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菲阿里四价策略

　　菲阿里四价策略是一种比较简单的趋势型日内交易策略。昨天高点、昨天低点、昨日收盘价、今天开盘价，可并称为菲阿里四价。它由日本期货冠军菲阿里实盘采用的主要突破交易参照系。菲阿里四价是日内突破策略，所以每日收盘之前都需要进行平仓。该策略的上下轨以及用法如下所示:

　　上轨＝昨日高点；

　　下轨＝昨日低点；

　　当价格突破上轨，买入开仓；

　　当价格跌穿下轨，卖出开仓。

import talibfrom rqalpha.api import *import numpyimport pandas as pdfrom pandas import Seriesfrom rqalpha import run_funcfrom rqalpha.api import industry, update_universe, order_target_valuefrom rqalpha.utils import schedulerimport numpy as npimport pandas as pdimport loggingimport warningsfrom math import ceilimport numpy as npimport pandas as pdimport matplotlib.pyplot as pltfrom rqalpha.api import *import scipy.optimize as scoimport seaborn as snsimport talibfrom sklearn.metrics import mean_squared_errorfrom sklearn.model_selection import TimeSeriesSplitfrom sklearn.preprocessing import StandardScalerdef init(context):    context.feature_id = "IH88"    subscribe(context.feature_id)    context.per_qty = 10def before_trading(context):    passdef handle_bar(context, bar_dict):    if context.now.strftime('%H:%M') < '14:59':        yest_high = history_bars(context.feature_id, 1, '1d', 'high')[-1]        yest_low = history_bars(context.feature_id, 1, '1d', 'low')[-1]        last_open = history_bars(context.feature_id, 1, '1m', 'open')        last_close = history_bars(context.feature_id, 1, '1m', 'close')        if last_open <= yest_high < last_close:            buy_open(context.feature_id, context.per_qty)        elif last_open >= yest_low > last_close:            sell_open(context.feature_id, context.per_qty)    else:        buy_qty = context.portfolio.positions[context.feature_id].buy_quantity        sell_qty = context.portfolio.positions[context.feature_id].sell_quantity        if buy_qty > 0:            sell_close(context.feature_id, buy_qty)        if sell_qty > 0:            buy_close(context.feature_id, sell_qty)

看起来还是不错的,原始裸策略,未做任何优化的,跑出这样的成绩还是意外的.

参考:

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