{"id":457,"date":"2024-05-27T15:16:52","date_gmt":"2024-05-27T07:16:52","guid":{"rendered":"https:\/\/blog.alltick.co\/?p=457"},"modified":"2025-04-28T15:16:07","modified_gmt":"2025-04-28T07:16:07","slug":"forex-trading-strategies","status":"publish","type":"post","link":"https:\/\/blog.alltick.co\/zh-CN\/forex-trading-strategies\/","title":{"rendered":"Python\u641e\u91cf\u5316\uff1a\u5e38\u89c1\u7684\u5916\u6c47\u4ea4\u6613\u7b56\u7565"},"content":{"rendered":"\n<p>\u5916\u6c47\u4ea4\u6613\u5e02\u573a\u56e0\u5176\u9ad8\u6d41\u52a8\u6027\u548c24\u5c0f\u65f6\u4ea4\u6613\u7279\u70b9\uff0c\u5438\u5f15\u4e86\u5927\u91cf\u4ea4\u6613\u8005\u3002\u91cf\u5316\u4ea4\u6613\u7b56\u7565\u5728\u5916\u6c47\u5e02\u573a\u4e0a\u540c\u6837\u975e\u5e38\u53d7\u6b22\u8fce\u3002\u4ee5\u4e0b\u662f\u4e09\u4e2a\u7ecf\u5178\u7684\u5916\u6c47\u4ea4\u6613\u7b56\u7565\uff0c\u8fd9\u4e9b\u7b56\u7565\u53ef\u4ee5\u8fd0\u7528\u5728\u91cf\u5316\u4ea4\u6613\u4e2d\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>1. \u52a8\u91cf\u4ea4\u6613\u7b56\u7565<\/strong><\/h2>\n\n\n\n<p>\u52a8\u91cf\u4ea4\u6613\u7b56\u7565\u57fa\u4e8e\u8fd9\u6837\u7684\u5047\u8bbe\uff1a\u5e02\u573a\u4ef7\u683c\u5728\u67d0\u4e00\u65b9\u5411\u4e0a\u6301\u7eed\u79fb\u52a8\u7684\u8d8b\u52bf\u53ef\u80fd\u4f1a\u7ee7\u7eed\u4e00\u6bb5\u65f6\u95f4\u3002\u52a8\u91cf\u4ea4\u6613\u8005\u901a\u8fc7\u4e70\u5165\u8fd1\u671f\u8868\u73b0\u5f3a\u52b2\u7684\u8d27\u5e01\u5bf9\u5e76\u5356\u51fa\u8868\u73b0\u8f83\u5f31\u7684\u8d27\u5e01\u5bf9\u6765\u83b7\u5229\u3002<\/p>\n\n\n\n<p><strong>\u5b9e\u73b0\u6b65\u9aa4\uff1a<\/strong><\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u9009\u62e9\u4e00\u4e2a\u65f6\u95f4\u7a97\u53e3\uff08\u598220\u5929\u300150\u5929\u6216200\u5929\uff09\u6765\u8ba1\u7b97\u52a8\u91cf\u3002<\/li>\n\n\n\n<li>\u8ba1\u7b97\u8be5\u65f6\u95f4\u7a97\u53e3\u5185\u7684\u4ef7\u683c\u53d8\u5316\u767e\u5206\u6bd4\u3002<\/li>\n\n\n\n<li>\u8bbe\u5b9a\u52a8\u91cf\u9608\u503c\uff0c\u5982\u5728\u4ef7\u683c\u53d8\u5316\u767e\u5206\u6bd4\u8d85\u8fc7\u4e00\u5b9a\u6570\u503c\u65f6\u8fdb\u884c\u4e70\u5165\u6216\u5356\u51fa\u64cd\u4f5c\u3002<\/li>\n\n\n\n<li>\u5b9a\u671f\u91cd\u65b0\u8ba1\u7b97\u52a8\u91cf\u5e76\u8c03\u6574\u6301\u4ed3\u3002<\/li>\n<\/ul>\n\n\n\n<p><\/p>\n\n\n\n<p><strong>\u91cf\u5316\u5b9e\u73b0\uff1a<\/strong><\/p>\n\n\n\n<pre class=\"EnlighterJSRAW\" data-enlighter-language=\"python\" data-enlighter-theme=\"\" data-enlighter-highlight=\"\" data-enlighter-linenumbers=\"\" data-enlighter-lineoffset=\"\" data-enlighter-title=\"\" data-enlighter-group=\"\">import pandas as pd\nimport numpy as np\n\n# \u83b7\u53d6\u5386\u53f2\u6570\u636e\uff0c\u53ef\u4ee5\u4eceAlltick\u7684\u63a5\u53e3\u5904\u83b7\u53d6\u5b9e\u65f6\u548c\u5386\u53f2\u4ef7\u683c\u6570\u636e\ndata = pd.read_csv('forex_data.csv')\n\n# \u8ba1\u7b97\u52a8\u91cf\ndata['momentum'] = data['close'].pct_change(periods=20)\n\n# \u8bbe\u5b9a\u52a8\u91cf\u9608\u503c\nbuy_threshold = 0.05\nsell_threshold = -0.05\n\n# \u751f\u6210\u4ea4\u6613\u4fe1\u53f7\ndata['signal'] = np.where(data['momentum'] > buy_threshold, 1, 0)\ndata['signal'] = np.where(data['momentum'] &lt; sell_threshold, -1, data['signal'])\n\n# \u8ba1\u7b97\u6536\u76ca\ndata['return'] = data['close'].pct_change()\ndata['strategy_return'] = data['signal'].shift(1) * data['return']\n<\/pre>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>2. \u5747\u503c\u56de\u5f52\u7b56\u7565<\/strong><\/h2>\n\n\n\n<p>\u5747\u503c\u56de\u5f52\u7b56\u7565\u57fa\u4e8e\u91d1\u878d\u5e02\u573a\u4ef7\u683c\u4f1a\u56de\u5f52\u5176\u5747\u503c\u7684\u5047\u8bbe\u3002\u5f53\u4ef7\u683c\u504f\u79bb\u5747\u503c\u4e00\u5b9a\u7a0b\u5ea6\u65f6\uff0c\u9884\u8ba1\u4ef7\u683c\u5c06\u5411\u5747\u503c\u56de\u5f52\uff0c\u4ece\u800c\u8fdb\u884c\u4e70\u5356\u64cd\u4f5c\u3002<\/p>\n\n\n\n<p><strong>\u5b9e\u73b0\u6b65\u9aa4\uff1a<\/strong><\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u9009\u62e9\u4e00\u4e2a\u65f6\u95f4\u7a97\u53e3\u6765\u8ba1\u7b97\u5747\u503c\uff08\u598220\u5929\uff09\u3002<\/li>\n\n\n\n<li>\u8ba1\u7b97\u5747\u503c\u548c\u6807\u51c6\u5dee\u3002<\/li>\n\n\n\n<li>\u5f53\u4ef7\u683c\u4f4e\u4e8e\u5747\u503c\u51cf\u53bb\u591a\u500d\u6807\u51c6\u5dee\u65f6\u4e70\u5165\uff0c\u9ad8\u4e8e\u5747\u503c\u52a0\u4e0a\u591a\u500d\u6807\u51c6\u5dee\u65f6\u5356\u51fa\u3002<\/li>\n<\/ul>\n\n\n\n<p><\/p>\n\n\n\n<p><strong>\u4e0a\u4ee3\u7801\uff1a<\/strong><\/p>\n\n\n\n<pre class=\"EnlighterJSRAW\" data-enlighter-language=\"python\" data-enlighter-theme=\"\" data-enlighter-highlight=\"\" data-enlighter-linenumbers=\"\" data-enlighter-lineoffset=\"\" data-enlighter-title=\"\" data-enlighter-group=\"\"># \u8ba1\u7b97\u79fb\u52a8\u5747\u503c\u548c\u6807\u51c6\u5dee\ndata['mean'] = data['close'].rolling(window=20).mean()\ndata['std'] = data['close'].rolling(window=20).std()\n\n# \u8bbe\u5b9a\u4e70\u5165\u548c\u5356\u51fa\u9608\u503c\nbuy_threshold = data['mean'] - 2 * data['std']\nsell_threshold = data['mean'] + 2 * data['std']\n\n# \u751f\u6210\u4ea4\u6613\u4fe1\u53f7\ndata['signal'] = np.where(data['close'] &lt; buy_threshold, 1, 0)\ndata['signal'] = np.where(data['close'] > sell_threshold, -1, data['signal'])\n\n# \u8ba1\u7b97\u6536\u76ca\ndata['strategy_return'] = data['signal'].shift(1) * data['return']\n<\/pre>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>3. \u8d8b\u52bf\u8ddf\u8e2a\u7b56\u7565<\/strong><\/h2>\n\n\n\n<p>\u8d8b\u52bf\u8ddf\u8e2a\u7b56\u7565\u57fa\u4e8e\u5e02\u573a\u5b58\u5728\u957f\u671f\u8d8b\u52bf\u7684\u5047\u8bbe\u3002\u5f53\u4ef7\u683c\u7a81\u7834\u67d0\u4e00\u91cd\u8981\u6c34\u5e73\uff08\u5982\u79fb\u52a8\u5747\u7ebf\uff09\u65f6\uff0c\u987a\u52bf\u8fdb\u884c\u4ea4\u6613\u3002<\/p>\n\n\n\n<p><strong>\u5b9e\u73b0\u6b65\u9aa4\uff1a<\/strong><\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u9009\u62e9\u4e24\u6761\u4e0d\u540c\u5468\u671f\u7684\u79fb\u52a8\u5747\u7ebf\uff08\u598250\u5929\u548c200\u5929\uff09\u3002<\/li>\n\n\n\n<li>\u5f53\u77ed\u671f\u5747\u7ebf\u4e0a\u7a7f\u957f\u671f\u5747\u7ebf\u65f6\u4e70\u5165\uff0c\u5f53\u77ed\u671f\u5747\u7ebf\u4e0b\u7a7f\u957f\u671f\u5747\u7ebf\u65f6\u5356\u51fa\u3002<\/li>\n<\/ul>\n\n\n\n<p><\/p>\n\n\n\n<p><strong>\u8d8b\u52bf\u8ddf\u8e2a\u7b56\u7565\u7684\u5b9e\u73b0\u601d\u8def\u5982\u4e0b\uff1a<\/strong><\/p>\n\n\n\n<pre class=\"EnlighterJSRAW\" data-enlighter-language=\"python\" data-enlighter-theme=\"\" data-enlighter-highlight=\"\" data-enlighter-linenumbers=\"\" data-enlighter-lineoffset=\"\" data-enlighter-title=\"\" data-enlighter-group=\"\"># \u8ba1\u7b97\u79fb\u52a8\u5747\u7ebf\ndata['short_mavg'] = data['close'].rolling(window=50).mean()\ndata['long_mavg'] = data['close'].rolling(window=200).mean()\n\n# \u751f\u6210\u4ea4\u6613\u4fe1\u53f7\ndata['signal'] = np.where(data['short_mavg'] > data['long_mavg'], 1, 0)\ndata['signal'] = np.where(data['short_mavg'] &lt; data['long_mavg'], -1, data['signal'])\n\n# \u8ba1\u7b97\u6536\u76ca\ndata['strategy_return'] = data['signal'].shift(1) * data['return']\n<\/pre>\n\n\n\n<p><\/p>\n\n\n\n<p><\/p>\n","protected":false},"excerpt":{"rendered":"<p>\u5916\u6c47\u4ea4\u6613\u5e02\u573a\u56e0\u5176\u9ad8\u6d41\u52a8\u6027\u548c24\u5c0f\u65f6\u4ea4\u6613\u7279\u70b9\uff0c\u5438\u5f15\u4e86\u5927\u91cf\u4ea4\u6613\u8005\u3002\u91cf\u5316\u4ea4\u6613\u7b56\u7565\u5728\u5916\u6c47\u5e02\u573a\u4e0a\u540c\u6837\u975e\u5e38\u53d7\u6b22\u8fce\u3002\u4ee5\u4e0b\u662f\u4e09&#8230;<\/p>\n","protected":false},"author":1,"featured_media":460,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[8],"tags":[],"class_list":["post-457","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-tick-data-wiki"],"acf":[],"_links":{"self":[{"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/posts\/457","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/comments?post=457"}],"version-history":[{"count":4,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/posts\/457\/revisions"}],"predecessor-version":[{"id":462,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/posts\/457\/revisions\/462"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/media\/460"}],"wp:attachment":[{"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/media?parent=457"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/categories?post=457"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/tags?post=457"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}