十八、区块量化 CCI策略

#!/usr/bin/env python
# -*- coding: utf-8 -*-
import talib
import cross_order as order
import time

CCI_TIMEPERIOD = 84 # CCI计算周期
CCI_OVER_SOLD_THRESH = -250 # 超卖阈值
CCI_OVER_BOUGHT_THRESH = 350 # 超买阈值


def main():
print("任务开始时间：", time.strftime('%Y-%m-%d %H:%M:%S', time.localtime(time.time())))

for symbol in order.symbol_pool:
# 设置杠杆倍数
order.set_leverage(symbol=symbol, leverage='25')
# 获取标的的最新价
data = order.get_candlesticks(symbol=symbol, interval='15m', limit=str(LONG_WIN + 1))
close = data['close'].values
high = data['high'].values
low = data['low'].values

# 计算CCI
cci = talib.CCI(high, low, close, timeperiod=CCI_TIMEPERIOD)

# CCI策略
# CCi值上穿超卖阈值,做多
if (cci[-2] < CCI_OVER_SOLD_THRESH) and (cci[-1] >= CCI_OVER_SOLD_THRESH):
order.up_cross_order(symbol=symbol, ordtype='market', message='CCi值上穿超卖阈值,做多')
# CCI值下穿超买阈值,做空
elif (cci[-2] > CCI_OVER_BOUGHT_THRESH) and (cci[-1] <= CCI_OVER_BOUGHT_THRESH):
order.down_cross_order(symbol=symbol, ordtype='market', message='CCI值下穿超买阈值,做空')
time.sleep(5)

print("任务结束时间：", time.strftime('%Y-%m-%d %H:%M:%S', time.localtime(time.time())))


if __name__ == '__main__':
main()