手把手教你用QMT Python API和TA-Lib构建双均线自动化交易策略

import talib

def handlebar(ContextInfo):
    # 获取当前策略运行的主合约代码
    stock_code = ContextInfo.stockcode

    # 获取最近30个交易日的日线收盘价数据
    data = ContextInfo.get_market_data(
        fields=['close'],
        stock_code=[stock_code],
        period='1d',
        count=30
    )

    # 若获取的数据量不足，则直接返回，不进行后续计算
    if data is None or len(data) < 20:
        return

    # 提取收盘价序列，转换为numpy数组供TA-Lib使用
    closes = data['close'].values

    # 计算5日与20日简单移动平均线
    ma5 = talib.SMA(closes, timeperiod=5)
    ma20 = talib.SMA(closes, timeperiod=20)

    # 获取最新两根K线对应的均线值
    current_ma5 = ma5[-1]
    current_ma20 = ma20[-1]
    prev_ma5 = ma5[-2]
    prev_ma20 = ma20[-2]

    # 判断是否出现金叉或死叉
    # 金叉条件：前一日快线<=慢线，且当日快线>慢线
    golden_cross = (prev_ma5 <= prev_ma20) and (current_ma5 > current_ma20)
    # 死叉条件：前一日快线>=慢线，且当日快线<慢线
    death_cross = (prev_ma5 >= prev_ma20) and (current_ma5 < current_ma20)

    # 获取全局持仓状态（在init函数中初始化）
    has_position = getattr(ContextInfo, 'has_position', False)

    if golden_cross and not has_position:
        # 触发买入信号
        print(f'金叉出现，生成买入信号')
        ContextInfo.has_position = True
        # 此处可插入实际下单代码

    elif death_cross and has_position:
        # 触发卖出信号
        print(f'死叉出现，生成卖出信号')
        ContextInfo.has_position = False
        # 此处可插入实际下单代码

# coding:gbk
import talib

def init(ContextInfo):
    # 设置交易使用的资金账户（需替换为实盘账号）
    ContextInfo.set_account('你的资金账号')
    # 初始化持仓状态标志
    ContextInfo.has_position = False

def handlebar(ContextInfo):
    # 仅在全推模式下最后一根确定的K线处理信号，避免在历史K线上产生信号
    if not ContextInfo.is_last_bar():
        return

    stock_code = ContextInfo.stockcode
    if not stock_code:
        return

    # 获取30根日线收盘价
    data = ContextInfo.get_market_data(
        fields=['close'],
        stock_code=[stock_code],
        period='1d',
        count=30
    )

    if data is None or len(data) < 20:
        return

    closes = data['close'].values

    # 计算均线
    ma5 = talib.SMA(closes, timeperiod=5)
    ma20 = talib.SMA(closes, timeperiod=20)

    # 获取最新两个有效值
    current_ma5 = ma5[-1]
    current_ma20 = ma20[-1]
    prev_ma5 = ma5[-2]
    prev_ma20 = ma20[-2]

    # 判断金叉死叉
    golden_cross = (prev_ma5 <= prev_ma20) and (current_ma5 > current_ma20)
    death_cross = (prev_ma5 >= prev_ma20) and (current_ma5 < current_ma20)

    has_position = ContextInfo.has_position

    # 生成并执行信号
    if golden_cross and not has_position:
        # 买入信号：以市价买入1000股（10手）
        order_lots(stock_code, 10, ContextInfo, ContextInfo.get_account())  # A股1手为100股
        ContextInfo.has_position = True
        print(f'{stock_code} 金叉买入')

    elif death_cross and has_position:
        # 卖出信号：卖出1000股（此处示例为固定数量，实战中应查询实际持仓）
        order_lots(stock_code, -10, ContextInfo, ContextInfo.get_account())
        ContextInfo.has_position = False
        print(f'{stock_code} 死叉卖出')

    # 计算14日RSI
    rsi = talib.RSI(closes, timeperiod=14)
    current_rsi = rsi[-1]

    # 增强的买入条件：金叉且RSI低于30（超卖）
    if golden_cross and not has_position and current_rsi < 30:
        # 执行买入
        pass

    # 计算布林带
    upper, middle, lower = talib.BBANDS(closes, timeperiod=20)
    current_close = closes[-1]
    current_lower = lower[-1]

    # 增强条件：金叉且收盘价位于布林带下轨附近（如2%范围内）
    if golden_cross and not has_position and current_close <= current_lower * 1.02:
        # 执行买入
        pass

    # 获取成交量数据
    vol_data = ContextInfo.get_market_data(
        fields=['volume'],
        stock_code=[stock_code],
        period='1d',
        count=30
    )
    volumes = vol_data['volume'].values
    current_vol = volumes[-1]
    avg_vol = talib.SMA(volumes, timeperiod=20)[-1]  # 20日平均成交量

    # 增强条件：金叉且当日成交量超过均量的50%
    if golden_cross and not has_position and current_vol > avg_vol * 1.5:
        # 执行买入
        pass