import numpy as np from hyperopt import hp def trading_strategy(df, para): # 策略参数 n = int(para[0]) # 取平均线和标准差的参数 m = para[1] # 标准差的倍数 ma_n = para[2] # MA指标的参数 volatility_factor = 2 # 波动率因子,可以根据实际情况调整 # 计算均线和标准差 close = df['close'].values ma = np.mean(close[-n:]) std = np.std(close[-n:], ddof=1) # 计算上下轨道 upper = ma + volatility_factor * std lower = ma - volatility_factor * std # 计算MA指标 ma_values = df['close'].rolling(ma_n).mean().values ma_current = ma_values[-1] ma_previous = ma_values[-2] # 计算LLT指标 alpha = 2 / (ma_n + 1) llt = 0 for i in range(ma_n): llt += alpha * (close[-i-1] - llt) # 寻找交易信号 signal = 0 close_current = close[-1] close_previous = close[-2] # 做多信号 if (close_current > upper) and (close_previous <= upper) and (close_current > ma_current) and (close_previous <= ma_previous) and (std < volatility_factor * ma_current): # LLT指标过滤做多信号 if close_current < llt: signal = 0 else: signal = 1 # 做空信号 elif (close_current < lower) and (close_previous >= lower) and (close_current < ma_current) and (close_previous >= ma_previous) and (std < volatility_factor * ma_current): # LLT指标过滤做空信号 if close_current > llt: signal = 0 else: signal = -1 # 平仓信号 elif ((close_current < ma) and (close_previous >= ma)) or ((close_current > ma) and (close_previous <= ma)): signal = 0 return signal # 定义参数范围 space = [ hp.quniform('n', 10, 50, 1), hp.uniform('m', 1, 3), hp.quniform('ma_n', 5, 30, 1), ]这段代码还有优化的地方吗
时间: 2024-02-14 18:17:08 浏览: 114
python 3.74 运行import numpy as np 报错lib\site-packages\numpy\__init__.py
这段代码整体上看起来不错,但是还有一些可以优化的地方:
1. 代码的缩进不规范,建议使用4个空格缩进
2. 在函数中可以添加注释,使得代码更易于理解
3. 在计算LLT指标的时候,可以使用向量化计算,这样可以提高计算效率。例如:
```python
llt = np.zeros(ma_n)
llt[0] = close[-1]
alpha = 2 / (ma_n + 1)
for i in range(1, ma_n):
llt[i] = alpha * close[-i-1] + (1 - alpha) * llt[i-1]
```
4. 在计算MA指标时,可以使用pandas自带的rolling函数来代替循环。例如:
```python
ma_values = df['close'].rolling(ma_n).mean().values
```
这样可以使得代码更加简洁,同时也能提高计算效率。
5. 在使用hyperopt库进行参数优化时,可以增加参数空间的范围,例如:
```python
space = [
hp.quniform('n', 10, 100, 1),
hp.uniform('m', 1, 5),
hp.quniform('ma_n', 5, 50, 1),
]
```
这样可以更全面地搜索参数空间,找到更优的参数组合。
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