赌盘的策略思考 - 菲阿里四价策略

这里分享第二个策略 - 菲阿里四价策略

菲阿里四价指的是：昨日高点、昨日低点、昨天收盘、今天开盘四个价格。

菲阿里四价上下轨的计算非常简单。昨日高点为上轨，昨日低点为下轨。当价格突破上轨时，买入开仓；当价格突破下轨时，卖出开仓。

作法

第一步：获取昨日最高价、最低价、收盘价、开盘价四个数据。
第二步：计算上轨和下轨。当价格上穿上轨时，买入开仓；当价格下穿下轨时，卖出开仓。
第三步：当日平仓。

from shioaji.data import Kbars

kbars = api.kbars(api.Contracts.Futures.TXF['TXF202110'], start="2021-09-29", end="2021-09-29")
df = pd.DataFrame({**kbars})
df.ts = pd.to_datetime(df.ts)

nwedf = df.drop(df[(df['ts'] < "2021-09-29 08:45:00") | (df['ts'] > "2021-09-29 13:45:00")].index).reset_index()

open = nwedf['Open'][0]
close = nwedf['Close'][0]

column = nwedf['High']
max_value = column.max()

column = nwedf['Low']
min_value = column.min()

minute_close = pd.Series()
stock = 0
price = 0
reward = 0
sig = []

for i in range(0,700):
  # 抓snapshot
  snapshots = api.snapshots(contracts)
  
  # 存到分k收盘价的series
  minute_close = minute_close.append(pd.Series(
      [snapshots[0].close], 
      index=[pd.to_datetime(snapshots[0].ts, unit='ns')]
  ))

  now = datetime.now()
  current_time = now.strftime("%H:%M:%S")

  # 当价格上穿上轨时，买入开仓
  if snapshots[0].close > max_value and stock == 0:
    stock += 1
    price = snapshots[0].close
    sig.append(1)
    print("Current Time =", current_time, "buy :", price)
    
  # 当价格下穿下轨时，卖出开仓
  elif snapshots[0].close < min_value and stock == 1:
    stock -= 1
    reward = price - snapshots[0].close
    sig.append(-1)
    print("Current Time =", current_time, "sell :", price, "reward :", reward)
  else:
    sig.append(0)


  time.sleep(60)


# 当日平仓
if stock > 0:
  reward = price - snapshots[0].close
  sig.append(-1)
  print("Current Time =", current_time, "sell :", price, "reward :", reward)
elif stock < 0:
  reward = price - snapshots[0].close
  sig.append(-1)
  print("Current Time =", current_time, "buy :", price, "reward :", reward)

实际跑了一下策略，发现这个策略适合用在多头市场，假如市场转空，应该把策略反过来操作