test_f_macd.py 文件源码

def handle_bar(context, bar_dict):
    # ?????????????
    # ??????????history_bars??????ndarray????????????
    prices = history_bars(context.s1, context.OBSERVATION, '1d', 'close')

    # ?Talib??MACD?????????????????macd,signal ? hist
    macd, signal, hist = talib.MACD(prices, context.SHORTPERIOD, context.LONGPERIOD, context.SMOOTHPERIOD)

    # macd ?????????signal?macd?????????????????????????????????
    if (macd[-1] - signal[-1] > 0 and macd[-2] - signal[-2] < 0):
        sell_qty = context.portfolio.positions[context.s1].sell_quantity
        # ?????????????????????
        if (sell_qty > 0):
            buy_close(context.s1, 1)
        # ????
        buy_open(context.s1, 1)

    if (macd[-1] - signal[-1] < 0 and macd[-2] - signal[-2] > 0):
        buy_qty = context.portfolio.positions[context.s1].buy_quantity
        # ?????????????????????
        if (buy_qty > 0):
            sell_close(context.s1, 1)
        # ????
        sell_open(context.s1, 1)