# ===策略参数 # n代表取平均线和标准差的参数 # m代表标准差的倍数 n = int(para[0]) m = para[1] # ===计算指标 # 计算均线 df['median'] = df['close'].rolling(n).mean() # 此处只计算最后几行的均线值,因为没有加min_period参数 median = df.iloc[-1]['median'] median2 = df.iloc[-2]['median'] # 计算标准差 df['std'] = df['close'].rolling(n).std(ddof=0) # ddof代表标准差自由度,只计算最后几行的均线值,因为没有加min_period参数 std = df.iloc[-1]['std'] std2 = df.iloc[-2]['std'] # 计算上轨、下轨道 upper = median + m * std lower = median - m * std upper2 = median2 + m * std2 lower2 = median2 - m * std2 # ===寻找交易信号 signal = None close = df.iloc[-1]['close'] close2 = df.iloc[-2]['close'] # 找出做多信号 if (close > upper) and (close2 <= upper2): signal = 1 # 找出做空信号 elif (close < lower) and (close2 >= lower2): signal = -1 # 找出做多平仓信号 elif (close < median) and (close2 >= median2): signal = 0 # 找出做空平仓信号 elif (close > median) and (close2 <= median2): signal = 0 return signal以上代码加入MA指标过滤交易信号
时间: 2023-12-10 12:42:02 浏览: 30
以下是加入MA指标过滤交易信号的代码:
```
# ===策略参数
# n代表取平均线和标准差的参数
# m代表标准差的倍数
n = int(para[0])
m = para[1]
ma_n = para[2] # MA指标的参数
# ===计算指标
# 计算均线
df['median'] = df['close'].rolling(n).mean() # 此处只计算最后几行的均线值,因为没有加min_period参数
median = df.iloc[-1]['median']
median2 = df.iloc[-2]['median']
# 计算标准差
df['std'] = df['close'].rolling(n).std(ddof=0) # ddof代表标准差自由度,只计算最后几行的均线值,因为没有加min_period参数
std = df.iloc[-1]['std']
std2 = df.iloc[-2]['std']
# 计算上轨、下轨道
upper = median + m * std
lower = median - m * std
upper2 = median2 + m * std2
lower2 = median2 - m * std2
# ===计算MA指标
df['MA'] = df['close'].rolling(ma_n).mean()
ma = df.iloc[-1]['MA']
ma2 = df.iloc[-2]['MA']
# ===寻找交易信号
signal = None
close = df.iloc[-1]['close']
close2 = df.iloc[-2]['close']
# 找出做多信号
if (close > upper) and (close2 <= upper2) and (close > ma) and (close2 <= ma2):
signal = 1
# 找出做空信号
elif (close < lower) and (close2 >= lower2) and (close < ma) and (close2 >= ma2):
signal = -1
# 找出做多平仓信号
elif (close < median) and (close2 >= median2):
signal = 0
# 找出做空平仓信号
elif (close > median) and (close2 <= median2):
signal = 0
return signal
```
这里加入了一个MA指标,通过比较收盘价和MA指标的关系,过滤掉一些无效的交易信号。具体来说,只有当收盘价大于上轨道、上一个收盘价小于上一个上轨道、收盘价大于MA指标、上一个收盘价小于上一个MA指标时,才会触发做多信号;只有当收盘价小于下轨道、上一个收盘价大于上一个下轨道、收盘价小于MA指标、上一个收盘价大于上一个MA指标时,才会触发做空信号。