MACD平滑异同移动平均线方法

来源:https://uqer.io/community/share/55a4e581f9f06c6dd0e17efa

策略思路:

MACD(Moving Average Convergence and Divergence)是Geral Appel 于1979年提出的,利用收盘价的短期(常用为12日)指数移动平均线与长期(常用为26日)指数移动平均线之间的聚合与分离状况,对买进、卖出时机作出研判的技术指标。

公式算法:

  • 短期EMA: 短期(例如12日)的收盘价指数移动平均值(Exponential Moving Average)
  • 长期EMA: 长期(例如26日)的收盘价指数移动平均值(Exponential Moving Average)
  • DIF线: (Difference)短期EMA和长期EMA的离差值
  • DEA线: (Difference Exponential Average)DIF线的M日指数平滑移动平均线
  • MACD线: DIF线与DEA线的差

参数:SHORT(短期)、LONG(长期)、M天数,一般为12、26、9。指数加权平滑系数为:

  • 短期EMA平滑系数: 2/(SHORT+1)
  • 长期EMA平滑系数: 2/(LONG+1)
  • DEA线平滑系数: 2/(M+1)

策略实现:

  • DIF从下而上穿过DEA,买进;
  • 相反,如DIF从上往下穿过DEA,卖出。
import pandas as pd

start = datetime(2013, 1, 1)
end = datetime(2015, 7, 13)
benchmark = 'HS300'
#universe = ['601398.XSHG', '600028.XSHG', '601988.XSHG', '600036.XSHG', '600030.XSHG',
            #'601318.XSHG', '600000.XSHG', '600019.XSHG', '600519.XSHG', '601166.XSHG']
universe = set_universe('SH50')
capital_base = 200000
refresh_rate = 1
window = 1

initMACD = -10000.0
histMACD = pd.DataFrame(initMACD, index = universe, columns = ['preShortEMA', 'preLongEMA', 'preDIF', 'preDEA'])
shortWin = 26    # 短期EMA平滑天数
longWin  = 52    # 长期EMA平滑天数
macdWin  = 15    # DEA线平滑天数

longest_history = window

def initialize(account):
    account.amount = 10000
    account.universe = universe
    account.days = 0

def handle_data(account):
    account.days = account.days+1

    for stk in account.universe:
        all_close_prices = account.get_attribute_history('closePrice', 1)
        prices = all_close_prices[stk]
        if prices is None:
            continue

        preShortEMA = histMACD.at[stk, 'preShortEMA']
        preLongEMA = histMACD.at[stk, 'preLongEMA']
        preDIF = histMACD.at[stk, 'preDIF']
        preDEA = histMACD.at[stk, 'preDEA']
        if preShortEMA == initMACD or preLongEMA == initMACD:
            histMACD.at[stk, 'preShortEMA'] = prices[-1]
            histMACD.at[stk, 'preLongEMA'] = prices[-1]
            histMACD.at[stk, 'preDIF'] = 0
            histMACD.at[stk, 'preDEA'] = 0
            return

        shortEMA = preShortEMA*1.0*(shortWin-1)/(shortWin+1) + prices[-1]*2.0/(shortWin+1)
        longEMA = preLongEMA*1.0*(longWin-1)/(longWin+1) + prices[-1]*2.0/(longWin+1)
        DIF = shortEMA - longEMA
        DEA = preDEA*1.0*(macdWin-1)/(macdWin+1) + DIF*2.0/(macdWin+1)

        histMACD.at[stk, 'preShortEMA'] = shortEMA
        histMACD.at[stk, 'preLongEMA'] = longEMA
        histMACD.at[stk, 'preDIF'] = DIF
        histMACD.at[stk, 'preDEA'] = DEA

        if account.days > longWin and account.days%1 == 0:
            #if DIF > 0 and DEA > 0 and preDIF > preDEA and DIF < DEA:
            if preDIF > preDEA and DIF < DEA:
                order_to(stk, 0)
            #if DIF < 0 and DEA < 0 and preDIF < preDEA and DIF > DEA:
            if preDIF < preDEA and DIF > DEA:
                amount = account.amount/prices[-1]
                order_to(stk, amount)

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