous_trading_day = previous_trade_days[-2]
|
|
|
+ elif len(previous_trade_days) == 1 and previous_trade_days[0] < current_trading_day:
|
|
|
+ previous_trading_day = previous_trade_days[0]
|
|
|
+
|
|
|
+ if previous_trading_day is None:
|
|
|
+ log.info(f"{symbol} 无法确定前一交易日，跳过")
|
|
|
+ continue
|
|
|
+
|
|
|
+ historical_dates = historical_data.index.date
|
|
|
+ match_indices = np.where(historical_dates == previous_trading_day)[0]
|
|
|
+
|
|
|
+ if len(match_indices) == 0:
|
|
|
+ earlier_indices = np.where(historical_dates < previous_trading_day)[0]
|
|
|
+ if len(earlier_indices) == 0:
|
|
|
+ log.info(f"{symbol} 历史数据缺少 {previous_trading_day} 之前的记录，跳过")
|
|
|
+ continue
|
|
|
+ match_indices = [earlier_indices[-1]]
|
|
|
+
|
|
|
+ data_upto_yesterday = historical_data.iloc[:match_indices[-1] + 1]
|
|
|
+ # log.debug(f"data_upto_yesterday: {data_upto_yesterday}")
|
|
|
+ yesterday_data = data_upto_yesterday.iloc[-1]
|
|
|
+ yesterday_close = yesterday_data['close']
|
|
|
+
|
|
|
+ # 获取今天的开盘价（使用get_current_data API）
|
|
|
+ current_data = get_current_data()[dominant_future]
|
|
|
+ today_open = current_data.day_open
|
|
|
+
|
|
|
+ # log.info(f" 历史数据时间范围: {historical_data.index[0]} 至 {historical_data.index[-1]}")
|
|
|
+
|
|
|
+ # 计算昨天的均线值（使用截至前一交易日的数据）
|
|
|
+ ma_values = calculate_ma_values(data_upto_yesterday, g.ma_periods)
|
|
|
+ ma_proximity_counts = calculate_ma_proximity_counts(data_upto_yesterday, g.ma_periods, g.ma_pattern_lookback_days)
|
|
|
+
|
|
|
+ log.info(f"{symbol}({dominant_future}) 均线检查:")
|
|
|
+ # log.debug(f"yesterday_data: {yesterday_data}")
|
|
|
+ # log.info(f" 昨收: {yesterday_close:.2f}, 今开: {today_open:.2f}")
|
|
|
+ # log.info(f" 昨日均线 - MA5: {ma_values['MA5']:.2f}, MA10: {ma_values['MA10']:.2f}, "
|
|
|
+ # f"MA20: {ma_values['MA20']:.2f}, MA30: {ma_values['MA30']:.2f}")
|
|
|
+ log.info(f" 均线贴近统计: {ma_proximity_counts}")
|
|
|
+ proximity_sum = ma_proximity_counts.get('MA5', 0) + ma_proximity_counts.get('MA10', 0)
|
|
|
+ if proximity_sum < g.ma_proximity_min_threshold:
|
|
|
+ log.info(f" {symbol}({dominant_future}) ✗ 均线贴近计数不足，MA5+MA10={proximity_sum} < {g.ma_proximity_min_threshold}，跳过")
|
|
|
+ g.excluded_contracts[dominant_future] = {
|
|
|
+ 'reason': 'ma_proximity',
|
|
|
+ 'trading_day': current_trading_day
|
|
|
+ }
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 判断均线走势（使用新的灵活模式检查）
|
|
|
+ direction = None
|
|
|
+ if check_ma_pattern(ma_values, 'long'):
|
|
|
+ direction = 'long'
|
|
|
+ # log.info(f" {symbol}({dominant_future}) 均线走势判断: 多头排列")
|
|
|
+ elif check_ma_pattern(ma_values, 'short'):
|
|
|
+ direction = 'short'
|
|
|
+ # log.info(f" {symbol}({dominant_future}) 均线走势判断: 空头排列")
|
|
|
+ else:
|
|
|
+ # log.info(f" 均线走势判断: 不符合多头或空头排列，跳过")
|
|
|
+ # 将不符合条件的合约加入排除缓存
|
|
|
+ g.excluded_contracts[dominant_future] = {
|
|
|
+ 'reason': 'ma_trend',
|
|
|
+ 'trading_day': current_trading_day
|
|
|
+ }
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 检查历史均线模式一致性
|
|
|
+ consistency_passed, consistency_ratio = check_historical_ma_pattern_consistency(
|
|
|
+ historical_data, direction, g.ma_pattern_lookback_days, g.ma_pattern_consistency_threshold
|
|
|
+ )
|
|
|
+
|
|
|
+ if not consistency_passed:
|
|
|
+ log.info(f" {symbol}({dominant_future}) ✗ 历史均线模式一致性不足 "
|
|
|
+ f"({consistency_ratio:.1%} < {g.ma_pattern_consistency_threshold:.1%})，跳过")
|
|
|
+ g.excluded_contracts[dominant_future] = {
|
|
|
+ 'reason': 'ma_consistency',
|
|
|
+ 'trading_day': current_trading_day
|
|
|
+ }
|
|
|
+ continue
|
|
|
+ else:
|
|
|
+ log.info(f" {symbol}({dominant_future}) ✓ 历史均线模式一致性检查通过 "
|
|
|
+ f"({consistency_ratio:.1%} >= {g.ma_pattern_consistency_threshold:.1%})")
|
|
|
+
|
|
|
+ # 计算开盘价差比例
|
|
|
+ open_gap_ratio = (today_open - yesterday_close) / yesterday_close
|
|
|
+
|
|
|
+ log.info(f" 开盘价差检查: 昨收 {yesterday_close:.2f}, 今开 {today_open:.2f}, "
|
|
|
+ f"价差比例 {open_gap_ratio:.2%}")
|
|
|
+
|
|
|
+ # 检查开盘价差是否符合方向要求
|
|
|
+ gap_check_passed = False
|
|
|
+
|
|
|
+ if g.ma_gap_strategy_mode == 1:
|
|
|
+ # 方案1：多头检查上跳，空头检查下跳
|
|
|
+ if direction == 'long' and open_gap_ratio >= g.ma_open_gap_threshold:
|
|
|
+ log.info(f" {symbol}({dominant_future}) ✓ 方案1多头开盘价差检查通过 ({open_gap_ratio:.2%} >= {g.ma_open_gap_threshold:.2%})")
|
|
|
+ gap_check_passed = True
|
|
|
+ elif direction == 'short' and open_gap_ratio <= -g.ma_open_gap_threshold:
|
|
|
+ log.info(f" {symbol}({dominant_future}) ✓ 方案1空头开盘价差检查通过 ({open_gap_ratio:.2%} <= {-g.ma_open_gap_threshold:.2%})")
|
|
|
+ gap_check_passed = True
|
|
|
+ elif g.ma_gap_strategy_mode == 2:
|
|
|
+ # 方案2：多头检查下跳，空头检查上跳
|
|
|
+ if direction == 'long' and open_gap_ratio <= -g.ma_open_gap_threshold2:
|
|
|
+ log.info(f" {symbol}({dominant_future}) ✓ 方案2多头开盘价差检查通过 ({open_gap_ratio:.2%} <= {-g.ma_open_gap_threshold2:.2%})")
|
|
|
+ gap_check_passed = True
|
|
|
+ elif direction == 'short' and open_gap_ratio >= g.ma_open_gap_threshold2:
|
|
|
+ log.info(f" {symbol}({dominant_future}) ✓ 方案2空头开盘价差检查通过 ({open_gap_ratio:.2%} >= {g.ma_open_gap_threshold2:.2%})")
|
|
|
+ gap_check_passed = True
|
|
|
+
|
|
|
+ if not gap_check_passed:
|
|
|
+ # log.info(f" ✗ 开盘价差不符合方案{g.ma_gap_strategy_mode} {direction}方向要求，跳过")
|
|
|
+ # 将不符合条件的合约加入排除缓存
|
|
|
+ g.excluded_contracts[dominant_future] = {
|
|
|
+ 'reason': 'open_gap',
|
|
|
+ 'trading_day': current_trading_day
|
|
|
+ }
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 将通过检查的品种加入候选列表
|
|
|
+ g.daily_ma_candidates[dominant_future] = {
|
|
|
+ 'symbol': symbol,
|
|
|
+ 'direction': direction,
|
|
|
+ 'open_price': today_open,
|
|
|
+ 'yesterday_close': yesterday_close,
|
|
|
+ 'ma_values': ma_values
|
|
|
+ }
|
|
|
+
|
|
|
+ log.info(f" ✓✓ {symbol} 通过均线和开盘价差检查，加入候选列表")
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ g.ma_checked_underlyings.pop(symbol, None)
|
|
|
+ log.warning(f"{symbol} 检查时出错: {str(e)}")
|
|
|
+ continue
|
|
|
+
|
|
|
+ log.info(f"候选列表更新完成，当前候选品种: {list(g.daily_ma_candidates.keys())}")
|
|
|
+ log.info("=" * 60)
|
|
|
+
|
|
|
+def check_intraday_price_diff(context):
|
|
|
+ """阶段二：盘中价差检查和开仓（14:35和14:55）"""
|
|
|
+ log.info("=" * 60)
|
|
|
+ log.info(f"执行当天价差检查和开仓逻辑 - 时间: {context.current_dt}")
|
|
|
+ log.info("=" * 60)
|
|
|
+
|
|
|
+ # 先检查换月移仓
|
|
|
+ position_auto_switch(context)
|
|
|
+
|
|
|
+ if not g.daily_ma_candidates:
|
|
|
+ log.info("当前无候选品种，跳过")
|
|
|
+ return
|
|
|
+
|
|
|
+ log.info(f"候选品种数量: {len(g.daily_ma_candidates)}")
|
|
|
+
|
|
|
+ # 遍历候选品种
|
|
|
+ candidates_to_remove = []
|
|
|
+
|
|
|
+ for dominant_future, candidate_info in g.daily_ma_candidates.items():
|
|
|
+ try:
|
|
|
+ symbol = candidate_info['symbol']
|
|
|
+ direction = candidate_info['direction']
|
|
|
+ open_price = candidate_info['open_price']
|
|
|
+
|
|
|
+ # 再次检查是否已有持仓
|
|
|
+ if check_symbol_prefix_match(dominant_future, set(g.trade_history.keys())):
|
|
|
+ log.info(f"{symbol} 已有持仓，从候选列表移除")
|
|
|
+ candidates_to_remove.append(dominant_future)
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 获取当前价格
|
|
|
+ current_data = get_current_data()[dominant_future]
|
|
|
+ current_price = current_data.last_price
|
|
|
+
|
|
|
+ # 计算当天价差
|
|
|
+ intraday_diff = current_price - open_price
|
|
|
+ intraday_diff_ratio = intraday_diff / open_price # 计算相对变化比例
|
|
|
+
|
|
|
+ log.info(f"{symbol}({dominant_future}) 当天价差检查:")
|
|
|
+ log.info(f" 方向: {direction}, 开盘价: {open_price:.2f}, 当前价: {current_price:.2f}, "
|
|
|
+ f"当天价差: {intraday_diff:.2f}, 变化比例: {intraday_diff_ratio:.2%}")
|
|
|
+
|
|
|
+ # 判断是否满足开仓条件
|
|
|
+ should_open = False
|
|
|
+
|
|
|
+ if g.ma_gap_strategy_mode == 1:
|
|
|
+ # 方案1：根据参数决定是否检查日内价差
|
|
|
+ if not g.check_intraday_spread:
|
|
|
+ # 跳过日内价差检查，直接允许开仓
|
|
|
+ log.info(f" 方案1跳过日内价差检查（check_intraday_spread=False）")
|
|
|
+ should_open = True
|
|
|
+ elif direction == 'long' and intraday_diff > 0:
|
|
|
+ log.info(f" ✓ 方案1多头当天价差检查通过 ({intraday_diff:.2f} > 0)")
|
|
|
+ should_open = True
|
|
|
+ elif direction == 'short' and intraday_diff < 0:
|
|
|
+ log.info(f" ✓ 方案1空头当天价差检查通过 ({intraday_diff:.2f} < 0)")
|
|
|
+ should_open = True
|
|
|
+ else:
|
|
|
+ log.info(f" ✗ 方案1当天价差不符合{direction}方向要求")
|
|
|
+ elif g.ma_gap_strategy_mode == 2:
|
|
|
+ # 方案2：强制检查日内变化，使用专用阈值
|
|
|
+ if direction == 'long' and intraday_diff_ratio >= g.ma_intraday_threshold_scheme2:
|
|
|
+ log.info(f" ✓ 方案2多头日内变化检查通过 ({intraday_diff_ratio:.2%} >= {g.ma_intraday_threshold_scheme2:.2%})")
|
|
|
+ should_open = True
|
|
|
+ elif direction == 'short' and intraday_diff_ratio <= -g.ma_intraday_threshold_scheme2:
|
|
|
+ log.info(f" ✓ 方案2空头日内变化检查通过 ({intraday_diff_ratio:.2%} <= {-g.ma_intraday_threshold_scheme2:.2%})")
|
|
|
+ should_open = True
|
|
|
+ else:
|
|
|
+ log.info(f" ✗ 方案2日内变化不符合{direction}方向要求（阈值: ±{g.ma_intraday_threshold_scheme2:.2%}）")
|
|
|
+
|
|
|
+ if should_open:
|
|
|
+ # 执行开仓
|
|
|
+ log.info(f" 准备开仓: {symbol} {direction}")
|
|
|
+ target_hands = calculate_target_hands(context, dominant_future, direction)
|
|
|
+
|
|
|
+ if target_hands > 0:
|
|
|
+ success = open_position(context, dominant_future, target_hands, direction,
|
|
|
+ f'均线形态开仓')
|
|
|
+ if success:
|
|
|
+ log.info(f" ✓✓ {symbol} 开仓成功，从候选列表移除")
|
|
|
+ candidates_to_remove.append(dominant_future)
|
|
|
+ else:
|
|
|
+ log.warning(f" ✗ {symbol} 开仓失败")
|
|
|
+ else:
|
|
|
+ log.warning(f" ✗ {symbol} 计算目标手数为0，跳过开仓")
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"{dominant_future} 处理时出错: {str(e)}")
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 从候选列表中移除已开仓的品种
|
|
|
+ for future in candidates_to_remove:
|
|
|
+ if future in g.daily_ma_candidates:
|
|
|
+ del g.daily_ma_candidates[future]
|
|
|
+
|
|
|
+ log.info(f"剩余候选品种: {list(g.daily_ma_candidates.keys())}")
|
|
|
+ log.info("=" * 60)
|
|
|
+
|
|
|
+def check_stop_loss_profit(context):
|
|
|
+ """阶段三：止损止盈检查（所有时间点）"""
|
|
|
+ # 先检查换月移仓
|
|
|
+ position_auto_switch(context)
|
|
|
+
|
|
|
+ # 获取当前时间
|
|
|
+ current_time = str(context.current_dt.time())[:2]
|
|
|
+
|
|
|
+ # 判断是否为夜盘时间
|
|
|
+ is_night_session = (current_time in ['21', '22', '23', '00', '01', '02'])
|
|
|
+
|
|
|
+ # 遍历所有持仓进行止损止盈检查
|
|
|
+ subportfolio = context.subportfolios[0]
|
|
|
+ long_positions = list(subportfolio.long_positions.values())
|
|
|
+ short_positions = list(subportfolio.short_positions.values())
|
|
|
+
|
|
|
+ closed_count = 0
|
|
|
+ skipped_count = 0
|
|
|
+
|
|
|
+ for position in long_positions + short_positions:
|
|
|
+ security = position.security
|
|
|
+ underlying_symbol = security.split('.')[0][:-4]
|
|
|
+
|
|
|
+ # 检查交易时间适配性
|
|
|
+ has_night_session = get_futures_config(underlying_symbol, 'has_night_session', False)
|
|
|
+
|
|
|
+ # 如果是夜盘时间，但品种不支持夜盘交易，则跳过
|
|
|
+ if is_night_session and not has_night_session:
|
|
|
+ skipped_count += 1
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 执行止损止盈检查
|
|
|
+ if check_position_stop_loss_profit(context, position):
|
|
|
+ closed_count += 1
|
|
|
+
|
|
|
+ if closed_count > 0:
|
|
|
+ log.info(f"执行了 {closed_count} 次止损止盈")
|
|
|
+
|
|
|
+ if skipped_count > 0:
|
|
|
+ log.info(f"夜盘时间跳过 {skipped_count} 个日间品种的止损止盈检查")
|
|
|
+
|
|
|
+def check_position_stop_loss_profit(context, position):
|
|
|
+ """检查单个持仓的止损止盈"""
|
|
|
+ security = position.security
|
|
|
+
|
|
|
+ if security not in g.trade_history:
|
|
|
+ return False
|
|
|
+
|
|
|
+ trade_info = g.trade_history[security]
|
|
|
+ direction = trade_info['direction']
|
|
|
+ entry_price = trade_info['entry_price']
|
|
|
+ entry_time = trade_info['entry_time']
|
|
|
+ current_price = position.price
|
|
|
+
|
|
|
+ # 计算当前盈亏比率
|
|
|
+ if direction == 'long':
|
|
|
+ profit_rate = (current_price - entry_price) / entry_price
|
|
|
+ else:
|
|
|
+ profit_rate = (entry_price - current_price) / entry_price
|
|
|
+
|
|
|
+ # 检查固定止损
|
|
|
+ if profit_rate <= -g.fixed_stop_loss_rate:
|
|
|
+ log.info(f"触发固定止损 {security} {direction}, 当前亏损率: {profit_rate:.3%}, "
|
|
|
+ f"成本价: {entry_price:.2f}, 当前价格: {current_price:.2f}")
|
|
|
+ close_position(context, security, direction)
|
|
|
+ return True
|
|
|
+
|
|
|
+ # 检查是否启用均线跟踪止盈
|
|
|
+ if not trade_info.get('ma_trailing_enabled', True):
|
|
|
+ return False
|
|
|
+
|
|
|
+ # 检查均线跟踪止盈
|
|
|
+ # 获取持仓天数
|
|
|
+ entry_date = entry_time.date()
|
|
|
+ current_date = context.current_dt.date()
|
|
|
+ all_trade_days = get_all_trade_days()
|
|
|
+ holding_days = sum((entry_date <= d <= current_date) for d in all_trade_days)
|
|
|
+
|
|
|
+ # 计算变化率
|
|
|
+ today_price = get_current_data()[security].last_price
|
|
|
+ avg_daily_change_rate = calculate_average_daily_change_rate(security)
|
|
|
+ historical_data = attribute_history(security, 1, '1d', ['close'])
|
|
|
+ yesterday_close = historical_data['close'].iloc[-1]
|
|
|
+ today_change_rate = abs((today_price - yesterday_close) / yesterday_close)
|
|
|
+
|
|
|
+ # 根据时间判断使用的偏移量
|
|
|
+ current_time = context.current_dt.time()
|
|
|
+ target_time = datetime.strptime('14:55:00', '%H:%M:%S').time()
|
|
|
+ if current_time > target_time:
|
|
|
+ offset_ratio = g.ma_offset_ratio_close
|
|
|
+ else:
|
|
|
+ offset_ratio = g.ma_offset_ratio_normal
|
|
|
+
|
|
|
+ # 选择止损均线
|
|
|
+ close_line = None
|
|
|
+ if today_change_rate >= 1.5 * avg_daily_change_rate:
|
|
|
+ close_line = 'ma5' # 波动剧烈时用短周期
|
|
|
+ elif holding_days <= g.days_for_adjustment:
|
|
|
+ close_line = 'ma5' # 持仓初期用短周期
|
|
|
+ else:
|
|
|
+ close_line = 'ma5' if today_change_rate >= 1.2 * avg_daily_change_rate else 'ma10'
|
|
|
+
|
|
|
+ # 计算实时均线值
|
|
|
+ ma_values = calculate_realtime_ma_values(security, [5, 10])
|
|
|
+ ma_value = ma_values[close_line]
|
|
|
+
|
|
|
+ # 应用偏移量
|
|
|
+ if direction == 'long':
|
|
|
+ adjusted_ma_value = ma_value * (1 - offset_ratio)
|
|
|
+ else:
|
|
|
+ adjusted_ma_value = ma_value * (1 + offset_ratio)
|
|
|
+
|
|
|
+ # 判断是否触发均线止损
|
|
|
+ if (direction == 'long' and today_price < adjusted_ma_value) or \
|
|
|
+ (direction == 'short' and today_price > adjusted_ma_value):
|
|
|
+ log.info(f"触发均线跟踪止盈 {security} {direction}, 止损均线: {close_line}, "
|
|
|
+ f"均线值: {ma_value:.2f}, 调整后: {adjusted_ma_value:.2f}, "
|
|
|
+ f"当前价: {today_price:.2f}, 持仓天数: {holding_days}")
|
|
|
+ close_position(context, security, direction)
|
|
|
+ return True
|
|
|
+
|
|
|
+ return False
|
|
|
+
|
|
|
+############################ 核心辅助函数 ###################################
|
|
|
+
|
|
|
+def calculate_ma_values(data, periods):
|
|
|
+ """计算均线值
|
|
|
+
|
|
|
+ Args:
|
|
|
+ data: DataFrame，包含'close'列的历史数据（最后一行是最新的数据）
|
|
|
+ periods: list，均线周期列表，如[5, 10, 20, 30]
|
|
|
+
|
|
|
+ Returns:
|
|
|
+ dict: {'MA5': value, 'MA10': value, 'MA20': value, 'MA30': value}
|
|
|
+ 返回最后一行（最新日期）的各周期均线值
|
|
|
+ """
|
|
|
+ ma_values = {}
|
|
|
+
|
|
|
+ for period in periods:
|
|
|
+ if len(data) >= period:
|
|
|
+ # 计算最后period天的均线值
|
|
|
+ ma_values[f'MA{period}'] = data['close'].iloc[-period:].mean()
|
|
|
+ else:
|
|
|
+ ma_values[f'MA{period}'] = None
|
|
|
+
|
|
|
+ return ma_values
|
|
|
+
|
|
|
+
|
|
|
+def calculate_ma_proximity_counts(data, periods, lookback_days):
|
|
|
+ """统计近 lookback_days 天收盘价贴近各均线的次数"""
|
|
|
+ proximity_counts = {f'MA{period}': 0 for period in periods}
|
|
|
+
|
|
|
+ if len(data) < lookback_days:
|
|
|
+ return proximity_counts
|
|
|
+
|
|
|
+ closes = data['close'].iloc[-lookback_days:]
|
|
|
+ ma_series = {
|
|
|
+ period: data['close'].rolling(window=period).mean().iloc[-lookback_days:]
|
|
|
+ for period in periods
|
|
|
+ }
|
|
|
+
|
|
|
+ for idx, close_price in enumerate(closes):
|
|
|
+ min_diff = None
|
|
|
+ closest_period = None
|
|
|
+
|
|
|
+ for period in periods:
|
|
|
+ ma_value = ma_series[period].iloc[idx]
|
|
|
+ if pd.isna(ma_value):
|
|
|
+ continue
|
|
|
+ diff = abs(close_price - ma_value)
|
|
|
+ if min_diff is None or diff < min_diff:
|
|
|
+ min_diff = diff
|
|
|
+ closest_period = period
|
|
|
+
|
|
|
+ if closest_period is not None:
|
|
|
+ proximity_counts[f'MA{closest_period}'] += 1
|
|
|
+
|
|
|
+ return proximity_counts
|
|
|
+
|
|
|
+
|
|
|
+def check_ma_pattern(ma_values, direction):
|
|
|
+ """检查均线排列模式是否符合方向要求
|
|
|
+
|
|
|
+ Args:
|
|
|
+ ma_values: dict，包含MA5, MA10, MA20, MA30的均线值
|
|
|
+ direction: str，'long'或'short'
|
|
|
+
|
|
|
+ Returns:
|
|
|
+ bool: 是否符合均线排列要求
|
|
|
+ """
|
|
|
+ ma5 = ma_values['MA5']
|
|
|
+ ma10 = ma_values['MA10']
|
|
|
+ ma20 = ma_values['MA20']
|
|
|
+ ma30 = ma_values['MA30']
|
|
|
+
|
|
|
+ if direction == 'long':
|
|
|
+ # 多头模式：MA30 <= MA20 <= MA10 <= MA5 或 MA30 <= MA20 <= MA5 <= MA10
|
|
|
+ pattern1 = (ma30 <= ma20 <= ma10 <= ma5)
|
|
|
+ pattern2 = (ma30 <= ma20 <= ma5 <= ma10)
|
|
|
+ return pattern1 or pattern2
|
|
|
+ elif direction == 'short':
|
|
|
+ # 空头模式：MA10 <= MA5 <= MA20 <= MA30 或 MA5 <= MA10 <= MA20 <= MA30
|
|
|
+ pattern1 = (ma10 <= ma5 <= ma20 <= ma30)
|
|
|
+ pattern2 = (ma5 <= ma10 <= ma20 <= ma30)
|
|
|
+ return pattern1 or pattern2
|
|
|
+ else:
|
|
|
+ return False
|
|
|
+
|
|
|
+def check_historical_ma_pattern_consistency(historical_data, direction, lookback_days, consistency_threshold):
|
|
|
+ """检查历史均线模式的一致性
|
|
|
+
|
|
|
+ Args:
|
|
|
+ historical_data: DataFrame，包含足够天数的历史数据
|
|
|
+ direction: str，'long'或'short'
|
|
|
+ lookback_days: int，检查过去多少天
|
|
|
+ consistency_threshold: float，一致性阈值（0-1之间）
|
|
|
+
|
|
|
+ Returns:
|
|
|
+ tuple: (bool, float) - (是否通过一致性检查, 实际一致性比例)
|
|
|
+ """
|
|
|
+ if len(historical_data) < max(g.ma_periods) + lookback_days:
|
|
|
+ # 历史数据不足
|
|
|
+ return False, 0.0
|
|
|
+
|
|
|
+ match_count = 0
|
|
|
+ total_count = lookback_days
|
|
|
+
|
|
|
+ # 检查过去lookback_days天的均线模式
|
|
|
+ for i in range(lookback_days):
|
|
|
+ # 获取倒数第(i+1)天的数据（i=0时是昨天，i=1时是前天，依此类推）
|
|
|
+ end_idx = -(i + 1)
|
|
|
+ if end_idx == -1:
|
|
|
+ data_slice = historical_data
|
|
|
+ else:
|
|
|
+ data_slice = historical_data.iloc[:end_idx]
|
|
|
+
|
|
|
+ # 计算该天的均线值
|
|
|
+ ma_values = calculate_ma_values(data_slice, g.ma_periods)
|
|
|
+
|
|
|
+ # 检查是否符合模式
|
|
|
+ if check_ma_pattern(ma_values, direction):
|
|
|
+ match_count += 1
|
|
|
+
|
|
|
+ consistency_ratio = match_count / total_count
|
|
|
+ passed = consistency_ratio >= consistency_threshold
|
|
|
+
|
|
|
+ return passed, consistency_ratio
|
|
|
+
|
|
|
+############################ 交易执行函数 ###################################
|
|
|
+
|
|
|
+def open_position(context, security, target_hands, direction, reason=''):
|
|
|
+ """开仓"""
|
|
|
+ try:
|
|
|
+ # 记录交易前的可用资金
|
|
|
+ cash_before = context.portfolio.available_cash
|
|
|
+
|
|
|
+ # 使用order_target按手数开仓
|
|
|
+ order = order_target(security, target_hands, side=direction)
|
|
|
+
|
|
|
+ if order is not None and order.filled > 0:
|
|
|
+ # 记录交易后的可用资金
|
|
|
+ cash_after = context.portfolio.available_cash
|
|
|
+
|
|
|
+ # 计算实际资金变化
|
|
|
+ cash_change = cash_before - cash_after
|
|
|
+
|
|
|
+ # 获取订单价格和数量
|
|
|
+ order_price = order.avg_cost if order.avg_cost else order.price
|
|
|
+ order_amount = order.filled
|
|
|
+
|
|
|
+ # 记录当日交易
|
|
|
+ underlying_symbol = security.split('.')[0][:-4]
|
|
|
+ g.today_trades.append({
|
|
|
+ 'security': security,
|
|
|
+ 'underlying_symbol': underlying_symbol,
|
|
|
+ 'direction': direction,
|
|
|
+ 'order_amount': order_amount,
|
|
|
+ 'order_price': order_price,
|
|
|
+ 'cash_change': cash_change,
|
|
|
+ 'time': context.current_dt
|
|
|
+ })
|
|
|
+
|
|
|
+ # 记录交易信息
|
|
|
+ g.trade_history[security] = {
|
|
|
+ 'entry_price': order_price,
|
|
|
+ 'target_hands': target_hands,
|
|
|
+ 'actual_hands': order_amount,
|
|
|
+ 'actual_margin': cash_change,
|
|
|
+ 'direction': direction,
|
|
|
+ 'entry_time': context.current_dt
|
|
|
+ }
|
|
|
+
|
|
|
+ ma_trailing_enabled = True
|
|
|
+ if direction == 'long':
|
|
|
+ ma_values_at_entry = calculate_realtime_ma_values(security, [5])
|
|
|
+ ma5_value = ma_values_at_entry.get('ma5')
|
|
|
+ if ma5_value is not None and order_price < ma5_value:
|
|
|
+ ma_trailing_enabled = False
|
|
|
+ log.info(f"禁用均线跟踪止盈: {security} {direction}, 开仓价 {order_price:.2f} < MA5 {ma5_value:.2f}")
|
|
|
+
|
|
|
+ g.trade_history[security]['ma_trailing_enabled'] = ma_trailing_enabled
|
|
|
+
|
|
|
+ log.info(f"开仓成功: {security} {direction} {order_amount}手 @{order_price:.2f}, "
|
|
|
+ f"保证金: {cash_change:.0f}, 原因: {reason}")
|
|
|
+
|
|
|
+ return True
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"开仓失败 {security}: {str(e)}")
|
|
|
+
|
|
|
+ return False
|
|
|
+
|
|
|
+def close_position(context, security, direction):
|
|
|
+ """平仓"""
|
|
|
+ try:
|
|
|
+ # 使用order_target平仓到0手
|
|
|
+ order = order_target(security, 0, side=direction)
|
|
|
+
|
|
|
+ if order is not None and order.filled > 0:
|
|
|
+ underlying_symbol = security.split('.')[0][:-4]
|
|
|
+
|
|
|
+ # 记录当日交易（平仓）
|
|
|
+ g.today_trades.append({
|
|
|
+ 'security': security,
|
|
|
+ 'underlying_symbol': underlying_symbol,
|
|
|
+ 'direction': direction,
|
|
|
+ 'order_amount': -order.filled,
|
|
|
+ 'order_price': order.avg_cost if order.avg_cost else order.price,
|
|
|
+ 'cash_change': 0,
|
|
|
+ 'time': context.current_dt
|
|
|
+ })
|
|
|
+
|
|
|
+ log.info(f"平仓成功: {underlying_symbol} {direction} {order.filled}手")
|
|
|
+
|
|
|
+ # 从交易历史中移除
|
|
|
+ if security in g.trade_history:
|
|
|
+ del g.trade_history[security]
|
|
|
+ return True
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"平仓失败 {security}: {str(e)}")
|
|
|
+
|
|
|
+ return False
|
|
|
+
|
|
|
+############################ 辅助函数 ###################################
|
|
|
+
|
|
|
+def get_futures_config(underlying_symbol, config_key=None, default_value=None):
|
|
|
+ """获取期货品种配置信息的辅助函数"""
|
|
|
+ if underlying_symbol not in g.futures_config:
|
|
|
+ if config_key and default_value is not None:
|
|
|
+ return default_value
|
|
|
+ return {}
|
|
|
+
|
|
|
+ if config_key is None:
|
|
|
+ return g.futures_config[underlying_symbol]
|
|
|
+
|
|
|
+ return g.futures_config[underlying_symbol].get(config_key, default_value)
|
|
|
+
|
|
|
+def get_margin_rate(underlying_symbol, direction, default_rate=0.10):
|
|
|
+ """获取保证金比例的辅助函数"""
|
|
|
+ return g.futures_config.get(underlying_symbol, {}).get('margin_rate', {}).get(direction, default_rate)
|
|
|
+
|
|
|
+def get_multiplier(underlying_symbol, default_multiplier=10):
|
|
|
+ """获取合约乘数的辅助函数"""
|
|
|
+ return g.futures_config.get(underlying_symbol, {}).get('multiplier', default_multiplier)
|
|
|
+
|
|
|
+def calculate_target_hands(context, security, direction):
|
|
|
+ """计算目标开仓手数"""
|
|
|
+ current_price = get_current_data()[security].last_price
|
|
|
+ underlying_symbol = security.split('.')[0][:-4]
|
|
|
+
|
|
|
+ # 使用保证金比例
|
|
|
+ margin_rate = get_margin_rate(underlying_symbol, direction)
|
|
|
+ multiplier = get_multiplier(underlying_symbol)
|
|
|
+
|
|
|
+ # 计算单手保证金
|
|
|
+ single_hand_margin = current_price * multiplier * margin_rate
|
|
|
+
|
|
|
+ # 还要考虑可用资金限制
|
|
|
+ available_cash = context.portfolio.available_cash * g.usage_percentage
|
|
|
+
|
|
|
+ # 根据单个标的最大持仓保证金限制计算开仓数量
|
|
|
+ max_margin = g.max_margin_per_position
|
|
|
+
|
|
|
+ if single_hand_margin <= max_margin:
|
|
|
+ # 如果单手保证金不超过最大限制，计算最大可开仓手数
|
|
|
+ max_hands = int(max_margin / single_hand_margin)
|
|
|
+ max_hands_by_cash = int(available_cash / single_hand_margin)
|
|
|
+
|
|
|
+ # 取两者较小值
|
|
|
+ actual_hands = min(max_hands, max_hands_by_cash)
|
|
|
+
|
|
|
+ # 确保至少开1手
|
|
|
+ actual_hands = max(1, actual_hands)
|
|
|
+
|
|
|
+ log.info(f"单手保证金: {single_hand_margin:.0f}, 目标开仓手数: {actual_hands}")
|
|
|
+
|
|
|
+ return actual_hands
|
|
|
+ else:
|
|
|
+ # 如果单手保证金超过最大限制，默认开仓1手
|
|
|
+ actual_hands = 1
|
|
|
+
|
|
|
+ log.info(f"单手保证金: {single_hand_margin:.0f} 超过最大限制: {max_margin}, 默认开仓1手")
|
|
|
+
|
|
|
+ return actual_hands
|
|
|
+
|
|
|
+def check_symbol_prefix_match(symbol, hold_symbols):
|
|
|
+ """检查是否有相似的持仓品种"""
|
|
|
+ symbol_prefix = symbol[:-9]
|
|
|
+
|
|
|
+ for hold_symbol in hold_symbols:
|
|
|
+ hold_symbol_prefix = hold_symbol[:-9] if len(hold_symbol) > 9 else hold_symbol
|
|
|
+
|
|
|
+ if symbol_prefix == hold_symbol_prefix:
|
|
|
+ return True
|
|
|
+ return False
|
|
|
+
|
|
|
+def calculate_average_daily_change_rate(security, days=30):
|
|
|
+ """计算日均变化率"""
|
|
|
+ historical_data = attribute_history(security, days + 1, '1d', ['close'])
|
|
|
+ daily_change_rates = abs(historical_data['close'].pct_change()).iloc[1:]
|
|
|
+ return daily_change_rates.mean()
|
|
|
+
|
|
|
+def calculate_realtime_ma_values(security, ma_periods):
|
|
|
+ """计算包含当前价格的实时均线值"""
|
|
|
+ historical_data = attribute_history(security, max(ma_periods), '1d', ['close'])
|
|
|
+ today_price = get_current_data()[security].last_price
|
|
|
+ close_prices = historical_data['close'].tolist() + [today_price]
|
|
|
+ ma_values = {f'ma{period}': sum(close_prices[-period:]) / period for period in ma_periods}
|
|
|
+ return ma_values
|
|
|
+
|
|
|
+def after_market_close(context):
|
|
|
+ """收盘后运行函数"""
|
|
|
+ log.info(str('函数运行时间(after_market_close):'+str(context.current_dt.time())))
|
|
|
+
|
|
|
+ # 清空候选列表（每天重新检查）
|
|
|
+ g.daily_ma_candidates = {}
|
|
|
+
|
|
|
+ # 清空排除缓存（每天重新检查）
|
|
|
+ excluded_count = len(g.excluded_contracts)
|
|
|
+ if excluded_count > 0:
|
|
|
+ log.info(f"清空排除缓存，共 {excluded_count} 个合约")
|
|
|
+ g.excluded_contracts = {}
|
|
|
+
|
|
|
+ # 只有当天有交易时才打印统计信息
|
|
|
+ if g.today_trades:
|
|
|
+ print_daily_trading_summary(context)
|
|
|
+
|
|
|
+ # 清空当日交易记录
|
|
|
+ g.today_trades = []
|
|
|
+
|
|
|
+ log.info('##############################################################')
|
|
|
+
|
|
|
+def print_daily_trading_summary(context):
|
|
|
+ """打印当日交易汇总"""
|
|
|
+ if not g.today_trades:
|
|
|
+ return
|
|
|
+
|
|
|
+ log.info("\n=== 当日交易汇总 ===")
|
|
|
+ total_margin = 0
|
|
|
+
|
|
|
+ for trade in g.today_trades:
|
|
|
+ if trade['order_amount'] > 0: # 开仓
|
|
|
+ log.info(f"开仓 {trade['underlying_symbol']} {trade['direction']} {trade['order_amount']}手 "
|
|
|
+ f"价格:{trade['order_price']:.2f} 保证金:{trade['cash_change']:.0f}")
|
|
|
+ total_margin += trade['cash_change']
|
|
|
+ else: # 平仓
|
|
|
+ log.info(f"平仓 {trade['underlying_symbol']} {trade['direction']} {abs(trade['order_amount'])}手 "
|
|
|
+ f"价格:{trade['order_price']:.2f}")
|
|
|
+
|
|
|
+ log.info(f"当日保证金占用: {total_margin:.0f}")
|
|
|
+ log.info("==================\n")
|
|
|
+
|
|
|
+########################## 自动移仓换月函数 #################################
|
|
|
+def position_auto_switch(context, pindex=0, switch_func=None, callback=None):
|
|
|
+ """期货自动移仓换月"""
|
|
|
+ import re
|
|
|
+ subportfolio = context.subportfolios[pindex]
|
|
|
+ symbols = set(subportfolio.long_positions.keys()) | set(subportfolio.short_positions.keys())
|
|
|
+ switch_result = []
|
|
|
+ for symbol in symbols:
|
|
|
+ match = re.match(r"(?P<underlying_symbol>[A-Z]{1,})", symbol)
|
|
|
+ if not match:
|
|
|
+ raise ValueError("未知期货标的: {}".format(symbol))
|
|
|
+ else:
|
|
|
+ dominant = get_dominant_future(match.groupdict()["underlying_symbol"])
|
|
|
+ cur = get_current_data()
|
|
|
+ symbol_last_price = cur[symbol].last_price
|
|
|
+ dominant_last_price = cur[dominant].last_price
|
|
|
+
|
|
|
+ if dominant > symbol:
|
|
|
+ for positions_ in (subportfolio.long_positions, subportfolio.short_positions):
|
|
|
+ if symbol not in positions_.keys():
|
|
|
+ continue
|
|
|
+ else :
|
|
|
+ p = positions_[symbol]
|
|
|
+
|
|
|
+ if switch_func is not None:
|
|
|
+ switch_func(context, pindex, p, dominant)
|
|
|
+ else:
|
|
|
+ amount = p.total_amount
|
|
|
+ # 跌停不能开空和平多，涨停不能开多和平空
|
|
|
+ if p.side == "long":
|
|
|
+ symbol_low_limit = cur[symbol].low_limit
|
|
|
+ dominant_high_limit = cur[dominant].high_limit
|
|
|
+ if symbol_last_price <= symbol_low_limit:
|
|
|
+ log.warning("标的{}跌停，无法平仓。移仓换月取消。".format(symbol))
|
|
|
+ continue
|
|
|
+ elif dominant_last_price >= dominant_high_limit:
|
|
|
+ log.warning("标的{}涨停，无法开仓。移仓换月取消。".format(dominant))
|
|
|
+ continue
|
|
|
+ else:
|
|
|
+ log.info("进行移仓换月: ({0},long) -> ({1},long)".format(symbol, dominant))
|
|
|
+ order_old = order_target(symbol, 0, side='long')
|
|
|
+ if order_old != None and order_old.filled > 0:
|
|
|
+ order_new = order_target(dominant, amount, side='long')
|
|
|
+ if order_new != None and order_new.filled > 0:
|
|
|
+ switch_result.append({"before": symbol, "after": dominant, "side": "long"})
|
|
|
+ # 换月成功，更新交易记录
|
|
|
+ if symbol in g.trade_history:
|
|
|
+ g.trade_history[dominant] = g.trade_history[symbol]
|
|
|
+ del g.trade_history[symbol]
|
|
|
+ else:
|
|
|
+ log.warning("标的{}交易失败，无法开仓。移仓换月失败。".format(dominant))
|
|
|
+ if p.side == "short":
|
|
|
+ symbol_high_limit = cur[symbol].high_limit
|
|
|
+ dominant_low_limit = cur[dominant].low_limit
|
|
|
+ if symbol_last_price >= symbol_high_limit:
|
|
|
+ log.warning("标的{}涨停，无法平仓。移仓换月取消。".format(symbol))
|
|
|
+ continue
|
|
|
+ elif dominant_last_price <= dominant_low_limit:
|
|
|
+ log.warning("标的{}跌停，无法开仓。移仓换月取消。".format(dominant))
|
|
|
+ continue
|
|
|
+ else:
|
|
|
+ log.info("进行移仓换月: ({0},short) -> ({1},short)".format(symbol, dominant))
|
|
|
+ order_old = order_target(symbol, 0, side='short')
|
|
|
+ if order_old != None and order_old.filled > 0:
|
|
|
+ order_new = order_target(dominant, amount, side='short')
|
|
|
+ if order_new != None and order_new.filled > 0:
|
|
|
+ switch_result.append({"before": symbol, "after": dominant, "side": "short"})
|
|
|
+ # 换月成功，更新交易记录
|
|
|
+ if symbol in g.trade_history:
|
|
|
+ g.trade_history[dominant] = g.trade_history[symbol]
|
|
|
+ del g.trade_history[symbol]
|
|
|
+ else:
|
|
|
+ log.warning("标的{}交易失败，无法开仓。移仓换月失败。".format(dominant))
|
|
|
+ if callback:
|
|
|
+ callback(context, pindex, p, dominant)
|
|
|
+ return switch_result
|
|
|
+
|
maxfeng