11.1 VWAP · Value-Weighted Average Price (VWAP)
You can find it in API doc
start = '2011-01-01' # 回测起始时间
end = '2015-01-01' # 回测结束时间
benchmark = 'SH50' # 策略参考标准
universe = set_universe('SH50')
capital_base = 100000 # 起始资金
longest_history = 40 # handle_data 函数中可以使用的历史数据最长窗口长度
refresh_rate = 1 # 调仓频率,即每 refresh_rate 个交易日执行一次 handle_data() 函数
threshold = 0.03
def initialize(account): # 初始化虚拟账户状态
pass
def handle_data(account): # 每个交易日的买入卖出指令
for s in account.universe:
try:
inter = 20
hist = account.get_symbol_history(s, inter)
except:
continue
vwampvalue = sum(hist['turnoverValue'])/sum(hist['turnoverVol'])
if(hist['lowPrice'][-1] < vwampvalue*(1 - threshold)) and (s not in account.valid_secpos):
order(s,100)
if(hist['lowPrice'][-1] > vwampvalue) and (s in account.valid_secpos):
order_to(s,0)
easy strategy.. bad results....
It's very difficult to get a good alpha......