【python数字货币量化_21精华帖_策略第6篇】根据九神指标改编的布林通道策略

显示全部楼层 · 2023-8-2 11:52:31

九神，何许人也，自己百度。

【python数字货币量化_21精华帖_策略第6篇】根据九神指标改编的布林通道策略-1.jpg

6月8日修改，李冰大佬推荐调和平均数
策略主体内容
import pandas as pd
import numpy as np
def jiushen(df, now_pos, para=[]):
"""
"""

n = int(para[0])

# 比特币至今诞生天数，比特币第一个区块，北京时间2009-1-4
df['days'] = (pd.to_datetime(df['candle_begin_time_GMT8'].apply(lambda x: x.strftime('%Y-%m-%d'))) - pd.to_datetime(
      '2009-1-4')).astype('timedelta64[D]').astype(int)

# 九神拟合曲线币价数值
df['future_price'] = np.power(10, (5.84 * np.log10(df['days']) - 17.01))  # 5.2

# 常规n天定投成本数值
# df['close_mean'] = df['close'].rolling(window=n, min_periods=1).mean()
# n天定投成本，使用调和平均数
df['close_1'] = df['close'] ** (-1)
df['mean'] = (df['close_1'].rolling(window=n, min_periods=1).mean()) ** (-1)

# 九神指数的重点，第一个数值：当天比特币价格／n天定投成本数值；第二个数值，当天比特币价格／拟合曲线币价数值。
# 这个数值越小，自然就意味着当天的比特币价格越低估。
df['jiushen'] = (df['close'] / df['close_mean']) * (df['close'] / df['future_price'])

# 九神指数的布林部分，可以另外魔改
df['mean'] = df['jiushen'].rolling(window=n, min_periods=1).mean()
df['std'] = df['jiushen'].rolling(window=n, min_periods=1).std(ddof=0)  # ddof代表标准差自由度
df['up'] = df['mean'] + df['std']
df['dn'] = df['mean'] - df['std']

jiushen = df.iloc[-1]['jiushen']
mean = df.iloc[-1]['mean']
up = df.iloc[-1]['up']
dn = df.iloc[-1]['dn']

target_pos = None

# 现在是多头仓位
if now_pos == 1:
      if jiushen < dn:
         target_pos = -1
      elif jiushen < mean:
         target_pos = 0
      else:
         target_pos = 1
# 现在是空头仓位
elif now_pos == -1:
      if jiushen > up:
         target_pos = 1
      elif jiushen > mean:
         target_pos = 0
      else:
         target_pos = -1
# 现在无仓位
elif now_pos == 0:
      # 计算是否要开多仓还是开空仓
      if jiushen > up:
         target_pos = 1
      elif jiushen < dn:
         target_pos = -1
      else:
         target_pos = 0
# 其他情况报错
else:
      raise ValueError('当前仓位变量now_pos数值只能是1，-1，0，但目前是', now_pos)

return target_pos