ETF MACD 趋势跟踪 策略(聚宽源码)

"""import jqdata# 1. 标的池 security_list = [    # 8只 A股宽基ETF    "510050.XSHG", # 上证50ETF    "510300.XSHG", # 沪深300ETF    "510500.XSHG", # 中证500ETF    "510600.XSHG", # 中证1000ETF    "159915.XSHE", # 创业板ETF    "588000.XSHG", # 科创50ETF    "159361.XSHE", # 中证A500ETF    "159845.XSHE", # 科创创业50ETF    # 4只 跨境ETF    "513600.XSHG", # 恒生指数ETF    "513130.XSHG", # 恒生科技ETF    "513100.XSHG", # 纳指100ETF    "513500.XSHG"  # 标普500ETF]# 指标参数MA_period = 20macd_fast = 12macd_slow = 26macd_signal = 9def initialize(context):    set_benchmark('000300.XSHG')    set_option('use_real_price', True)    # ETF交易费率    set_order_cost(OrderCost(open_tax=0, close_tax=0,                              open_commission=0.0001, close_commission=0.0001,                              close_today_commission=0, min_commission=5), type='stock')    g.buy_candidates = []    g.sell_candidates = []    # 收盘计算信号    run_daily(generate_signal, time='15:20', reference_security='000001.XSHE')    # 次日开盘交易    run_daily(execute_trade, time='9:31', reference_security='000001.XSHE')def generate_signal(context):    # 先清空昨日信号    g.buy_candidates = []    g.sell_candidates = []    for stock in security_list:        # 获取日线数据        df = get_price(stock, end_date=context.current_dt, frequency='daily', count=80, fields=['close'])        # 数据长度不足直接跳过        if len(df) < 40:            log.warn(f"{stock} 历史K线数量不足，跳过计算")            continue        close = df['close']        ma20 = close.rolling(window=MA_period).mean()        price_now = close.iloc[-1]        ma20_now = ma20.iloc[-1]        # MACD计算        ema_fast = close.ewm(span=macd_fast, adjust=False).mean()        ema_slow = close.ewm(span=macd_slow, adjust=False).mean()        dif = ema_fast - ema_slow        dea = dif.ewm(span=macd_signal, adjust=False).mean()        dif_now = dif.iloc[-1]        dif_pre = dif.iloc[-2]        dea_now = dea.iloc[-1]        dea_pre = dea.iloc[-2]        # 买入条件：站上20日线 + MACD金叉        cond_buy = (price_now >= ma20_now) and (dif_pre <= dea_pre) and (dif_now > dea_now)        if cond_buy:            g.buy_candidates.append(stock)        # 卖出条件：跌破20日线        cond_sell = price_now < ma20_now        if cond_sell:            g.sell_candidates.append(stock)    log.info("===== 收盘信号 =====")    log.info("待买入标的：", g.buy_candidates)    log.info("待卖出标的：", g.sell_candidates)def execute_trade(context):    positions = context.portfolio.positions    # 卖出持仓中满足条件标的    for stock in g.sell_candidates:        if stock in positions and positions[stock].total_amount > 0:            order_target(stock, 0)            log.info(f"【开盘卖出】{stock} 收盘价跌破MA20")    # 均分资金买入候选标的    buy_list = g.buy_candidates    buy_count = len(buy_list)    if buy_count <= 0:        return    available_cash = context.portfolio.available_cash    each_target_value = available_cash / buy_count    for stock in buy_list:        order_target_value(stock, each_target_value)        log.info(f"【开盘买入】{stock} MA20之上 + MACD金叉")