商品期货MACD策略

Author: yuzy, Date: 2022-11-10 21:37:00
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MACD 计算方法 第 1 步：计算 EMA12 和 EMA26 EMA12 = XAverage(Close, 12) EMA26 = XAverage(Close, 26)

第 2 步：计算 DIF DIF = EMA12 - EMA26

第 3 步：计算 DEA DEA = XAverage(DIF, 9)

第 4 步：计算 MACD 直方图（Histogram） Histogram = 2(DIF - DEA)

MACD 策略逻辑 多头开仓：DIF 大于 DEA 空头开仓：DIF 小于 DEA 多头平仓：DIF 小于 DEA 空头平仓：DIF 大于 DEA

'''backtest
start: 2022-10-12 09:00:00
end: 2022-11-10 15:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
'''

p = ext.NewPositionManager()
vp = 0 
def onTick():
    symbol = _C(exchange.SetContractType,"rb888")
    r = _C(exchange.GetRecords)
    if len(r) < 100 :
        return
    macd = TA.MACD(r)
    dif = macd[0][-2]
    dea = macd[1][-2]
    #lastprice = r[-1]["Close"]
    global vp 
    if vp == 0 and dif > dea :
        p.OpenLong(symbol["InstrumentID"], 1)
        vp = 1 
    if vp == 0 and dif < dea :
        p.OpenShort(symbol["InstrumentID"], 1)
        vp = -1 
    if vp == 1 and dif < dea :
        p.Cover(symbol["InstrumentID"])
        vp = 0 
    if vp == -1 and dif > dea :
        p.Cover(symbol["InstrumentID"])
        vp = 0 
def main():
    while True:
        if exchange.IO("status"):
            onTick()
            LogStatus(_D(), "已连接")
        else:
            LogStatus(_D(), "未连接")
        Sleep(1000)

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