import pandas as pd import numpy as np import matplotlib.pyplot as plt from binance.client import Client from datetime import datetime 设置API密钥 api_key = 'your_api_key' api_secret = 'your_api_secret' 创建Binance API客户端 client = Client(api_key, api_secret) 读取K线数据 klines = client.futures_klines(symbol='BTCUSDT', interval=Client.KLINE_INTERVAL_1DAY) 将数据转换为DataFrame格式 data = pd.DataFrame(klines, columns=['Open time', 'Open', 'High', 'Low', 'Close', 'Volume', 'Close time', 'Quote asset volume', 'Number of trades', 'Taker buy base asset volume', 'Taker buy quote asset volume', 'Ignore']) 转换时间戳格式 data['Open time'] = pd.to_datetime(data['Open time'], unit='ms') data['Close time'] = pd.to_datetime(data['Close time'], unit='ms') data.set_index('Open time', inplace=True) 计算收益率 data['return'] = np.log(data['Close']) - np.log(data['Close'].shift(1)) 计算移动平均线 data['MA5'] = data['Close'].rolling(window=5).mean() data['MA10'] = data['Close'].rolling(window=10).mean() 判断市场趋势 if data['MA5'].iloc[-1] > data['MA10'].iloc[-1]: trend = 'up' else: trend = 'down' 趋势跟踪策略 if trend == 'up': position = 1 # 买入 else: position = 0 # 空仓 设置止损点和止盈点 stop_loss = 0.05 # 止损点为5% take_profit = 0.1 # 止盈点为10% 循环进行交易 for i in range(1, len(data)): # 如果市场处于上涨趋势中，买入资产 if trend == 'up': # 如果收益率小于止损点，触发止损点，平仓并且空仓对冲 if data['return'].iloc[i] < -stop_loss: position = 0 trend = 'down' # 如果收益率大于止盈点，触发止盈点，平仓并且空仓对冲 elif data['return'].iloc[i] > take_profit: position = 0 trend = 'down' # 如果收益率在止损点和止盈点之间，继续持有多头仓位 else: position = 1 # 如果市场处于下跌趋势中，空仓对冲 else: position = 0 # 计算资产净值 data['net_value'].iloc[i] = data['net_value'].iloc[i-1] * (1 + data['return'].iloc[i] * position) 绘制净值曲线 plt.plot(data.index, data['net_value']) plt.xlabel('Date') plt.ylabel('Net Value') plt.title('Trend Following Strategy') plt.show()将以上代码整理成PY格式

import pandas as pd 
import numpy as np 
import matplotlib.pyplot as plt 
from binance.client import Client 
from datetime import datetime 

# 设置API密钥 
api_key = 'your_api_key' 
api_secret = 'your_api_secret' 

# 创建Binance API客户端 
client = Client(api_key, api_secret) 

# 读取K线数据 
klines = client.futures_klines(symbol='BTCUSDT', interval=Client.KLINE_INTERVAL_1DAY) 

# 将数据转换为DataFrame格式 
data = pd.DataFrame(klines, columns=['Open time', 'Open', 'High', 'Low', 'Close', 'Volume', 'Close time', 'Quote asset volume', 'Number of trades', 'Taker buy base asset volume', 'Taker buy quote asset volume', 'Ignore']) 

# 转换时间戳格式 
data['Open time'] = pd.to_datetime(data['Open time'], unit='ms') 
data['Close time'] = pd.to_datetime(data['Close time'], unit='ms') 
data.set_index('Open time', inplace=True) 

# 计算收益率 
data['return'] = np.log(data['Close']) - np.log(data['Close'].shift(1)) 

# 计算移动平均线 
data['MA5'] = data['Close'].rolling(window=5).mean() 
data['MA10'] = data['Close'].rolling(window=10).mean() 

# 判断市场趋势 
if data['MA5'].iloc[-1] > data['MA10'].iloc[-1]: 
    trend = 'up' 
else: 
    trend = 'down' 

# 趋势跟踪策略 
if trend == 'up': 
    position = 1 # 买入 
else: 
    position = 0 # 空仓 

# 设置止损点和止盈点 
stop_loss = 0.05 # 止损点为5% 
take_profit = 0.1 # 止盈点为10% 

# 循环进行交易 
for i in range(1, len(data)): 
    # 如果市场处于上涨趋势中，买入资产 
    if trend == 'up': 
        # 如果收益率小于止损点，触发止损点，平仓并且空仓对冲 
        if data['return'].iloc[i] < -stop_loss: 
            position = 0 
            trend = 'down' 
        # 如果收益率大于止盈点，触发止盈点，平仓并且空仓对冲 
        elif data['return'].iloc[i] > take_profit: 
            position = 0 
            trend = 'down' 
        # 如果收益率在止损点和止盈点之间，继续持有多头仓位 
        else: 
            position = 1 
    # 如果市场处于下跌趋势中，空仓对冲 
    else: 
        position = 0 

    # 计算资产净值 
    data['net_value'].iloc[i] = data['net_value'].iloc[i-1] * (1 + data['return'].iloc[i] * position) 

# 绘制净值曲线 
plt.plot(data.index, data['net_value']) 
plt.xlabel('Date') 
plt.ylabel('Net Value') 
plt.title('Trend Following Strategy') 
plt.show()