【宽客策略】海龟系统源码分享
金字塔软件自带有海龟系统，不过那个写的太复杂不利于理解。后来去理思路的时候发现其实原本海龟设计没有很高深，关键就是在数量仓位上利用波动幅度atr来进行构建。出入场条件就根据唐奇安通道的高低位，属于典型的趋势跟踪策略，在期货上前几年收益还是很惊人的，不过近几年就不甚理想。
这里给出一个我自己整理逻辑后的模板范例
金字塔版本
TRR:=MAX(MAX((HIGH-LOW),ABS(REF(CLOSE,1)-HIGH)),ABS(REF(CLOSE,1)-LOW));//真实波幅
ATR:=ref(MA(TRR,20),1); //波幅的20日均线
unit:(asset*0.01)/(MULTIPLIER*atr);
INPUT:X(20,1,100,5);
X周期高点:=REF(HHV(H,X),1);//X是参数，自行调整
X周期低点:=REF(LLV(L,X),1);
//记录建仓的atr
variable:entry=0;
//记录交易次数
variable:num=0;
//入场条件:
开多条件:=High>=X周期高点 and barpos>20;
开空条件:=Low<=X周期低点 and barpos>20;
//建立头寸
if 开多条件 and holding=0 then
begin
buy(1,unit,marketr);
entry:=atr;
num:=1;
end
if 开空条件 and holding=0 then
begin
buyshort(1,unit,marketr);
entry:=atr;
num:=1;
end
//每盈利0.5个atr加仓，最多加4次
if holding>0 and high>enterprice+0.5*entry and num<4 then
begin
buy(1,unit,marketr);
num:=num+1;
end
if holding<0 and low<enterprice-0.5*entry and num<4 then
begin
buyshort(1,unit,marketr);
num:=num+1;
end
//统计出场和止损的次数
variable:n1=0,n2=0;
//止损2个atr
if holding>0 and low<enterprice-2*entry and holding>0 then
begin
sell(1,holding,marketr);
n1:=n1+1;
end
if holding<0 and high>enterprice+2*entry and holding<0 then
begin
sellshort(1,holding,marketr);
n1:=n1+1;
end
//破短期高低位，平仓出场
INPUT:Y(10,1,100,5);
Y周期高点:=REF(HHV(H,10),1);
Y周期低点:=REF(LLV(L,10),1);
if low<Y周期低点 and holding>0 then
begin
sell(1,holding,marketr);
n2:=n2+1;
end
if high>Y周期高点 and holding<0 then
begin
sellshort(1,holding,marketr);
n2:=n2+1;
end
Python版本
# 本Python代码主要用于策略交易
# 可以自己import我们平台支持的第三方python模块，比如pandas、numpy等。
from PythonApi import *
import numpy as np
import talib
import math
#在这个方法中编写任何的初始化逻辑。context对象将会在你的算法策略的任何方法之间做传递。--(必须实现)
def init(context):
#入场周期
context.X = 20
#出场周期
context.Y = 10
#记录建仓的atr
context.entry = 0
#记录交易次数
context.num = 0
#交易标的
context.s = context.run_info.base_book_id
#记录上次开仓价
context.enterprice = 0
# 你选择的品种的数据更新将会触发此段逻辑，例如日或分钟历史数据切片或者是实时数据切片更新。--(必须实现)
def handle_bar(context):
close = history_bars(context.s,context.X+2,'self','close',include_now=True)
high = history_bars(context.s,context.X+2,'self','high',include_now=True)
low = history_bars(context.s,context.X+2,'self','low',include_now=True)
if len(close) == context.X+2:
tr = talib.TRANGE(high,low,close)
atr = talib.SMA(tr,context.X)
unit = int((get_account(6)*0.01) / (atr[-2] * get_dynainf(context.s,209)))
#X天的高低点（不包含当天）
X周期高点 = high[:-1].max()
X周期低点 = low[:-1].min()
#建立头寸,根据唐奇安通道创新高入场,关键点就是利用波动atr计算仓位数量,portfolio用来进行仓位的控制
portfolio=get_portfolio (context.s, 2)
if high[-1]>=X周期高点 and portfolio.buy_quantity==0 and portfolio.sell_quantity==0:
buy_open(context.s, "Market",0 ,unit,serial_id = 1)
context.entry = atr[-2]
context.num = 1
context.enterprice = close[-1]
if low[-1]<=X周期低点 and portfolio.sell_quantity==0 and portfolio.buy_quantity==0:
sell_open(context.s, "Market",0 ,unit,serial_id = 2)
context.entry = atr[-2]
context.num = 1
context.enterprice = close[-1]
#加仓,最高价比上次开仓价多0.5个atr（盈利加仓）
if portfolio.sell_quantity ==0 and portfolio.buy_quantity>0 and high[-1]>context.enterprice + 0.5*context.entry and context.num<4:
buy_open(context.s, "Market",0 ,unit,serial_id = 3)
context.num+=1
context.enterprice = close[-1]
if portfolio.buy_quantity==0 and portfolio.sell_quantity>0 and low[-1]<context.enterprice - 0.5*context.entry and context.num<4:
sell_open(context.s, "Market",0 ,unit,serial_id = 4)
context.num+=1
context.enterprice = close[-1]
#出场，跌破短周期低点平多
Y周期高点 = high[-context.Y-1:-1].max()
Y周期低点 = low[-context.Y-1:-1].min()
if portfolio.buy_quantity>0 and low[-1] < Y周期低点:
sell_close(context.s,"Market",0,portfolio.buy_quantity,serial_id = 5)
if portfolio.sell_quantity>0 and high[-1] > Y周期高点:
buy_close(context.s,"Market",0,portfolio.sell_quantity,serial_id = 6)
#止损，亏损幅度超过开仓2个atr幅度止损
if portfolio.buy_quantity>0 and low[-1] < context.enterprice - 2*context.entry:
sell_close(context.s,"Market",0,portfolio.buy_quantity,serial_id = 7)
if portfolio.sell_quantity>0 and high[-1] > context.enterprice + 2*context.entry:
buy_close(context.s,"Market",0,portfolio.sell_quantity,serial_id = 8)
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