def __init__(self, portfolio, vtSymbol):
self.portfolio = portfolio # 投资组合
self.vtSymbol = vtSymbol # 合约代码
self.am = ArrayManager() # K线容器
self.bar = None # 最新K线
# 策略参数
self.initBars = 60 # 初始化数据所用的天数
self.entryWindow = 20 # 入场通道周期数
self.exitWindow = 50 # 出场通道周期数
self.atrWindow = 5 # 计算ATR周期数
self.profitCheck = True # 是否检查上一笔盈利
self.minx = 'day'
# 策略临时变量
self.atrVolatility = 0 # ATR波动率
self.entryUp = 0 # 入场通道
self.entryDown = 0
self.exitUp = 0 # 出场通道
self.exitDown = 0
self.longEntry1 = 0 # 多头入场位
self.longEntry2 = 0
self.longEntry3 = 0
self.longEntry4 = 0
self.longStop = 0 # 多头止损位
self.shortEntry1 = 0 # 空头入场位
self.shortEntry2 = 0
self.shortEntry3 = 0
self.shortEntry4 = 0
self.shortStop = 0 # 空头止损位
# 需要持久化保存的变量
self.unit = 0
self.result = None # 当前的交易
self.resultList = [] # 交易列表
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.portfolio.engine._bc_loadInitBar(self.vtSymbol, self.initBars, self.minx)
for bar in initData:
self.bar = bar
self.am.updateBar(bar)
def __init__(self, portfolio, vtSymbol):
self.portfolio = portfolio # 投资组合
self.vtSymbol = vtSymbol # 合约代码
self.am = ArrayManager() # K线容器
self.bar = None # 最新K线
# 策略参数
self.atrLength = 1 # 计算ATR指标的窗口数
self.atrMaLength = 14 # 计算ATR均线的窗口数
self.rsiLength = 5 # 计算RSI的窗口数
self.rsiEntry = 16 # RSI的开仓信号
self.trailingPercent = 0.7 # 百分比移动止损
self.victoryPercent = 0.3
self.initBars = 60 # 初始化数据所用的天数
self.fixedSize = 1 # 每次交易的数量
self.ratio_atrMa = 0.8
self.minx = 'min5'
# 初始化RSI入场阈值
self.rsiBuy = 50 + self.rsiEntry
self.rsiSell = 50 - self.rsiEntry
# 策略临时变量
self.atrValue = 0 # 最新的ATR指标数值
self.atrMa = 0 # ATR移动平均的数值
self.rsiValue = 0 # RSI指标的数值
self.iswave = True
# 需要持久化保存的变量
self.unit = 0
self.cost = 0
self.intraTradeHigh = 0 # 移动止损用的持仓期内最高价
self.intraTradeLow = 0 # 持仓期内的最低点
self.stop = 0 # 多头止损
self.result = None # 当前的交易
self.resultList = [] # 交易列表
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.portfolio.engine._bc_loadInitBar(
self.vtSymbol, self.initBars, self.minx)
for bar in initData:
self.bar = bar
self.am.updateBar(bar)
def __init__(self, portfolio, vtSymbol):
self.type = 'kong'
# 策略参数
self.fixedSize = 1 # 每次交易的数量
self.initBars = 100 # 初始化数据所用的天数
self.minx = 'min30'
# 策略临时变量
self.can_buy = False
self.can_sell = False
self.can_short = False
self.can_cover = False
# 需要持久化保存的变量
self.cost = 0
size_am = 100
assert self.initBars <= size_am
Signal.__init__(self, portfolio, vtSymbol)
self.bm_bar = None
self.bm = ArrayManager(60)
self.init_bm()
df['datetime'] = df['date'] + ' ' + df['time']
df = df[df.datetime < startDt]
assert len(df) >= initBars
df = df.sort_values(by=['date', 'time'])
df = df.iloc[-initBars:]
print(df)
for i, row in df.iterrows():
d = dict(row)
#print(d)
# print(type(d))
bar = VtBarData()
bar.__dict__ = d
#print(bar.__dict__)
r.append(bar)
am = ArrayManager(initBars) # K线容器
for bar in r:
am.updateBar(bar)
#rsiValue = am.rsi(5, array=True)
#rsiArray50 = am.rsi(10, array=True)
#rsiMa = rsiValue[-30:].mean()
#atrValue = am.atr(30)
atrValue = am.atr(1, array=True)
atrMa = atrValue[-30:].mean()
print(atrValue)
print(atrMa)