嘉庆离散指标测试

来源：https://uqer.io/community/share/55595229f9f06c6c7104f8b3

import numpy as np
start = datetime(2011, 1, 1)
end   = datetime(2015, 4, 27)
benchmark = 'HS300'
universe  = set_universe('HS300')
capital_base = 100000
short_history = 30
longest_history = 60

pos_pieces = 10
enter_window = 20
exit_window = 10
N = 4

def initialize(account):
    account.postion_size_hold = {}
    for stk in universe:
        account.postion_size_hold[stk] = 0

def handle_data(account):
    for stock in account.universe:
        cnt_price = account.referencePrice[stock]
        a1 = account.get_attribute_history('closePrice', longest_history)[stock]-account.get_attribute_history('lowPrice', longest_history)[stock]
        b1 = account.get_attribute_history('closePrice', longest_history)[stock]-account.get_attribute_history('highPrice',longest_history)[stock]
        c1 = account.get_attribute_history('highPrice',longest_history)[stock]-account.get_attribute_history('lowPrice',longest_history)[stock]
        d1 = account.get_attribute_history('turnoverVol', longest_history)[stock]
        adl = ((((a1)-(b1))/(c1)))*d1
        a2 = account.get_attribute_history('closePrice', short_history)[stock]-account.get_attribute_history('lowPrice', short_history)[stock]
        b2 = account.get_attribute_history('closePrice', short_history)[stock]-account.get_attribute_history('highPrice',short_history)[stock]
        c2 = account.get_attribute_history('highPrice',short_history)[stock]-account.get_attribute_history('lowPrice',short_history)[stock]
        d2 = account.get_attribute_history('turnoverVol', short_history)[stock]
        ads = ((((a2)-(b2))/(c2)))*d2

        mean_cp1 = adl.mean()
        mean_cp2 = ads.mean()

        flag = mean_cp1 - mean_cp2
        if flag > 0 and account.postion_size_hold[stock]<N:
            order_to(stock, capital_base/pos_pieces/cnt_price/N)
            account.postion_size_hold[stock] += 1
        elif flag < 0 :
            order_to(stock, 0)
            account.postion_size_hold[stock] = 0