Versi Python dari Commodity Futures Intertemporal Bollinger Hedge Strategy (Hanya untuk tujuan studi)

Strategi arbitrage intertemporal yang ditulis sebelumnya membutuhkan input manual dari spread lindung nilai untuk posisi pembukaan dan penutupan.

class Hedge:
    'Hedging control class'
    def __init__(self, q, e, initAccount, symbolA, symbolB, maPeriod, atrRatio, opAmount):
        self.q = q 
        self.initAccount = initAccount
        self.status = 0
        self.symbolA = symbolA
        self.symbolB = symbolB
        self.e = e
        self.isBusy = False 
        
        self.maPeriod = maPeriod
        self.atrRatio = atrRatio
        self.opAmount = opAmount
        self.records = []
        self.preBarTime = 0
        
    def poll(self):
        if (self.isBusy or not exchange.IO("status")) or not ext.IsTrading(self.symbolA):
            Sleep(1000)
            return 

        insDetailA = exchange.SetContractType(self.symbolA)
        if not insDetailA:
            return 

        recordsA = exchange.GetRecords()
        if not recordsA:
            return 

        insDetailB = exchange.SetContractType(self.symbolB)
        if not insDetailB:
            return 

        recordsB = exchange.GetRecords()
        if not recordsB:
            return 

        # Calculate the spread price K line
        if recordsA[-1]["Time"] != recordsB[-1]["Time"]:
            return 

        minL = min(len(recordsA), len(recordsB))
        rA = recordsA.copy()
        rB = recordsB.copy()

        rA.reverse()
        rB.reverse()
        count = 0
        
        arrDiff = []
        for i in range(minL):
            arrDiff.append(rB[i]["Close"] - rA[i]["Close"])
        arrDiff.reverse()
        if len(arrDiff) < self.maPeriod:
            return 

        # Calculate Bollinger Bands indicator
        boll = TA.BOLL(arrDiff, self.maPeriod, self.atrRatio)

        ext.PlotLine("upper trail", boll[0][-2], recordsA[-2]["Time"])
        ext.PlotLine("middle trail", boll[1][-2], recordsA[-2]["Time"])
        ext.PlotLine("lower trail", boll[2][-2], recordsA[-2]["Time"])
        ext.PlotLine("Closing price spread", arrDiff[-2], recordsA[-2]["Time"])

        LogStatus(_D(), "upper trail:", boll[0][-1], "\n", "middle trail:", boll[1][-1], "\n", "lower trail:", boll[2][-1], "\n", "Current closing price spread:", arrDiff[-1])
        
        action = 0
        # Signal trigger
        if self.status == 0:
            if arrDiff[-1] > boll[0][-1]:
                Log("Open position A buy B sell", ", A latest price:", recordsA[-1]["Close"], ", B latest price:", recordsB[-1]["Close"], "#FF0000")
                action = 2
                # Add chart markers
                ext.PlotFlag(recordsA[-1]["Time"], "A buy B sell", "Positive")
            elif arrDiff[-1] < boll[2][-1]:
                Log("Open position A sell B buy", ", A latest price:", recordsA[-1]["Close"], ", B latest price:", recordsB[-1]["Close"], "#FF0000")
                action = 1
                # Add chart markers
                ext.PlotFlag(recordsA[-1]["Time"], "A sell B buy", "Negative")
        elif self.status == 1 and arrDiff[-1] > boll[1][-1]:
            Log("Close position A buy B sell", ", A latest price:", recordsA[-1]["Close"], ", B latest price:", recordsB[-1]["Close"], "#FF0000")
            action = 2
            # Add chart markers
            ext.PlotFlag(recordsA[-1]["Time"], "A buy B sell", "Close Negative")
        elif self.status == 2 and arrDiff[-1] < boll[1][-1]:
            Log("Close position A sell B buy", ", A latest price:", recordsA[-1]["Close"], ", B latest price:", recordsB[-1]["Close"], "#FF0000")
            action = 1 
            # Add chart markers
            ext.PlotFlag(recordsA[-1]["Time"], "A sell B buy", "Close Positive")


        # Execute specific instructions
        if action == 0:
            return 
        
        self.isBusy = True
        tasks = []
        if action == 1:
            tasks.append([self.symbolA, "sell" if self.status == 0 else "closebuy"])
            tasks.append([self.symbolB, "buy" if self.status == 0 else "closesell"])
        elif action == 2:
            tasks.append([self.symbolA, "buy" if self.status == 0 else "closesell"])
            tasks.append([self.symbolB, "sell" if self.status == 0 else "closebuy"])

        def callBack(task, ret):
            def callBack(task, ret):
                self.isBusy = False
                if task["action"] == "sell":
                    self.status = 2
                elif task["action"] == "buy":
                    self.status = 1
                else:
                    self.status = 0
                    account = _C(exchange.GetAccount)
                    LogProfit(account["Balance"] - self.initAccount["Balance"], account)
            self.q.pushTask(self.e, tasks[1][0], tasks[1][1], self.opAmount, callBack)

        self.q.pushTask(self.e, tasks[0][0], tasks[0][1], self.opAmount, callBack)



def main():
    SetErrorFilter("ready|login|timeout")
    Log("Connecting to the trading server...")
    while not exchange.IO("status"):
        Sleep(1000)

    Log("Successfully connected to the trading server")
    initAccount = _C(exchange.GetAccount)
    Log(initAccount)

    def callBack(task, ret):
        Log(task["desc"], "success" if ret else "failure")

    q = ext.NewTaskQueue(callBack)
    p = ext.NewPositionManager()
    if CoverAll:
        Log("Start closing all remaining positions...")
        p.CoverAll()
        Log("Operation complete")

    t = Hedge(q, exchange, initAccount, SA, SB, MAPeriod, ATRRatio, OpAmount)
    while True:
        q.poll()
        t.poll()

Pengaturan parameter strategi:

Kerangka strategi secara keseluruhan pada dasarnya sama denganVersi Python dari strategi lindung nilai intertemporal berjangka komoditas, kecuali bahwa parameter indikator BOLL yang sesuai ditambahkan. Ketika strategi berjalan, data K-line dari kedua kontrak diperoleh, dan kemudian perbedaan harga dihitung untuk menghitung spread.TA.BOLLfungsi untuk menghitung Bollinger Bands. Ketika spread melebihi Bollinger Bands rel atas, itu akan dilindungi, dan ketika menyentuh rel bawah, itu akan menentang operasi.

Uji balik:

Artikel ini terutama digunakan untuk tujuan belajar saja. Strategi lengkap:https://www.fmz.com/strategy/213826