【围观】麒麟芯片遭打压成绝版，华为亿元投入又砸向了哪里？>>>
完全移植自 「CTP商品期货多品种均线策略」 ，由于Python版本商品期货策略还没有一个多品种的策略，所以就移植了JavaScript版本的「CTP商品期货多品种均线策略」。提供一些Python商品期货多品种策略的设计思路、例子。不论JavaScript版本还是Python版本，策略架构设计源于 商品期货多品种海龟策略 。

均线策略作为最简单的策略，是非常易于学习的，因为均线策略没有什么高深的算法，复杂的逻辑。思路清晰不绕弯，可以让初学者更专注于策略设计方面的学习，甚至可以把均线策略相关的代码剔除，留下一个多品种策略框架，可以很轻松的扩展成ATR、MACD、BOLL等策略。
JavaScript版本相关文章： https://www.fmz.com/bbs-topic/5235。

策略源码 '' 'backtest start : 2019 - 07 - 01 09 : 00 : 00 end : 2020 - 03 - 25 15 : 00 : 00 period : 1 d exchanges : [{ "eid" : "Futures_CTP" , "currency" : "FUTURES" }] '' ' import json import re import time _bot = ext . NewPositionManager () class Manager : '策略逻辑控制类' ACT_IDLE = 0 ACT_LONG = 1 ACT_SHORT = 2 ACT_COVER = 3 ERR_SUCCESS = 0 ERR_SET_SYMBOL = 1 ERR_GET_ORDERS = 2 ERR_GET_POS = 3 ERR_TRADE = 4 ERR_GET_DEPTH = 5 ERR_NOT_TRADING = 6 errMsg = [ "成功" , "切换合约失败" , "获取订单失败" , "获取持仓失败" , "交易下单失败" , "获取深度失败" , "不在交易时间" ] def __init__ ( self , needRestore , symbol , keepBalance , fastPeriod , slowPeriod ): # 获取symbolDetail symbolDetail = _C ( exchange . SetContractType , symbol ) if symbolDetail [ "VolumeMultiple" ] == 0 or symbolDetail [ "MaxLimitOrderVolume" ] == 0 or symbolDetail [ "MinLimitOrderVolume" ] == 0 or symbolDetail [ "LongMarginRatio" ] == 0 or symbolDetail [ "ShortMarginRatio" ] == 0 : Log ( symbolDetail ) raise Exception ( "合约信息异常" ) else : Log ( "合约" , symbolDetail [ "InstrumentName" ], "一手" , symbolDetail [ "VolumeMultiple" ], "份，最大下单量" , symbolDetail [ "MaxLimitOrderVolume" ], "保证金率：" , _N ( symbolDetail [ "LongMarginRatio" ]), _N ( symbolDetail [ "ShortMarginRatio" ]), "交割日期" , symbolDetail [ "StartDelivDate" ]) # 初始化 self . symbol = symbol self . keepBalance = keepBalance self . fastPeriod = fastPeriod self . slowPeriod = slowPeriod self . marketPosition = None self . holdPrice = None self . holdAmount = None self . holdProfit = None self . task = { "action" : Manager . ACT_IDLE , "amount" : 0 , "dealAmount" : 0 , "avgPrice" : 0 , "preCost" : 0 , "preAmount" : 0 , "init" : False , "retry" : 0 , "desc" : "空闲" , "onFinish" : None } self . lastPrice = 0 self . symbolDetail = symbolDetail # 持仓状态信息 self . status = { "symbol" : symbol , "recordsLen" : 0 , "vm" : [], "open" : 0 , "cover" : 0 , "st" : 0 , "marketPosition" : 0 , "lastPrice" : 0 , "holdPrice" : 0 , "holdAmount" : 0 , "holdProfit" : 0 , "symbolDetail" : symbolDetail , "lastErr" : "" , "lastErrTime" : "" , "isTrading" : False } # 对象构造时其他处理工作 vm = None if RMode == 0 : vm = _G ( self . symbol ) else : vm = json . loads ( VMStatus )[ self . symbol ] if vm : Log ( "准备恢复进度，当前合约状态为" , vm ) self . reset ( vm [ 0 ]) else : if needRestore : Log ( "没有找到" + self . symbol + "的进度恢复信息" ) self . reset () def setLastError ( self , err = None ): if err is None : self . status [ "lastErr" ] = "" self . status [ "lastErrTime" ] = "" return t = _D () self . status [ "lastErr" ] = err self . status [ "lastErrTime" ] = t def reset ( self , marketPosition = None ): if marketPosition is not None : self . marketPosition = marketPosition pos = _bot . GetPosition ( self . symbol , PD_LONG if marketPosition > 0 else PD_SHORT ) if pos is not None : self . holdPrice = pos [ "Price" ] self . holdAmount = pos [ "Amount" ] Log ( self . symbol , "仓位" , pos ) else : raise Exception ( "恢复" + self . symbol + "的持仓状态出错，没有找到仓位信息" ) Log ( "恢复" , self . symbol , "持仓均价：" , self . holdPrice , "持仓数量：" , self . holdAmount ) self . status [ "vm" ] = [ self . marketPosition ] else : self . marketPosition = 0 self . holdPrice = 0 self . holdAmount = 0 self . holdProfit = 0 self . holdProfit = 0 self . lastErr = "" self . lastErrTime = "" def Status ( self ): self . status [ "marketPosition" ] = self . marketPosition self . status [ "holdPrice" ] = self . holdPrice self . status [ "holdAmount" ] = self . holdAmount self . status [ "lastPrice" ] = self . lastPrice if self . lastPrice > 0 and self . holdAmount > 0 and self . marketPosition != 0 : self . status [ "holdProfit" ] = _N (( self . lastPrice - self . holdPrice ) * self . holdAmount * self . symbolDetail [ "VolumeMultiple" ], 4 ) * ( 1 if self . marketPosition > 0 else - 1 ) else : self . status [ "holdProfit" ] = 0 return self . status def setTask ( self , action , amount = None , onFinish = None ): self . task [ "init" ] = False self . task [ "retry" ] = 0 self . task [ "action" ] = action self . task [ "preAmount" ] = 0 self . task [ "preCost" ] = 0 self . task [ "amount" ] = 0 if amount is None else amount self . task [ "onFinish" ] = onFinish if action == Manager . ACT_IDLE : self . task [ "desc" ] = "空闲" self . task [ "onFinish" ] = None else : if action != Manager . ACT_COVER : self . task [ "desc" ] = ( "加多仓" if action == Manager . ACT_LONG else "加空仓" ) + "(" + str ( amount ) + ")" else : self . task [ "desc" ] = "平仓" Log ( "接收到任务" , self . symbol , self . task [ "desc" ]) self . Poll ( True ) def processTask ( self ): insDetail = exchange . SetContractType ( self . symbol ) if not insDetail : return Manager . ERR_SET_SYMBOL SlideTick = 1 ret = False if self . task [ "action" ] == Manager . ACT_COVER : hasPosition = False while True : if not ext . IsTrading ( self . symbol ): return Manager . ERR_NOT_TRADING hasPosition = False positions = exchange . GetPosition () if positions is None : return Manager . ERR_GET_POS depth = exchange . GetDepth () if depth is None : return Manager . ERR_GET_DEPTH orderId = None for i in range ( len ( positions )): if positions [ i ][ "ContractType" ] != self . symbol : continue amount = min ( insDetail [ "MaxLimitOrderVolume" ], positions [ i ][ "Amount" ]) if positions [ i ][ "Type" ] == PD_LONG or positions [ i ][ "Type" ] == PD_LONG_YD : exchange . SetDirection ( "closebuy_today" if positions [ i ]. Type == PD_LONG else "closebuy" ) orderId = exchange . Sell ( _N ( depth [ "Bids" ][ 0 ][ "Price" ] - ( insDetail [ "PriceTick" ] * SlideTick ), 2 ), min ( amount , depth [ "Bids" ][ 0 ][ "Amount" ]), self . symbol , "平今" if positions [ i ][ "Type" ] == PD_LONG else "平昨" , "Bid" , depth [ "Bids" ][ 0 ]) hasPosition = True elif positions [ i ][ "Type" ] == PD_SHORT or positions [ i ][ "Type" ] == PD_SHORT_YD : exchange . SetDirection ( "closesell_today" if positions [ i ][ "Type" ] == PD_SHORT else "closesell" ) orderId = exchange . Buy ( _N ( depth [ "Asks" ][ 0 ][ "Price" ] + ( insDetail [ "PriceTick" ] * SlideTick ), 2 ), min ( amount , depth [ "Asks" ][ 0 ][ "Amount" ]), self . symbol , "平今" if positions [ i ][ "Type" ] == PD_SHORT else "平昨" , "Ask" , depth [ "Asks" ][ 0 ]) hasPosition = True if hasPosition : if not orderId : return Manager . ERR_TRADE Sleep ( 1000 ) while True : orders = exchange . GetOrders () if orders is None : return Manager . ERR_GET_ORDERS if len ( orders ) == 0 : break for i in range ( len ( orders )): exchange . CancelOrder ( orders [ i ][ "Id" ]) Sleep ( 500 ) if not hasPosition : break ret = True elif self . task [ "action" ] == Manager . ACT_LONG or self . task [ "action" ] == Manager . ACT_SHORT : while True : if not ext . IsTrading ( self . symbol ): return Manager . ERR_NOT_TRADING Sleep ( 1000 ) while True : orders = exchange . GetOrders () if orders is None : return Manager . ERR_GET_ORDERS if len ( orders ) == 0 : break for i in range ( len ( orders )): exchange . CancelOrder ( orders [ i ][ "Id" ]) Sleep ( 500 ) positions = exchange . GetPosition () if positions is None : return Manager . ERR_GET_POS pos = None for i in range ( len ( positions )): if positions [ i ][ "ContractType" ] == self . symbol and ((( positions [ i ][ "Type" ] == PD_LONG or positions [ i ][ "Type" ] == PD_LONG_YD ) and self . task [ "action" ] == Manager . ACT_LONG ) or (( positions [ i ][ "Type" ] == PD_SHORT ) or positions [ i ][ "Type" ] == PD_SHORT_YD ) and self . task [ "action" ] == Manager . ACT_SHORT ): if not pos : pos = positions [ i ] pos [ "Cost" ] = positions [ i ][ "Price" ] * positions [ i ][ "Amount" ] else : pos [ "Amount" ] += positions [ i ][ "Amount" ] pos [ "Profit" ] += positions [ i ][ "Profit" ] pos [ "Cost" ] += positions [ i ][ "Price" ] * positions [ i ][ "Amount" ] # records pre position if not self . task [ "init" ]: self . task [ "init" ] = True if pos : self . task [ "preAmount" ] = pos [ "Amount" ] self . task [ "preCost" ] = pos [ "Cost" ] else : self . task [ "preAmount" ] = 0 self . task [ "preCost" ] = 0 remain = self . task [ "amount" ] if pos : self . task [ "dealAmount" ] = pos [ "Amount" ] - self . task [ "preAmount" ] remain = int ( self . task [ "amount" ] - self . task [ "dealAmount" ]) if remain <= 0 or self . task [ "retry" ] >= MaxTaskRetry : ret = { "price" : ( pos [ "Cost" ] - self . task [ "preCost" ]) / ( pos [ "Amount" ] - self . task [ "preAmount" ]), "amount" : ( pos [ "Amount" ] - self . task [ "preAmount" ]), "position" : pos } break elif self . task [ "retry" ] >= MaxTaskRetry : ret = None break depth = exchange . GetDepth () if depth is None : return Manager . ERR_GET_DEPTH orderId = None if self . task [ "action" ] == Manager . ACT_LONG : exchange . SetDirection ( "buy" ) orderId = exchange . Buy ( _N ( depth [ "Asks" ][ 0 ][ "Price" ] + ( insDetail [ "PriceTick" ] * SlideTick ), 2 ), min ( remain , depth [ "Asks" ][ 0 ][ "Amount" ]), self . symbol , "Ask" , depth [ "Asks" ][ 0 ]) else : exchange . SetDirection ( "sell" ) orderId = exchange . Sell ( _N ( depth [ "Bids" ][ 0 ][ "Price" ] - ( insDetail [ "PriceTick" ] * SlideTick ), 2 ), min ( remain , depth [ "Bids" ][ 0 ][ "Amount" ]), self . symbol , "Bid" , depth [ "Bids" ][ 0 ]) if orderId is None : self . task [ "retry" ] += 1 return Manager . ERR_TRADE if self . task [ "onFinish" ]: self . task [ "onFinish" ]( ret ) self . setTask ( Manager . ACT_IDLE ) return Manager . ERR_SUCCESS def Poll ( self , subroutine = False ): # 判断交易时段 self . status [ "isTrading" ] = ext . IsTrading ( self . symbol ) if not self . status [ "isTrading" ]: return # 执行下单交易任务 if self . task [ "action" ] != Manager . ACT_IDLE : retCode = self . processTask () if self . task [ "action" ] != Manager . ACT_IDLE : self . setLastError ( "任务没有处理成功：" + Manager . errMsg [ retCode ] + ", " + self . task [ "desc" ] + ", 重试：" + str ( self . task [ "retry" ])) else : self . setLastError () return if subroutine : return suffix = "@" if WXPush else "" # switch symbol _C ( exchange . SetContractType , self . symbol ) # 获取K线数据 records = exchange . GetRecords () if records is None : self . setLastError ( "获取K线失败" ) return self . status [ "recordsLen" ] = len ( records ) if len ( records ) < self . fastPeriod + 2 or len ( records ) < self . slowPeriod + 2 : self . setLastError ( "K线长度小于 均线周期：" + str ( self . fastPeriod ) + "或" + str ( self . slowPeriod )) return opCode = 0 # 0 : IDLE , 1 : LONG , 2 : SHORT , 3 : CoverALL lastPrice = records [ - 1 ][ "Close" ] self . lastPrice = lastPrice fastMA = TA . EMA ( records , self . fastPeriod ) slowMA = TA . EMA ( records , self . slowPeriod ) # 策略逻辑 if self . marketPosition == 0 : if fastMA [ - 3 ] < slowMA [ - 3 ] and fastMA [ - 2 ] > slowMA [ - 2 ]: opCode = 1 elif fastMA [ - 3 ] > slowMA [ - 3 ] and fastMA [ - 2 ] < slowMA [ - 2 ]: opCode = 2 else : if self . marketPosition < 0 and fastMA [ - 3 ] < slowMA [ - 3 ] and fastMA [ - 2 ] > slowMA [ - 2 ]: opCode = 3 elif self . marketPosition > 0 and fastMA [ - 3 ] > slowMA [ - 3 ] and fastMA [ - 2 ] < slowMA [ - 2 ]: opCode = 3 # 如果不触发任何条件，操作码为0，返回 if opCode == 0 : return # 执行平仓 if opCode == 3 : def coverCallBack ( ret ): self . reset () _G ( self . symbol , None ) self . setTask ( Manager . ACT_COVER , 0 , coverCallBack ) return account = _bot . GetAccount () canOpen = int (( account [ "Balance" ] - self . keepBalance ) / ( self . symbolDetail [ "LongMarginRatio" ] if opCode == 1 else self . symbolDetail [ "ShortMarginRatio" ]) / ( lastPrice * 1.2 ) / self . symbolDetail [ "VolumeMultiple" ]) unit = min ( 1 , canOpen ) # 设置交易任务 def setTaskCallBack ( ret ): if not ret : self . setLastError ( "下单失败" ) return self . holdPrice = ret [ "position" ][ "Price" ] self . holdAmount = ret [ "position" ][ "Amount" ] self . marketPosition += 1 if opCode == 1 else - 1 self . status [ "vm" ] = [ self . marketPosition ] _G ( self . symbol , self . status [ "vm" ]) self . setTask ( Manager . ACT_LONG if opCode == 1 else Manager . ACT_SHORT , unit , setTaskCallBack ) def onexit (): Log ( "已退出策略..." ) def main (): if exchange . GetName (). find ( "CTP" ) == - 1 : raise Exception ( "只支持商品期货CTP" ) SetErrorFilter ( "login|ready|流控|连接失败|初始|Timeout" ) mode = exchange . IO ( "mode" , 0 ) if mode is None : raise Exception ( "切换模式失败，请更新到最新托管者！" ) while not exchange . IO ( "status" ): Sleep ( 3000 ) LogStatus ( "正在等待与交易服务器连接，" + _D ()) positions = _C ( exchange . GetPosition ) if len ( positions ) > 0 : Log ( "检测到当前持有仓位，系统将开始尝试恢复进度..." ) Log ( "持仓信息：" , positions ) initAccount = _bot . GetAccount () initMargin = json . loads ( exchange . GetRawJSON ())[ "CurrMargin" ] keepBalance = _N (( initAccount [ "Balance" ] + initMargin ) * ( KeepRatio / 100 ), 3 ) Log ( "资产信息" , initAccount , "保留资金：" , keepBalance ) tts = [] symbolFilter = {} arr = Instruments . split ( "," ) arrFastPeriod = FastPeriodArr . split ( "," ) arrSlowPeriod = SlowPeriodArr . split ( "," ) if len ( arr ) != len ( arrFastPeriod ) or len ( arr ) != len ( arrSlowPeriod ): raise Exception ( "均线周期参数与添加合约数量不匹配，请检查参数！" ) for i in range ( len ( arr )): symbol = re . sub ( r '/\s+$/g' , "" , re . sub ( r '/^\s+/g' , "" , arr [ i ])) if symbol in symbolFilter . keys (): raise Exception ( symbol + "已经存在，请检查参数！" ) symbolFilter [ symbol ] = True hasPosition = False for j in range ( len ( positions )): if positions [ j ][ "ContractType" ] == symbol : hasPosition = True break fastPeriod = int ( arrFastPeriod [ i ]) slowPeriod = int ( arrSlowPeriod [ i ]) obj = Manager ( hasPosition , symbol , keepBalance , fastPeriod , slowPeriod ) tts . append ( obj ) preTotalHold = - 1 lastStatus = "" while True : if GetCommand () == "暂停/继续" : Log ( "暂停交易中..." ) while GetCommand () != "暂停/继续" : Sleep ( 1000 ) Log ( "继续交易中..." ) while not exchange . IO ( "status" ): Sleep ( 3000 ) LogStatus ( "正在等待与交易服务器连接，" + _D () + "\n" + lastStatus ) tblStatus = { "type" : "table" , "title" : "持仓信息" , "cols" : [ "合约名称" , "持仓方向" , "持仓均价" , "持仓数量" , "持仓盈亏" , "加仓次数" , "当前价格" ], "rows" : [] } tblMarket = { "type" : "table" , "title" : "运行状态" , "cols" : [ "合约名称" , "合约乘数" , "保证金率" , "交易时间" , "柱线长度" , "异常描述" , "发生时间" ], "rows" : [] } totalHold = 0 vmStatus = {} ts = time . time () holdSymbol = 0 for i in range ( len ( tts )): tts [ i ]. Poll () d = tts [ i ]. Status () if d [ "holdAmount" ] > 0 : vmStatus [ d [ "symbol" ]] = d [ "vm" ] holdSymbol += 1 tblStatus [ "rows" ]. append ([ d [ "symbolDetail" ][ "InstrumentName" ], "--" if d [ "holdAmount" ] == 0 else ( "多" if d [ "marketPosition" ] > 0 else "空" ), d [ "holdPrice" ], d [ "holdAmount" ], d [ "holdProfit" ], abs ( d [ "marketPosition" ]), d [ "lastPrice" ]]) tblMarket [ "rows" ]. append ([ d [ "symbolDetail" ][ "InstrumentName" ], d [ "symbolDetail" ][ "VolumeMultiple" ], str ( _N ( d [ "symbolDetail" ][ "LongMarginRatio" ], 4 )) + "/" + str ( _N ( d [ "symbolDetail" ][ "ShortMarginRatio" ], 4 )), "是#0000ff" if d [ "isTrading" ] else "否#ff0000" , d [ "recordsLen" ], d [ "lastErr" ], d [ "lastErrTime" ]]) totalHold += abs ( d [ "holdAmount" ]) now = time . time () elapsed = now - ts tblAssets = _bot . GetAccount ( True ) nowAccount = _bot . Account () if len ( tblAssets [ "rows" ]) > 10 : tblAssets [ "rows" ][ 0 ] = [ "InitAccount" , "初始资产" , initAccount ] else : tblAssets [ "rows" ]. insert ( 0 , [ "NowAccount" , "当前可用" , nowAccount ]) tblAssets [ "rows" ]. insert ( 0 , [ "InitAccount" , "初始资产" , initAccount ]) lastStatus = "`" + json . dumps ([ tblStatus , tblMarket , tblAssets ]) + "`\n轮询耗时：" + str ( elapsed ) + " 秒，当前时间：" + _D () + ", 持有品种个数：" + str ( holdSymbol ) if totalHold > 0 : lastStatus += "\n手动恢复字符串：" + json . dumps ( vmStatus ) LogStatus ( lastStatus ) if preTotalHold > 0 and totalHold == 0 : LogProfit ( nowAccount . Balance - initAccount . Balance - initMargin ) preTotalHold = totalHold Sleep ( LoopInterval * 1000 )
策略地址： https://www.fmz.com/strategy/208512

回测对比
我们用该策略的JavaScript版本和Python版本回测进行对比。 Python版本回测
我们使用公共服务器进行回测，可以看到Python版本的回测略微快了一点。
JavaScript版本回测

可以看到回测结果一模一样，有兴趣的小伙伴可以钻研一下代码，会有不小的收获。

花里胡哨的扩展
我们来做个扩展示范，给策略扩展出图表功能，如图：

主要增加代码部分： 给 Manager 类增加一个成员： objChart 给 Manager 类增加一个方法： PlotRecords
其它的一些修改都是围绕这两点进行，可以对比两个版本区别，学习扩展功能的思路。
python版商品期货多品种均线策略 (扩展图表)
以上策略学习为主，实盘慎用。
欢迎留言。