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MACD 计算方法 第 1 步：计算 EMA12 和 EMA26 EMA12 = XAverage(Close, 12) EMA26 = XAverage(Close, 26)
第 2 步：计算 DIF DIF = EMA12 - EMA26
第 3 步：计算 DEA DEA = XAverage(DIF, 9)
第 4 步：计算 MACD 直方图（Histogram） Histogram = 2(DIF - DEA)
MACD 策略逻辑 多头开仓：DIF 大于 DEA 空头开仓：DIF 小于 DEA 多头平仓：DIF 小于 DEA 空头平仓：DIF 大于 DEA
策略源码
'''backtest
start: 2022-10-12 09:00:00
end: 2022-11-10 15:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
'''
p = ext.NewPositionManager()
vp = 0
def onTick():
symbol = _C(exchange.SetContractType,"rb888")
r = _C(exchange.GetRecords)
if len(r) < 100 :
return
macd = TA.MACD(r)
dif = macd[0][-2]
dea = macd[1][-2]
#lastprice = r[-1]["Close"]
global vp
if vp == 0 and dif > dea :
p.OpenLong(symbol["InstrumentID"], 1)
vp = 1
if vp == 0 and dif < dea :
p.OpenShort(symbol["InstrumentID"], 1)
vp = -1
if vp == 1 and dif < dea :
p.Cover(symbol["InstrumentID"])
vp = 0
if vp == -1 and dif > dea :
p.Cover(symbol["InstrumentID"])
vp = 0
def main():
while True:
if exchange.IO("status"):
onTick()
LogStatus(_D(), "已连接")
else:
LogStatus(_D(), "未连接")
Sleep(1000)
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