class AroonAtrStrategy(CtaTemplate):
""""""
author = "tonywang_efun"
fixed_size = 1
bar_window = 26
boll_window = 39
boll_dev = 1.9
aroon_window = 14
aroon_long = 50
aroon_short = 50
atr_window = 30
atr_stop_multiplier = 3
boll_up = 0
boll_down = 0
aroon_up = 0
aroon_down = 0
intra_trade_high = 0
intra_trade_low = 0
long_stop = 0
short_stop = 0
atr_value = 0
parameters = [
"fixed_size",
"bar_window",
"boll_window",
"boll_dev",
"aroon_window",
"aroon_long",
"aroon_short",
"atr_window",
"atr_stop_multiplier"
]
variables = [
"boll_up",
"boll_down",
"aroon_up",
"aroon_down",
"atr_value",
"intra_trade_high",
"intra_trade_low",
"long_stop",
"short_stop"
]
def __init__(
self,
cta_engine,
strategy_name: str,
vt_symbol: str,
setting: dict,
):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar, self.bar_window, self.on_xmin_bar)
self.am = ArrayManager()
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(10)
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动")
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止")
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg.update_bar(bar)
def on_xmin_bar(self, bar: BarData):
""""""
self.cancel_all()
self.am.update_bar(bar)
if not self.am.inited:
return
self.aroon_up, self.aroon_down = self.am.aroon(self.aroon_window)
self.atr_value = self.am.atr(self.atr_window)
self.boll_up, self.boll_down = self.am.boll(self.boll_window, self.boll_dev)
if not self.pos:
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
self.long_stop = 0
self.short_stop = 0
if self.aroon_up > self.aroon_down and self.aroon_up > self.aroon_long:
self.buy(self.boll_up, self.fixed_size, stop=True)
if self.aroon_down > self.aroon_up and self.aroon_down > self.aroon_short:
self.short(self.boll_down, self.fixed_size, stop=True)
elif self.pos > 0:
self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
self.long_stop = self.intra_trade_high - self.atr_value * self.atr_stop_multiplier
self.sell(self.long_stop, abs(self.pos), stop=True)
else:
self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
self.short_stop = self.intra_trade_low + self.atr_value * self.atr_stop_multiplier
self.cover(self.short_stop, abs(self.pos), stop=True)
self.put_event()
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
pass
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
class KeltnerTrendStrategy(CtaTemplate):
""""""
author = "用Python的交易员"
kk_window = 5
kk_dev = 1.3
aroon_window = 2
aroon_signal = 50
trailing_percent = 1.2
fixed_size = 1
kk_up = 0
kk_down = 0
aroon_up = 0
aroon_down = 0
intra_trade_high = 0
intra_trade_low = 0
long_vt_orderids = []
short_vt_orderids = []
vt_orderids = []
parameters = ["kk_window", "kk_dev", "aroon_window", "aroon_signal", "trailing_percent", "fixed_size"]
variables = ["kk_up", "kk_down", "aroon_up", "aroon_down"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.am = ArrayManager()
self.am5 = ArrayManager()
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(10)
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动")
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止")
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg.update_bar(bar)
self.am.update_bar(bar)
if not self.am.inited:
return
self.aroon_up, self.aroon_down = self.am.aroon(self.aroon_window)
def on_5min_bar(self, bar: BarData):
""""""
self.cancel_all()
self.am5.update_bar(bar)
if not self.am5.inited:
return
self.kk_up, self.kk_down = self.am5.keltner(self.kk_window, self.kk_dev)
if self.pos == 0:
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
if self.aroon_up >= self.aroon_signal:
self.buy(self.kk_up, self.fixed_size, True)
elif self.aroon_down >= self.aroon_signal:
self.short(self.kk_down, self.fixed_size, True)
elif self.pos > 0:
self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
self.intra_trade_low = bar.low_price
long_stop = self.intra_trade_high * (1 - self.trailing_percent / 100)
self.sell(long_stop, abs(self.pos), True)
elif self.pos < 0:
self.intra_trade_high = bar.high_price
self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
short_stop = self.intra_trade_low * (1 + self.trailing_percent / 100)
self.cover(short_stop, abs(self.pos), True)
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
pass
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
