1st commit

big-quant.ipynb

+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "import tensorflow as tf\n",
+    "instrmt = ['600519.SHA']\n",
+    "s_date = '2016-01-01'\n",
+    "e_date = '2020-03-01'\n",
+    "\n",
+    "def initialize(context):\n",
+    "    context.set_commission(PerOrder(buy_cost=0.0005,\n",
+    "                                   sell_cost=0.0007,\n",
+    "                                   min_cost=5))\n",
+    "    context.short_period = 5\n",
+    "    context.long_period = 25\n",
+    "\n",
+    "def handle_data(context,data):\n",
+    "    if context.trading_day_index < context.long_period:\n",
+    "        return\n",
+    "    k = instrmt[0]\n",
+    "    sid = context.symbol(k)\n",
+    "    price = data.current(sid,'price')\n",
+    "    short_mavg = data.history(sid,'price',context.short_period,'1d').mean()\n",
+    "    long_mavg = data.history(sid,'price',context.long_period,'1d').mean()\n",
+    "    cash = context.portfolio.cash\n",
+    "    cur_possess = context.portfolio.positions[sid].amount\n",
+    "    if short_mavg > long_mavg and cur_possess == 0 and data.can_trade(sid):\n",
+    "        context.order(sid,int(cash/price/100)*100)\n",
+    "    elif short_mavg < long_mavg and cur_possess > 3 and data.can_trade(sid):\n",
+    "        context.order_target_percent(sid,3)\n",
+    "        \n",
+    "        \n",
+    "tar = M.trade.v4(start_date=s_date,\n",
+    "                 end_date=e_date, \n",
+    "                 initialize=initialize, \n",
+    "                 handle_data=handle_data, \n",
+    "                 instruments=instrmt, \n",
+    "                 prepare=None, \n",
+    "                 before_trading_start=None, \n",
+    "                 volume_limit=0.025, \n",
+    "                 order_price_field_buy='open', \n",
+    "                 order_price_field_sell='close', \n",
+    "                 capital_base=50000.0, \n",
+    "                 auto_cancel_non_tradable_orders=True, \n",
+    "                 data_frequency='daily', \n",
+    "                 price_type='真实价格', \n",
+    "                 product_type='股票', \n",
+    "                 plot_charts=True, \n",
+    "                 backtest_only=False, \n",
+    "                 options_data=None, \n",
+    "                 options=None, \n",
+    "                 history_ds=None, \n",
+    "                 benchmark_ds=None, \n",
+    "                 benchmark='', \n",
+    "                 trading_calendar=None, \n",
+    "                 amount_integer=None)"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.8.3"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 4
+}