跨品种套利策略：

本策略根据计算滚动的.过去的30个bar的均值正负0.5个标准差得到布林线
并在最新价差上穿上轨来做空价差,下穿下轨来做多价差
并在回归至上下轨水平内的时候平仓
 

获取数据：

# 获取两个品种的收盘价时间序列closes=ContextInfo.get_market_data(['close'], stock_code=ContextInfo.trade_pair, period = ContextInfo.period, count=31)if closes.empty:return

制作指标：

up_closes = closes[ContextInfo.trade_pair[0]]['close']
down_closes = closes[ContextInfo.trade_pair[1]]['close']
# 计算价差
spread = up_closes[:-1] - down_closes[:-1]
#spread=0
# 计算布林带上下轨
up = np.mean(spread) + 0.5 * np.std(spread)
down = np.mean(spread) - 0.5 * np.std(spread)
# 计算价差
if (up_closes[-1] is None) or (down_closes[-1] is None):spread_now=0
else:spread_now = up_closes[-1] - down_closes[-1]

策略代码：

#coding:gbk
'''
回测模型示例（非实盘交易策略）本策略根据计算滚动的.过去的30个bar的均值正负0.5个标准差得到布林线
并在最新价差上穿上轨来做空价差,下穿下轨来做多价差
并在回归至上下轨水平内的时候平仓
'''import numpy as npdef init(ContextInfo):ContextInfo.trade_pair=['rb00.SF','hc00.SF']ContextInfo.position_tag = {'long':False,'short':False}         #初始化持仓状态ContextInfo.set_universe(ContextInfo.trade_pair) # 设置标的期货合约对应股票池ContextInfo.accid = '103427'def handlebar(ContextInfo):index = ContextInfo.barposbartimetag = ContextInfo.get_bar_timetag(index)print(timetag_to_datetime(bartimetag,'%Y-%m-%d %H:%M%S'))# 获取两个品种的收盘价时间序列closes=ContextInfo.get_market_data(['close'], stock_code=ContextInfo.trade_pair, period = ContextInfo.period, count=31)if closes.empty:returnup_closes = closes[ContextInfo.trade_pair[0]]['close']down_closes = closes[ContextInfo.trade_pair[1]]['close']# 计算价差spread = up_closes[:-1] - down_closes[:-1]#spread=0# 计算布林带上下轨up = np.mean(spread) + 0.5 * np.std(spread)down = np.mean(spread) - 0.5 * np.std(spread)# 计算价差if (up_closes[-1] is None) or (down_closes[-1] is None):spread_now=0else:spread_now = up_closes[-1] - down_closes[-1]#无交易时若价差上(下)穿布林带上(下)轨则做空(多)价差position_up_long = ContextInfo.position_tag['long']position_up_short = ContextInfo.position_tag['short']if not position_up_long and not position_up_short:if spread_now > up:#开空code1，开多code2sell_open(ContextInfo.trade_pair[0],1,ContextInfo,ContextInfo.accid)buy_open(ContextInfo.trade_pair[1],1,ContextInfo,ContextInfo.accid)ContextInfo.position_tag['short'] = Trueif spread_now < down:#开多code1，开空code2buy_open(ContextInfo.trade_pair[0],1,ContextInfo,ContextInfo.accid)sell_open(ContextInfo.trade_pair[1],1,ContextInfo,ContextInfo.accid)ContextInfo.position_tag['long'] = True# 价差回归时平仓elif position_up_short:if spread_now <= up:#平空code1，平多code2buy_close_tdayfirst(ContextInfo.trade_pair[0],1,ContextInfo,ContextInfo.accid)sell_close_tdayfirst(ContextInfo.trade_pair[1],1,ContextInfo,ContextInfo.accid)ContextInfo.position_tag['short'] = False# 跌破下轨反向开仓if spread_now < down:#开多code1，开空code2buy_open(ContextInfo.trade_pair[0],1,ContextInfo,ContextInfo.accid)sell_open(ContextInfo.trade_pair[1],1,ContextInfo,ContextInfo.accid)ContextInfo.position_tag['long'] = Trueelif position_up_long:if spread_now >= down:#平多code1，平空code2sell_close_tdayfirst(ContextInfo.trade_pair[0],1,ContextInfo,ContextInfo.accid)buy_close_tdayfirst(ContextInfo.trade_pair[1],1,ContextInfo,ContextInfo.accid)ContextInfo.position_tag['long'] = Falseif spread_now > up:#开空code1，开多code2sell_open(ContextInfo.trade_pair[0],1,ContextInfo,ContextInfo.accid)buy_open(ContextInfo.trade_pair[1],1,ContextInfo,ContextInfo.accid)ContextInfo.position_tag['short'] = TrueContextInfo.paint('short_spread',int(spread_now > up),-1,0,'noaxis')ContextInfo.paint('long_spread',int(spread_now < down),-1,0,'noaxis')