Python量化策略：R-Breaker交易策略

'''backteststart: 2019-01-01 00:00:00end: 2021-01-01 00:00:00period: 1hbasePeriod: 1hexchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]'''# 策略主函数def onTick():    # 获取数据    exchange.SetContractType('rb000')   					# 订阅期货品种    bars_arr =exchange.GetRecords(PERIOD_D1)  			# 获取日K线数组    if len(bars_arr) 2:  								# 如果K线数量小于2根        return    yesterday_open = bars_arr[-2]['Open']     			# 昨日开盘价    yesterday_high = bars_arr[-2]['High']     			# 昨日最高价    yesterday_low = bars_arr[-2]['Low']       			# 昨日最低价    yesterday_close = bars_arr[-2]['Close']   			# 昨日收盘价    # 计算    pivot = (yesterday_high+yesterday_close+yesterday_low) / 3*num # 枢轴点    r1 = 2 * pivot - yesterday_low 						# 阻力位1    r2 = pivot + (yesterday_high - yesterday_low)		# 阻力位2    r3 = yesterday_high + 2 * (pivot - yesterday_low)	# 阻力位3    s1 = 2 * pivot - yesterday_high  					# 支撑位1    s2 = pivot - (yesterday_high - yesterday_low)  		# 支撑位2    s3 = yesterday_low - 2 * (yesterday_high - pivot)  	# 支撑位3    today_high = bars_arr[-1]['High'


    
] 					# 今日最高价    today_low = bars_arr[-1]['Low'] 					# 今日最低价    current_price = _C(exchange.GetTicker).Last 		#当前价格    # 获取持仓    position_arr = _C(exchange.GetPosition)  			# 获取持仓数组    if len(position_arr) > 0:  							# 如果持仓数组大于0        for i in position_arr:            if i['ContractType'][:2] == 'rb':  			# 如果持仓品种等于rb                if i['Type'] % 2 == 0:  					# 如果是多单                    position = i['Amount']  				# 赋值持仓数量为正数                else:                    position = -i['Amount']  				# 赋值持仓数量为负数                profit = i['Profit']  					# 获取持仓盈亏    else:        position = 0  									# 赋值持仓数量为0        profit = 0  										# 赋值持仓盈亏为0    if position == 0:  									# 如果无持仓        if current_price > r3:  							# 如果价格大于阻力位3            exchange.SetDirection("buy")  				# 设置交易方向和类型            exchange.Buy(current_price + 1, 1)  			# 开多单        if current_price < s3:  							# 如果价格小于支撑位3            exchange.SetDirection("sell")  				# 设置交易方向和类型            exchange.Sell(current_price - 1, 1)  		# 开空单    if position > 0:  									# 如果持有多单    # 如果今日最高价大于阻力位2，并且当前价格小于阻力位1        if today_high > r2 and current_price < r1 or current_price < s3:              exchange.SetDirection("closebuy")  			# 设置交易方向和类型            exchange.Sell(current_price - 1, 1)  		# 平多单            exchange.SetDirection("sell")  				# 设置交易方向和类型            exchange.Sell(current_price - 1, 1)  		# 反手开空单    if position 0:  # 如果持有空单        # 如果今日最低价小于支撑位2，并且当前价格大于支撑位1        if today_low < s2 and current_price > s1 or current_price > r3:              exchange.SetDirection("closesell")  			# 设置交易方向和类型            exchange.Buy(current_price + 1, 1)  			# 平空单            exchange.SetDirection("buy")  				# 设置交易方向和类型            exchange.Buy(current_price + 1, 1)  			# 反手开多单
# 程序主函数def main():    while True:     										# 循环        onTick()    										# 执行策略主函数        Sleep(1000) 										# 休眠1秒