重写 rsi
来源：https://uqer.io/community/share/560dfd84f9f06c4ca82fb597
import talib as ta
import numpy as np
import pandas as pd
from pandas import DataFrame,Series
start = '2014-01-01' # 回测起始时间
end = '2015-01-01' # 回测结束时间
benchmark = 'HS300' # 策略参考标准
universe = set_universe('HS300') # 证券池，支持股票和基金
capital_base = 10000000 # 起始资金
freq = 'd' # 策略类型，'d'表示日间策略使用日线回测
refresh_rate = 1 # 调仓频率，表示执行handle_data的时间间隔，由于freq = 'd'，时间间隔的单位为交易日
pieces=10 #每个标的最多买1/10
def initaialize(account):
pass
def handle_data(account):
prices=account.get_attribute_history('closePrice',100)
for s in universe:
cun_price=price[s][-1]
cun_amount[s]=account.secpos.get(s,0)
RSI=ta.RSI(prices[s],9)
buy_flag=RSI[-1]>RSI[-2] and RSI[-1]>30 #计算买入条件
sell_flag = RSI[-1]<RSI[-2] and RSI[-1]<70 #计算卖出条件
amount_max=int((0.1*capital_base)/cun_price) #计算单支仓位上限
amount = min(int(2500000/cun_price),amount_max-cun-amount[s]) #计算下单量
if buy_flag and (cun_amount[s]<amount_max):
order(s,amount)
elif sell_flag and (cun_amount[s]>0):
order_to(s,0)
---------------------------------------------------------------------------
ValueError Traceback (most recent call last)
<mercury-input-6-72d5ab71705d> in <module>()
61 perf = quartz.perf_parse(bt, quartz_acct)
62 elif QUARTZ_CACHE.get('start', 0) == sim_params.first_trading_day and QUARTZ_CACHE.get('end', 0) == sim_params.last_trading_day and QUARTZ_CACHE.get('benchmark', 0) == benchmark and QUARTZ_CACHE.get('universe', 0) == sim_params.universe:
---> 63 strategy = quartz.sim_condition.strategy.TradingStrategy(initialize, handle_data)
64 bt, quartz_acct = quartz.quick_backtest_generator(sim_params = QUARTZ_CACHE['sim_params'],
65 strategy = strategy,
python2.7/site-packages/quartz/sim_condition/strategy.pyc in __init__(self, initialize, handle_data)
19 def __init__(self, initialize=None, handle_data=None):
20 if not hasattr(initialize, '__call__'):
---> 21 raise ValueError('initialize must be a function!')
22 else:
23 self._initialize = initialize
ValueError: initialize must be a function!
