ATR追踪止损是一种技术指标,用于根据市场波动性动态调整止损点位。以下是一个示例代码,展示了如何实施ATR追踪止损。
import pandas as pd
import numpy as np
# 计算ATR指标
def calculate_atr(data, n):
high = data['High']
low = data['Low']
close = data['Close']
data['TR'] = np.max([high - low, abs(high - close.shift(1)), abs(low - close.shift(1))], axis=0)
data['ATR'] = data['TR'].rolling(n).mean()
return data
# 实施ATR追踪止损
def implement_atr_trailing_stop(data, n, multiplier):
data = calculate_atr(data, n)
data['StopLoss'] = data['Close'] - (multiplier * data['ATR'])
return data
# 示例数据
data = pd.DataFrame({'High': [10, 12, 15, 13, 14],
'Low': [7, 8, 9, 10, 11],
'Close': [9, 10, 12, 11, 13]})
# 实施ATR追踪止损
n = 3 # ATR计算的周期
multiplier = 2 # 止损点位相对ATR的乘数
data = implement_atr_trailing_stop(data, n, multiplier)
print(data)
在上述示例中,我们首先定义了calculate_atr
函数来计算ATR指标。它使用了真实范围(TR)来计算ATR,TR是最高价与最低价之差、最高价与前一日收盘价之差、最低价与前一日收盘价之差的最大值。然后,我们定义了implement_atr_trailing_stop
函数来实施ATR追踪止损。它使用了calculate_atr
函数来计算ATR,并根据ATR乘以止损点位的乘数来计算止损点位。最后,我们使用示例数据调用implement_atr_trailing_stop
函数,并打印结果。