# 布林带交易策略 > 来源：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 #持仓周期最大时，首次卖出系数 ########################################## 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() #计算出前t1个交易日 buylist = [] selllist = [] #取出当前交易日至前t1交易日之间的收盘价格数据 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") #根据持仓周期，更新MA计算周期T，持仓周期增加1，MA计算周期就减少1，最小为10 for stock in account.avail_secpos: T[stock] = T[stock] - 1 if(T[stock] < 10): T[stock] = 10 #计算t1周期MA cpg = cp['closePrice'].groupby(cp['secID']) ma = cpg.mean() std = cpg.std() #当股票当前价格突破布林线上轨，且ROC值大于0，买入 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) #当股票当前价格突破布林线中轨，且ROC值小于0，卖出 for stock in account.avail_secpos: #根据股票的持仓周期计算，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) #买入策略，虚拟账户剩余金额按可买股票平均买入，0.95为成功成交系数 for i in buylist: order(i, account.cash / len(buylist) / account.referencePrice[i] * 0.95) #卖出策略，按持仓周期逐步卖出，持仓周期越长，第一次卖出越多，最多为3/4仓位，以10天为单位递减 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 ```