# MACD quantization trade > 来源：https://uqer.io/community/share/56265ed3f9f06c4ca62fb618 ```py import talib import copy from numpy import arange, array, isnan #本策略的目的在于对常见的MACD指标策略进行验证 start = '2014-01-01' #start time end = '2015-10-19' #end time benchmark = 'HS300' #universe = ['000001.XSHE', '600000.XSHG'] universe = set_universe('HS300') # 证券池，支持股票和基金 capital_base = 1000000 freq = 'd' refresh_rate = 1 def dea_deviate_from_k_line(k_line, dea): #判断k线和dea走势是否背离，主要思路是 #从最新一天开始往回寻找几个极值点，然后 #进行极值比较 #然后是从当前点到第一个极值点进行比对 #最后按照权重返回对应数值 #对数组进行翻转 k_line_re = k_line[::-1] dea_re = dea[::-1] k_line_extremum = [] #获取极值点的索引，只统计近似区间的情况 k_line_extremum_inx = {} dea_extremum = [] dea_extremum_inx = {} for c in xrange(1, len(k_line_re) - 1): if not isnan(k_line_re[c - 1]) and not isnan(k_line_re[c]) and not isnan(k_line_re[c + 1]): if k_line_re[c - 1] < k_line_re[c] and k_line_re[c + 1] < k_line_re[c]: #获取到极值点 k_line_extremum.append(k_line_re[c]) k_line_extremum_inx[k_line_re[c]] = c for c in xrange(1, len(dea_re) - 1): if not isnan(dea_re[c - 1]) and not isnan(dea_re[c]) and not isnan(dea_re[c + 1]): if dea_re[c - 1] < dea_re[c] and dea_re[c + 1] < dea_re[c]: dea_extremum.append(dea_re[c]) dea_extremum_inx[dea_re[c]] = c #对极值点进行筛选判断趋势 sig_extremum = 0 if len(k_line_extremum) >= 2 and len(dea_extremum) >= 2: k_line_first_deviate = k_line_extremum[0] - k_line_extremum[1] dea_first_deviate = dea_extremum[0] - dea_extremum[1] k_and_dea_start_deviate = k_line_extremum_inx[k_line_extremum[0]] - dea_extremum_inx[dea_extremum[0]] k_and_dea_end_deviate = k_line_extremum_inx[k_line_extremum[1]] - dea_extremum_inx[dea_extremum[1]] #k线和dea的同时启动差距要小于２天 if abs(k_and_dea_start_deviate) < 2: #超过３天的背离趋势被确定为趋势 k_deviate_dates = abs(k_line_extremum_inx[k_line_extremum[0]]) - abs(k_line_extremum_inx[k_line_extremum[1]]) dea_deviate_date = abs(dea_extremum_inx[dea_extremum[0]]) - abs(dea_extremum_inx[dea_extremum[1]]) #最好是能同时停止，如果k线和dea线持续时间差值过大，说明应该以大的线为主要趋势 dea_k_deviate = abs(k_deviate_dates) - abs(dea_deviate_date) if abs(k_deviate_dates) >= 3 and abs(dea_deviate_date) >= 3 and dea_k_deviate < 3: if k_line_first_deviate < 0 and dea_first_deviate > 0 : #k线下降，dea上升说明是变盘上涨信号 sig_extremum = 1; elif k_line_first_deviate > 0 and dea_first_deviate < 0: #k线上升，dea下降说明是变盘下跌信号 sig_extremum = -1 else: #需要看是以那个线为准 if abs(k_deviate_dates) > abs(dea_deviate_date): if k_line_first_deviate < 0: sig_extremum = -1 else: sig_extremum = 1 else: if dea_first_deviate < 0: sig_extremum = -1 else: sig_extremum = 1 return sig_extremum def initialize(account): pass def handle_data(account): fibonacci_sequence_date1 = 144 fibonacci_sequence_date2 = 143 hist = account.get_attribute_history('closePrice', fibonacci_sequence_date1) for stock in account.universe: s_num = 0 for c in hist[stock]: if isnan(c): s_num += 1 if s_num >= len(hist[stock]) - 10: #说明数据太少直接放过 continue macd, macdsignal, macdhist = talib.MACD(hist[stock]) trade_signal = 0 for c in range(fibonacci_sequence_date2, len(macd) - 1): #1.DIFF、DEA均为正，DIFF向上突破DEA，买入信号 if not isnan(macd[c]) and not isnan(macdsignal[c]) and macd[c] > 0 and macdsignal[c] > 0: if not isnan(macd[c - 1]) and not isnan(macdsignal[c - 1]) and macd[c - 1] < macdsignal[c - 1]: if not isnan(macd[c + 1]) and not isnan(macdsignal[c + 1]) and macd[c + 1] > macdsignal[c + 1]: trade_signal += 1 #2.DIFF、DEA均为负，DIFF向下跌破DEA，卖出信号 if not isnan(macd[c]) and not isnan(macdsignal[c]) and macd[c] < 0 and macdsignal[c] < 0: if not isnan(macd[c - 1]) and not isnan(macdsignal[c - 1]) and macd[c - 1] > macdsignal[c - 1]: if not isnan(macd[c + 1]) and not isnan(macdsignal[c + 1]) and macd[c + 1] < macdsignal[c + 1]: trade_signal -= 1 #4.分析MACD柱状线，由负变正，买入信号 if not isnan(macdhist[c - 1]) and not isnan(macdhist[c]) and not isnan(macdhist[c + 1]): if macdhist[c] > macdhist[c - 1] and macdhist[c + 1] > macdhist[c] and macdhist[c] > 0 and macdhist[c - 1] < 0: trade_signal += 1 #5.分析MACD柱状线，由正变负，卖出信号 if not isnan(macdhist[c - 1]) and not isnan(macdhist[c]) and not isnan(macdhist[c + 1]): if macdhist[c] < macdhist[c - 1] and macdhist[c + 1] < macdhist[c] and macdhist[c] < 0 and macdhist[c - 1] > 0: trade_signal -= 1 #3.DEA线与K线发生背离，行情反转信号 #如果返回0则代表不对信号进行叠加 trade_signal += dea_deviate_from_k_line(hist[stock], macdsignal) if trade_signal > 0 and trade_signal <= 1: order(stock, 100) elif trade_signal > 1: order(stock, 200) elif trade_signal < 0 and trade_signal >= -1: order(stock, -100) elif trade_signal < -1: order(stock, -200) ```