简单趋势策略研究

交易对象：目前使用各种主力合约进行交易。

交易平台：易盛极星极星产品网

手续费研究:白糖期货手续费和保证金2023年09月更新 - 九期网

本人使用的期货交易公司：中信期货（幸亏资金量大，返还高，不然就是给期货公司打工。套利的间接成本很高，滑点，手续费。）

特点：1.趋势策略，普遍存在的低胜率，高盈亏比，回撤大。

2.底层逻辑来自趋势不可逆，一旦趋势出现，抗住回调的情况下，收益惊人。

3.较为简单的思路，为很多小白创造出收益曲线。

4.波动大，是其主要特征，会出现极端行情，风险大，收益高使得其成为很多小白的首选

5.统计学和基本面，是套利的两大主流方向，如有其他的，欢迎补充。

统计套利，就是根据k线图，选择做多，做空

基本面套利，则是更具当前期货价格，现货价格，预测期货价格方向。

我上传一段简单的趋势合约套利代码，直接使用即可。

思路为：肯特那通道的变种，加入网格系统。做到止盈止损，但黑天鹅我无法保证。

import talib
import talib as ta
import numpy as np
code1  =  "CFFEX|Z|IM|MAIN"
g_params['n'] = 20 #滚动周期极值
g_params['m'] = 20 #ATR参数
#g_params['p'] = 20 #std周期
g_params['w'] = 'M'
g_params['T'] = 15
g_params['p3'] = 1 #止损线距离
g_params['p1'] = 10
g_params['adx'] = 20
g_params['m2'] =5
# 策略参数，全局变量，各个k线都可以调用
up1 = []
down1 = []
up2 = []
down2 = []
up3 = []
down3 = []
up4 = []
down4 = []
std = []
up_limit1 = []
down_limit1 = []
up_limit2 = []
down_limit2 = []
up_limit3 = []
down_limit3 = []
up_limit4 = []
down_limit4 = []
ran = []BKDFLG = 0
SKDFLG = 0
BPDFLG = 0
SPDFLG = 0#开仓委托
BKID = 0
SKID = 0
#平仓委托
BPID = 0
SPID = 0
#开仓标志
BKFLG = 0
SKFLG = 0
#平仓标志 
BPFLG = 0
SPFLG = 0
#开仓撤单标志
BKDEL = 0
SKDEL = 0
#平仓撤单标志
BPDEL = 0
SPDEL = 0
#开仓委托手数
BKM = 0
SKM = 0
#平仓委托手数
BPM = 0
SPM = 0
#开仓委托价格
BKP = 0
SKP = 0
#平仓委托价格
BPP = 0
SPP = 0
#开仓委托时间
BKT = 0
SKT = 0
#平仓委托时间
BPT = 0
SPT = 0def minprice(price1,price2):if price1>price2:return price2else:return price1
def maxprice(price1,price2):if price1>price2:return price1else:return price2
# 价格矫正为最小变动价整数倍
def PriceCorrect(src,tick):if tick:return (int((src+0.5*tick)/tick))*tickelse:src
# 策略开始运行时执行该函数一次
def initialize(context):SetBarInterval(code1, g_params['w'], g_params['T'],1000)SetTriggerType(1)SetOrderWay(1)SetActual()SetAFunUseForHis()SetUserNo('Q1010422846')  # 设置交易账号# 策略触发事件每次触发时都会执行该函数
def handle_data(context):#当前k线判断，内部函数#出现开平仓信号# BKDFLG = 0# SKDFLG = 0# BPDFLG = 0# SPDFLG = 0# BKFLG =0# SKFLG =0# BPFLG =0 # SPFLG =0 #全局运作，超出k线#全局变量，不受时间约束global up1global down1global up2global down2global up3global down3global up4global down4global stdglobal up_limit1 global down_limit1global up_limit2 global down_limit2global up_limit3 global down_limit3global up_limit4 global down_limit4global ranglobal BKDFLG global SKDFLG global BPDFLG global SPDFLG global BKIDglobal SKIDglobal BPIDglobal SPIDglobal BKFLGglobal SKFLGglobal BPFLGglobal SPFLGglobal BKDELglobal SKDELglobal BPDELglobal SPDELglobal BKMglobal SKMglobal BPMglobal SPMglobal BKPglobal SKPglobal BPPglobal SPPglobal BKTglobal SKTglobal BPTglobal SPT#确定前面有足够的数据if (CurrentBar() >= len(up1)):if (len(up1)) < 1:up1.append(0)down1.append(0)up2.append(0)down2.append(0)up3.append(0)down3.append(0)up4.append(0)down4.append(0)std.append(0)up_limit1.append(0)down_limit1.append(0)up_limit2.append(0)down_limit2.append(0)up_limit3.append(0)down_limit3.append(0)up_limit4.append(0)down_limit4.append(0)ran.append(0)# preEntryPrice.append(0)else:up1.append(up1[-1])down1.append(down1[-1])up2.append(up2[-1])down2.append(down2[-1])up3.append(up3[-1])down3.append(down3[-1])up4.append(up4[-1])down4.append(down4[-1])std.append(std[-1])up_limit1.append(up_limit1[-1])down_limit1.append(down_limit1[-1])up_limit2.append(up_limit2[-1])down_limit2.append(down_limit2[-1])up_limit3.append(up_limit3[-1])down_limit3.append(down_limit3[-1])up_limit4.append(up_limit4[-1])down_limit4.append(down_limit4[-1])ran.append(ran[-1])#从第N根k线开始进行程序运行if len(Close()) < g_params['p1']:returnm = g_params['m']m2 = g_params['m2']x = code1ran[-1] = ta.ATR(High(x, str(g_params['w'] ), g_params['T'])[:-1], Low(x, str(g_params['w'] ), g_params['T'])[:-1], Close(x, str(g_params['w'] ), g_params['T'])[:-1], m)[-1] // PriceTick(x) * PriceTick(x)  # 一个周期前ranadx = ta.ADX(High(x, str(g_params['w'] ), g_params['T'])[:-1], Low(x, str(g_params['w'] ), g_params['T'])[:-1], Close(x, str(g_params['w'] ), g_params['T'])[:-1], m2)up1[-1] =  High(x,str(g_params['w'] ), g_params['T'])[-g_params['n']:-1].max()#up_limit1[-1] = up1[-1] + ran[-1]*g_params['p3']down1[-1] = Low(x,str(g_params['w'] ), g_params['T'])[-g_params['n']:-1].min()#down_limit1[-1] = down1[-1] - ran[-1]*g_params['p3']up2[-1] =  Close(x,str(g_params['w'] ), g_params['T'])[-g_params['n']:-1].max()up_limit2[-1] = up2[-1] - ran[-1]*g_params['p3']down2[-1] = Close(x,str(g_params['w'] ), g_params['T'])[-g_params['n']:-1].min()down_limit2[-1] = down2[-1] + ran[-1]*g_params['p3']LogInfo(A_BuyPosition(code1),A_SellPosition(code1),BuyPosition(code1),SellPosition(code1))PlotNumeric('up1',up1[-1],RGB_Red(),True)PlotNumeric('up_limit2',up_limit2[-1],RGB_Blue(),True)PlotNumeric('down1',down1[-1],RGB_Green(),True)PlotNumeric('down_limit2',down_limit2[-1],RGB_Yellow(),True)PlotNumeric('adx',adx[-1],RGB_Yellow(),False)BKDFLG = 0SKDFLG = 0BPDFLG = 0SPDFLG = 0TotalEquity = CurrentEquity()  # 权益TurtleUnits = 1 # 开仓数量TurtleUnits = int(TurtleUnits)  # 对小数取整# if  (CurrentTime()>=0.210000 and CurrentTime()<=0.210000+1*0.0001) or (CurrentTime()>=0.150000-g_params['T']*0.0001 and CurrentTime()<=0.150000+1*0.0001):#     return# 执行下单操作if Q_Close()>up1[-1] and A_BuyPosition(x)==0 and A_SellPosition(x)==0 and adx[-1]>g_params['adx']:if BKDFLG == 0:BKDFLG = 1elif  Q_Close()<up_limit2[-1]\and  A_BuyPosition(x)>0 and A_SellPosition(x)==0 :if SPDFLG == 0:SPDFLG = 1  # 止损信号出现 elif  (Q_Close()<down1[-1])\and A_BuyPosition(x)==0 and A_SellPosition(x)==0  and adx[-1]>g_params['adx']:if SKDFLG ==0:SKDFLG = 1elif  (Q_Close()>down_limit2[-1])\and  A_BuyPosition(x)==0 and A_SellPosition(x)>0 :if BPDFLG ==0:BPDFLG = 1  # 发出止损信号ss = int(A_Assets()*0.005/(Q_Close()*0.1*10))ss = 1#//------------------------历史发单------------------------//if context.strategyStatus() != 'C':if BKDFLG:Buy(ss, up1[-1], needCover=False) elif SKDFLG:SellShort(ss,down1[-1], needCover=False)elif SPDFLG:Sell(ss, up_limit2[-1])elif BPDFLG:BuyToCover(ss, down_limit2[-1])return#//------------------------实时处理------------------------//if ExchangeStatus(ExchangeName()) != '3':return#//------------------------变量赋值------------------------//N = int(A_Assets()*0.0005/(Q_Close()*0.1*10))#N = 10LogInfo('N',N)N = 1 #N = 1 #下单手数T = 5 #时间间隔NOW = CurrentTime() #当前时间BIDP = 0 if Q_BidPrice() is None else Q_BidPrice() #买一价ASKP = 0 if Q_AskPrice() is None else Q_AskPrice() #卖一价BRP = A_BuyPositionCanCover() #多头可用持仓SRP = A_SellPositionCanCover() #空头可用持仓# if ExchangeName() == 'SHFE': #如果是上期所合约#     SH = Enum_ExitToday() #平仓参数# else: #如果非上期所合约#     SH = Enum_Exit() #平仓参数SH = Enum_ExitToday()#//------------------------成交判断------------------------//if BKFLG == 1:if A_OrderStatus(BKID) == Enum_Filled():LogInfo("BK信号：买开委托成交！")BKFLG = 0 #买开标志归0BKDEL = 0 #买开撤单标志归0elif A_OrderStatus(BKID) == Enum_Canceled():LogInfo("BK信号：买开委托已撤！")if A_OrderFilledLot(BKID) > 0: #如果买开委托部分成交BKM = BKM - A_OrderFilledLot(BKID) #买开委托手数if BKM > 0: #如果买开委托手数大于0BKP = ASKP #买开委托价格LogInfo("BK信号：买开委托追价！")retCode, BKID = A_SendOrder(Enum_Buy(),Enum_Entry(),BKM,BKP) #发出买开委托BKT = NOW #买开委托时间BKDEL = 0 #买开撤单标志归0elif A_OrderStatus(BKID) == Enum_Suspended() or A_OrderStatus(BKID) == Enum_FillPart():if BKDEL == 0: #如果未撤单if TimeDiff(BKT, NOW) >= T: #如果时间间隔T秒LogInfo("BK信号：买开委托撤单！")A_DeleteOrder(BKID) #撤掉买开委托挂单BKDEL = 1 #已发出撤掉买开委托挂单if SPFLG == 1:if A_OrderStatus(SPID) == Enum_Filled():LogInfo("SP信号：卖平委托成交！")SPFLG = 0 #卖平标志归0SPDEL = 0 #卖平撤单标志归0elif A_OrderStatus(SPID) == Enum_Canceled():LogInfo("SP信号：卖平委托已撤！")if A_OrderFilledLot(SPID) > 0: #如果卖平委托部分成交SPM = SPM - A_OrderFilledLot(SPID) #卖平委托手数if BRP > 0 and SPM > 0 and SPM <= BRP: #如果卖平委托手数不超过多头可用持仓SPP = BIDP #卖平委托价格LogInfo("SP信号：卖平委托追价！")retCode, SPID = A_SendOrder(Enum_Sell(),SH,SPM,SPP) #发出卖平委托SPT = NOW #卖平委托时间SPDEL = 0 #卖平撤单标志归0elif A_OrderStatus(SPID) == Enum_Suspended() or A_OrderStatus(SPID) == Enum_FillPart():if SPDEL == 0: #如果未撤单if TimeDiff(SPT, NOW) >= T: #如果时间间隔T秒LogInfo("SP信号：卖平委托撤单！")A_DeleteOrder(SPID) #撤掉卖平委托挂单SPDEL = 1 #已发出撤掉卖平委托挂单if SKFLG == 1:if A_OrderStatus(SKID) == Enum_Filled():LogInfo("SK信号：卖开委托成交！")SKFLG = 0 #卖开标志归0SKDEL = 0 #卖开撤单标志归0elif A_OrderStatus(SKID) == Enum_Canceled():LogInfo("SK信号：卖开委托已撤！")if A_OrderFilledLot(SKID) > 0: #如果卖开委托部分成交SKM = SKM - A_OrderFilledLot(SKID) #卖开委托手数if SKM > 0: #如果卖开委托手数大于0SKP = BIDP #卖开委托价格LogInfo("SK信号：卖开委托追价！")retCode, SKID = A_SendOrder(Enum_Sell(), Enum_Entry(), SKM, SKP) #发出卖开委托SKT = NOW #卖开委托时间SKDEL = 0 #卖开撤单标志归0elif A_OrderStatus(SKID) == Enum_Suspended() or A_OrderStatus(SKID) == Enum_FillPart():if SKDEL == 0: #如果未撤单if TimeDiff(SKT, NOW) >= T: #如果时间间隔T秒LogInfo("SK信号：卖开委托撤单！")A_DeleteOrder(SKID) #撤掉卖开委托挂单SKDEL = 1 #已发出撤掉卖开委托挂单if BPFLG == 1:if A_OrderStatus(BPID) == Enum_Filled():LogInfo("BP信号：买平委托成交！")BPFLG = 0 #买平标志归0BPDEL = 0 #买平撤单标志归0elif A_OrderStatus(BPID) == Enum_Canceled():LogInfo("BP信号：买平委托已撤！")if A_OrderFilledLot(BPID) > 0:  #如果买平委托部分成交BPM = BPM - A_OrderFilledLot(BPID) #买平委托手数if SRP > 0 and BPM > 0 and BPM <= SRP: #如果买平委托手数不超过空头可用持仓BPP = ASKP #买平委托价格LogInfo("BP信号：买平委托追价！")retCode, BPID = A_SendOrder(Enum_Buy(),SH,BPM,BPP) #发出买平委托BPT = NOW #买平委托时间BPDEL = 0 #买平撤单标志归0elif A_OrderStatus(BPID) == Enum_Suspended() or A_OrderStatus(BPID) == Enum_FillPart():if BPDEL == 0: #如果未撤单if TimeDiff(BPT, NOW) >= T: #如果时间间隔T秒LogInfo("BP信号：买平委托撤单！")A_DeleteOrder(BPID) #撤掉买平委托挂单BPDEL = 1 #已发出撤掉买平委托挂单#//------------------------委托处理------------------------//if BKDFLG == 1:if BKFLG == 0: #如果没有买开委托BKM = N #买开委托手数BKP = ASKP #买开委托价格LogInfo("BK信号：买开委托发出】")retCode, BKID = A_SendOrder(Enum_Buy(),Enum_Entry(),BKM,BKP) #发出买开委托BKT = NOW #买开委托时间BKFLG = 1 #已发出买开委托BKDFLG= 0if SPDFLG == 1:if SPFLG == 0: #如果没有卖平委托if BRP > 0: #如果有多头可用持仓SPM = BRP #卖平委托手数SPP = BIDP #卖平委托价格LogInfo("SP信号：卖平委托发出！")retCode, SPID = A_SendOrder(Enum_Sell(),SH,SPM,SPP) #发出卖平委托SPT = NOW #卖平委托时间SPFLG = 1 #已发出卖平委托SPDFLG = 0if SKDFLG == 1:if SKFLG == 0: #如果没有卖开委托SKM = N #卖开委托手数SKP = BIDP #卖开委托价格LogInfo("SK信号：卖开委托发出！")retCode, SKID = A_SendOrder(Enum_Sell(),Enum_Entry(),SKM,SKP) #发出卖开委托SKT = NOW #卖开委托时间SKFLG = 1 #已发出卖开委托SKDFLG = 0if BPDFLG == 1:if BPFLG == 0: #如果没有买平委托if SRP > 0: #如果有空头可用持仓BPM = SRP #买平委托手数BPP = ASKP #买平委托价格LogInfo("BP信号：买平委托发出！")retCode, BPID = A_SendOrder(Enum_Buy(),SH,BPM,BPP) #发出买平委托BPT = NOW #买平委托时间BPFLG = 1 #已发出买平委托BPDFLG =0