期货双均线

由bqppsd5s创建，最终由bqppsd5s更新于2026-01-07 12:37 被浏览 7 用户

from bigmodule import M

# <aistudiograph>

# @module(comment="1. 输入特征：计算双均线及120日趋势过滤信号")

m1 = M.input_features_dai.v30(

mode="表达式",

expr="""

m_avg(close,10) as short_ma,

m_avg(close,30) as long_ma,

m_avg(close,120) as trend_ma,

close > m_avg(close,120) as is_uptrend,

m_lag(short_ma, 1) <= m_lag(long_ma, 1) and short_ma > long_ma as golden_cross,

m_lag(short_ma, 1) >= m_lag(long_ma, 1) and short_ma < long_ma as death_cross

""",

# 将参数定义直接放在模块内部

expr_filters="instrument in ({{instruments}})",

instruments={'name': '合约代码', 'default': 'RB888', 'type': '字符串', 'description': '期货合约代码，多个用英文逗号分隔，如：RB888, AG888'},

expr_tables="cn_futures_prefactors",

extra_fields="date,instrument",

order_by="date, instrument",

expr_drop_na=True,

extract_data=False,

m_name="m1"

)

# @module(comment="2. 抽取回测区间数据")

m4 = M.extract_data_dai.v20(

sql=m1.data,

# 将参数定义直接放在模块内部

start_date={'name': '开始日期', 'default': '2023-01-01', 'type': '字符串'},

end_date={'name': '结束日期', 'default': '2023-12-31', 'type': '字符串'},

start_date_bound_to_trading_date=True,

end_date_bound_to_trading_date=True,

before_start_days=200,

m_name="m4"

)

# @module(comment="3. 初始化：设置期货手续费")

def m3_initialize_bigquant_run(context):

from bigtrader.finance.commission import PerOrder

context.set_commission(PerOrder(buy_cost=0.0003, sell_cost=0.0013, min_cost=5))

# @module(comment="4. 每日处理：执行交易信号")

def m3_handle_data_bigquant_run(context, data):

if not context.rebalance_period.is_signal_date(data.current_dt.date()):

    return

today_df = context.data[context.data["date"] == data.current_dt.strftime("%Y-%m-%d")]

if len(today_df) == 0:

    return

positions = context.get_account_positions()

for stock in context.instruments:

    hold_num = positions\[stock\].current_qty if stock in positions else 0

try:

        golden_cross = bool(today_df\[today_df\["instrument"\] == stock\].golden_cross.values\[0\])

        death_cross = bool(today_df\[today_df\["instrument"\] == stock\].death_cross.values\[0\])

        is_uptrend = bool(today_df\[today_df\["instrument"\] == stock\].is_uptrend.values\[0\])

    except:

        continue

weight = 1.0 / len(context.instruments)

if golden_cross and is_uptrend and hold_num == 0:

        context.order_target_percent(stock, weight)

        print(f"{data.current_dt.date()} 开多 {stock}")

if death_cross and hold_num > 0:

        context.order_target_percent(stock, 0)

        print(f"{data.current_dt.date()} 平多 {stock}")

# @module(comment="5. 回测引擎：期货模式")

m3 = M.bigtrader.v43(

data=m4.data,

start_date="",

end_date="",

initialize=m3_initialize_bigquant_run,

handle_data=m3_handle_data_bigquant_run,

capital_base=1000000,

frequency="daily",

product_type="期货",

rebalance_period_type="交易日",

rebalance_period_days="1",

order_price_field_buy="open",

order_price_field_sell="open",

benchmark="",

plot_charts=True,

debug=False,

m_name="m3"

)

# </aistudiograph>

正确否？