# 布林帶交易策略 > 來源：https://uqer.io/community/share/5673d440228e5bab38c97782 ```py from CAL.PyCAL import * from datetime import * import time import pandas as pd import numpy as np import math start = datetime(2014, 1, 1) end = datetime(2014, 6, 30) benchmark = 'HS300' universe = set_universe('HS300') capital_base = 100000 refresh_rate = 1 ########################################## t1 = 50 #MA周期 t2 = 30 #ROC周期 MaxBar = 0.75 #持倉周期最大時，首次賣出系數 ########################################## T = pd.Series(data=[t1],index = universe) commission = Commission(buycost=0.0003, sellcost=0.0003) def initialize(account): pass def handle_data(account): #print account.current_date cal = Calendar('China.SSE') last_dayt1 = cal.advanceDate(account.current_date, str(-t1)+'B', BizDayConvention.Preceding).toDateTime() #計算出前t1個交易日 buylist = [] selllist = [] #取出當前交易日至前t1交易日之間的收盤價格數據 cp = DataAPI.MktEqudGet(secID=account.universe,ticker=u"",tradeDate=u"",beginDate=last_dayt1,endDate=account.current_date,field=[u"tradeDate",u"secID",u"closePrice"],pandas="1") #根據持倉周期，更新MA計算周期T，持倉周期增加1，MA計算周期就減少1，最小為10 for stock in account.avail_secpos: T[stock] = T[stock] - 1 if(T[stock] < 10): T[stock] = 10 #計算t1周期MA cpg = cp['closePrice'].groupby(cp['secID']) ma = cpg.mean() std = cpg.std() #當股票當前價格突破布林線上軌，且ROC值大于0，買入 for stock in account.universe: upband = ma[stock] + std[stock] if(len(cp[cp.secID == stock]) > t2): roc = (account.referencePrice[stock] - float(cp[cp.secID == stock][-t2:-t2+1]['closePrice'])) / float(cp[cp.secID == stock][-t2:-t2+1]['closePrice']) if account.referencePrice[stock] > upband and roc > 0: buylist.append(stock) #當股票當前價格突破布林線中軌，且ROC值小于0，賣出 for stock in account.avail_secpos: #根據股票的持倉周期計算，MA周期 MAT = np.mean(cp[cp.secID == stock][-T[stock]:]['closePrice']) stdT = np.std(cp[cp.secID == stock][-T[stock]:]['closePrice']) midband = MAT downband = MAT - stdT if(len(cp[cp.secID == stock]) > t2): roc = (account.referencePrice[stock] - float(cp[cp.secID == stock][-t2:-t2+1]['closePrice'])) / float(cp[cp.secID == stock][-t2:-t2+1]['closePrice']) if account.referencePrice[stock] < midband and roc < 0: selllist.append(stock) #買入策略，虛擬賬戶剩余金額按可買股票平均買入，0.95為成功成交系數 for i in buylist: order(i, account.cash / len(buylist) / account.referencePrice[i] * 0.95) #賣出策略，按持倉周期逐步賣出，持倉周期越長，第一次賣出越多，最多為3/4倉位，以10天為單位遞減 for i in selllist: x = (account.avail_secpos[i] * MaxBar*math.pow(0.5,T[i] // 10 -1) // 100) * 100 order(i,-x) if(x == 100): T[i] = t1 ```