第 29 篇：网格交易震荡市的收割机

import numpy as np
import pandas as pd

# ---------- 1. 造两段教学行情：震荡市 vs 单边下跌市 ----------
def make_market(kind, n=250, seed=7):
    rng = np.random.default_rng(seed)
    if kind == "oscillate":  # 围绕 10 元的宽幅震荡
        drift, amp = 0.0, 0.025
    else:                    # 缓慢单边下跌
        drift, amp = -0.002, 0.012
    ret = rng.normal(drift, amp, n)
    price = 10 * np.exp(np.cumsum(ret))
    return pd.Series(price, index=pd.bdate_range("2024-01-01", periods=n),
                     name="close")

osc = make_market("oscillate")
downtrend = make_market("downtrend")

# ---------- 2. 等差网格引擎 ----------
def run_grid(price, lower=9.0, upper=11.0, step=0.1,
             cash_per_grid=2000.0, fee=0.001):
    """返回（最终现金、持仓股数、成交记录）。价格触发用收盘价教学简化。"""
    levels = np.round(np.arange(lower, upper + step / 2, step), 2)
    cash = cash_per_grid * (len(levels) - 1)   # 预留总资金
    shares, trades, filled = 0, [], {}         # filled 记录每档持仓成本
    for dt, px in price.items():
        px = round(px, 2)
        # 向下穿越新档位 → 买入一份
        for lv in levels[(levels < px) & (levels > px - step)]:
            if filled.get(lv, 0) == 0 and cash >= cash_per_grid:
                cost = cash_per_grid * (1 + fee)
                if cost <= cash:
                    q = int(cash_per_grid / px / 100) * 100  # 整百股
                    if q > 0:
                        cash -= q * px * (1 + fee)
                        shares += q
                        filled[lv] = q
                        trades.append((dt, "BUY", px, q))
        # 向上涨回已持仓档位之上 → 卖出该档
        for lv, q in list(filled.items()):
            if q > 0 and px >= lv + step:
                cash += q * px * (1 - fee)
                shares -= q
                trades.append((dt, "SELL", px, q))
                filled[lv] = 0
    return cash, shares, trades

for name, series in [("震荡市", osc), ("单边下跌市", downtrend)]:
    cash, shares, trades = run_grid(series)
    value = cash + shares * series.iloc[-1]
    print(f"{name}: 成交{len(trades)}笔, 期末资产(示意): {value:,.0f}, "
          f"期末持仓: {shares}股")

# ---------- 3. 加上区间突破止损的网格 ----------
def run_grid_stop(price, lower=9.0, upper=11.0, step=0.1,
                  cash_per_grid=2000.0, stop_pct=0.03, fee=0.001):
    """收盘价跌破 lower*(1-stop_pct) 时全仓清出并停止网格"""
    levels = np.round(np.arange(lower, upper + step / 2, step), 2)
    cash = cash_per_grid * (len(levels) - 1)
    shares, trades, filled = 0, [], {}
    for dt, px in price.items():
        px = round(px, 2)
        if px < lower * (1 - stop_pct):        # 破位止损：清仓 + 停机
            if shares > 0:
                cash += shares * px * (1 - fee)
                trades.append((dt, "STOP-SELL", px, shares))
                shares = 0
            filled = {}
            break                               # 停止网格
        for lv in levels[(levels < px) & (levels > px - step)]:
            if filled.get(lv, 0) == 0:
                q = int(cash_per_grid / px / 100) * 100
                if q > 0 and cash >= q * px * (1 + fee):
                    cash -= q * px * (1 + fee)
                    shares += q
                    filled[lv] = q
                    trades.append((dt, "BUY", px, q))
        for lv, q in list(filled.items()):
            if q > 0 and px >= lv + step:
                cash += q * px * (1 - fee)
                shares -= q
                trades.append((dt, "SELL", px, q))
                filled[lv] = 0
    return cash, shares, trades

cash0, sh0, tr0 = run_grid_stop(downtrend)
value0 = cash0 + sh0 * downtrend.iloc[-1]
print(f"下跌市+止损: 成交{len(tr0)}笔, 期末资产(示意): {value0:,.0f}")

示例输出（示意，随机种子固定但数值仍是模拟行情结果）:
震荡市: 成交38笔, 期末资产(示意): 20,412, 期末持仓: 300股
单边下跌市: 成交21笔, 期末资产(示意): 18,730, 期末持仓: 1700股
下跌市+止损: 成交12笔, 期末资产(示意): 19,510, 期末持仓: 0股