双均线策略
双均线策略
定义
描述
策略逻辑
均线选择：
短期均线（快线）：例如5日均线（MA5），反映短期价格趋势。
长期均线（慢线）：例如20日均线（MA20），反映中长期趋势。
买卖信号：
买入信号：当短期均线 上穿 长期均线（金叉），且当前价格高于两条均线时，开仓做多。
卖出信号：当短期均线 下穿 长期均线（死叉），或价格跌破长期均线时，平仓止损。
过滤条件（可选）：
加入成交量放大确认（避免假突破）。
限制交易时段（如避开财报发布期）。
均线选择：
短期均线（快线）：例如5日均线（MA5），反映短期价格趋势。
长期均线（慢线）：例如20日均线（MA20），反映中长期趋势。
买卖信号：
买入信号：当短期均线 上穿 长期均线（金叉），且当前价格高于两条均线时，开仓做多。
卖出信号：当短期均线 下穿 长期均线（死叉），或价格跌破长期均线时，平仓止损。
过滤条件（可选）：
加入成交量放大确认（避免假突破）。
限制交易时段（如避开财报发布期）。
示例
/// <summary>
/// 双均线策略
/// </summary>
public class test : AlgorithmLogic
{
List<SymbloAvg> symbloAvgs = new List<SymbloAvg>();
/// <summary>
/// 基准
/// </summary>
private Symbol _Symbol;
public override void Initialize()
{
///系统设置 必须设置 因为此方法会获取策略ID 且必须是第一句
SetConfig(1, 5);
Print("初始化配置");
SetStartDate(BeginTime); // 设置回测开始日期
SetEndDate(EndTime); // 设置回测结束日期
Print("设置基准 300");
//设置基准 300
var index300 = AddIndex("000300.XSHG", Resolution.Minute);
SetBenchmark(index300);
SymbolPoolIndex.Add(index300);
//Print("放入指数池 上证380");
////放入指数池 上证380
//var index1000 = AddIndex("000009.XSHG", Resolution.Minute);
//SymbolPoolIndex.Add(index1000);
//Print("加载深证1000股票");
/////加载深证1000股票
FillStocks(["399011.XSHE"], (symbol) =>
{
symbol.FeeModel = new CustomFeeService();//手续费
symbol.SlippageModel = new SlippageModel(0.02m);//滑点
}, Resolution.Minute);
///设置数据预热
//SetWarmUp(TimeSpan.FromDays(30));
}
/// <summary>
/// 每天数据到达时调用
/// </summary>
/// <param name="slice"></param>
public override void OnData(Slice slice)
{
//预热的时间直接返回
if (IsWarmingUp) return;
//每日9.35取得当天需要的数据
if (Time.Hour == 9 && Time.Minute == 35)
{
Print($"每日9点35分获取当天数据 {Time}");
Console.WriteLine($"每日9点35分获取当天数据 {Time}");
var yesterday = GetCalendarDateTime(Time, false).Result;//上个交易日
var theDayBefore = GetCalendarDateTime(GetCalendarDateTime(Time, false).Result, false).Result;//上上个交易日
//取到所有股票的上个交易日和上上个交易日的日数据
List<Stock_price_history> theDayBeforeHistoryList = GetHistoryDay(theDayBefore, yesterday);
List<AvgModel> yesterAvg5 = new List<AvgModel>();
List<AvgModel> yesterAvg20 = new List<AvgModel>();
List<AvgModel> theDayBefore5 = new List<AvgModel>();
List<AvgModel> theDayBefore20 = new List<AvgModel>();
//第一天需要查询昨天和前天的均线，之后每天将昨天的均线作为前天的均线 GetAvgAll较慢减少每日调用的次数
if (symbloAvgs == null || symbloAvgs.Count == 0)
{
yesterAvg5 = GetAvgAll(5, Time);
yesterAvg20 = GetAvgAll(20, Time);
theDayBefore5 = GetAvgAll(5, yesterday);
theDayBefore20 = GetAvgAll(20, yesterday);
}
else
{
yesterAvg5 = GetAvgAll(5, Time);
yesterAvg20 = GetAvgAll(20, Time);
}
SymbolPool.ForEach(x =>
{
SymbloAvg symbloAvg = symbloAvgs.Find(y => y.code == x.Value);
//上一个交易日的历史数据
var yesterdayHistory = theDayBeforeHistoryList.FirstOrDefault(y => y.Date == yesterday.Date && y.Code == x.Value);
//上上个交易日的历史数据
var theDayBeforeHistory = theDayBeforeHistoryList.FirstOrDefault(y => y.Date == theDayBefore.Date && y.Code == x.Value);
if (symbloAvg == null)
{
symbloAvg = new SymbloAvg();
symbloAvg.code = x.Value;
symbloAvg.TodayAvg5 = yesterAvg5.FirstOrDefault(y => y.Symbol == x.Value)?.AvgPrice ?? 0m;
symbloAvg.TodayAvg20 = yesterAvg20.FirstOrDefault(y => y.Symbol == x.Value)?.AvgPrice ?? 0m;
symbloAvg.YesterdayAvg5 = theDayBefore5.FirstOrDefault(y => y.Symbol == x.Value)?.AvgPrice ?? 0m;
symbloAvg.YesterdayAvg20 = theDayBefore20.FirstOrDefault(y => y.Symbol == x.Value)?.AvgPrice ?? 0m;
symbloAvg.YesterdayVolume = yesterdayHistory?.Volume ?? 0m;
symbloAvg.TheDayBeforeVolume = theDayBeforeHistory?.Volume ?? 0m;
symbloAvgs.Add(symbloAvg);
}
else
{
symbloAvg.YesterdayAvg5 = symbloAvg.TodayAvg5;
symbloAvg.YesterdayAvg20 = symbloAvg.TodayAvg20;
symbloAvg.TodayAvg5 = yesterAvg5.FirstOrDefault(y => y.Symbol == x.Value)?.AvgPrice ?? 0m;
symbloAvg.TodayAvg20 = yesterAvg20.FirstOrDefault(y => y.Symbol == x.Value)?.AvgPrice ?? 0m;
symbloAvg.YesterdayVolume = yesterdayHistory?.Volume ?? 0m;
symbloAvg.TheDayBeforeVolume = theDayBeforeHistory?.Volume ?? 0m;
}
//Print($"股票：{symbloAvg.code}，TodayAvg5：{symbloAvg.TodayAvg5}，TodayAvg20：{symbloAvg.TodayAvg20}，YesterdayAvg5：{symbloAvg.YesterdayAvg5}，YesterdayAvg20：{symbloAvg.YesterdayAvg20}，YesterdayVolume：{symbloAvg.YesterdayVolume}，TheDayBeforeVolume：{symbloAvg.TheDayBeforeVolume}");
});
}
if (Time.Hour == 9 && Time.Minute == 40)
{
Print($"每日9点40分选股 {Time}");
//初始化每日选股池
SymbolPoolEveryDay = new List<string>();
if (Holdings.Count < 10)
{
Print($"持仓股票不满10支开始选股");
SymbolPool.ForEach(x =>
{
SymbloAvg symbloAvg = symbloAvgs.Find(y => y.code == x.Value);
if (symbloAvg != null)
{
if (symbloAvg.YesterdayAvg5 <= symbloAvg.YesterdayAvg20 && symbloAvg.TodayAvg5 > symbloAvg.TodayAvg20 && Securities[x].Price > symbloAvg.TodayAvg5 && Securities[x].Price > symbloAvg.TodayAvg20 && symbloAvg.YesterdayVolume > symbloAvg.TheDayBeforeVolume)
{
Print($"股票：{symbloAvg.code}，TodayAvg5：{symbloAvg.TodayAvg5}，TodayAvg20：{symbloAvg.TodayAvg20}，YesterdayAvg5：{symbloAvg.YesterdayAvg5}，YesterdayAvg20：{symbloAvg.YesterdayAvg20}，YesterdayVolume：{symbloAvg.YesterdayVolume}，TheDayBeforeVolume：{symbloAvg.TheDayBeforeVolume}");
//符合要求的选股
SymbolPoolEveryDay.Add(x.Value);
}
}
});
}
}
if (Time.Hour == 9 && Time.Minute == 41)
{
Print($"每日9点41分买入 {Time}");
Print($"选出股票： {SymbolPoolEveryDay.ToJson()}");
//判断是否满仓
//Print($"Holdings.Count: {Holdings.Count},SymbolPoolEveryDay.Count:{SymbolPoolEveryDay.Count}");
if (Holdings.Count < 10 && SymbolPoolEveryDay.Count > 0)
{
var buy = SymbolPoolEveryDay.Except(Holdings.Select(x => x.Symbol.Value).ToList()).Take(10 - Holdings.Count).ToList();
Print($"买入股票： {buy.ToJson()}");
if (buy.Count > 0)
{
var money = GetAvailableInvestmentCapital() / (10 - Holdings.Count); //每只股票平均分配资金
buy.ForEach(x =>
{
var tempSymbol = SymbolPool.Find(y => y.Value == x);
if (tempSymbol != null)
{
///这需要计算购买金额
Buy(tempSymbol, money, (status, msg, ticket) =>
{
if (status == 1)
{
//买入成功
Print($"买入股票：{x} 成功");
}
else
{
//买入失败
Print($"买入股票：{x} 失败，原因：{msg}");
}
});
}
});
}
}
}
if (Time.Hour == 9 && Time.Minute == 42)
{
Print($"每日9点42分卖出 {Time}");
if (Holdings.Count > 0)
{
Print($"Holdings {Holdings.ToJson()}");
var Holdings2 = Holdings.Select(x => x).ToList();
Holdings2.ForEach(x =>
{
SymbloAvg symbloAvg = symbloAvgs.Find(y => y.code == x.Symbol.Value);
if (symbloAvg != null)
{
if (symbloAvg.YesterdayAvg5 >= symbloAvg.YesterdayAvg20 && symbloAvg.TodayAvg5 < symbloAvg.TodayAvg20 && Securities[x.Symbol].Price < symbloAvg.TodayAvg20)
{
Print($"股票：{symbloAvg.code}，TodayAvg5：{symbloAvg.TodayAvg5}，TodayAvg20：{symbloAvg.TodayAvg20}，YesterdayAvg5：{symbloAvg.YesterdayAvg5}，YesterdayAvg20：{symbloAvg.YesterdayAvg20}，YesterdayVolume：{symbloAvg.YesterdayVolume}，TheDayBeforeVolume：{symbloAvg.TheDayBeforeVolume}");
//符合要求卖出
Print($"符合要求卖出股票: {x.Symbol}");
//卖出
Sell(x.Symbol, x.Quantity, (status, msg, ticket) =>
{
if (status == 3)
{
//卖出成功
Print($"卖出股票：{x.Symbol} 成功");
}
else
{
//卖出失败
Print($"卖出股票：{x.Symbol} 失败，原因：{msg}");
}
});
}
}
});
}
}
}
}
public class SymbloAvg
{
public string code { get; set; }
public decimal TodayAvg5 { get; set; }
public decimal TodayAvg20 { get; set; }
public decimal YesterdayAvg5 { get; set; }
public decimal YesterdayAvg20 { get; set; }
public decimal TheDayBeforeVolume { get; set; }
public decimal YesterdayVolume { get; set; }
}