三十四、StochRsi 策略

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


def StochRSI(close, lengthRSI=14, lengthStoch=14, smoothK=3, smoothD=3):
"""
计算StochRSI(close)，有5个参数，第1个为数据源
@param close: 数据源
@param lengthRSI: RSI参数
@param lengthStoch: Stoch参数
@param smoothK: K参数
@param smoothD: D参数
@return:
"""
# 计算RSI
lc = close.shift(1)
diff = close - lc
up = diff.where(diff > 0, 0)
down = -diff.where(diff < 0, 0)
ema_up = up.ewm(alpha=1 / lengthRSI, adjust=False).mean()
ema_down = down.ewm(alpha=1 / lengthRSI, adjust=False).mean()
rs = ema_up / ema_down
rsi = 100 - 100 / (1 + rs)
# 计算Stochastic
stoch = (rsi - rsi.rolling(window=lengthStoch).min()) / (rsi.rolling(window=lengthStoch).max() -
rsi.rolling(window=lengthStoch).min())
k = stoch.rolling(window=smoothK).mean()
d = k.rolling(window=smoothD).mean()
# 添加到data中
STOCHRSI = k * 100
MASTOCHRSI = d * 100
return STOCHRSI, MASTOCHRSI


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')
# 15分钟
df = order.get_candlesticks(symbol=symbol, interval='15m', limit=str(181))
fastk, fastd = StochRSI(df['close'], 14, 14, 3, 3)
if (fastk.iloc[-2] or fastd.iloc[-2] < 20) and (
fastk.iloc[-1] or fastd.iloc[-1] >= 20):
order.up_cross_order(symbol=symbol, ordtype='market', message='StochRSI 策略做多')
elif (fastk.iloc[-2] or fastd.iloc[-2] < 80) and (
fastk.iloc[-1] or fastd.iloc[-1] >= 80):
order.down_cross_order(symbol=symbol, ordtype='market', message='StochRSI 策略做空')

time.sleep(2)

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


if __name__ == '__main__':
print("程序运行时间：", time.strftime('%Y-%m-%d %H:%M:%S', time.localtime(time.time())))
main()