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GitHubandClaude Opus 4.8
7f1bc645c2
- New strategies: dmi_trend, cci_breakout, mfi_volume, trix_cross, mtm_momentum - run_all_strategies.py --show: dual-axis equity curve vs stock price chart - zhuoyao_momentum strategy (from earlier commit) - README: updated strategy table (9→15), changelog, demo screenshots - Bump version to 1.8.2 Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
34 lines
1.2 KiB
Python
34 lines
1.2 KiB
Python
"""MTM 动量策略。
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MTM 上穿 0 买入（动量由负转正，下跌动能耗尽）；MTM 下穿 0 卖出（动量由正转负）。
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MTM = 当前价 - N 日前价格，最纯粹的动量指标。
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信号极其灵敏，适合捕捉趋势拐点。代价是震荡市假信号多——
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可以配合其他趋势过滤器使用，这里先展示最简版本。
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用法::
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easy-tdx backtest SZ 000001 --strategy-file strategies/mtm_momentum.py --count 2000 --table
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"""
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from easy_tdx import MyTT
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from easy_tdx.backtest import Strategy, crossover
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class MTMMomentumStrategy(Strategy):
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"""MTM 动量策略。"""
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def init(self) -> None:
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# MTM 返回 2 个数组: MTM, MTMMA
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self.mtm, self.mtm_ma = self.I(MyTT.MTM, self.data.close)
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# 用 MTM 上穿 0 线作为买入信号，下穿 0 线作为卖出信号
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zeros = [0.0] * len(self.data.close)
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self.buy_signal = crossover(self.mtm, zeros)
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self.sell_signal = crossover(zeros, self.mtm)
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def next(self) -> None:
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if self.buy_signal[self._bar_index] and self.position["size"] == 0:
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self.buy(size=0)
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elif self.sell_signal[self._bar_index] and self.position["size"] > 0:
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self.sell(size=0)
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