這裡分享第二個策略 - 菲阿裡四價策略

菲阿裡四價指的是：昨日高點、昨日低點、昨天收盤、今天開盤四個價格。

菲阿裡四價上下軌的計算非常簡單。昨日高點為上軌，昨日低點為下軌。當價格突破上軌時，買入開倉；當價格突破下軌時，賣出開倉。

作法

第一步：獲取昨日最高價、最低價、收盤價、開盤價四個數據。
第二步：計算上軌和下軌。當價格上穿上軌時，買入開倉；當價格下穿下軌時，賣出開倉。
第三步：當日平倉。

from shioaji.data import Kbars

kbars = api.kbars(api.Contracts.Futures.TXF['TXF202110'], start="2021-09-29", end="2021-09-29")
df = pd.DataFrame({**kbars})
df.ts = pd.to_datetime(df.ts)

nwedf = df.drop(df[(df['ts'] < "2021-09-29 08:45:00") | (df['ts'] > "2021-09-29 13:45:00")].index).reset_index()

open = nwedf['Open'][0]
close = nwedf['Close'][0]

column = nwedf['High']
max_value = column.max()

column = nwedf['Low']
min_value = column.min()

minute_close = pd.Series()
stock = 0
price = 0
reward = 0
sig = []

for i in range(0,700):
  # 抓snapshot
  snapshots = api.snapshots(contracts)
  
  # 存到分k收盤價的series
  minute_close = minute_close.append(pd.Series(
      [snapshots[0].close], 
      index=[pd.to_datetime(snapshots[0].ts, unit='ns')]
  ))

  now = datetime.now()
  current_time = now.strftime("%H:%M:%S")

  # 當價格上穿上軌時，買入開倉
  if snapshots[0].close > max_value and stock == 0:
    stock += 1
    price = snapshots[0].close
    sig.append(1)
    print("Current Time =", current_time, "buy :", price)
    
  # 當價格下穿下軌時，賣出開倉
  elif snapshots[0].close < min_value and stock == 1:
    stock -= 1
    reward = price - snapshots[0].close
    sig.append(-1)
    print("Current Time =", current_time, "sell :", price, "reward :", reward)
  else:
    sig.append(0)


  time.sleep(60)


# 當日平倉
if stock > 0:
  reward = price - snapshots[0].close
  sig.append(-1)
  print("Current Time =", current_time, "sell :", price, "reward :", reward)
elif stock < 0:
  reward = price - snapshots[0].close
  sig.append(-1)
  print("Current Time =", current_time, "buy :", price, "reward :", reward)

實際跑了一下策略，發現這個策略適合用在多頭市場，假如市場轉空，應該把策略反過來操作