4.9 KDJ • KDJ 策略
最后更新于：2022-04-01 21:53:35
# 4.9 KDJ • KDJ 策略
> 来源：https://uqer.io/community/share/55d20b3bf9f06c91f818c6ac
```py
import numpy as np
import pandas as pd
from pandas import DataFrame
import talib as ta
start = '2006-01-01' # 回测起始时间
end = '2015-08-17' # 回测结束时间
benchmark = 'HS300' # 策略参考标准
universe = set_universe('HS300')
capital_base = 100000 # 起始资金
refresh_rate = 1 # 调仓频率，即每 refresh_rate 个交易日执行一次 handle_data() 函数
longest_history=20
MA=[5,10,20,30,60,120] #移动均线参数
def initialize(account):
account.kdj=[]
def handle_data(account):
# 每个交易日的买入卖出指令
sell_pool=[]
hist = account.get_history(longest_history)
#data=DataFrame(hist['600006.XSHG'])
stock_pool,all_data=Get_all_indicators(hist)
pool_num=len(stock_pool)
if account.secpos==None:
print 'null'
for i in stock_pool:
buy_num=int(float(account.cash/pool_num)/account.referencePrice[i]/100.0)*100
order(i, buy_num)
else:
for x in account.valid_secpos:
if all_data[x].iloc[-1]['closePrice']0.05 :
sell_pool.append(x)
order_to(x, 0)
if account.cash>500 and pool_num>0:
try:
sim_buy_money=float(account.cash)/pool_num
for l in stock_pool:
#print sim_buy_money,account.referencePrice[l]
buy_num=int(sim_buy_money/account.referencePrice[l]/100.0)*100
#buy_num=10000
order(l, buy_num)
except Exception as e:
#print e
pass
def Get_kd_ma(data):
indicators={}
#计算kd指标
indicators['k'],indicators['d']=ta.STOCH(np.array(data['highPrice']),np.array(data['lowPrice']),np.array(data['closePrice']),\
fastk_period=9,slowk_period=3,slowk_matype=0,slowd_period=3,slowd_matype=0)
indicators['ma1']=pd.rolling_mean(data['closePrice'], MA[0])
indicators['ma2']=pd.rolling_mean(data['closePrice'], MA[1])
indicators['ma3']=pd.rolling_mean(data['closePrice'], MA[2])
indicators['ma4']=pd.rolling_mean(data['closePrice'], MA[3])
indicators['ma5']=pd.rolling_mean(data['closePrice'], MA[4])
indicators['closePrice']=data['closePrice']
indicators=pd.DataFrame(indicators)
return indicators
def Get_all_indicators(hist):
stock_pool=[]
all_data={}
for i in hist:
try:
indicators=Get_kd_ma(hist[i])
all_data[i]=indicators
except Exception as e:
#print 'error:%s'%e
pass
if indicators.iloc[-2]['k']indicators.iloc[-2]['d']:
stock_pool.append(i)
elif indicators.iloc[-1]['k']>=10 and indicators.iloc[-1]['d']<=20 and indicators.iloc[-1]['k']>indicators.iloc[-2]['k'] and indicators.iloc[-2]['k']
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