【python数字货币量化_21精华帖_策略第5篇】二次确认突破的布林策略

显示全部楼层 · 2023-8-1 08:52:19

之前好几次布林都开空开在地板上,后来群里讲了二次确认突破的思路,就尝试到布林上。类似通道类的都可以加上二次突破,才当做突破生效,可以当做布林策略的补充策略。
signal代码
def signal_bolling_with_confirm(df, para):
n = int(para[0])
df['median'] = df['close'].rolling(n).mean()
df['std'] = df['close'].rolling(n).std(ddof=0)
df['z_score'] = abs(df['close'] - df['median']) / df['std']
df['max'] = df['z_score'].rolling(n).max().shift(1)
df['upper'] = df['median'] + df['max'] * df['std']
df['lower'] = df['median'] - df['max'] * df['std']

# ===计算信号
# 找出做多信号
condition1 = df['close'] > df['upper']  # 当前K线的收盘价 > 上轨
condition2 = df['close'].shift(1) > df['upper'].shift(1)  # 之前K线的收盘价 <= 上轨
condition3 = df['close'].shift(2) <= df['upper'].shift(2)  # 之前K线的收盘价 <= 上轨
df.loc[condition1 & condition2 & condition3, 'signal_long'] = 1  # 将产生做多信号的那根K线的signal设置为1，1代表做多

# 找出做多平仓信号
condition1 = df['close'] < df['median']  # 当前K线的收盘价 < 中轨
condition2 = df['close'].shift(1) >= df['median'].shift(1)  # 之前K线的收盘价 >= 中轨
df.loc[condition1 & condition2, 'signal_long'] = 0  # 将产生平仓信号当天的signal设置为0，0代表平仓

# 找出做空信号
condition1 = df['close'] < df['lower']  # 当前K线的收盘价 < 下轨
condition2 = df['close'].shift(1) < df['lower'].shift(1)  # 之前K线的收盘价 >= 下轨
condition3 = df['close'].shift(2) >= df['lower'].shift(2)  # 之前K线的收盘价 >= 下轨
df.loc[condition1 & condition2 & condition3, 'signal_short'] = -1  # 将产生做空信号的那根K线的signal设置为-1，-1代表做空

# 找出做空平仓信号
condition1 = df['close'] > df['median']  # 当前K线的收盘价 > 中轨
condition2 = df['close'].shift(1) <= df['median'].shift(1)  # 之前K线的收盘价 <= 中轨
df.loc[condition1 & condition2, 'signal_short'] = 0  # 将产生平仓信号当天的signal设置为0，0代表平仓

# 合并做多做空信号，去除重复信号
df['signal'] = df[['signal_long', 'signal_short']].sum(axis=1, min_count=1,
                                                         skipna=True)  # 若你的pandas版本是最新的，请使用本行代码代替上面一行
temp = df[df['signal'].notnull()][['signal']]
temp = temp[temp['signal'] != temp['signal'].shift(1)]
df['signal'] = temp['signal']

return df