def generate_3mindata(self, am:ArrayManager, bar:BarData):
offset = -self.offset
offset_m = int(offset / 2)
calc_nums = np.array(self.ma_tag[-offset:-1])
# var_val = np.var(calc_nums)
std_val = np.std(calc_nums)
std_val2 = np.std(np.array(self.ma_tag[-10:-1]))
std_val3 = np.std(np.array(am.range[-30:-10]))
ma = self.ma_tag[-1]
mean_val = np.mean(calc_nums)
mean_val2 = np.mean(np.array(self.ma_tag[-5:-1]))
mean_val3 = np.mean(np.array(self.ma_tag[-20:-1]))
mean_val4 = np.mean(np.array(self.ma_tag[-30:-5]))
kdj_val = am.kdj()
deg1 = calc_regress_deg(am.close[offset : offset_m], False)
deg2 = calc_regress_deg(am.close[offset_m :], False)
deg3 = calc_regress_deg(am.close[-10 :], False)
deg_full = calc_regress_deg(am.close[offset :], False)
wave = self.wave(am.close[-30:])
wave_r_sum = np.sum(wave["range"])
macd=am.macd(20,40, 16)
calc_data = (dict(
kdj=[round(kdj_val["k"][-1],2),round(kdj_val["d"][-1],2),round(kdj_val["j"][-1],2)],
cci_20=am.cci(20),rsi=am.rsi(20),adx=am.adx(20),boll=am.boll(20, 3.4),
macd=[round(macd[0],2),round(macd[1],2),round(macd[2],2)],
deg40_20=round(deg1,2), deg20_0=round(deg2,2), deg20_10=round(calc_regress_deg(am.close[-20:-10], False),2), deg10_0=round(deg3,2),
deg30_15=round(calc_regress_deg(am.close[-30:-15], False),2), deg15_0=round(calc_regress_deg(am.close[-15:], False),2),deg_f=round(deg_full,2),
atr=round(am.atr(10, length=15), 3), tr=round(am.atr(1, length=2), 3),atr_40=round(am.atr(40, length=42), 3),
time=bar.datetime, price=bar.close_price, ma=round(ma, 2),
std_40=round(std_val, 2),mean40=round(mean_val,2), mean_std=np.mean(self.std_range.data[-5:]),
std_10=round(std_val2,2), mean30_10=round(mean_val4,2), mean10=round(mean_val2,2),
vol=am.volume[-1], std_range=self.std_range.data[-1:-5:-1], range=am.range[-1:-5:-1].tolist(),
range_sum=np.sum(am.range[-5:]),
pattern=list(map(lambda x: KLINE_PATTERN_CHINESE[x], self.pattern_record.keys())),
ma120t=self.ma120_track,
ma120t_list=self.ma120_track_list[-1:-10:-1],
ma120t_sort=sorted(self.ma120_track_list[-20:-1], key=abs),
ma120t_sum=np.sum(self.ma120_track_list[-20:-1] + [self.ma120_track]),
ma120t_mean=np.mean(self.ma120_track_list[-20:-1] + [self.ma120_track]),
ma120t_std=np.std(self.ma120_track_list[-20:-1] + [self.ma120_track]),
ma_info=list(map(lambda x:x["std"], self.ma_info[-1:])),
wave_cnt=len(wave), wave_r_sum=wave_r_sum, atr_mean=np.mean(am.atr(20, array=True,length=240)[-200:])
))
return calc_data
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
def generate_data(self, am: ArrayManager, bar: BarData):
offset = -self.offset
offset_m = int(offset / 2)
std_val3 = np.std(np.array(am.range[-30:-10]))
kdj_val = am.kdj()
has_kdj_recore = False
k = kdj_val["k"]
d = kdj_val["d"]
j = kdj_val["j"]
if (k[-1] > 75 and d[-1] > 75 and j[-1] > 75) or \
(k[-1] < 25 and d[-1] < 25 and j[-1] < 75):
if (j[-2] < k[-2] or j[-2] < d[-2]) and (j[-1] > k[-1] and j[-1] > d[-1]) \
or \
(j[-2] > k[-2] or j[-2] > d[-2]) and (j[-1] < k[-1] and j[-1] < d[-1]):
has_kdj_recore = True
t = bar.datetime
self.kdj_record.append(
(t.strftime("%H:%M:%S"), round(k[-1], 3), round(d[-1], 3),
round(j[-1], 3)))
deg1 = calc_regress_deg(am.close[offset:offset_m], False)
deg2 = calc_regress_deg(am.close[offset_m:], False)
deg3 = calc_regress_deg(am.close[-10:], False)
deg_full = calc_regress_deg(am.close[offset:], False)
macd = am.macd(20, 40, 16)
calc_data = (dict(
kdj=[
round(kdj_val["k"][-1], 2),
round(kdj_val["d"][-1], 2),
round(kdj_val["j"][-1], 2)
],
cci_20=am.cci(20),
rsi=am.rsi(20),
adx=am.adx(20),
boll=am.boll(20, 3.4),
macd=[round(macd[0], 2),
round(macd[1], 2),
round(macd[2], 2)],
deg40_20=round(deg1, 2),
deg20_0=round(deg2, 2),
deg20_10=round(calc_regress_deg(am.close[-20:-10], False), 2),
deg30_15=round(calc_regress_deg(am.close[-30:-15], False), 2),
deg15_0=round(calc_regress_deg(am.close[-15:], False), 2),
deg_f=round(deg_full, 2),
deg30_10=round(calc_regress_deg(am.close[-30:-10], False), 2),
deg10_0=round(deg3, 2),
atr=round(am.atr(10, length=15), 3),
tr=round(am.atr(1, length=2), 3),
atr_40=round(am.atr(40, length=42), 3),
time=bar.datetime,
price=bar.close_price,
mean_std=np.mean(self.std_range.data[-5:]),
vol=am.volume[-1],
std_range=self.std_range.data[-1:-5:-1],
range=am.range[-1:-5:-1].tolist(),
range_sum=np.sum(am.range[-5:]),
pattern=list(
map(lambda x: KLINE_PATTERN_CHINESE[x],
self.pattern_record.keys())),
atr_mean=np.mean(am.atr(20, array=True, length=240)[-200:]),
))
if self.ma_info.info.index.size >= 31:
ma5 = self.ma_info.info[5][-31:]
x = AnalyseWave(ma5)
calc_data["ma5_info"] = x.optimize
ma10 = self.ma_info.info[10][-31:]
x = AnalyseWave(ma10)
calc_data["ma10_info"] = x.optimize
return calc_data
class TurtleSignalStrategy(CtaTemplate):
""""""
author = "用Python的交易员"
# 唐奇安上下轨突破的周期,买入位置
entry_window = 20
# 唐奇安通道,卖出位置
exit_window = 10
atr_window = 20
# 乘数，每次下单的单位大小
fixed_size = 1
entry_up = 0
entry_down = 0
exit_up = 0
exit_down = 0
atr_value = 0
# 多头入场价，每次交易后，设置为当前交易价格
long_entry = 0
short_entry = 0
# 多头止损价格
long_stop = 0
short_stop = 0
parameters = ["entry_window", "exit_window", "atr_window", "fixed_size"]
variables = ["entry_up", "entry_down", "exit_up", "exit_down", "atr_value"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(TurtleSignalStrategy, self).__init__(cta_engine, strategy_name,
vt_symbol, setting)
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(20)
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.
"""
# 取消之前未成交的单子
self.cancel_all()
self.am.update_bar(bar)
if not self.am.inited:
return
# Only calculates new entry channel when no position holding
# 没有持仓时才计算入场价
if not self.pos:
self.entry_up, self.entry_down = self.am.donchian(
self.entry_window)
self.exit_up, self.exit_down = self.am.donchian(self.exit_window)
if not self.pos:
self.atr_value = self.am.atr(self.atr_window)
self.long_entry = 0
self.short_entry = 0
self.long_stop = 0
self.short_stop = 0
# 下本地止损单，等到突破或者跌破成交
self.send_buy_orders(self.entry_up)
self.send_short_orders(self.entry_down)
elif self.pos > 0:
# 如果之前有多头突破单成交，下单，根据atr加仓.
# 不用考虑历史仓位，默认前面都是按照规则正确下单成交的仓位，不考虑未成交情况
self.send_buy_orders(self.entry_up)
# 止损价和止盈退出价中的大的一方
sell_price = max(self.long_stop, self.exit_down)
# 下多头止盈单
self.sell(sell_price, abs(self.pos), True)
elif self.pos < 0:
# 如果之前有空仓，加仓
self.send_short_orders(self.entry_down)
cover_price = min(self.short_stop, self.exit_up)
# 下空头止盈单
self.cover(cover_price, abs(self.pos), True)
self.put_event()
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
print(
f"海龟交易,{trade.tradeid}, {trade.price}, {trade.direction}, {trade.time}"
)
if trade.direction == Direction.LONG:
self.long_entry = trade.price
# 修改多头止损价格
self.long_stop = self.long_entry - 2 * self.atr_value
else:
self.short_entry = trade.price
self.short_stop = self.short_entry + 2 * self.atr_value
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
def send_buy_orders(self, price):
""""""
t = self.pos / self.fixed_size
if t < 1:
self.buy(price, self.fixed_size, True)
if t < 2:
self.buy(price + self.atr_value * 0.5, self.fixed_size, True)
if t < 3:
self.buy(price + self.atr_value, self.fixed_size, True)
if t < 4:
self.buy(price + self.atr_value * 1.5, self.fixed_size, True)
def send_short_orders(self, price):
""""""
t = self.pos / self.fixed_size
if t > -1:
self.short(price, self.fixed_size, True)
if t > -2:
self.short(price - self.atr_value * 0.5, self.fixed_size, True)
if t > -3:
self.short(price - self.atr_value, self.fixed_size, True)
if t > -4:
self.short(price - self.atr_value * 1.5, self.fixed_size, True)
class CincoStrategyHN(CtaTemplate):
""""""
author = "Huang Ning"
boll_window = 42
boll_dev = 2.0
trailing_long = 0.65
trailing_short = 0.7
atr_window = 10
risk_level = 100
boll_up = 0
boll_down = 0
trading_size = 0
intra_trade_high = 0
intra_trade_low = 0
long_stop = 0
short_stop = 0
atr_value = 0
parameters = [
"boll_window", "boll_dev", "trailing_long", "trailing_short",
"atr_window", "risk_level"
]
variables = [
"boll_up", "boll_down", "trading_size", "intra_trade_high",
"intra_trade_low", "long_stop", "short_stop", "atr_value"
]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(CincoStrategyHN, self).__init__(cta_engine, strategy_name,
vt_symbol, setting)
self.bg = BarGenerator(self.on_bar, 15, self.on_15min_bar)
self.am = ArrayManager()
def on_init(self):
""""""
self.write_log("策略初始化")
self.load_bar(10)
def on_start(self):
""""""
self.write_log("策略启动")
def on_stop(self):
""""""
self.write_log("策略停止")
def on_tick(self, tick: TickData):
""""""
self.bg.update_tick(tick)
def on_bar(self, bar: BarData):
""""""
self.bg.update_bar(bar)
def on_15min_bar(self, bar: BarData):
""""""
self.cancel_all()
self.am.update_bar(bar)
if not self.am.inited:
return
self.boll_up, self.boll_down = self.am.boll(self.boll_window,
self.boll_dev)
boll_width = self.boll_up - self.boll_down
if not self.pos:
self.atr_value = self.am.atr(self.atr_window)
self.trading_size = int(self.risk_level / self.atr_value)
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
self.long_stop = 0
self.short_stop = 0
self.buy(self.boll_up, self.trading_size, stop=True)
self.short(self.boll_down, self.trading_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.trailing_long * boll_width
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.trailing_short * boll_width
self.cover(self.short_stop, abs(self.pos), stop=True)
self.put_event()
def on_order(self, order: OrderData):
""""""
def on_trade(self, trade: TradeData):
""""""
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
""""""
self.put_event()
class AtrStop_Ut(CtaTemplate):
""""""
author = "yunya"
atrstop_window = 46
open_window = 5
nloss_singnal = 2.7
trailing_tax = 2.0
risk_level = 5000
exit_dc_length = 50
atr_length = 30
atrstop_entry = 0
current_atr_stop = 0.0
last_atr_stop = 0.0
intra_trade_high = 0
intra_trade_low = 0
nloss_array = 0.0
long_stop = 0
short_stop = 0
trading_size = 0
exit_down = 0
exit_up = 0
ask = 0
bid = 0
atr_value = 0
count = 0
parameters = [
"atrstop_window",
"open_window",
"nloss_singnal",
"trailing_tax",
"risk_level",
"exit_dc_length",
"atr_length"
]
variables = [
"atrstop_entry",
"current_atr_stop",
"last_atr_stop",
"intra_trade_high",
"intra_trade_low",
"long_stop",
"short_stop",
"exit_down",
"exit_up",
"trading_size",
]
def __init__(
self,
cta_engine: Any,
strategy_name: str,
vt_symbol: str,
setting: dict,
):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.atr_stop_array = np.zeros(10)
self.bg_xmin = NewBarGenerator(
self.on_bar,
window=self.atrstop_window,
on_window_bar=self.on_xmin_bar,
interval=Interval.MINUTE
)
self.am_xmin = ArrayManager()
self.bg_5min = BarGenerator(
self.on_bar,
window=self.open_window,
on_window_bar=self.on_5min_bar
)
self.am_5min = ArrayManager(self.exit_dc_length * int(self.atr_length / self.open_window) + 10)
self.inited_atr_stop = False
# 状态控制初始化
self.chase_long_trigger = False
self.chase_sell_trigger = False
self.chase_short_trigger = False
self.chase_cover_trigger = False
self.cancel_status = False
self.long_trade_volume = 0
self.short_trade_volume = 0
self.sell_trade_volume = 0
self.cover_trade_volume = 0
self.chase_interval = 10 # 拆单间隔:秒
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化。。")
self.load_bar(10)
# self.put_event()
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动。。")
self.put_event()
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止。。")
self.put_event()
def on_tick(self, tick: TickData):
working_order_dict = self.get_position_detail(tick.vt_symbol).active_orders
# working_order_dict = self.order_dict
if working_order_dict:
# 委托完成状态
order_finished = False
vt_orderid = list(working_order_dict.items())[0][0] # 委托单vt_orderid
working_order = list(working_order_dict.items())[0][1] # 委托单字典
# 开平仓追单，部分交易没有平仓指令(Offset.NONE)
"""获取到未成交委托单后检查未成交委托量>0,tick.datetime - 未成交委托单的datetime>追单间隔(chase_interval),
同时chase_long_trigger状态未触发和有vt_orderid的判定(之前有收过空vt_orderid,所有要加个过滤),撤销该未成交委托单,
赋值chase_long_trigger为True.chase_long_trigger为True且没有未成交委托单时执行追单,
如有未成交委托单则调用cancel_surplus_order取消所有未成交委托单,追单的委托单发送出去后初始化chase_long_trigger.
其他方向的撤单追单也是一样的流程"""
if working_order.offset in (Offset.NONE, Offset.OPEN):
if working_order.direction == Direction.LONG:
self.long_trade_volume = working_order.untrade
if (
tick.datetime - working_order.datetime).seconds > self.chase_interval and self.long_trade_volume > 0 and (
not self.chase_long_trigger) and vt_orderid:
# 撤销之前发出的未成交订单
self.cancel_order(vt_orderid)
self.chase_long_trigger = True
elif working_order.direction == Direction.SHORT:
self.short_trade_volume = working_order.untrade
if (
tick.datetime - working_order.datetime).seconds > self.chase_interval and self.short_trade_volume > 0 and (
not self.chase_short_trigger) and vt_orderid:
self.cancel_order(vt_orderid)
self.chase_short_trigger = True
# 平仓追单
elif working_order.offset in (Offset.CLOSE, Offset.CLOSETODAY):
if working_order.direction == Direction.SHORT:
self.sell_trade_volume = working_order.untrade
if (
tick.datetime - working_order.datetime).seconds > self.chase_interval and self.sell_trade_volume > 0 and (
not self.chase_sell_trigger) and vt_orderid:
self.cancel_order(vt_orderid)
self.chase_sell_trigger = True
if working_order.direction == Direction.LONG:
self.cover_trade_volume = working_order.untrade
if (
tick.datetime - working_order.datetime).seconds > self.chase_interval and self.cover_trade_volume > 0 and (
not self.chase_cover_trigger) and vt_orderid:
self.cancel_order(vt_orderid)
self.chase_cover_trigger = True
else:
order_finished = True
self.cancel_status = False
if self.chase_long_trigger:
if order_finished:
self.buy(tick.ask_price_1, self.long_trade_volume)
self.chase_long_trigger = False
else:
self.cancel_surplus_order(list(working_order_dict))
elif self.chase_short_trigger:
if order_finished:
self.short(tick.bid_price_1, self.short_trade_volume)
self.chase_short_trigger = False
else:
self.cancel_surplus_order(list(working_order_dict))
elif self.chase_sell_trigger:
if order_finished:
self.sell(tick.bid_price_1, self.sell_trade_volume)
self.chase_sell_trigger = False
else:
self.cancel_surplus_order(list(working_order_dict))
elif self.chase_cover_trigger:
if order_finished:
self.cover(tick.ask_price_1, self.cover_trade_volume)
self.chase_cover_trigger = False
else:
self.cancel_surplus_order(list(working_order_dict))
# ------------------------------------------------------------------------------------
def cancel_surplus_order(self, orderids: list):
"""
撤销剩余活动委托单
"""
if not self.cancel_status:
for vt_orderid in orderids:
self.cancel_order(vt_orderid)
self.cancel_status = True
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg_xmin.update_bar(bar)
self.bg_5min.update_bar(bar)
def on_5min_bar(self, bar: BarData):
self.cancel_all()
self.am_5min.update_bar(bar)
if not self.am_5min.inited or not self.am_xmin.inited:
return
if self.atr_stop_array[-3] == 0:
return
self.exit_up, self.exit_down = self.am_5min.donchian(
self.exit_dc_length * int(self.atr_length / self.open_window))
# print(f"dc上轨：{self.exit_up},下轨：{self.exit_down}")
if not self.pos:
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
if self.atrstop_entry > 0:
self.buy(self.current_atr_stop, self.trading_size, True)
elif self.atrstop_entry < 0:
self.short(self.current_atr_stop, self.trading_size, True)
elif self.pos > 0:
self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
long_high = self.intra_trade_high * \
(1 - self.trailing_tax / 100)
self.long_stop = max(self.exit_down, long_high)
self.sell(self.long_stop, abs(self.pos), True)
else:
self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
short_low = self.intra_trade_low * \
(1 + self.trailing_tax / 100)
self.short_stop = min(self.exit_up, short_low)
self.cover(self.short_stop, abs(self.pos), True)
self.put_event()
def on_xmin_bar(self, bar: BarData):
""""""
am_xmin = self.am_xmin
am_xmin.update_bar(bar)
self.atr_stop_array[:-1] = self.atr_stop_array[1:]
if not am_xmin.inited:
return
# 计算轨道线 nloss
self.nloss_array = am_xmin.atr(30, array=True) * self.nloss_singnal
# 计算轨道线
self.atr_stop_array = self.atrstop(
am_xmin.close,
self.atr_stop_array,
self.nloss_array
)
# 初始化 atr_stop_array 保证前三个有值
if self.count < 4:
self.count += 1
return
self.current_atr_stop = self.atr_stop_array[-1]
self.last_atr_stop = self.atr_stop_array[-2]
current_bar = self.am_xmin.close[-1]
if self.current_atr_stop > self.last_atr_stop and current_bar > self.current_atr_stop:
self.atrstop_entry = 1
elif self.current_atr_stop < self.last_atr_stop and current_bar < self.current_atr_stop:
self.atrstop_entry = -1
else:
self.atrstop_entry = 0
if self.pos == 0:
self.atr_value = self.am_xmin.atr(self.atr_length)
self.trading_size = max(int(self.risk_level / self.atr_value), 1)
self.sync_data()
self.put_event()
def on_trade(self, trade: TradeData):
"""
有成交时
Callback of new trade data update.
"""
self.put_event()
def on_order(self, order: OrderData):
"""
订单更新回调
Callback of new order data update.
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
self.put_event()
def atrstop(self, close, atrstop, nlossatr):
# 计算轨道线
if (close[-1] > atrstop[-2]) and (close[-2] > atrstop[-2]):
atrstop[-1] = max(atrstop[-2], close[-1] - nlossatr[-1])
elif (close[-1] < atrstop[-2]) and (close[-2] < atrstop[-2]):
atrstop[-1] = min(atrstop[-2], close[-1] + nlossatr[-1])
elif (close[-1] > atrstop[-2]):
atrstop[-1] = (close[-1] - nlossatr[-1])
else:
atrstop[-1] = (close[-1] + nlossatr[-1])
return atrstop
class PatternScoreStrategy(CtaTemplate):
author = "用Python的交易员"
ma_level = [10, 20, 30, 60, 120]
ma_tag = []
bd = []
fast_ma0 = 0.0
fast_ma1 = 0.0
slow_ma0 = 0.0
slow_ma1 = 0.0
request_order = []
bar_identify = []
score = Score()
count = 0
interval = 6
parameters = ["ma_level"]
variables = ["fast_ma0", "fast_ma1", "slow_ma0", "slow_ma1"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(PatternScoreStrategy, self).__init__(cta_engine, strategy_name,
vt_symbol, setting)
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager(400)
self.am3 = ArrayManager(150)
self.bg3 = BarGenerator(self.on_bar, 3, self.on_3min_bar)
self.am5 = ArrayManager(120)
self.bg5 = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.order_data = None
self.positions = Position(self)
self.std_range = IntervalGen(np.std, 5)
self.std_range3 = IntervalGen(np.std, 5)
self.std_range5 = IntervalGen(np.std, 5)
self.pattern_record = PatternRecord()
# self.pattern_record.set_expiry([KlinePattern.CDLEVENINGSTAR], 3)
self.pattern_record.set_expiry(list(KlinePattern), 1)
self.open_strategy = [self.open_kline1]
self.offset = 40
self.min = 0
self.max = 0
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")
self.put_event()
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止")
self.put_event()
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg.update_tick(tick)
self.bg3.update_tick(tick)
self.bg5.update_tick(tick)
def on_3min_bar(self, bar: BarData):
self.am3.update_bar(bar)
self.std_range3.update(self.am3.range[-1])
if not self.am.inited or not self.trading:
return
# deg = calc_regress_deg(self.am3.close[-20:])
def calc_score(self):
score = 0
score += self.score.base
for item in self.pattern_record.values():
score += item["value"]
return score
def on_5min_bar(self, bar: BarData):
self.std_range5.update(self.am5.range[-1])
self.am5.update_bar(bar)
if not self.am.inited or not self.trading:
return
diff_time = bar.datetime - self.am.time_array[-1]
if diff_time.total_seconds() > 3600 or self.count > self.interval:
self.count = 0
self.score.base = calc_regress_deg(self.am.close[-self.interval:],
False) * 1000
print("score:", self.score.base, self.min, self.max)
else:
self.count += 1
# pattern_list = [KlinePattern.CDLEVENINGSTAR, KlinePattern.CDL2CROWS, KlinePattern.CDLCONCEALBABYSWALL, KlinePattern.CDLEVENINGDOJISTAR]
pattern = self.am5.pattern(list(KlinePattern))
if len(pattern) > 0:
print(
list(
map(lambda x: (KLINE_PATTERN_CHINESE[x[0]], x[1]),
pattern)))
self.pattern_record.add_pattern(pattern)
deg_full = calc_regress_deg(self.am.close[-40:], False)
print("deg:", deg_full)
self.pattern_record.update()
def open_kline1(self, bar: BarData, calc_data):
score = self.calc_score()
if score < self.min:
self.min = score
if score > self.max:
self.max = score
if abs(calc_data["range_sum"]) < 0.001 or abs(score) < 300:
return
# if std_val2 < 0.2:
if score > 0 and calc_data["range_sum"] > 0:
return self.buy(bar.close_price,
1,
type=OrderType.MARKET,
extra={
"reason":
"开多,score={}, rang_sum={}".format(
score, calc_data["range_sum"])
})
if score < 0 and calc_data["range_sum"] < 0:
return self.short(bar.close_price,
1,
type=OrderType.MARKET,
extra={
"reason":
"开多,score={}, rang_sum={}".format(
score, calc_data["range_sum"])
})
def generate_data(self, bar: BarData):
offset = -self.offset
offset_m = int(offset / 2)
calc_nums = np.array(self.ma_tag[-offset:-1])
# var_val = np.var(calc_nums)
std_val = np.std(calc_nums)
std_val2 = np.std(np.array(self.ma_tag[-10:-1]))
std_val3 = np.std(np.array(self.am.range[-30:-10]))
ma = self.ma_tag[-1]
mean_val = np.mean(calc_nums)
mean_val2 = np.mean(np.array(self.ma_tag[-5:-1]))
mean_val3 = np.mean(np.array(self.ma_tag[-20:-1]))
mean_val4 = np.mean(np.array(self.ma_tag[-30:-5]))
kdj_val = self.am.kdj()
deg1 = calc_regress_deg(self.am.close[offset:offset_m], False)
deg2 = calc_regress_deg(self.am.close[offset_m:], False)
deg3 = calc_regress_deg(self.am.close[-10:], False)
deg_full = calc_regress_deg(self.am.close[offset:], False)
calc_data = (dict(kdj=[
round(kdj_val["k"][-1], 2),
round(kdj_val["d"][-1], 2),
round(kdj_val["j"][-1], 2)
],
deg40_20=round(deg1, 2),
deg20=round(deg2, 2),
deg10=round(deg3, 2),
deg_f=round(deg_full, 2),
time=bar.datetime,
price=bar.close_price,
ma=round(ma, 2),
std_40=round(std_val, 2),
mean40=round(mean_val, 2),
std_10=round(std_val2, 2),
mean30_10=round(mean_val4, 2),
mean10=round(mean_val2, 2),
vol=self.am.volume[-1],
std_range=self.std_range.data[-1:-5:-1],
range=self.am.range[-1:-5:-1].tolist(),
range_sum=np.sum(self.am.range[-5:]),
atr=self.am.atr(10),
tr=self.am.atr(1, length=2),
pattern=list(
map(lambda x: KLINE_PATTERN_CHINESE[x],
self.pattern_record.keys()))))
return calc_data
def on_strategy(self, bar: BarData):
calc_data = self.generate_data(bar)
order_id = None
if self.pos == 0:
for open_strategy in self.open_strategy:
if order_id is not None:
break
order_id = open_strategy(bar, calc_data)
else:
order_id = self.positions.on_strategy(bar, calc_data)
if order_id is not None:
offset = -self.offset
offset_m = int(offset / 2)
self.tracker["trade_info"].append(
(self.am.time_array[offset], self.am.time_array[offset_m],
bar.datetime, calc_data["deg40_20"], calc_data["deg20"]))
self.request_order.extend(order_id)
if self.tracker is not None:
self.tracker["ma_tag_ls"].append(calc_data)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg3.update_bar(bar)
self.bg5.update_bar(bar)
am = self.am
self.am.update_bar(bar)
max_len = self.ma_level[-1] + 20
data = self.am.close[-max_len:-1]
ma_lvl = []
for i in self.ma_level:
ma = self.am.sma(i, True)[-1]
ma_lvl.append(ma)
l = len(ma_lvl)
ma_lvl_tag = []
now = bar.close_price
direction = 1 if now > ma_lvl[0] else 0
ma_lvl_tag.append(direction)
for i in range(l - 1):
val = 1 if ma_lvl[i] > ma_lvl[i + 1] else 0
ma_lvl_tag.append(val)
bincount_val = np.bincount(np.array(ma_lvl_tag))
tag_val = 0
if len(bincount_val) == 2:
tag_val = bincount_val[1]
if len(self.ma_tag) < 200:
self.ma_tag.append(tag_val)
else:
self.ma_tag[:-1] = self.ma_tag[1:]
self.ma_tag[-1] = tag_val
if self.tracker is not None:
self.tracker["bar_data"].append(bar)
self.std_range.update(self.am.range[-1])
if not self.am.inited or not self.trading:
return
self.on_strategy(bar)
# median_val = np.median(calc_nums)
self.put_event()
# def init_order_data(self):
# self.order_data = np.array([])
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
print("{}产生了{},价格为{},交易{},".format(
order.datetime.strftime("%m/%d %H:%M:%S"),
order.offset.value + order.direction.value, order.price,
order.status.value))
if order.vt_orderid in self.request_order:
self.positions.on_order(order)
if order.status == Status.ALLTRADED or order.status == Status.CANCELLED or order.status == Status.REJECTED:
self.request_order.remove(order.vt_orderid)
# if order.status == Status.ALLTRADED or order.status == Status.PARTTRADED:
# if order.direction == Direction.LONG:
# if self.positions.volumn == 0:
# self.positions.close_price = round(order.price * 0.995)
# self.positions.volumn += order.volume
# elif order.direction == Direction.SHORT:
# self.positions.volumn -= order.volume
# elif order.direction == Direction.NET:
# self.positions.volumn = order.volume
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
class DoubleRsiAtr(CtaTemplate):
""""""
author = "yiran"
s_window = 5
l_window = 15
atr_window = 20
atr_multiplier = 0.05
rsi_window = 11
long_threshold_l_window = 50
long_threshold_s_window = 80
exit_return = 0.02
exit_loss = 0.02
exit_return_soft_long = -0.1
exit_loss_soft_long = -0.2
exit_return_soft_short = 0.2
exit_loss_soft_short = 0.1
fixed_size = 1
start_time = time(hour=10)
exit_time = time(hour=14, minute=55)
long_order_record = []
short_order_record = []
rsi_value_l_window = -9999
rsi_value_s_window = -9999
atr_value = 0
position_hold = 0
long_entered = False
short_entered = False
parameters = [
's_window', 'l_window', 'atr_window', 'atr_multiplier',
'exit_return_soft_long', 'exit_loss_soft_long', "rsi_window",
'exit_return_soft_short', 'exit_loss_soft_short',
"long_threshold_l_window", "long_threshold_s_window", 'exit_return',
'exit_loss', "fixed_size"
]
variables = ["rsi_value_l_window ", "rsi_value_s_window", "ma_trend"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.rsi_long_l = self.long_threshold_l_window
self.rsi_long_s = self.long_threshold_s_window
self.rsi_short_l = 100 - self.long_threshold_l_window
self.rsi_short_s = 100 - self.long_threshold_s_window
self.bg5 = BarGenerator(self.on_bar, self.s_window, self.on_5min_bar)
self.am5 = ArrayManager()
self.bg15 = BarGenerator(self.on_bar, self.l_window, self.on_15min_bar)
self.am15 = ArrayManager()
self.long_order_record = []
self.short_order_record = []
self.atr_value_array = np.array([])
self.atr_profit_exit_recorder = []
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.bg5.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg5.update_bar(bar)
self.bg15.update_bar(bar)
def on_5min_bar(self, bar: BarData):
""""""
self.cancel_all()
self.am5.update_bar(bar)
if not self.am5.inited:
return
self.rsi_value_s_window = self.am5.rsi(self.rsi_window)
self.atr_value = self.am5.atr(self.atr_window)
if self.long_threshold_l_window != -9999:
self.long_entered = (self.rsi_value_s_window >
self.rsi_long_s) and (self.rsi_value_l_window
> self.rsi_long_l)
self.short_entered = (
self.rsi_value_s_window < self.rsi_short_s) and (
self.rsi_value_l_window < self.rsi_short_l)
else:
return
if self.start_time <= bar.datetime.time() < self.exit_time:
if self.pos == 0:
self.position_hold = 0
if self.long_entered:
self.buy(bar.close_price + 5, self.fixed_size)
self.long_order_record.append(bar.close_price + 5)
elif self.short_entered:
self.short(bar.close_price - 5, self.fixed_size)
self.short_order_record.append(bar.close_price - 5)
elif self.pos > 0:
self.position_hold += 1
buy_order_price = self.long_order_record[-1]
initial_profit_exit_price = buy_order_price * (
1 + self.exit_return)
# 波动变大+持仓周期变长，会使得止盈的点上移
moving_profit_exit_price = buy_order_price * (
1 + self.exit_return_soft_long
) + self.atr_value * self.atr_multiplier * self.position_hold
initial_loss_exit_price = buy_order_price * (1 -
self.exit_loss)
# 波动变大+持仓周期变长，会使得止损的点上移
moving_loss_exit_price = buy_order_price * (
1 + self.exit_loss_soft_long
) + self.atr_value * self.atr_multiplier * self.position_hold
if initial_profit_exit_price < moving_profit_exit_price:
self.atr_profit_exit_recorder.append((1, bar.datetime))
else:
self.atr_profit_exit_recorder.append((0, bar.datetime))
if bar.close_price >= max(initial_profit_exit_price,
moving_profit_exit_price):
self.sell(bar.close_price * 0.99, abs(self.pos))
elif bar.close_price <= max(initial_loss_exit_price,
moving_loss_exit_price):
self.sell(bar.close_price * 0.99, abs(self.pos))
elif self.pos < 0:
self.position_hold += 1
sell_order_price = self.short_order_record[-1]
#初始的盈利要求比较低即空头平仓的价格比较高
initial_profit_exit_price = sell_order_price * (
1 - self.exit_return)
# 随着持仓时间推移和波动率变大，对应盈利方向上的头寸止盈要求变高，即空头平仓价格下移
moving_profit_exit_price = sell_order_price * (
1 + self.exit_return_soft_short
) - self.atr_value * self.atr_multiplier * self.position_hold
initial_loss_exit_price = sell_order_price * (1 +
self.exit_loss)
# 随着持仓时间推移和波动率变大，对应亏损方向上的头寸的平仓价格上升，即空头平仓价格上升
moving_loss_exit_price = sell_order_price * (
1 + self.exit_loss_soft_short
) - self.atr_value * self.atr_multiplier * self.position_hold
if bar.close_price >= min(initial_loss_exit_price,
moving_loss_exit_price):
self.cover(bar.close_price * 1.01, abs(self.pos))
elif bar.close_price <= min(initial_profit_exit_price,
moving_profit_exit_price):
self.cover(bar.close_price * 1.01, abs(self.pos))
# 通过设置合成Bar Data的周期可以使得持仓过夜
elif bar.datetime.time() > self.exit_time:
if self.pos > 0:
self.sell(bar.close_price * 0.99, abs(self.pos))
elif self.pos < 0:
self.cover(bar.close_price * 1.01, abs(self.pos))
self.put_event()
def on_15min_bar(self, bar: BarData):
""""""
self.am15.update_bar(bar)
if not self.am15.inited:
return
self.rsi_value_l_window = self.am15.rsi(self.rsi_window)
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
class EmaDifferenceStrategy(CtaTemplate):
"""
策略逻辑：
1、计算两条不同周期均线的差离值，差离值二次求均值。
2、当差离值大于零做多，小于零做空。
3、成交价格回撤 2% 固定止损，当利润达到 5% 时，止损位移动到成本价。
"""
author = "yunya"
open_window = 15
express_length = 30 # 特快
fast_length = 60 # 快
slow_length = 150 # 慢
diff_ema_length = 30 # 差离ema
atr_length = 6
atr_multiple = 2.0 # 成交价 2倍ATR为固定止损位
entry_mulitple = 5.0 # 当前价格超过成交价的5%时，止损价为成交价
pay_up = 5
fixed_size = 1
current_express_fast_diff = 0
last_express_fast_diff = 0
current_fast_slow_diff = 0
last_fast_slow_diff = 0
current_express_fast_ema = 0
last_express_fast_ema = 0
current_fast_slow_ema = 0
last_fast_slow_ema = 0
express_fast_inited = 0
fast_slow_inited = 0
price_tick = 0
atr_value = 0
long_entry = 0
long_stop = 0
short_entry = 0
short_stop = 0
exit_long = 0
exit_short = 0
parameters = [
"open_window",
"express_length",
"fast_length",
"slow_length",
"diff_ema_length",
"atr_length",
"atr_multiple",
"entry_mulitple",
"pay_up",
"fixed_size",
]
variables = [
"current_express_fast_diff",
"last_express_fast_diff",
"current_fast_slow_diff",
"last_fast_slow_diff",
"current_express_fast_ema",
"last_express_fast_ema",
"current_fast_slow_ema",
"last_fast_slow_ema",
"express_fast_inited",
"fast_slow_inited",
"price_tick",
"atr_value",
"long_entry",
"long_stop",
"short_entry",
"short_stop",
"exit_long",
"exit_short",
]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = NewBarGenerator(self.on_bar, self.open_window,
self.on_xmin_bar)
self.am = ArrayManager(int(self.slow_length) * 100)
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()
am = self.am
am.update_bar(bar)
if not am.inited:
return
# 计算ema
express_value = am.ema(self.express_length, True)
fast_value = am.ema(self.fast_length, True)
slow_value = am.ema(self.slow_length, True)
# 计算差离值
express_fast_diff = express_value - fast_value
fast_slow_diff = fast_value - slow_value
# 计算差离均值
express_fast_ema = talib.EMA(express_fast_diff, self.diff_ema_length)
fast_slow_ema = talib.EMA(fast_slow_diff, self.diff_ema_length)
# print(f"express_fast_ema: {express_fast_ema[-10:]}" + "\n")
# print(f"fast_slow_ema: {fast_slow_ema[-10:]}" + "\n")
# 判断差离线交叉情况（上穿,下穿）
self.current_express_fast_diff = express_fast_diff[-1]
self.last_express_fast_diff = express_fast_diff[-2]
self.current_fast_slow_diff = fast_slow_diff[-1]
self.last_fast_slow_diff = fast_slow_diff[-2]
self.current_express_fast_ema = express_fast_ema[-1]
self.last_express_fast_ema = express_fast_ema[-2]
self.current_fast_slow_ema = fast_slow_ema[-1]
self.last_fast_slow_ema = fast_slow_ema[-2]
# 计算上穿，下穿零轴
if self.current_express_fast_ema > 0 and self.last_express_fast_ema <= 0:
self.express_fast_inited = 1
elif self.current_express_fast_ema < 0 and self.last_express_fast_ema >= 0:
self.express_fast_inited = -1
else:
self.express_fast_inited = 0
print(f"特慢：{self.express_fast_inited}" + "\n")
if self.current_fast_slow_ema > 0 and self.last_fast_slow_ema <= 0:
self.fast_slow_inited = 1
elif self.current_fast_slow_ema < 0 and self.last_fast_slow_ema >= 0:
self.fast_slow_inited = -1
else:
self.fast_slow_inited = 0
# 如果没有仓位，两条布林window一样
if self.pos == 0:
# 判断是回测，还是实盘
engine_type = self.get_engine_type()
if engine_type == EngineType.BACKTESTING:
long_price = bar.close_price - 10
short_price = bar.close_price + 10
else:
self.price_tick = self.get_pricetick()
long_price = bar.close_price - self.price_tick * self.pay_up
short_price = bar.close_price + self.price_tick * self.pay_up
self.atr_value = self.am.atr(self.atr_length)
if self.fast_slow_inited > 0:
self.buy(long_price, self.fixed_size)
elif self.fast_slow_inited < 0:
self.short(short_price, self.fixed_size)
elif self.pos > 0:
long_stop_entry = bar.close_price * (1 - self.entry_mulitple / 100)
self.exit_long = max(self.long_stop, long_stop_entry)
if self.express_fast_inited < 0:
# self.exit_long = bar.close_price - self.price_tick * self.pay_up
self.exit_long = bar.close_price - 10
self.sell(self.exit_long, abs(self.pos), True)
elif self.pos < 0:
short_stop_entry = bar.close_price * (1 +
self.entry_mulitple / 100)
self.exit_short = min(self.short_stop, short_stop_entry)
if self.express_fast_inited > 0:
# self.exit_short = bar.close_price + self.price_tick * self.pay_up
self.exit_short = bar.close_price + 10
self.cover(self.exit_short, abs(self.pos), True)
self.put_event()
self.sync_data()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
self.put_event()
pass
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
if trade.direction == Direction.LONG:
self.long_entry = trade.price # 成交最高价
self.long_stop = self.long_entry - self.atr_multiple * self.atr_value
else:
self.short_entry = trade.price
self.short_stop = self.short_entry + self.atr_multiple * self.atr_value
self.sync_data()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
self.put_event()
pass
class MacdRsibollDcMinuteStrategy(CtaTemplate):
"""
策略逻辑：
一、、过虑信号 （小时周期）
1、使用macd 快慢线交叉来判断多空大方向。
2、使用rsiboll来判断信号强弱
二、开单信号 （分钟周期）
1、使用布林上下轨作为开单条件
三、止损
1、使用固定止损
2、dc 移动止损
3、布林宽度比例
三个止损相结合的方式
"""
author = "yunya"
max_window = 45
min_window = 15
open_window = 5
fast_macd = 12
slow_macd = 26
signal_macd = 9
macd_trend_level = 1.0
rsi_length = 15
boll_length = 20
boll_dev = 2.0
dc_length = 20
atr_window = 30
trailing_tax = 2.0
risk_level = 1
exit_down = 0
exit_up = 0
macd = 0
macd_entry = 0
rsi_entry = 0
intra_trade_high = 0
intra_trade_low = 0
long_stop = 0
short_stop = 0
atr_value = 0
parameters = [
"max_window",
"min_window",
"open_window",
"fast_macd",
"slow_macd",
"signal_macd",
"macd_trend_level",
"boll_length",
"boll_dev",
"rsi_length",
"dc_length",
"atr_window",
"trailing_tax",
"risk_level",
]
variables = [
"exit_down",
"exit_up",
"macd",
"macd_entry",
"rsi_entry",
"intra_trade_high",
"intra_trade_low",
"long_stop",
"short_stop",
"atr_value",
]
def __init__(
self,
cta_engine: Any,
strategy_name: str,
vt_symbol: str,
setting: dict,
):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.atr_stop_array = np.zeros(10)
self.bg_xhour = NewBarGenerator(
on_bar=self.on_bar,
window=self.max_window,
on_window_bar=self.on_xhour_bar,
interval=Interval.MINUTE # 由小时修改到分钟级
)
self.am_hour = ArrayManager(self.boll_length + 100)
self.bg_xminute = NewBarGenerator(
on_bar=self.on_bar,
window=self.min_window,
on_window_bar=self.on_xminute_bar
)
self.am_xminute = ArrayManager(self.boll_length + 100)
self.bg_open = NewBarGenerator(
on_bar=self.on_bar,
window=self.open_window,
on_window_bar=self.on_5min_bar
)
self.am_open = ArrayManager(self.dc_length * int(self.min_window / self.open_window) + 30)
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化。。")
self.load_bar(10)
self.put_event()
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动。。")
self.put_event()
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止。。")
self.put_event()
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg_open.update_tick(tick)
self.ask = tick.ask_price_1 # 卖一价
self.bid = tick.bid_price_1 # 买一价
self.put_event()
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg_xhour.update_bar(bar)
self.bg_xminute.update_bar(bar)
self.bg_open.update_bar(bar)
def on_5min_bar(self, bar: BarData):
self.cancel_all()
self.am_open.update_bar(bar)
if not self.am_open.inited or not self.am_xminute.inited or not self.am_hour.inited:
return
#
self.exit_up, self.exit_down = self.am_open.donchian(
self.dc_length * int(self.min_window / self.open_window))
if not self.pos:
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
if self.macd_entry > 0 and self.rsi_entry > 0:
self.buy(self.boll_up, self.trading_size, True)
# print(bar.datetime, self.boll_up, self.trading_size)
# print(bar.datetime, self.entry_up, self.trading_size, bar)
if self.macd_entry < 0 and self.rsi_entry < 0:
self.short(self.boll_down, self.trading_size, True)
elif self.pos > 0:
self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
long_high = self.intra_trade_high * \
(1 - self.trailing_tax / 100)
self.long_stop = max(self.exit_down, long_high)
self.sell(self.long_stop, abs(self.pos), True)
elif self.pos < 0:
self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
short_low = self.intra_trade_low * \
(1 + self.trailing_tax / 100)
self.short_stop = min(self.exit_up, short_low)
self.cover(short_low, abs(self.pos), True)
self.put_event()
def on_xminute_bar(self, bar: BarData):
"""
:param bar:
:return:
"""
self.am_xminute.update_bar(bar)
if not self.am_hour.inited or not self.am_xminute.inited:
return
rsi_array = talib.RSI(self.am_xminute.close[:-1], self.rsi_length)
ema_array = talib.EMA(self.am_xminute.close, self.rsi_length)
dev_array = abs(self.am_xminute.close[:-1] - ema_array[:-1]) / rsi_array
rsi_up_array = rsi_array + rsi_array * dev_array
rsi_dow_array = rsi_array - rsi_array * dev_array
self.rsi_value = self.am_xminute.rsi(self.rsi_length, True)
self.rsi_up = rsi_up_array[-1]
self.rsi_dow = rsi_dow_array[-1]
current_rsi_up = rsi_up_array[-1]
current_rsi_down = rsi_dow_array[-1]
current_rsi_value = self.rsi_value[-1]
if current_rsi_value > current_rsi_up:
self.rsi_entry = 1
elif current_rsi_value < current_rsi_down:
self.rsi_entry = -1
else:
self.rsi_entry = 0
self.boll_up, self.boll_down = self.am_xminute.boll(self.boll_length, self.boll_dev)
def on_xhour_bar(self, bar: BarData):
""""""
am_hour = self.am_hour
am_hour.update_bar(bar)
if not am_hour.inited:
return
macd_signal, signal, hist = self.am_hour.macd(
self.fast_macd,
self.slow_macd,
self.signal_macd
)
self.macd = signal - hist
if self.macd > self.macd_trend_level:
self.macd_entry = 1
elif self.macd < (-self.macd_trend_level):
self.macd_entry = -1
else:
self.macd_entry = 0
# 动态调整仓位
if not self.pos:
self.atr_value = self.am_hour.atr(self.atr_window)
if self.atr_value == 0: # 保证仓位值是有效的
return
# 正向合约
atr_risk = self.am_hour.atr(self.atr_window)
self.trading_size = max(int(self.risk_level / atr_risk), 1)
self.put_event()
def on_trade(self, trade: TradeData):
"""
有成交时
Callback of new trade data update.
"""
self.put_event()
def on_order(self, order: OrderData):
"""
订单更新回调
Callback of new order data update.
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
self.put_event()
class AtrStop_Dc_Strategy(CtaTemplate):
""""""
author = "yunya"
atrstop_window = 46
open_window = 5
distance_line = 2.0
nloss_singnal = 2.7
dc_length = 50
fixd_size = 1
atr_window = 30
atr_entry = 0
current_atr_stop = 0.0
last_atr_stop = 0.0
nloss_array = 0.0
exit_short = 0
exit_long = 0
ask = 0
bid = 0
atr_value = 0
parameters = [
"atrstop_window",
"open_window",
"nloss_singnal",
"dc_length",
"distance_line",
"fixd_size",
"atr_window"
]
variables = [
"current_atr_stop",
"last_atr_stop",
"exit_short",
"exit_long",
"atr_entry",
]
def __init__(
self,
cta_engine: Any,
strategy_name: str,
vt_symbol: str,
setting: dict,
):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.atr_stop_array = np.zeros(10)
self.bg_xmin = NewBarGenerator(
self.on_bar,
window=self.atrstop_window,
on_window_bar=self.on_xmin_bar
)
self.am_xmin = ArrayManager()
self.bg_5min = BarGenerator(
self.on_bar,
window=self.open_window,
on_window_bar=self.on_5min_bar
)
self.am_5min = 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_5min.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg_xmin.update_bar(bar)
self.bg_5min.update_bar(bar)
def on_5min_bar(self, bar: BarData):
self.cancel_all()
self.am_5min.update_bar(bar)
if not self.am_5min.inited or not self.am_xmin.inited:
return
if self.atr_stop_array[-3] == 0:
return
self.atr_value = self.am_5min.atr(self.atr_window)
if not self.pos:
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
up_limit = self.current_atr_stop * (1 + self.distance_line / 100)
down_limit = self.current_atr_stop * (1 - self.distance_line / 100)
if self.atr_entry > 0 and bar.close_price < up_limit:
self.buy(self.current_atr_stop, self.fixd_size, True)
elif self.atr_entry < 0 and bar.close_price > down_limit:
self.short(self.current_atr_stop, self.fixd_size, True)
elif self.pos > 0:
self.sell(self.exit_long, abs(self.pos), True)
elif self.pos < 0:
self.cover(self.exit_short, abs(self.pos), True)
self.put_event()
def on_xmin_bar(self, bar: BarData):
""""""
am_xmin = self.am_xmin
am_xmin.update_bar(bar)
self.atr_stop_array[:-1] = self.atr_stop_array[1:]
if not am_xmin.inited:
return
# 计算轨道线 nloss
self.ema_array = am_xmin.ema(3, array=True)
self.nloss_array = am_xmin.atr(16, array=True) * self.nloss_singnal
# 计算轨道线
self.atr_stop_array = self.atrstop(
am_xmin.close,
self.atr_stop_array,
self.nloss_array
)
# 初始化
if self.atr_stop_array[-3] == 0:
return
self.current_atr_stop = self.atr_stop_array[-1]
self.last_atr_stop = self.atr_stop_array[-2]
current_ema = self.ema_array[-1]
last_ema = self.ema_array[-2]
if last_ema <= self.last_atr_stop and current_ema > self.current_atr_stop:
self.atr_entry = 1
elif last_ema >= self.last_atr_stop and current_ema < self.current_atr_stop:
self.atr_entry = -1
self.exit_short,self.exit_long = self.am_xmin.donchian(self.dc_length)
self.put_event()
def on_trade(self, trade: TradeData):
"""
有成交时
Callback of new trade data update.
"""
self.put_event()
def on_order(self, order: OrderData):
"""
订单更新回调
Callback of new order data update.
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
self.put_event()
def atrstop(self, close, atrstop, nlossatr):
# 计算轨道线
if (close[-1] > atrstop[-2]) and (close[-2] > atrstop[-2]):
atrstop[-1] = max(atrstop[-2], close[-1] - nlossatr[-1])
elif (close[-1] < atrstop[-2]) and (close[-2] < atrstop[-2]):
atrstop[-1] = min(atrstop[-2], close[-1] + nlossatr[-1])
elif (close[-1] > atrstop[-2]):
atrstop[-1] = (close[-1] - nlossatr[-1])
else:
atrstop[-1] = (close[-1] + nlossatr[-1])
return atrstop
class TurtleEStrategy(CtaTemplate):
""""""
# 改版海龟信号-吊灯止损法出场
author = "turtle_entry_following_stop"
entry_window = 50
exit_window = 20
atr_window = 20
# stop_multiple = 10
fixed_size = 1
entry_up = 0
entry_down = 0
exit_up = 0
exit_down = 0
atr_value = 0
long_entry = 0
short_entry = 0
# long_stop = 0
# short_stop = 0
sl_multiplier = 3
intra_trade_high = 0
intra_trade_low = 0
long_stop = 0
short_stop = 0
parameters = [
"entry_window", "exit_window", "atr_window", "fixed_size",
"sl_multiplier"
]
variables = ["entry_up", "entry_down", "exit_up", "exit_down", "atr_value"]
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)
self.am = ArrayManager()
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(20)
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.cancel_all()
self.am.update_bar(bar)
if not self.am.inited:
return
# Only calculates new entry channel when no position holding
if not self.pos:
self.entry_up, self.entry_down = self.am.donchian(
self.entry_window)
self.atr_value = self.am.atr(self.atr_window)
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
self.send_buy_orders(self.entry_up)
self.send_short_orders(self.entry_down)
elif self.pos > 0:
self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
self.intra_trade_low = bar.low_price
self.long_stop = self.intra_trade_high - self.atr_value * self.sl_multiplier
self.sell(self.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)
self.short_stop = self.intra_trade_low + self.atr_value * self.sl_multiplier
self.cover(self.short_stop, abs(self.pos), True)
self.put_event()
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
# if trade.direction == Direction.LONG:
# self.long_entry = trade.price
# self.long_stop = self.long_entry - self.stop_multiple * self.atr_value
# else:
# self.short_entry = trade.price
# self.short_stop = self.short_entry + self.stop_multiple * self.atr_value
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
def send_buy_orders(self, price):
""""""
self.buy(price, self.fixed_size, True)
def send_short_orders(self, price):
""""""
self.short(price, self.fixed_size, True)
class LifeHunterStrategy(CtaTemplate):
""""""
author = "super dino"
entry_window = 28
exit_window = 7
fast_period = 12
slow_period = 26
signal_period = 9
trend_level = 10
atr_window = 4
risk_level = 0.2
trailing_tax = 0.3
trading_size = 0
entry_up = 0
entry_down = 0
exit_up = 0
exit_down = 0
atr_value = 0
MACD_sign = 0
signal = 0
hist = 0
MACD_trend = 0
long_entry = 0
short_entry = 0
long_stop = 0
short_stop = 0
intra_trade_high = 0
intra_trade_low = 0
long_out = 0
short_out = 0
parameters = [
"entry_window", "exit_window", "fast_period", "slow_period",
"signal_period", "trend_level", "atr_window", "risk_level",
"trailing_tax"
]
variables = [
"trading_size", "entry_up", "entry_down", "exit_up", "exit_down",
"atr_value", "MACD_sign", "signal", "hist", "MACD_trend", "long_entry",
"short_entry", "long_stop", "short_stop", "intra_trade_high",
"intra_trade_low", "long_out", "short_out"
]
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, 30, self.on_30min_bar)
self.am = ArrayManager()
self.am30 = ArrayManager()
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(20)
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.cancel_all()
self.am.update_bar(bar)
if not self.am.inited or not self.am30.inited:
return
# No Position
if not self.pos:
self.atr_value = self.am.atr(self.atr_window)
if self.atr_value == 0:
return
atr_risk = talib.ATR(1 / self.am.high, 1 / self.am.low,
1 / self.am.close, self.atr_window)[-1]
self.trading_size = max(int(self.risk_level / atr_risk), 1)
self.long_entry = 0
self.short_entry = 0
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
self.long_stop = 0
self.short_stop = 0
if self.MACD_trend > 0:
self.buy(self.entry_up, self.trading_size, True)
if self.MACD_trend < 0:
self.short(self.entry_down, self.trading_size, True)
elif self.pos > 0:
self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
self.long_out = self.intra_trade_high * \
(1 - self.trailing_tax / 100)
sell_price = max(self.long_stop, self.exit_down, self.long_out)
self.sell(sell_price, abs(self.pos), True)
elif self.pos < 0:
self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
self.short_out = self.intra_trade_low * \
(1 + self.trailing_tax / 100)
cover_price = min(self.short_stop, self.exit_up, self.short_out)
self.cover(cover_price, abs(self.pos), True)
if bar.datetime.day == 21:
print(bar.datetime, self.entry_up, bar.open_price, bar.high_price,
bar.low_price, bar.close_price)
self.put_event()
def on_30min_bar(self, bar: BarData):
""""""
self.am30.update_bar(bar)
if not self.am30.inited:
return
self.entry_up, self.entry_down = self.am30.donchian(self.entry_window)
self.exit_up, self.exit_down = self.am30.donchian(self.exit_window)
if bar.datetime.day == 21:
print("on 30 min", bar.datetime, self.entry_up)
self.MACD_sign, self.signal, self.hist = self.am30.macd(
self.fast_period, self.slow_period, self.signal_period)
self.MACD_sign = self.signal - self.hist
if self.MACD_sign > self.trend_level:
self.MACD_trend = 1
elif self.MACD_sign < (-self.trend_level):
self.MACD_trend = -1
else:
self.MACD_trend = 0
self.put_event()
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
if trade.direction == Direction.LONG:
self.long_entry = trade.price
self.long_stop = self.long_entry - 2 * self.atr_value
else:
self.short_entry = trade.price
self.short_stop = self.short_entry + 2 * self.atr_value
msg = f"新的成交,策略是{self.strategy_name},方向{trade.direction}，开平{trade.offset}，当前仓位{self.pos}"
self.send_email(msg)
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 AtrStopRsiDcStrategy(CtaTemplate):
""""""
author = "yunya"
hour_window = 1
minute_window = 50
open_window = 5
rsi_length = 15
distance_line = 2.0
nloss_singnal = 3.1
exit_dc_length = 30
sl_multiplier = 8.0
fixd_size = 1
atr_window = 30
exit_dowm = 0
exit_up = 0
atr_entry = 0
rsi_entry = 0
current_atr_stop = 0.0
last_atr_stop = 0.0
intra_trade_high = 0
intra_trade_low = 0
nloss_array = 0.0
long_stop = 0
short_stop = 0
ask = 0
bid = 0
atr_value = 0
parameters = [
"hour_window", "minute_window", "open_window", "nloss_singnal",
"rsi_length", "exit_dc_length", "sl_multiplier", "distance_line",
"fixd_size", "atr_window"
]
variables = [
"current_atr_stop", "last_atr_stop", "long_stop", "short_stop",
"atr_entry", "atr_value", "ask", "bid"
]
def __init__(
self,
cta_engine: Any,
strategy_name: str,
vt_symbol: str,
setting: dict,
):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.atr_stop_array = np.zeros(10)
self.bg_xhour = NewBarGenerator(on_bar=self.on_bar,
window=self.hour_window,
on_window_bar=self.on_xhour_bar,
interval=Interval.HOUR)
self.am_hour = ArrayManager()
self.bg_xminute = NewBarGenerator(on_bar=self.on_bar,
window=self.minute_window,
on_window_bar=self.on_xminute_bar)
self.am_xminute = ArrayManager()
self.bg_open = NewBarGenerator(on_bar=self.on_bar,
window=self.open_window,
on_window_bar=self.on_5min_bar)
self.am_open = ArrayManager()
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化。。")
self.load_bar(10)
self.put_event()
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动。。")
self.put_event()
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止。。")
self.put_event()
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg_open.update_tick(tick)
self.ask = tick.ask_price_1 # 卖一价
self.bid = tick.bid_price_1 # 买一价
self.put_event()
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg_xhour.update_bar(bar)
self.bg_xminute.update_bar(bar)
self.bg_open.update_bar(bar)
def on_5min_bar(self, bar: BarData):
self.cancel_all()
self.am_open.update_bar(bar)
if not self.am_open.inited or not self.am_xminute.inited or not self.am_hour.inited:
return
self.atr_value = self.am_open.atr(self.atr_window)
if not self.pos:
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
up_limit = self.current_atr_stop * (1 + self.distance_line / 100)
down_limit = self.current_atr_stop * (1 - self.distance_line / 100)
if self.atr_entry > 0 and self.rsi_entry > 0 and bar.close_price < up_limit:
self.buy(up_limit, self.fixd_size, True)
elif self.atr_entry < 0 and self.rsi_entry < 0 and bar.close_price > down_limit:
self.short(down_limit, self.fixd_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_high = self.intra_trade_high - self.atr_value * self.sl_multiplier
self.long_stop = max(self.exit_up, long_stop_high)
self.sell(self.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_low = self.intra_trade_low + self.atr_value * self.sl_multiplier
self.short_stop = min(self.exit_dowm, short_stop_low)
self.cover(self.short_stop, abs(self.pos), True)
self.put_event()
def on_xminute_bar(self, bar: BarData):
"""
:param bar:
:return:
"""
self.am_xminute.update_bar(bar)
if not self.am_xminute.inited:
return
rsi_array = talib.RSI(self.am_xminute.close[:-1], self.rsi_length)
ema_array = talib.EMA(self.am_xminute.close, self.rsi_length)
dev_array = abs(self.am_xminute.close[:-1] -
ema_array[:-1]) / rsi_array
rsi_up_array = rsi_array + rsi_array * dev_array
rsi_dow_array = rsi_array - rsi_array * dev_array
self.rsi_value = self.am_xminute.rsi(self.rsi_length, True)
self.rsi_up = rsi_up_array[-1]
self.rsi_dow = rsi_dow_array[-1]
current_rsi_up = rsi_up_array[-1]
last_rsi_up = rsi_up_array[-2]
current_rsi_down = rsi_dow_array[-1]
last_rsi_down = rsi_dow_array[-2]
current_rsi_value = self.rsi_value[-1]
last_rsi_value = self.rsi_value[-2]
if (current_rsi_value > current_rsi_up) and (last_rsi_value <=
last_rsi_up):
self.rsi_entry = 1
elif (current_rsi_value < current_rsi_down) and (last_rsi_value >=
last_rsi_down):
self.rsi_entry = -1
else:
self.rsi_entry = 0
# print(self.rsi_entry)
self.exit_dowm, self.exit_up = self.am_xminute.donchian(
self.exit_dc_length)
def on_xhour_bar(self, bar: BarData):
""""""
am_hour = self.am_hour
am_hour.update_bar(bar)
self.atr_stop_array[:-1] = self.atr_stop_array[1:]
if not am_hour.inited:
return
# 计算轨道线 nloss
self.ema_array = am_hour.ema(3, array=True)
self.nloss_array = am_hour.atr(16, array=True) * self.nloss_singnal
# 计算轨道线
self.atr_stop_array = self.atrstop(am_hour.close, self.atr_stop_array,
self.nloss_array)
# print(self.atr_stop_array)
# 初始化
if self.atr_stop_array[-3] == 0:
return
self.current_atr_stop = self.atr_stop_array[-1]
self.last_atr_stop = self.atr_stop_array[-2]
current_ema = self.ema_array[-1]
last_ema = self.ema_array[-2]
if current_ema > self.current_atr_stop and last_ema <= self.last_atr_stop:
self.atr_entry = 1
elif current_ema < self.current_atr_stop and last_ema >= self.last_atr_stop:
self.atr_entry = -1
self.put_event()
def on_trade(self, trade: TradeData):
"""
有成交时
Callback of new trade data update.
"""
self.put_event()
def on_order(self, order: OrderData):
"""
订单更新回调
Callback of new order data update.
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
self.put_event()
def atrstop(self, close, atrstop, nlossatr):
# 计算轨道线
if (close[-1] > atrstop[-2]) and (close[-2] > atrstop[-2]):
atrstop[-1] = max(atrstop[-2], close[-1] - nlossatr[-1])
elif (close[-1] < atrstop[-2]) and (close[-2] < atrstop[-2]):
atrstop[-1] = min(atrstop[-2], close[-1] + nlossatr[-1])
elif (close[-1] > atrstop[-2]):
atrstop[-1] = (close[-1] - nlossatr[-1])
else:
atrstop[-1] = (close[-1] + nlossatr[-1])
return atrstop
class CtaTemplate_6(CtaTemplate_5):
"""
add bar manager
"""
className = 'CtaTemplate_6'
author = u'rxg'
# 基本变量
initDays = 20 # 初始化数据所用的天数
kLineCycle = 6 #Bar line cycle
KLineSeconds = 60 #生成X秒的K线
marketTradeValue = 0 #策略的交易市值
arraySize = 100
parameters = CtaTemplate_5.parameters + \
[
'className',
'author',
'kLineCycle',
'initDays',
'debugMode',
'KLineSeconds',
'arraySize'
]
varList = CtaTemplate_5.variables + \
[
]
#----------------------------------------------------------------------
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
print("-----")
print(self.kLineCycle)
self.bm = BarGenerator(self.on_bar, self.kLineCycle,
self.onXminBar) # 创建K线合成器对象
self.bm.xsec = self.KLineSeconds #按指定X秒生成K线
self.am = ArrayManager(size=self.arraySize)
# self.am = getSharedArrayManager(self.vt_symbol, self.kLineCycle,
# self.KLineSeconds, self.arraySize)
self.bm60 = BarGenerator(self.on_bar, 60, self.on60MinBar)
self.am60 = ArrayManager(size=100)
# self.am60 = getSharedArrayManager(self.vt_symbol, 60,
# self.KLineSeconds, 100)
#----------------------------------------------------------------------
# @timeit
def on_init(self):
"""初始化策略（必须由用户继承实现）"""
self.write_log(u'策略初始化')
# 载入历史数据，并采用回放计算的方式初始化策略数值
self.load_bar(self.initDays)
if hasattr(self, 'signal'):
if hasattr(self.signal, 'am'):
if not self.signal.am.inited:
self.write_log(u'%s策略信号加载初始数据不足' % self.strategy_name)
print(u'%s策略信号加载初始数据不足 ' % self.strategy_name,
self.initDays)
if not self.am.inited:
print(u'%s策略加载初始数据不足 ' % self.strategy_name, self.kLineCycle,
self.initDays)
if not self.am60.inited:
print(u'%s策略加载60 Min Bar 初始数据不足 ' % self.strategy_name,
self.initDays)
self.put_event()
#----------------------------------------------------------------------
def on_start(self):
"""启动策略（必须由用户继承实现）"""
self.write_log(u'策略启动')
self.put_event()
#----------------------------------------------------------------------
def on_stop(self):
"""停止策略（必须由用户继承实现）"""
self.cancel_all()
self.write_log(u'停止')
self.put_event()
#----------------------------------------------------------------------
def on_tick(self, tick: TickData):
"""收到行情TICK推送（必须由用户继承实现）"""
super(CtaTemplate_6, self).on_tick(tick)
self.bm.update_tick(tick)
#----------------------------------------------------------------------
def on_bar(self, bar: BarData):
'''处理分钟数据'''
super(CtaTemplate_6, self).on_bar(bar)
self.bm.update_bar(bar)
self.bm60.update_bar(bar)
#----------------------------------------------------------------------
def onXminBar(self, bar):
"""收到X分钟K线"""
# 保存K线数据
am = self.am
am.update_bar(bar)
if not am.inited:
return
def on60MinBar(self, bar):
"""收到X分钟K线"""
self.am60.update_bar(bar)
if not self.am60.inited:
return
#----------------------------------------------------------------------
def getVolatility(self, volatilityTime=60):
"""收到X分钟K线"""
# 保存K线数据
return (self.am.atr(50) / self.lastPrice) * (
(volatilityTime / self.kLineCycle)**0.5)
class MaLevelTrackStrategy(CtaTemplate):
author = "用Python的交易员"
ma_level = [5, 10, 20, 30, 120]
ma_tag = []
bd = []
fast_ma0 = 0.0
fast_ma1 = 0.0
slow_ma0 = 0.0
slow_ma1 = 0.0
request_order = []
bar_identify = []
parameters = ["ma_level"]
variables = ["fast_ma0", "fast_ma1", "slow_ma0", "slow_ma1"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(MaLevelTrackStrategy, self).__init__(cta_engine, strategy_name,
vt_symbol, setting)
self.bg = BarGenerator(self.on_bar, 15, self.on_1min_bar)
self.am = ArrayManager(400)
self.am3 = ArrayManager(150)
self.bg3 = BarGenerator(self.on_bar, 3, self.on_3min_bar)
self.am5 = ArrayManager(120)
self.bg5 = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.order_data = None
self.positions = Position(self)
self.std_range = IntervalGen(np.std, 5)
self.std_range3 = IntervalGen(np.std, 5)
self.std_range5 = IntervalGen(np.std, 5)
self.pattern_record = PatternRecord()
# self.pattern_record.set_expiry([KlinePattern.CDLEVENINGSTAR], 3)
self.pattern_record.set_expiry(list(KlinePattern), 1)
five_min_open_5 = partial(self.reverse_shape_strategy,
setting={
"atr": 10,
"atr_valve": 0.8,
"deg1": (10, 5),
"deg2": 5
})
self.open_strategy = {
"1": [self.reverse_shape_strategy],
"5": [five_min_open_5],
}
self.offset = 40
self.ma120_track = None
self.ma120_track_list = []
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")
self.put_event()
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止")
self.put_event()
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg.update_tick(tick)
self.bg3.update_tick(tick)
self.bg5.update_tick(tick)
def on_3min_bar(self, bar: BarData):
self.am3.update_bar(bar)
self.std_range3.update(self.am3.range[-1])
if not self.am.inited or not self.trading:
return
pattern = self.am3.pattern(
[KlinePattern.CDLEVENINGSTAR, KlinePattern.CDL2CROWS])
if len(pattern) > 0:
print(pattern)
self.pattern_record.add_pattern(pattern)
# deg = calc_regress_deg(self.am3.close[-20:])
def wave(self, data, window=0.0002):
if len(data) <= 0:
return
# r = array[::-1]
result = {"value": [], "range": [], "pos": [], "length": []}
r = data
l = len(data) - 1
now = r[0]
# v_list.append(now)
# p_list.append(0)
pos = 1
vol = 0
u_tag = None
d_tag = None
end_tag = None
start_pos = 0
while pos < l:
if math.isnan(now):
now = r[pos]
pos += 1
continue
else:
start_pos = pos - 1
break
while pos < l:
if now < r[pos]:
u_tag = pos
if d_tag:
diff = r[start_pos] - r[d_tag]
if abs(diff /
r[start_pos]) > window and d_tag - start_pos > 1:
end_tag = d_tag
elif now > r[pos]:
d_tag = pos
if u_tag:
diff = r[start_pos] - r[u_tag]
if abs(diff /
r[start_pos]) > window and d_tag - start_pos > 1:
end_tag = u_tag
if end_tag is not None:
result["range"].append(r[end_tag] / r[start_pos] - 1)
result["length"].append(end_tag - start_pos)
start_pos = end_tag
result["value"].append(r[end_tag])
result["pos"].append(end_tag)
end_tag = None
vol += r[pos] - now
now = r[pos]
pos += 1
return pd.DataFrame(result)
def mode_identify(self, bar: BarData):
self.bar_identify = []
hl_scale = round(bar.high_price / bar.low_price - 1, 4)
if hl_scale > 0.001:
diff = bar.high_price - bar.low_price
diff_up = bar.low_price + diff / 2 * 1.20
diff_down = bar.low_price + diff / 2 * 0.80
close = bar.close_price
if bar.open_price < diff_up and bar.open_price > diff_down and \
bar.close_price < diff_up and bar.close_price > diff_down:
if bar.close_price > bar.open_price:
print("绿十字星", bar.datetime, bar.high_price, bar.low_price,
diff, diff_up, diff_down, bar.open_price,
bar.close_price)
else:
print("红十字星", bar.datetime, bar.high_price, bar.low_price,
diff, diff_up, diff_down, bar.open_price,
bar.close_price)
def on_5min_bar(self, bar: BarData):
self.std_range5.update(self.am5.range[-1])
self.am5.update_bar(bar)
if not self.am.inited or not self.trading:
return
self.on_strategy(self.am5, bar, self.open_strategy["5"])
# pattern_list = [KlinePattern.CDLEVENINGSTAR, KlinePattern.CDL2CROWS, KlinePattern.CDLCONCEALBABYSWALL, KlinePattern.CDLEVENINGDOJISTAR]
# pattern = self.am5.pattern(list(KlinePattern))
# if len(pattern) > 0:
# print(list(map(lambda x: (KLINE_PATTERN_CHINESE[x[0]],x[1]), pattern)))
# self.pattern_record.add_pattern(pattern)
# deg_full = calc_regress_deg(self.am.close[-40 :], False)
# print("deg:",deg_full)
# self.pattern_record.update()
def open_v3(self, am: ArrayManager, bar: BarData):
std_val2 = np.std(np.array(self.ma_tag[-10:-1]))
mean_val2 = np.mean(np.array(self.ma_tag[-10:-1]))
mean = np.mean(np.array(self.ma_tag[-30:-10]))
if std_val2 < 0.2:
if mean_val2 > 3:
if mean_val2 >= (mean + 1):
return self.buy(bar.close_price, 1, type=OrderType.MARKET)
elif mean_val2 < 2:
if mean_val2 <= (mean - 1):
return self.short(bar.close_price,
1,
type=OrderType.MARKET)
def open_v1(self, am: ArrayManager, bar: BarData):
offset = -40
offset_m = int(offset / 2)
calc_nums = np.array(self.ma_tag[-offset:-1])
mean_val = np.mean(calc_nums)
# var_val = np.var(calc_nums)
std_val = np.std(calc_nums)
if std_val < 1 and mean_val < 2 and self.ma_tag[-1] >= (mean_val + 2):
return self.buy(bar.close_price, 1, type=OrderType.MARKET)
elif std_val < 1 and mean_val > 3 and self.ma_tag[-1] <= (mean_val -
2):
return self.short(bar.close_price, 1, type=OrderType.MARKET)
def open_v2(self, am: ArrayManager, bar: BarData):
std_val2 = np.std(np.array(self.ma_tag[-10:-1]))
mean_val2 = np.mean(np.array(self.ma_tag[-10:-1]))
mean = np.mean(np.array(self.ma_tag[-30:-10]))
if std_val2 < 0.2:
if mean_val2 > 2.5:
if mean_val2 >= (mean + 1):
return self.buy(bar.close_price, 1, type=OrderType.MARKET)
elif mean_val2 < 2.5:
if mean_val2 <= (mean - 1):
return self.short(bar.close_price,
1,
type=OrderType.MARKET)
def open2(self, am: ArrayManager, bar: BarData, calc_data):
deg = calc_data["deg20"]
ma = self.ma_tag[-1]
if deg > 0.5 and ma > 3 and self.am5.range[-1] > -0.002:
return self.buy(bar.close_price, 1, type=OrderType.MARKET)
elif deg < -0.5 and ma < 2 and self.am5.range[-1] < 0.002:
return self.short(bar.close_price, 1, type=OrderType.MARKET)
def open1(self, am: ArrayManager, bar: BarData, calc_data):
mean = calc_data["mean30_10"]
mean_val2 = calc_data["mean10"]
# if std_val2 < 0.2:
if mean_val2 > 3.5 and mean_val2 >= (mean + 2):
return self.buy(bar.close_price, 1, type=OrderType.MARKET)
elif mean_val2 < 1.5 and mean_val2 <= (mean - 2):
return self.short(bar.close_price, 1, type=OrderType.MARKET)
# v形反转捕获
def reverse_shape_strategy(self,
am: ArrayManager,
bar: BarData,
calc_data,
setting={
"atr": 40,
"atr_valve": 0.8,
"deg1": (40, 20),
"deg2": (20, 0),
}):
deg1 = calc_data["deg40_20"]
deg2 = calc_data["deg20_0"]
kdj = calc_data["kdj"]
atr = self.am.atr(40)
if atr < 0.08:
return
if deg1 > 0 and deg2 > 0 or \
deg1 < 0 and deg2 < 0:
return
if not (abs(deg1) > 0.15 and abs(deg2) > 0.1 and
(abs(deg1) + abs(deg2)) > 0.3):
return
close = am.close[-40:]
min_val = np.min(close)
max_val = np.max(close)
mid_val = max_val if deg1 > 0 else min_val
mid_pos = np.where(close == mid_val)[0][0]
if mid_pos < 10 or mid_pos > 30:
return
start_val = np.min(close[:mid_pos]) if deg1 > 0 else np.max(
close[:mid_pos])
start_pos = np.where(close == start_val)[0][0]
l = mid_pos - start_pos
# pos2 = np.where(close == min_val)[0][0]
x_fit = reg_util.regress_y_polynomial(close[:mid_pos], zoom=True)
deg1_remake = calc_regress_deg(x_fit[:abs(mid_pos)], False)
y_fit = reg_util.regress_y_polynomial(close[mid_pos:], zoom=True)
deg2_remake = calc_regress_deg(y_fit[:abs(mid_pos)], False)
print(start_pos, mid_pos, deg1, deg2, deg1_remake, deg2_remake, l,
start_val, mid_val)
if deg2 < 0:
if kdj[0] < 20 and kdj[1] < 10 and kdj[2] < 10:
# if kdj[2] < 10:
return self.short(bar.close_price, 1, type=OrderType.MARKET)
else:
if kdj[0] > 80 and kdj[1] > 90 and kdj[2] > 90:
# if kdj[2] > 90:
return self.buy(bar.close_price, 1, type=OrderType.MARKET)
# print("找到大v形:", deg1, deg2 )
def open5(self, am: ArrayManager, bar: BarData, calc_data):
ma = self.ma_tag[-1]
mean = calc_data["mean30_10"]
atr = self.am.atr(10, array=True, length=20)
tr = self.am.atr(1, array=True, length=11)
# self.ma120_track
ma120 = self.am.sma(120)
# if std_val2 < 0.2:
mean_std = calc_data["mean_std"]
if mean_std < 0.8 and tr[-1] > 0.1 and tr[-1] / tr[-10] > 3 and tr[
-1] / atr[-1] >= 1.7 and tr[-10] / atr[-10] < 1:
if np.sum(self.am.range[-10:]) > 0 and self.ma120_track > 0:
return self.buy(bar.close_price, 1, type=OrderType.MARKET)
elif self.ma120_track < 0:
return self.short(bar.close_price, 1, type=OrderType.MARKET)
def open_kline1(self, am: ArrayManager, bar: BarData, calc_data):
if KlinePattern.CDLEVENINGSTAR not in self.pattern_record:
return
# if std_val2 < 0.2:
deg = calc_regress_deg(self.am.close[-5:], False)
print("kline_strategy", deg)
if deg < -0.1:
return self.short(bar.close_price, 1, type=OrderType.MARKET)
def generate_data(self, bar: BarData):
offset = -self.offset
offset_m = int(offset / 2)
calc_nums = np.array(self.ma_tag[-offset:-1])
# var_val = np.var(calc_nums)
std_val = np.std(calc_nums)
std_val2 = np.std(np.array(self.ma_tag[-10:-1]))
std_val3 = np.std(np.array(self.am.range[-30:-10]))
ma = self.ma_tag[-1]
mean_val = np.mean(calc_nums)
mean_val2 = np.mean(np.array(self.ma_tag[-5:-1]))
mean_val3 = np.mean(np.array(self.ma_tag[-20:-1]))
mean_val4 = np.mean(np.array(self.ma_tag[-30:-5]))
kdj_val = self.am.kdj()
deg1 = calc_regress_deg(self.am.close[offset:offset_m], False)
deg2 = calc_regress_deg(self.am.close[offset_m:], False)
deg3 = calc_regress_deg(self.am.close[-10:], False)
deg_full = calc_regress_deg(self.am.close[offset:], False)
wave = self.wave(self.am.close[-30:])
wave_r_sum = np.sum(wave["range"])
macd = self.am.macd(20, 40, 16)
calc_data = (dict(
kdj=[
round(kdj_val["k"][-1], 2),
round(kdj_val["d"][-1], 2),
round(kdj_val["j"][-1], 2)
],
cci_20=self.am.cci(20),
rsi=self.am.rsi(20),
adx=self.am.adx(20),
boll=self.am.boll(20, 3.4),
macd=[round(macd[0], 2),
round(macd[1], 2),
round(macd[2], 2)],
deg40_20=round(deg1, 2),
deg20_0=round(deg2, 2),
deg20_10=round(calc_regress_deg(self.am.close[-20:-10], False), 2),
deg10_0=round(deg3, 2),
deg30_15=round(calc_regress_deg(self.am.close[-30:-15], False), 2),
deg15_0=round(calc_regress_deg(self.am.close[-15:], False), 2),
deg_f=round(deg_full, 2),
atr=round(self.am.atr(10, length=15), 3),
tr=round(self.am.atr(1, length=2), 3),
atr_40=round(self.am.atr(40, length=42), 3),
time=bar.datetime,
price=bar.close_price,
ma=round(ma, 2),
std_40=round(std_val, 2),
mean40=round(mean_val, 2),
mean_std=np.mean(self.std_range.data[-5:]),
std_10=round(std_val2, 2),
mean30_10=round(mean_val4, 2),
mean10=round(mean_val2, 2),
vol=self.am.volume[-1],
std_range=self.std_range.data[-1:-5:-1],
range=self.am.range[-1:-5:-1].tolist(),
range_sum=np.sum(self.am.range[-5:]),
pattern=list(
map(lambda x: KLINE_PATTERN_CHINESE[x],
self.pattern_record.keys())),
ma120t=self.ma120_track,
ma120t_list=self.ma120_track_list[-1:-10:-1],
ma120t_sort=sorted(self.ma120_track_list[-20:-1], key=abs),
ma120t_sum=np.sum(self.ma120_track_list[-20:-1] +
[self.ma120_track]),
ma120t_mean=np.mean(self.ma120_track_list[-20:-1] +
[self.ma120_track]),
ma120t_std=np.std(self.ma120_track_list[-20:-1] +
[self.ma120_track]),
wave_cnt=len(wave),
wave_r_sum=wave_r_sum,
atr_mean=np.mean(self.am.atr(20, array=True, length=240)[-200:])))
return calc_data
def on_strategy(self, am: ArrayManager, bar: BarData, strategy_list):
calc_data = self.generate_data(bar)
order_id = None
if self.pos == 0:
for open_strategy in strategy_list:
if order_id is not None:
break
order_id = open_strategy(am, bar, calc_data)
else:
order_id = self.positions.on_strategy(bar, calc_data)
if order_id is not None:
offset = -self.offset
offset_m = int(offset / 2)
self.tracker["trade_info"].append(
(self.am.time_array[offset], self.am.time_array[offset_m],
bar.datetime, calc_data["deg40_20"], calc_data["deg20_0"]))
self.request_order.extend(order_id)
if self.tracker is not None:
self.tracker["ma_tag_ls"].append(calc_data)
def on_1min_bar(self, bar: BarData):
self.am.update_bar(bar)
am = self.am
max_len = self.ma_level[-1] + 20
data = self.am.close[-max_len:-1]
ma_lvl = []
for i in self.ma_level:
ma = self.am.sma(i, True)[-1]
ma_lvl.append(ma)
l = len(ma_lvl)
ma_lvl_tag = []
now = bar.close_price
direction = 1 if now > ma_lvl[0] else 0
ma_lvl_tag.append(direction)
for i in range(l - 1):
val = 1 if ma_lvl[i] > ma_lvl[i + 1] else 0
ma_lvl_tag.append(val)
bincount_val = np.bincount(np.array(ma_lvl_tag))
tag_val = 0
if len(bincount_val) == 2:
tag_val = bincount_val[1]
if len(self.ma_tag) < 200:
self.ma_tag.append(tag_val)
else:
self.ma_tag[:-1] = self.ma_tag[1:]
self.ma_tag[-1] = tag_val
if self.tracker is not None:
self.tracker["bar_data"].append(bar)
self.std_range.update(self.am.range[-1])
ma120 = self.am.sma(120)
if bar.close_price >= ma120:
if self.ma120_track is None:
self.ma120_track = 1
elif self.ma120_track > 0:
self.ma120_track += 1
else:
self.ma120_track_list.append(self.ma120_track)
self.ma120_track = 1
elif bar.close_price < ma120:
if self.ma120_track is None:
self.ma120_track = -1
elif self.ma120_track < 0:
self.ma120_track -= 1
else:
self.ma120_track_list.append(self.ma120_track)
self.ma120_track = -1
if not am.inited or not self.trading:
return
self.on_strategy(am, bar, self.open_strategy["1"])
# median_val = np.median(calc_nums)
self.put_event()
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg3.update_bar(bar)
self.bg5.update_bar(bar)
self.bg.update_bar(bar)
# def init_order_data(self):
# self.order_data = np.array([])
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
print("{}产生了{},价格为{},笔数为{},交易{},pos={}".format(
order.datetime.strftime("%m/%d %H:%M:%S"),
order.offset.value + order.direction.value, order.price,
order.volume, order.status.value, self.pos))
if order.vt_orderid in self.request_order:
self.positions.on_order(order)
if order.status == Status.ALLTRADED or order.status == Status.CANCELLED or order.status == Status.REJECTED:
self.request_order.remove(order.vt_orderid)
# if order.status == Status.ALLTRADED or order.status == Status.PARTTRADED:
# if order.direction == Direction.LONG:
# if self.positions.volumn == 0:
# self.positions.close_price = round(order.price * 0.995)
# self.positions.volumn += order.volume
# elif order.direction == Direction.SHORT:
# self.positions.volumn -= order.volume
# elif order.direction == Direction.NET:
# self.positions.volumn = order.volume
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
class TurtleSignalStrategy(CtaTemplate):
""""""
author = "用Python的交易员"
entry_window = 20
exit_window = 10
atr_window = 20
fixed_size = 1
entry_up = 0
entry_down = 0
exit_up = 0
exit_down = 0
atr_value = 0
long_entry = 0
short_entry = 0
long_stop = 0
short_stop = 0
parameters = ["entry_window", "exit_window", "atr_window", "fixed_size"]
variables = ["entry_up", "entry_down", "exit_up", "exit_down", "atr_value"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(TurtleSignalStrategy, self).__init__(
cta_engine, strategy_name, vt_symbol, setting
)
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(20)
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.cancel_all()
self.am.update_bar(bar)
if not self.am.inited:
return
self.entry_up, self.entry_down = self.am.donchian(self.entry_window)
self.exit_up, self.exit_down = self.am.donchian(self.exit_window)
if not self.pos:
self.atr_value = self.am.atr(self.atr_window)
self.long_entry = 0
self.short_entry = 0
self.long_stop = 0
self.short_stop = 0
self.send_buy_orders(self.entry_up)
self.send_short_orders(self.entry_down)
elif self.pos > 0:
self.send_buy_orders(self.long_entry)
sell_price = max(self.long_stop, self.exit_down)
self.sell(sell_price, abs(self.pos), True)
elif self.pos < 0:
self.send_short_orders(self.short_entry)
cover_price = min(self.short_stop, self.exit_up)
self.cover(cover_price, abs(self.pos), True)
self.put_event()
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
if trade.direction == Direction.LONG:
self.long_entry = trade.price
self.long_stop = self.long_entry - 2 * self.atr_value
else:
self.short_entry = trade.price
self.short_stop = self.short_entry + 2 * self.atr_value
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
def send_buy_orders(self, price):
""""""
t = self.pos / self.fixed_size
if t < 1:
self.buy(price, self.fixed_size, True)
if t < 2:
self.buy(price + self.atr_value * 0.5, self.fixed_size, True)
if t < 3:
self.buy(price + self.atr_value, self.fixed_size, True)
if t < 4:
self.buy(price + self.atr_value * 1.5, self.fixed_size, True)
def send_short_orders(self, price):
""""""
t = self.pos / self.fixed_size
if t > -1:
self.short(price, self.fixed_size, True)
if t > -2:
self.short(price - self.atr_value * 0.5, self.fixed_size, True)
if t > -3:
self.short(price - self.atr_value, self.fixed_size, True)
if t > -4:
self.short(price - self.atr_value * 1.5, self.fixed_size, True)
class Mike_Dc_Strategy(CtaTemplate):
""""""
author = "yunya"
exchange : Exchange = ""
mike_window = 1
mike_length = 30
dc_length = 10
kk_length = 20
kk_dev = 2.0
sl_trade = 2
fixed_size = 1
ask = 0
bid = 0
ema_mid = 0
ema_hh = 0
ema_ll = 0
ema_wr = 0 #初级压力线
ema_mr = 0 #中级压力线
ema_sr = 0 #高级压力线
ema_ws = 0 #初级支撑线
ema_ms = 0 #中级支撑线
ema_ss = 0 #高级支撑线
dc_up = 0
dc_down = 0
kk_up = 0
kk_down = 0
atr_value = 0
long_stop = 0
short_stop = 0
long_stop_trade = 0
short_stop_trade = 0
long_enrty = 0
short_enrty = 0
ema_entry_crossover = 0
boll_entry_crossover = 0
boll_width = 0
parameters = [
"exchange",
"mike_window",
"mike_length",
"dc_length",
"kk_length",
"kk_dev",
"sl_trade",
"fixed_size",
]
variables = [
"long_stop",
"short_stop",
"ema_entry_crossover",
"boll_entry_crossover",
"boll_width",
"ema_mid",
"ema_hh",
"ema_ll",
"ema_wr",
"ema_mr",
"ema_sr",
"ema_ws",
"ema_ms",
"ema_ss",
]
def __init__(self, cta_engine, strategy_nam_xhoure, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_nam_xhoure, vt_symbol, setting)
self.bg_xhour = BarGenerator(
on_bar=self.on_bar,
window=self.mike_window,
on_window_bar=self.on_hour_bar,
interval=Interval.HOUR
)
self.am_xhour = ArrayManager(max(self.dc_length ,self.kk_length) + 10)
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.exchange_load_bar(self.exchange)
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_xhour.update_tick(tick)
self.ask = tick.ask_price_1 # 卖一价
self.bid = tick.bid_price_1 # 买一价
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg_xhour.update_bar(bar)
def on_hour_bar(self, bar: BarData):
"""
计算 mike 指标线
:param_xhour bar:
:return:
"""
self.am_xhour.update_bar(bar)
if not self.am_xhour.inited:
return
# 计算mike压力支撑线
ema_array = (self.am_xhour.close[:-1] + self.am_xhour.high[:-1] + self.am_xhour.low[:-1]) / 3
self.ema_mid = ema_array[-1]
self.ema_hh = self.am_xhour.high[-self.mike_length:-1].max()
self.ema_ll = self.am_xhour.low[-self.mike_length:-1].min()
self.ema_wr = self.ema_mid + (self.ema_mid - self.ema_ll)
self.ema_mr = self.ema_mid + (self.ema_hh - self.ema_ll)
self.ema_sr = 2 * self.ema_hh - self.ema_ll
self.ema_ws = self.ema_mid - (self.ema_hh - self.ema_mid)
self.ema_ms = self.ema_mid - (self.ema_hh - self.ema_ll)
self.ema_ss = 2 * self.ema_ll - self.ema_hh
if (self.am_xhour.close[-1] > self.ema_sr) or (self.ema_ms < self.am_xhour.close[-1] < self.ema_ws):
self.ema_entry_crossover = 1
elif (self.am_xhour.close[-1] < self.ema_ss) or (self.ema_mr > self.am_xhour.close[-1] > self.ema_wr):
self.ema_entry_crossover = -1
self.kk_up,self.kk_down = self.am_xhour.keltner(self.kk_length,self.kk_dev)
self.dc_up,self.dc_down = self.am_xhour.donchian(self.dc_length)
if self.pos == 0:
self.atr_value = self.am_xhour.atr(30)
if self.ema_entry_crossover > 0 :
self.buy(self.kk_up, self.fixed_size,True)
print(self.kk_up)
elif self.ema_entry_crossover < 0 :
self.short(self.kk_down, self.fixed_size,True)
elif self.pos > 0:
self.long_stop = max(self.dc_down,self.long_stop_trade)
self.sell(self.long_stop, abs(self.pos), True)
elif self.pos < 0:
self.short_stop = min(self.dc_up,self.short_stop_trade)
self.cover(self.short_stop, abs(self.pos), True)
self.sync_data()
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
pass
# self.write_log(f"on_order: status:{order.status}, orderid: {order.vt_orderid}, offset:{order.offset}, price:{order.price}, volume:{order.volume}, traded: {order.traded}")
# self.put_event()
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
# if trade.direction == Direction.LONG:
# self.long_enrty = trade.price
# self.long_stop_trade = self.long_enrty - 2 * self.atr_value
#
# else:
# self.short_enrty = trade.price
# self.short_stop_trade = self.short_enrty + 2 * self.atr_value
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
def exchange_load_bar(self,exchange:Exchange):
"""
如果是火币，ok 交易所，就从数据库获取初始化数据
"""
if exchange == Exchange.OKEX or exchange == Exchange.HUOBI:
self.load_bar(days=10,use_database=True)
else:
self.load_bar(10)
class ReverseCatchStrategy(CtaTemplate):
author = "用Python的交易员"
ma_level = [5, 10, 20, 30, 120]
ma_tag = []
bd = []
fast_ma0 = 0.0
fast_ma1 = 0.0
slow_ma0 = 0.0
slow_ma1 = 0.0
request_order = []
bar_identify = []
volumn = 0
kdj_record = []
parameters = ["ma_level"]
variables = ["fast_ma0", "fast_ma1", "slow_ma0", "slow_ma1"]
add_pos = False
safe_price = None
trend_record = MaTrendRecord
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(ReverseCatchStrategy, self).__init__(
cta_engine, strategy_name, vt_symbol, setting
)
self.bg = BarGenerator(self.on_bar, 1, self.on_1min_bar)
self.am = ArrayManager(200)
self.am3 = ArrayManager(150)
self.bg3 = BarGenerator(self.on_bar, 3, self.on_3min_bar)
self.am5 = ArrayManager(120)
self.bg5 = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.order_data = None
self.positions = CloseoutPosition(self, {"closeout_offset": 0.003})
self.std_range = IntervalGen(np.std,5)
self.std_range3 = IntervalGen(np.std,5)
self.std_range5 = IntervalGen(np.std,5)
self.pattern_record = PatternRecord()
# self.pattern_record.set_expiry([KlinePattern.CDLEVENINGSTAR], 3)
self.pattern_record.set_expiry(list(KlinePattern), 1)
self.ma_info = []
five_min_open_5 = partial(self.reverse_shape_strategy, setting={"len":20, "atr":10, "atr_valve":0.8, "mid_sign":(7,14)})
self.open_strategy = {
"1":[five_min_open_5],
}
self.offset = 40
self.ma120_track = None
self.ma120_track_list = []
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(5)
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动")
self.put_event()
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止")
self.put_event()
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg.update_tick(tick)
self.bg3.update_tick(tick)
self.bg5.update_tick(tick)
def on_3min_bar(self, bar: BarData):
self.am3.update_bar(bar)
self.std_range3.update(self.am3.range[-1])
if not self.am.inited or not self.trading:
return
pattern = self.am3.pattern([KlinePattern.CDLEVENINGSTAR, KlinePattern.CDL2CROWS])
if len(pattern) > 0:
print(pattern)
self.pattern_record.add_pattern(pattern)
# deg = calc_regress_deg(self.am3.close[-20:])
def wave(self, data, window = 0.0002):
if len(data) <= 0:
return
# r = array[::-1]
result = { "value":[], "range":[], "pos":[], "length":[]}
r = data
l = len(data) - 1
now = r[0]
# v_list.append(now)
# p_list.append(0)
pos = 1
vol = 0
u_tag = None
d_tag = None
end_tag = None
start_pos = 0
while pos < l:
if math.isnan(now):
now = r[pos]
pos += 1
continue
else:
start_pos = pos - 1
break
while pos < l:
if now < r[pos]:
u_tag = pos
if d_tag:
diff = r[start_pos] - r[d_tag]
if abs(diff / r[start_pos]) > window and d_tag - start_pos > 4:
end_tag = d_tag
elif now > r[pos]:
d_tag = pos
if u_tag:
diff = r[start_pos] - r[u_tag]
if abs(diff / r[start_pos]) > window and d_tag - start_pos > 4:
end_tag = u_tag
if end_tag is not None:
result["range"].append(r[end_tag] / r[start_pos] - 1)
result["length"].append(end_tag - start_pos)
start_pos = end_tag
result["value"].append(r[end_tag])
result["pos"].append(end_tag)
end_tag = None
vol += r[pos] - now
now = r[pos]
pos += 1
return pd.DataFrame(result)
def mode_identify(self, bar: BarData):
self.bar_identify = []
hl_scale = round(bar.high_price / bar.low_price - 1, 4)
if hl_scale > 0.001:
diff = bar.high_price - bar.low_price
diff_up = bar.low_price + diff / 2 * 1.20
diff_down = bar.low_price + diff / 2 * 0.80
close = bar.close_price
if bar.open_price < diff_up and bar.open_price > diff_down and \
bar.close_price < diff_up and bar.close_price > diff_down:
if bar.close_price > bar.open_price:
print("绿十字星",bar.datetime, bar.high_price,bar.low_price,diff,diff_up,diff_down, bar.open_price, bar.close_price)
else:
print("红十字星",bar.datetime, bar.high_price,bar.low_price,diff,diff_up,diff_down, bar.open_price, bar.close_price)
def on_5min_bar(self, bar: BarData):
self.std_range5.update(self.am5.range[-1])
self.am5.update_bar(bar)
if not self.am.inited or not self.trading:
return
# self.on_strategy(self.am5, bar, self.open_strategy["5"])
# pattern_list = [KlinePattern.CDLEVENINGSTAR, KlinePattern.CDL2CROWS, KlinePattern.CDLCONCEALBABYSWALL, KlinePattern.CDLEVENINGDOJISTAR]
# pattern = self.am5.pattern(list(KlinePattern))
# if len(pattern) > 0:
# print(list(map(lambda x: (KLINE_PATTERN_CHINESE[x[0]],x[1]), pattern)))
# self.pattern_record.add_pattern(pattern)
# deg_full = calc_regress_deg(self.am.close[-40 :], False)
# print("deg:",deg_full)
# self.pattern_record.update()
def open_v3(self, am:ArrayManager, bar:BarData):
std_val2 = np.std(np.array(self.ma_tag[-10:-1]))
mean_val2 = np.mean(np.array(self.ma_tag[-10:-1]))
mean = np.mean(np.array(self.ma_tag[-30:-10]))
if std_val2 < 0.2:
if mean_val2 > 3:
if mean_val2 >= (mean + 1):
return self.buy(bar.close_price, 1, type=OrderType.MARKET)
elif mean_val2 < 2:
if mean_val2 <= (mean - 1):
return self.short(bar.close_price, 1, type=OrderType.MARKET)
def open_v1(self, am:ArrayManager, bar:BarData):
offset = -40
offset_m = int(offset / 2)
calc_nums = np.array(self.ma_tag[-offset:-1])
mean_val = np.mean(calc_nums)
# var_val = np.var(calc_nums)
std_val = np.std(calc_nums)
if std_val < 1 and mean_val < 2 and self.ma_tag[-1] >= (mean_val + 2):
return self.buy(bar.close_price, 1, type=OrderType.MARKET)
elif std_val < 1 and mean_val > 3 and self.ma_tag[-1] <= (mean_val - 2):
return self.short(bar.close_price, 1, type=OrderType.MARKET)
def open_v2(self, am:ArrayManager, bar:BarData):
std_val2 = np.std(np.array(self.ma_tag[-10:-1]))
mean_val2 = np.mean(np.array(self.ma_tag[-10:-1]))
mean = np.mean(np.array(self.ma_tag[-30:-10]))
if std_val2 < 0.2:
if mean_val2 > 2.5:
if mean_val2 >= (mean + 1):
return self.buy(bar.close_price, 1, type=OrderType.MARKET)
elif mean_val2 < 2.5:
if mean_val2 <= (mean - 1):
return self.short(bar.close_price, 1, type=OrderType.MARKET)
def ma_trend_strategy(self, am:ArrayManager, bar:BarData, calc_data, setting={"len":40, "atr":40, "atr_valve":0.09, "mid_sign":(10,30)}):
# 60个bar后取消
if self.trend_record.std_val is not None:
if len(self.trend_record.close) >= 60:
self.trend_record.close = []
self.trend_record.std_val = None
else:
self.trend_record.close.append(bar.close_price)
# 如果有新的bar,则覆盖
ma5_std = self.ma_info[-1]["ma5"]
if ma5_std <= 0.16:
self.trend_record.close = []
self.trend_record.std_val = ma5_std
return
if self.trend_record.std_val is not None and \
ma5_std > 0.8:
y_fit = reg_util.regress_y_polynomial(self.trend_record.close, zoom=True)
deg = calc_regress_deg(y_fit[:10], False)
if deg < 0:
# if k < 20 and d < 10 and j < 10:
# if kdj[2] < 10:
if self.pos == 0:
calc_data["trade_open"] = "开空,deg={}".format(deg)
return self.short(bar.close_price, 1, type=OrderType.MARKET)
else:
# if k > 80 and d > 90 and j > 90:
# if kdj[2] > 90:
if self.pos == 0:
calc_data["trade_open"] = "开多,deg={}".format(deg)
return self.buy(bar.close_price, 1, type=OrderType.MARKET)
# v形反转捕获
def reverse_shape_strategy(self, am:ArrayManager, bar:BarData, calc_data, setting={"len":40, "atr":40, "atr_valve":0.09, "mid_sign":(10,30)}):
length = setting["len"]
offset1 = int(-length)
offset2 = int(-(length / 2))
close = am.close
deg1 = calc_regress_deg(close[offset1:offset2], False)
deg2 = calc_regress_deg(close[offset2:], False)
atr = self.am.atr(setting["atr"])
atr_valve = setting["atr_valve"]
if atr < atr_valve:
return
if deg1 > 0 and deg2 > 0 or \
deg1 < 0 and deg2 < 0:
return
if not (abs(deg1) > 0.15 and abs(deg2) > 0.1 and (abs(deg1) + abs(deg2)) > 0.3) :
return
close = am.close[-length:]
min_val = np.min(close)
max_val = np.max(close)
mid_val = max_val if deg1 > 0 else min_val
mid_pos = np.where(close == mid_val)[0][0]
if mid_pos < setting["mid_sign"][0] or mid_pos > setting["mid_sign"][1]:
return
start_val = np.min(close[:mid_pos]) if deg1 > 0 else np.max(close[:mid_pos])
start_pos = np.where(close == start_val)[0][0]
l = mid_pos - start_pos
# pos2 = np.where(close == min_val)[0][0]
kdj = am.kdj()
k = kdj["k"][-1]
d = kdj["d"][-1]
j = kdj["j"][-1]
x_fit = reg_util.regress_y_polynomial(close[:mid_pos], zoom=True)
deg1_remake = calc_regress_deg(x_fit[:abs(mid_pos)], False)
y_fit = reg_util.regress_y_polynomial(close[mid_pos:], zoom=True)
deg2_remake = calc_regress_deg(y_fit[:abs(mid_pos)], False)
# print(start_pos, mid_pos, deg1, deg2, deg1_remake, deg2_remake, l, start_val, mid_val)
cci = am.cci(20)
ma60 = am.sma(60)
if deg2 < 0:
# if k < 20 and d < 10 and j < 10:
# if kdj[2] < 10:
if cci < -100 and bar.close_price < ma60:
if self.pos == 0:
calc_data["trade_open"] = "开空,deg={},cci={}".format(deg2, cci)
return self.short(bar.close_price, 1, type=OrderType.MARKET)
elif self.pos > 0:
order_id_cover = self.sell(bar.close_price, abs(self.volumn), type=OrderType.MARKET)
order_id_buy = self.short(bar.close_price, 1, type=OrderType.MARKET)
return order_id_cover.extend(order_id_buy)
else:
# if k > 80 and d > 90 and j > 90:
# if kdj[2] > 90:
if cci > 100 and bar.close_price > ma60:
if self.pos == 0:
calc_data["trade_open"] = "开多,deg={},cci={}".format(deg2, cci)
return self.buy(bar.close_price, 1, type=OrderType.MARKET)
elif self.pos < 0:
order_id_cover = self.cover(bar.close_price, abs(self.volumn), type=OrderType.MARKET)
order_id_buy = self.buy(bar.close_price, 1, type=OrderType.MARKET)
return order_id_cover.extend(order_id_buy)
# print("找到大v形:", deg1, deg2 )
def ma120_close(self, am:ArrayManager, bar:BarData, calc_data):
if self.safe_price is None:
return
rg = (bar.close_price / self.buy_price) - 1
close_price = None
if rg > 0.01 and self.volumn > 0:
close_price = am.sma(120)
elif rg < -0.01 and self.volumn < 0:
close_price = am.sma(120)
for lvl in self.ma_lvl[-1:]:
# if len(self.order_data) < lvl:
close_price = am.sma(lvl)
break
if close_price is None:
lvl = self.ma_level[-1]
close_price = am.sma(lvl)
if self.volumn < 0:
if bar.close_price > close_price:
calc_data["trade_close"] = "平仓:到达MA均线价{}".format(close_price)
return self.strategy.cover(bar.close_price, abs(self.volumn), type=OrderType.MARKET,
extra= { "reason":"平仓:到达MA均线价{}".format(close_price)})
elif self.volumn > 0:
if bar.close_price < close_price:
calc_data["trade_close"] = "平仓:到达MA均线价{}".format(close_price)
return self.strategy.sell(bar.close_price, abs(self.volumn), type=OrderType.MARKET,
extra={"reason": "平仓:到达MA均线价{}".format(close_price)})
def add_position(self, am:ArrayManager, bar:BarData, calc_data, setting={}):
if self.safe_price is None:
return
if not (self.volumn < 0 and bar.close_price < self.safe_price or \
self.volumn > 0 and bar.close_price > self.safe_price):
return
am = self.am
rg = (bar.close_price / self.trade_price) - 1
close_price = None
if rg > 0.01 and self.volumn > 0:
close_price = am.sma(120)
if not self.add_pos:
self.add_pos = True
return self.strategy.buy(bar.close_price, 50, type=OrderType.MARKET)
elif rg < -0.01 and self.volumn < 0:
close_price = am.sma(120)
if not self.add_pos:
self.add_pos = True
return self.strategy.short(bar.close_price, 50, type=OrderType.MARKET)
def reverse2_strategy(self, am:ArrayManager, bar:BarData, calc_data, setting={"len":40, "atr":40, "atr_valve":0.09, "mid_sign":(10,30)}):
length = 30
offset1 = -30
offset2 = int(-10)
close = am.close
deg1 = calc_regress_deg(close[-30:-8], False)
deg2 = calc_regress_deg(close[-8:], False)
if deg1 > 0 and deg2 > 0 or \
deg1 < 0 and deg2 < 0:
return
if not (abs(deg1) > 0.15 and abs(deg2) > 0.15 and (abs(deg1) + abs(deg2)) > 0.35) :
return
close = am.close[-length:]
min_val = np.min(close)
max_val = np.max(close)
mid_val = max_val if deg1 > 0 else min_val
mid_pos = np.where(close == mid_val)[0][0]
if mid_pos < setting["mid_sign"][0] or mid_pos > setting["mid_sign"][1]:
return
start_val = np.min(close[:mid_pos]) if deg1 > 0 else np.max(close[:mid_pos])
start_pos = np.where(close == start_val)[0][0]
l = mid_pos - start_pos
# pos2 = np.where(close == min_val)[0][0]
kdj = am.kdj()
k = kdj["k"][-1]
d = kdj["d"][-1]
j = kdj["j"][-1]
x_fit = reg_util.regress_y_polynomial(close[:mid_pos], zoom=True)
deg1_remake = calc_regress_deg(x_fit[:abs(mid_pos)], False)
y_fit = reg_util.regress_y_polynomial(close[mid_pos:], zoom=True)
deg2_remake = calc_regress_deg(y_fit[:abs(mid_pos)], False)
# print(start_pos, mid_pos, deg1, deg2, deg1_remake, deg2_remake, l, start_val, mid_val)
cci = am.cci(20)
ma60 = am.sma(60)
if deg2 < 0:
# if k < 20 and d < 10 and j < 10:
# if kdj[2] < 10:
if cci < -100 and bar.close_price < ma60:
if self.pos == 0:
calc_data["trade_open"] = "开空,deg={},cci={}".format(deg2, cci)
return self.short(bar.close_price, 1, type=OrderType.MARKET)
elif self.pos > 0:
calc_data["trade_close"] = "平多后做空仓,deg={},cci={}".format(deg2, cci)
order_id_cover = self.sell(bar.close_price, abs(self.volumn), type=OrderType.MARKET)
order_id_buy = self.short(bar.close_price, 1, type=OrderType.MARKET)
return order_id_cover.extend(order_id_buy)
else:
# if k > 80 and d > 90 and j > 90:
# if kdj[2] > 90:
if cci > 100 and bar.close_price > ma60:
if self.pos == 0:
calc_data["trade_open"] = "开多,deg={},cci={}".format(deg2, cci)
return self.buy(bar.close_price, 1, type=OrderType.MARKET)
elif self.pos < 0:
calc_data["trade_close"] = "平空后多仓,deg={},cci={}".format(deg2, cci)
order_id_cover = self.cover(bar.close_price, abs(self.volumn), type=OrderType.MARKET)
order_id_buy = self.buy(bar.close_price, 1, type=OrderType.MARKET)
return order_id_cover.extend(order_id_buy)
def open5(self, am:ArrayManager, bar:BarData, calc_data):
ma = self.ma_tag[-1]
mean = calc_data["mean30_10"]
atr = self.am.atr(10, array=True, length=20)
tr = self.am.atr(1, array=True, length=11)
# self.ma120_track
ma120 = self.am.sma(120)
# if std_val2 < 0.2:
mean_std = calc_data["mean_std"]
if mean_std < 0.8 and tr[-1] > 0.1 and tr[-1] / tr[-10] > 3 and tr[-1] / atr[-1] >= 1.7 and tr[-10] / atr[-10] < 1:
if np.sum(self.am.range[-10:]) > 0 and self.ma120_track > 0:
return self.buy(bar.close_price, 1, type=OrderType.MARKET)
elif self.ma120_track < 0:
return self.short(bar.close_price, 1, type=OrderType.MARKET)
def open_kline1(self, am:ArrayManager, bar:BarData, calc_data):
if KlinePattern.CDLEVENINGSTAR not in self.pattern_record:
return
# if std_val2 < 0.2:
deg = calc_regress_deg(self.am.close[-5:], False)
print("kline_strategy",deg)
if deg < -0.1:
return self.short(bar.close_price, 1, type=OrderType.MARKET)
def generate_data(self, am:ArrayManager, bar:BarData):
offset = -self.offset
offset_m = int(offset / 2)
calc_nums = np.array(self.ma_tag[-offset:-1])
# var_val = np.var(calc_nums)
std_val = np.std(calc_nums)
std_val2 = np.std(np.array(self.ma_tag[-10:-1]))
std_val3 = np.std(np.array(am.range[-30:-10]))
ma = self.ma_tag[-1]
mean_val = np.mean(calc_nums)
mean_val2 = np.mean(np.array(self.ma_tag[-5:-1]))
mean_val3 = np.mean(np.array(self.ma_tag[-20:-1]))
mean_val4 = np.mean(np.array(self.ma_tag[-30:-5]))
kdj_val = am.kdj()
has_kdj_recore = False
k = kdj_val["k"]
d = kdj_val["d"]
j = kdj_val["j"]
if (k[-1] > 75 and d[-1] > 75 and j[-1] > 75) or \
(k[-1] < 25 and d[-1] < 25 and j[-1] < 75):
if (j[-2] < k[-2] or j[-2] < d[-2]) and (j[-1] > k[-1] and j[-1] > d[-1]) \
or \
(j[-2] > k[-2] or j[-2] > d[-2]) and (j[-1] < k[-1] and j[-1] < d[-1]):
has_kdj_recore = True
t = local_to_eastern(bar.datetime.timestamp())
self.kdj_record.append((t.strftime("%H:%M:%S"), round(k[-1], 3), round(d[-1], 3), round(j[-1], 3)))
deg1 = calc_regress_deg(am.close[offset : offset_m], False)
deg2 = calc_regress_deg(am.close[offset_m :], False)
deg3 = calc_regress_deg(am.close[-10 :], False)
deg_full = calc_regress_deg(am.close[offset :], False)
wave = self.wave(am.close[-30:])
wave_r_sum = np.sum(wave["range"])
macd=am.macd(20,40, 16)
calc_data = (dict(
ma_info=self.ma_info[-1:],
kdj=[round(kdj_val["k"][-1],2),round(kdj_val["d"][-1],2),round(kdj_val["j"][-1],2)],
cci_20=am.cci(20),rsi=am.rsi(20),adx=am.adx(20),boll=am.boll(20, 3.4),
macd=[round(macd[0],2),round(macd[1],2),round(macd[2],2)],
deg40_20=round(deg1,2), deg20_0=round(deg2,2), deg20_10=round(calc_regress_deg(am.close[-20:-10], False),2),
deg30_10=round(calc_regress_deg(am.close[-30:-10], False),2),deg10_0=round(deg3,2),
deg30_15=round(calc_regress_deg(am.close[-30:-15], False),2), deg15_0=round(calc_regress_deg(am.close[-15:], False),2),deg_f=round(deg_full,2),
atr=round(am.atr(10, length=15), 3), tr=round(am.atr(1, length=2), 3),atr_40=round(am.atr(40, length=42), 3),
time=bar.datetime, price=bar.close_price, ma=round(ma, 2),
std_40=round(std_val, 2),mean40=round(mean_val,2), mean_std=np.mean(self.std_range.data[-5:]),
std_10=round(std_val2,2), mean30_10=round(mean_val4,2), mean10=round(mean_val2,2),
vol=am.volume[-1], std_range=self.std_range.data[-1:-5:-1], range=am.range[-1:-5:-1].tolist(),
range_sum=np.sum(am.range[-5:]),
pattern=list(map(lambda x: KLINE_PATTERN_CHINESE[x], self.pattern_record.keys())),
ma120t=self.ma120_track,
ma120t_list=self.ma120_track_list[-1:-10:-1],
ma120t_sort=sorted(self.ma120_track_list[-20:-1], key=abs),
ma120t_sum=np.sum(self.ma120_track_list[-20:-1] + [self.ma120_track]),
ma120t_mean=np.mean(self.ma120_track_list[-20:-1] + [self.ma120_track]),
ma120t_std=np.std(self.ma120_track_list[-20:-1] + [self.ma120_track]),
wave_cnt=len(wave), wave_r_sum=wave_r_sum, atr_mean=np.mean(am.atr(20, array=True,length=240)[-200:]),
kdj_record=self.kdj_record[-10:],
))
if self.ma_info[-1]["ma5"] <= 0.16:
calc_data["kdj_key"] = True
return calc_data
def generate_3mindata(self, am:ArrayManager, bar:BarData):
offset = -self.offset
offset_m = int(offset / 2)
calc_nums = np.array(self.ma_tag[-offset:-1])
# var_val = np.var(calc_nums)
std_val = np.std(calc_nums)
std_val2 = np.std(np.array(self.ma_tag[-10:-1]))
std_val3 = np.std(np.array(am.range[-30:-10]))
ma = self.ma_tag[-1]
mean_val = np.mean(calc_nums)
mean_val2 = np.mean(np.array(self.ma_tag[-5:-1]))
mean_val3 = np.mean(np.array(self.ma_tag[-20:-1]))
mean_val4 = np.mean(np.array(self.ma_tag[-30:-5]))
kdj_val = am.kdj()
deg1 = calc_regress_deg(am.close[offset : offset_m], False)
deg2 = calc_regress_deg(am.close[offset_m :], False)
deg3 = calc_regress_deg(am.close[-10 :], False)
deg_full = calc_regress_deg(am.close[offset :], False)
wave = self.wave(am.close[-30:])
wave_r_sum = np.sum(wave["range"])
macd=am.macd(20,40, 16)
calc_data = (dict(
kdj=[round(kdj_val["k"][-1],2),round(kdj_val["d"][-1],2),round(kdj_val["j"][-1],2)],
cci_20=am.cci(20),rsi=am.rsi(20),adx=am.adx(20),boll=am.boll(20, 3.4),
macd=[round(macd[0],2),round(macd[1],2),round(macd[2],2)],
deg40_20=round(deg1,2), deg20_0=round(deg2,2), deg20_10=round(calc_regress_deg(am.close[-20:-10], False),2), deg10_0=round(deg3,2),
deg30_15=round(calc_regress_deg(am.close[-30:-15], False),2), deg15_0=round(calc_regress_deg(am.close[-15:], False),2),deg_f=round(deg_full,2),
atr=round(am.atr(10, length=15), 3), tr=round(am.atr(1, length=2), 3),atr_40=round(am.atr(40, length=42), 3),
time=bar.datetime, price=bar.close_price, ma=round(ma, 2),
std_40=round(std_val, 2),mean40=round(mean_val,2), mean_std=np.mean(self.std_range.data[-5:]),
std_10=round(std_val2,2), mean30_10=round(mean_val4,2), mean10=round(mean_val2,2),
vol=am.volume[-1], std_range=self.std_range.data[-1:-5:-1], range=am.range[-1:-5:-1].tolist(),
range_sum=np.sum(am.range[-5:]),
pattern=list(map(lambda x: KLINE_PATTERN_CHINESE[x], self.pattern_record.keys())),
ma120t=self.ma120_track,
ma120t_list=self.ma120_track_list[-1:-10:-1],
ma120t_sort=sorted(self.ma120_track_list[-20:-1], key=abs),
ma120t_sum=np.sum(self.ma120_track_list[-20:-1] + [self.ma120_track]),
ma120t_mean=np.mean(self.ma120_track_list[-20:-1] + [self.ma120_track]),
ma120t_std=np.std(self.ma120_track_list[-20:-1] + [self.ma120_track]),
ma_info=list(map(lambda x:x["std"], self.ma_info[-1:])),
wave_cnt=len(wave), wave_r_sum=wave_r_sum, atr_mean=np.mean(am.atr(20, array=True,length=240)[-200:])
))
return calc_data
def on_strategy(self, am:ArrayManager, bar: BarData, strategy_list, close_strategy_list, calc_data=None):
order_id = None
for open_strategy in strategy_list:
if order_id is not None:
break
order_id = open_strategy(am, bar, calc_data)
if order_id is None and self.pos != 0:
for strategy in close_strategy_list:
if order_id is not None:
break
order_id = strategy(am, bar, calc_data)
if order_id is not None:
offset = -self.offset
offset_m = int(offset / 2)
self.tracker["trade_info"].append((
self.am.time_array[offset], self.am.time_array[offset_m], bar.datetime, calc_data["deg40_20"], calc_data["deg20_0"]))
self.request_order.extend(order_id)
if self.tracker is not None:
self.tracker["ma_tag_ls"].append(calc_data)
def ma_info_update(self, am:ArrayManager):
ma_info = {}
ma_data = []
for i in self.ma_level:
ma = am.sma(i)
ma_info[i] = round(ma,2)
ma_data.append(ma)
data = []
diff = ma_data[-1]
for v in ma_data:
data.append(round(v / diff, 6))
ma_info["ma5"] = round(np.var(data)*1000000, 8)
data = []
diff = ma_data[-3]
for v in ma_data[:-2]:
data.append(round(v / diff, 6))
ma_info["ma3"] = round(np.var(data)*1000000, 8)
if len(self.ma_info) < 500:
self.ma_info.append(ma_info)
else:
self.ma_info[:-1] = self.ma_info[1:]
self.ma_info[-1] = ma_info
def on_1min_bar(self, bar: BarData):
self.am.update_bar(bar)
am = self.am
max_len = self.ma_level[-1] + 20
data = self.am.close[-max_len:-1]
ma_lvl = []
for i in self.ma_level:
ma = self.am.sma(i, True)[-1]
ma_lvl.append(ma)
l = len(ma_lvl)
ma_lvl_tag = []
now = bar.close_price
direction = 1 if now > ma_lvl[0] else 0
ma_lvl_tag.append(direction)
for i in range(l-1):
val = 1 if ma_lvl[i] > ma_lvl[i+1] else 0
ma_lvl_tag.append(val)
bincount_val = np.bincount(np.array(ma_lvl_tag))
tag_val = 0
if len(bincount_val) == 2:
tag_val = bincount_val[1]
if len(self.ma_tag) < 200:
self.ma_tag.append(tag_val)
else:
self.ma_tag[:-1] = self.ma_tag[1:]
self.ma_tag[-1] = tag_val
if self.tracker is not None:
self.tracker["bar_data"].append(bar)
self.std_range.update(self.am.range[-1])
ma120 = self.am.sma(120)
if bar.close_price >= ma120:
if self.ma120_track is None:
self.ma120_track = 1
elif self.ma120_track > 0:
self.ma120_track += 1
else:
self.ma120_track_list.append(self.ma120_track)
self.ma120_track = 1
elif bar.close_price < ma120:
if self.ma120_track is None:
self.ma120_track = -1
elif self.ma120_track < 0:
self.ma120_track -= 1
else:
self.ma120_track_list.append(self.ma120_track)
self.ma120_track = -1
if not am.inited or not self.trading:
return
self.ma_info_update(am)
calc_data = self.generate_data(am, bar)
five_min_open_5 = partial(self.reverse_shape_strategy, setting={"len":20, "atr":10, "atr_valve":0.8, "mid_sign":(7,14)})
open_strategy = [self.reverse_shape_strategy, self.add_position]
close_strategy = [self.positions.on_bar, self.ma120_close]
self.on_strategy(am, bar, open_strategy, close_strategy, calc_data)
# median_val = np.median(calc_nums)
self.put_event()
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg3.update_bar(bar)
self.bg5.update_bar(bar)
self.bg.update_bar(bar)
# def init_order_data(self):
# self.order_data = np.array([])
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
print("{}产生了{},价格为{},笔数为{},交易{},pos={}".format(order.datetime.strftime("%m/%d %H:%M:%S"), order.offset.value + order.direction.value,order.price, order.volume, order.status.value, self.pos))
if order.vt_orderid in self.request_order:
if order.status == Status.ALLTRADED or order.status == Status.CANCELLED or order.status == Status.REJECTED:
self.request_order.remove(order.vt_orderid)
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
if trade.vt_orderid in self.request_order:
self.positions.on_trade(trade)
if self.volumn == 0:
self.add_pos = False
if trade.direction == Direction.LONG:
self.safe_price = trade.price * 1.003
self.volumn += trade.volume
elif trade.direction == Direction.SHORT:
self.safe_price = trade.price * 0.997
self.volumn -= trade.volume
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
class DudlThrustEmaPositionStrategy(CtaTemplate):
""""""
author = "yunyu"
open_window = 5
xminute_window = 30
rolling_period = 70
upper_open = 0.45
lower_open = 0.45
cci_length = 5
ema_length = 60
position_atr_length = 6
risk_level = 1000
# fixed_size = 1
trading_size = 0
atr_value = 0
up = 0
down = 0
current_ema = 0
last_ema = 0
ema_mid = 0
ema_new_value = 0
ema_length_new = 0
cci_value = 0
exit_long_nex = 0
exit_long_last = 0
exit_short_nex = 0
exit_short_last = 0
current_close = 0
last_close = 0
front_close = 0
exit_long = 0
exit_short = 0
ask = 0
bid = 0
parameters = [
"open_window", "xminute_window", "rolling_period", "upper_open",
"lower_open", "cci_length", "ema_length", "position_atr_length",
"risk_level"
]
variables = [
"trading_size",
"up",
"down",
"current_ema",
"last_ema",
"ema_mid",
"ema_new_value",
"ema_length_new",
"cci_value",
"exit_long_nex",
"exit_long_last",
"exit_short_nex",
"exit_short_last",
"current_close",
"last_close",
"front_close",
"exit_long",
"exit_short",
]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg_open = BarGenerator(on_bar=self.on_bar,
window=self.open_window,
on_window_bar=self.on_open_bar)
self.am_open = ArrayManager()
self.bg = NewBarGenerator(on_bar=self.on_bar,
window=self.xminute_window,
on_window_bar=self.on_xmin_bar)
self.am = ArrayManager(self.rolling_period + 50)
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)
self.ask = tick.ask_price_1 # 卖一价
self.bid = tick.bid_price_1 # 买一价
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg.update_bar(bar)
self.bg_open.update_bar(bar)
def on_open_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.cancel_all()
self.am_open.update_bar(bar)
if not self.am.inited or not self.am_open.inited:
return
if self.pos == 0:
self.cci_value = self.am.cci(self.cci_length)
# 判断数据是否正常，如果atr 计算结果正常，才计算仓位，避免下单时下出不正常的数量
self.atr_value = self.am.atr(self.position_atr_length)
if self.atr_value == 0:
return
self.trading_size = max(int(self.risk_level / self.atr_value), 1)
if self.cci_value > 0:
self.buy(self.up, self.trading_size, True)
elif self.cci_value < 0:
self.short(self.down, self.trading_size, True)
elif self.pos > 0:
con1 = bar.close_price < self.current_ema
con2 = bar.close_price >= self.last_ema
if con1 and con2:
self.exit_long_nex = bar.close_price # 保存当前收盘价
if self.exit_long_last == 0 or self.exit_long_nex > self.exit_long_last:
self.exit_long_last = self.exit_long_nex
self.ema_length_new = self.ema_length
self.exit_long = self.ema_mid
else:
if bar.close_price > (
(self.ema_mid + self.current_ema) / 2):
self.exit_long = bar.close_price
elif bar.close_price < self.ema_mid:
self.exit_long = bar.close_price
else:
self.exit_long = self.ema_mid
else:
self.exit_long = self.ema_mid
self.sell(self.exit_long, abs(self.pos), True)
elif self.pos < 0:
con1 = bar.close_price > self.current_ema
con2 = bar.close_price <= self.last_ema
if con1 and con2:
self.exit_short_nex = bar.close_price
if self.exit_short_last == 0 or self.exit_short_nex < self.exit_short_last:
self.exit_short_last = self.exit_short_nex
self.ema_length_new = self.ema_length
self.exit_short = self.ema_mid
else:
if bar.close_price < (self.ema_mid + self.current_ema / 2):
self.exit_short = bar.close_price
elif bar.close_price < self.ema_mid:
self.exit_short = bar.close_price
else:
self.exit_short = self.ema_mid
else:
self.exit_short = self.ema_mid
self.cover(self.exit_short, abs(self.pos), True)
self.put_event()
self.sync_data()
def on_xmin_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.am.update_bar(bar)
if not self.am.inited:
return
# 计算海龟 上轨，下轨
high_max = self.am.high[-self.rolling_period:].max()
close_min = self.am.close[-self.rolling_period:].min()
close_max = self.am.close[-self.rolling_period:].max()
low_min = self.am.low[-self.rolling_period:].min()
hc = high_max - close_min
cl = close_max - low_min
dual = max(hc, cl)
self.up = self.am.open[-2] + dual * self.upper_open
self.down = self.am.open[-2] - dual * self.upper_open
# print(f"up:{self.up},{self.down}")
self.current_close = self.am.close[-1]
self.last_close = self.am.close[-2]
self.front_close = self.am.close[-3]
if self.pos == 0:
self.exit_long_nex = 0
self.exit_long_last = 0
self.exit_short_nex = 0
self.exit_short_last = 0
self.ema_length_new = self.ema_length
elif self.pos > 0:
close_long = self.current_close > self.last_close > self.front_close
if close_long:
self.ema_length_new -= 1
self.ema_length_new = max(self.ema_length_new, 5)
elif self.pos < 0:
close_short = self.current_close < self.last_close < self.front_close
if close_short:
self.ema_length_new -= 1
self.ema_length_new = max(self.ema_length_new, 5)
self.ema_mid = self.am.ema(self.ema_length)
ema_mid_new = self.am.ema(self.ema_length_new, True)
self.current_ema = ema_mid_new[-1]
self.last_ema = ema_mid_new[-2]
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.
"""
pass
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
# self.put_event()
def market_order(self):
""""""
pass
# self.buy(self.last_tick.limit_up, 1)
# self.write_log("执行市价单测试")
def limit_order(self):
""""""
pass
# self.buy(self.last_tick.limit_down, 1)
# self.write_log("执行限价单测试")
def stop_order(self):
""""""
pass
def generate_data(self, am:ArrayManager, bar:BarData):
offset = -self.offset
offset_m = int(offset / 2)
calc_nums = np.array(self.ma_tag[-offset:-1])
# var_val = np.var(calc_nums)
std_val = np.std(calc_nums)
std_val2 = np.std(np.array(self.ma_tag[-10:-1]))
std_val3 = np.std(np.array(am.range[-30:-10]))
ma = self.ma_tag[-1]
mean_val = np.mean(calc_nums)
mean_val2 = np.mean(np.array(self.ma_tag[-5:-1]))
mean_val3 = np.mean(np.array(self.ma_tag[-20:-1]))
mean_val4 = np.mean(np.array(self.ma_tag[-30:-5]))
kdj_val = am.kdj()
has_kdj_recore = False
k = kdj_val["k"]
d = kdj_val["d"]
j = kdj_val["j"]
if (k[-1] > 75 and d[-1] > 75 and j[-1] > 75) or \
(k[-1] < 25 and d[-1] < 25 and j[-1] < 75):
if (j[-2] < k[-2] or j[-2] < d[-2]) and (j[-1] > k[-1] and j[-1] > d[-1]) \
or \
(j[-2] > k[-2] or j[-2] > d[-2]) and (j[-1] < k[-1] and j[-1] < d[-1]):
has_kdj_recore = True
t = local_to_eastern(bar.datetime.timestamp())
self.kdj_record.append((t.strftime("%H:%M:%S"), round(k[-1], 3), round(d[-1], 3), round(j[-1], 3)))
deg1 = calc_regress_deg(am.close[offset : offset_m], False)
deg2 = calc_regress_deg(am.close[offset_m :], False)
deg3 = calc_regress_deg(am.close[-10 :], False)
deg_full = calc_regress_deg(am.close[offset :], False)
wave = self.wave(am.close[-30:])
wave_r_sum = np.sum(wave["range"])
macd=am.macd(20,40, 16)
calc_data = (dict(
ma_info=self.ma_info[-1:],
kdj=[round(kdj_val["k"][-1],2),round(kdj_val["d"][-1],2),round(kdj_val["j"][-1],2)],
cci_20=am.cci(20),rsi=am.rsi(20),adx=am.adx(20),boll=am.boll(20, 3.4),
macd=[round(macd[0],2),round(macd[1],2),round(macd[2],2)],
deg40_20=round(deg1,2), deg20_0=round(deg2,2), deg20_10=round(calc_regress_deg(am.close[-20:-10], False),2),
deg30_10=round(calc_regress_deg(am.close[-30:-10], False),2),deg10_0=round(deg3,2),
deg30_15=round(calc_regress_deg(am.close[-30:-15], False),2), deg15_0=round(calc_regress_deg(am.close[-15:], False),2),deg_f=round(deg_full,2),
atr=round(am.atr(10, length=15), 3), tr=round(am.atr(1, length=2), 3),atr_40=round(am.atr(40, length=42), 3),
time=bar.datetime, price=bar.close_price, ma=round(ma, 2),
std_40=round(std_val, 2),mean40=round(mean_val,2), mean_std=np.mean(self.std_range.data[-5:]),
std_10=round(std_val2,2), mean30_10=round(mean_val4,2), mean10=round(mean_val2,2),
vol=am.volume[-1], std_range=self.std_range.data[-1:-5:-1], range=am.range[-1:-5:-1].tolist(),
range_sum=np.sum(am.range[-5:]),
pattern=list(map(lambda x: KLINE_PATTERN_CHINESE[x], self.pattern_record.keys())),
ma120t=self.ma120_track,
ma120t_list=self.ma120_track_list[-1:-10:-1],
ma120t_sort=sorted(self.ma120_track_list[-20:-1], key=abs),
ma120t_sum=np.sum(self.ma120_track_list[-20:-1] + [self.ma120_track]),
ma120t_mean=np.mean(self.ma120_track_list[-20:-1] + [self.ma120_track]),
ma120t_std=np.std(self.ma120_track_list[-20:-1] + [self.ma120_track]),
wave_cnt=len(wave), wave_r_sum=wave_r_sum, atr_mean=np.mean(am.atr(20, array=True,length=240)[-200:]),
kdj_record=self.kdj_record[-10:],
))
if self.ma_info[-1]["ma5"] <= 0.16:
calc_data["kdj_key"] = True
return calc_data
class SuperTurtleStrategyHNTest(CtaTemplate):
""""""
author = "Huang Ning"
entry_window = 28
exit_window = 7
atr_window = 4
risk_level = 0.2
trading_size = 0
entry_up = 0
entry_down = 0
exit_up = 0
exit_down = 0
atr_value = 0
long_entry = 0
short_entry = 0
long_stop = 0
short_stop = 0
parameters = ["entry_window", "exit_window", "atr_window", "risk_level"]
variables = [
"entry_up", "entry_down", "exit_up", "exit_down", "trading_size",
"atr_value"
]
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,
1,
self.on_hour_bar,
interval=Interval.HOUR)
self.am = ArrayManager()
def on_init(self):
""""""
self.write_log("策略初始化")
self.load_bar(20)
def on_start(self):
""""""
self.write_log("策略启动")
def on_stop(self):
""""""
self.write_log("策略停止")
def on_tick(self, tick: TickData):
""""""
self.bg.update_tick(tick)
def on_bar(self, bar: BarData):
""""""
self.bg.update_bar(bar)
def on_hour_bar(self, bar: BarData):
""""""
self.am.update_bar(bar)
if not self.am.inited:
return
self.entry_up, self.entry_down = self.am.donchian(self.entry_window)
self.exit_up, self.exit_down = self.am.donchian(self.exit_window)
if not self.pos:
self.atr_value = self.am.atr(self.atr_window)
if self.atr_value == 0:
return
atr_risk = talib.ATR(1 / self.am.high, 1 / self.am.low,
1 / self.am.close, self.atr_window)[-1]
self.trading_size = max(int(self.risk_level / atr_risk), 1)
self.long_entry = 0
self.short_entry = 0
self.long_stop = 0
self.short_stop = 0
self.buy(self.entry_up, self.trading_size, True)
self.short(self.entry_down, self.trading_size, True)
elif self.pos > 0:
sell_price = max(self.long_stop, self.exit_down)
self.sell(sell_price, abs(self.pos), True)
elif self.pos < 0:
cover_price = min(self.short_stop, self.exit_up)
self.cover(cover_price, abs(self.pos), True)
self.put_event()
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
if trade.direction == Direction.LONG:
self.long_entry = trade.price
self.long_stop = self.long_entry - 2 * self.atr_value
else:
self.short_entry = trade.price
self.short_stop = self.short_entry + 2 * self.atr_value
self.sync_data()
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 TurtleFluidSizeStrategy(CtaTemplate):
""""""
# 改版海龟信号-ma出场-rsi过滤-atr浮动手数
author = "turtle_fluid_size"
entry_window = 50
exit_window = 20
atr_window = 20
stop_multiple = 10
long_rsi = 50
short_rsi = 50
fixed_size = 1
entry_up = 0
entry_down = 0
exit_up = 0
exit_down = 0
atr_value = 0
long_entry = 0
short_entry = 0
long_stop = 0
short_stop = 0
fluid_size = 1
symbol_size = 1
risk_percent = 0.002
risk_capital = 1000000
parameters = [
"entry_window", "exit_window", "atr_window", "fixed_size",
"stop_multiple", "long_rsi", "short_rsi", "symbol_size",
"risk_percent", "risk_capital"
]
variables = [
"entry_up", "entry_down", "exit_up", "exit_down", "atr_value",
"fluid_size"
]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
print(self.symbol_size, self.risk_percent, self.risk_capital)
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(20)
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.cancel_all()
self.am.update_bar(bar)
if not self.am.inited:
return
# Only calculates new entry channel when no position holding
if not self.pos:
self.entry_up, self.entry_down = self.am.donchian(
self.entry_window)
self.exit_up = self.exit_down = self.am.sma(self.exit_window)
self.rsi_value = self.am.rsi(self.entry_window)
if not self.pos:
self.atr_value = self.am.atr(self.atr_window)
risk_amount = self.risk_capital * self.risk_percent
atr_amount = self.atr_value * self.symbol_size
self.fluid_size = round(risk_amount / atr_amount) * self.fixed_size
self.long_entry = 0
self.short_entry = 0
self.long_stop = 0
self.short_stop = 0
if self.fluid_size and self.rsi_value > self.long_rsi:
self.send_buy_orders(self.entry_up)
if self.fluid_size and self.rsi_value <= self.short_rsi:
self.send_short_orders(self.entry_down)
elif self.pos > 0:
sell_price = max(self.long_stop, self.exit_down)
self.sell(sell_price, abs(self.pos), True)
elif self.pos < 0:
cover_price = min(self.short_stop, self.exit_up)
self.cover(cover_price, abs(self.pos), True)
self.put_event()
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
if trade.direction == Direction.LONG:
self.long_entry = trade.price
self.long_stop = self.long_entry - self.stop_multiple * self.atr_value
else:
self.short_entry = trade.price
self.short_stop = self.short_entry + self.stop_multiple * self.atr_value
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
def send_buy_orders(self, price):
""""""
self.buy(price, self.fluid_size, True)
def send_short_orders(self, price):
""""""
self.short(price, self.fluid_size, True)
class Boll_Kc_Dc_Reverse_Strategy(CtaTemplate):
"""
本策略为反向策略，币本位 Reverse 反向
"""
author = "yunya"
open_window = 2
xsmall_window = 15
com_length = 250
boll_kk_dev = 2.0
kk_atr_length = 30
sl_multiplier = 0.5
risk_level = 10000
trading_size = 0
xsmall_up_min = 0
xsmall_down_min = 0
xsmall_up_max = 0
xsmall_down_max = 0
xsmall_ema_mid = 0
xsmall_com_width = 0
long_entry = 0
short_entry = 0
long_stop = 0
short_stop = 0
exit_up = 0
exit_down = 0
atr_value = 0
intra_trade_high = 0
intra_trade_low = 0
parameters = [
"open_window",
"xsmall_window",
"com_length",
"boll_kk_dev",
"kk_atr_length",
"sl_multiplier",
"risk_level",
]
variables = [
"trading_size",
"xsmall_up_min",
"xsmall_down_min",
"xsmall_up_max",
"xsmall_down_max",
"xsmall_ema_mid",
"xsmall_com_width",
"long_entry",
"short_entry",
"long_stop",
"short_stop",
"exit_up",
"exit_down",
"atr_value",
]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg_xsmall = BarGenerator(
on_bar=self.on_bar,
window=self.xsmall_window,
on_window_bar=self.on_xsmall_bar,
interval=Interval.MINUTE
)
self.am_xsmall = ArrayManager(self.com_length + 10)
self.bg = BarGenerator(self.on_bar, self.open_window, self.on_open_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_xsmall.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg.update_bar(bar)
self.bg_xsmall.update_bar(bar)
def on_open_bar(self,bar:BarData):
"""
:param bar:
:return:
"""
# 先使用挂单全撤的粗化订单管理
self.cancel_all()
self.am.update_bar(bar)
if not self.am_xsmall.inited or not self.am.inited:
return
if self.pos == 0:
# 根据布林带宽度动态调整仓位大小
self.trading_size = max(int(self.risk_level / self.xsmall_com_width), 1)
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
# 如果价格突破 xsmall_up_min 线时，在xsmall_up_max 价格挂停止单
if self.am_xsmall.close[-1] >= self.xsmall_up_min and self.am.close[-1] >=self.xsmall_up_min:
self.buy(self.xsmall_up_max,self.trading_size,True)
# 如果价格突破 xsmall_down_min 线时，在xsmall_down_max 价格挂停止单
elif self.am_xsmall.close[-1] <= self.xsmall_down_min and self.am.close[-1] <= self.xsmall_down_min:
self.short(self.xsmall_down_max,self.trading_size,True)
elif self.pos > 0:
# 成交价固定止损位与中轨中最大值为当前止损位
# self.exit_up = max(self.xsmall_ema_mid,self.long_stop)
# 成交价回定止损 与最高价回撤一定比例通道宽度值
self.intra_trade_high = max(self.intra_trade_high,bar.high_price)
self.intra_trade_low = bar.low_price
exit_long_stop = self.intra_trade_high - self.xsmall_com_width * self.sl_multiplier
self.exit_up = max(exit_long_stop,self.long_stop)
self.sell(self.exit_up,abs(self.pos),True)
elif self.pos < 0:
# 成交价固定止损位与中轨中最小值为当前止损位
# self.exit_down = min(self.xsmall_ema_mid,self.short_stop)
# 成交价回定止损 与最高价回撤一定比例通道宽度值
self.intra_trade_high = bar.high_price
self.intra_trade_low = min(self.intra_trade_low,bar.low_price)
exit_short_stop = self.intra_trade_low - self.xsmall_com_width * self.sl_multiplier
self.exit_down = min(exit_short_stop,self.short_stop)
self.cover(self.exit_down,abs(self.pos),True)
self.sync_data()
self.put_event()
def on_xsmall_bar(self, bar: BarData):
"""
:param bar:
:return:
"""
# x分钟 多策略合合成的通道线
self.am_xsmall.update_bar(bar)
if not self.am_xsmall.inited :
return
self.xsmall_ema_mid,self.xsmall_com_width,self.xsmall_up_min, self.xsmall_down_min,\
self.xsmall_up_max, self.xsmall_down_max = self.boll_kc_dc_combination(
high=self.am_xsmall.high[:-1],
low=self.am_xsmall.low[:-1],
close=self.am_xsmall.close[:-1],
boll_kk_dev=self.boll_kk_dev,
kk_atr_length=self.kk_atr_length,
com_length=self.com_length
)
# print(f"xsmall: mid:{self.xsmall_ema_mid},width:{self.xsmall_com_width},upmin:{self.xsmall_up_min},\
# downmin:{self.xsmall_down_min},upmax:{self.xsmall_up_max},downmax:{self.xsmall_down_max}" + "\n")
self.atr_value = self.am_xsmall.atr(self.kk_atr_length)
self.sync_data()
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.
"""
if trade.direction == Direction.LONG:
self.long_entry = trade.price # 成交最高价
self.long_stop = self.long_entry - 2 * self.atr_value
else:
self.short_entry = trade.price
self.short_stop = self.short_entry + 2 * self.atr_value
self.sync_data()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
def boll_kc_dc_combination(self, high, close, low, boll_kk_dev,kk_atr_length,com_length):
# 计算组合均线
ema_com = talib.EMA(close, com_length)
# 计算布林带
boll_std = talib.STDDEV(close, com_length)
boll_up = ema_com + boll_kk_dev * boll_std
boll_down = ema_com - boll_kk_dev * boll_std
# 计算肯特通道
kc_atr = talib.ATR(high, low, close, kk_atr_length)
kc_up = ema_com + kc_atr * boll_kk_dev
kc_dowm = ema_com - kc_atr * boll_kk_dev
# 计算唐安奇通道
dc_up = talib.MAX(high, com_length)
dc_down = talib.MIN(low, com_length)
# 计算轨道 因kc通道是直接，最小值大概率是直接，所以去除
pass_up_min = min(dc_up[-1], boll_up[-1])
pass_down_min = max(dc_down[-1], boll_down[-1])
pass_up_max = max(kc_up[-1], dc_up[-1], boll_up[-1])
pass_down_max = min(kc_dowm[-1], dc_down[-1], boll_down[-1])
ema_mid = ema_com[-1]
com_width = abs(pass_up_max - pass_down_max)
return ema_mid, com_width, pass_up_min, pass_down_min, pass_up_max, pass_down_max
class AtrStop_Ut(CtaTemplate):
""""""
author = "yunya"
atrstop_window = 46
open_window = 5
nloss_singnal = 2.7
trailing_tax = 2.0
risk_level = 5000
exit_dc_length = 50
atr_length = 30
atrstop_entry = 0
current_atr_stop = 0.0
last_atr_stop = 0.0
intra_trade_high = 0
intra_trade_low = 0
nloss_array = 0.0
long_stop = 0
short_stop = 0
trading_size = 0
exit_down = 0
exit_up = 0
ask = 0
bid = 0
atr_value = 0
count = 0
parameters = [
"atrstop_window", "open_window", "nloss_singnal", "trailing_tax",
"risk_level", "exit_dc_length", "atr_length"
]
variables = [
"atrstop_entry",
"current_atr_stop",
"last_atr_stop",
"intra_trade_high",
"intra_trade_low",
"long_stop",
"short_stop",
"exit_down",
"exit_up",
"trading_size",
]
def __init__(
self,
cta_engine: Any,
strategy_name: str,
vt_symbol: str,
setting: dict,
):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.atr_stop_array = np.zeros(10)
self.bg_xmin = NewBarGenerator(self.on_bar,
window=self.atrstop_window,
on_window_bar=self.on_xmin_bar,
interval=Interval.MINUTE)
self.am_xmin = ArrayManager()
self.bg_5min = BarGenerator(self.on_bar,
window=self.open_window,
on_window_bar=self.on_5min_bar)
self.am_5min = ArrayManager(self.exit_dc_length *
int(self.atr_length / self.open_window) +
10)
self.inited_atr_stop = False
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化。。")
self.load_bar(10)
# self.put_event()
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动。。")
self.put_event()
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止。。")
self.put_event()
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg_5min.update_tick(tick)
self.ask = tick.ask_price_1 # 卖一价
self.bid = tick.bid_price_1 # 买一价
self.put_event()
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg_xmin.update_bar(bar)
self.bg_5min.update_bar(bar)
def on_5min_bar(self, bar: BarData):
self.cancel_all()
self.am_5min.update_bar(bar)
if not self.am_5min.inited or not self.am_xmin.inited:
return
if self.atr_stop_array[-3] == 0:
return
self.exit_up, self.exit_down = self.am_5min.donchian(
self.exit_dc_length * int(self.atr_length / self.open_window))
# print(f"dc上轨：{self.exit_up},下轨：{self.exit_down}")
if not self.pos:
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
if self.atrstop_entry > 0:
self.buy(self.current_atr_stop, self.trading_size, True)
elif self.atrstop_entry < 0:
self.short(self.current_atr_stop, self.trading_size, True)
elif self.pos > 0:
self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
long_high = self.intra_trade_high * \
(1 - self.trailing_tax / 100)
self.long_stop = max(self.exit_down, long_high)
self.sell(self.long_stop, abs(self.pos), True)
else:
self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
short_low = self.intra_trade_low * \
(1 + self.trailing_tax / 100)
self.short_stop = min(self.exit_up, short_low)
self.cover(self.short_stop, abs(self.pos), True)
self.put_event()
def on_xmin_bar(self, bar: BarData):
""""""
am_xmin = self.am_xmin
am_xmin.update_bar(bar)
self.atr_stop_array[:-1] = self.atr_stop_array[1:]
if not am_xmin.inited:
return
# 计算轨道线 nloss
self.nloss_array = am_xmin.atr(30, array=True) * self.nloss_singnal
# 计算轨道线
self.atr_stop_array = self.atrstop(am_xmin.close, self.atr_stop_array,
self.nloss_array)
# 初始化 atr_stop_array 保证前三个有值
if self.count < 4:
self.count += 1
return
self.current_atr_stop = self.atr_stop_array[-1]
self.last_atr_stop = self.atr_stop_array[-2]
current_bar = self.am_xmin.close[-1]
if self.current_atr_stop > self.last_atr_stop and current_bar > self.current_atr_stop:
self.atrstop_entry = 1
elif self.current_atr_stop < self.last_atr_stop and current_bar < self.current_atr_stop:
self.atrstop_entry = -1
else:
self.atrstop_entry = 0
if self.pos == 0:
self.atr_value = self.am_xmin.atr(self.atr_length)
self.trading_size = max(int(self.risk_level / self.atr_value), 1)
self.sync_data()
self.put_event()
def on_trade(self, trade: TradeData):
"""
有成交时
Callback of new trade data update.
"""
self.put_event()
def on_order(self, order: OrderData):
"""
订单更新回调
Callback of new order data update.
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
self.put_event()
def atrstop(self, close, atrstop, nlossatr):
# 计算轨道线
if (close[-1] > atrstop[-2]) and (close[-2] > atrstop[-2]):
atrstop[-1] = max(atrstop[-2], close[-1] - nlossatr[-1])
elif (close[-1] < atrstop[-2]) and (close[-2] < atrstop[-2]):
atrstop[-1] = min(atrstop[-2], close[-1] + nlossatr[-1])
elif (close[-1] > atrstop[-2]):
atrstop[-1] = (close[-1] - nlossatr[-1])
else:
atrstop[-1] = (close[-1] + nlossatr[-1])
return atrstop
class RSIStrategy(CtaTemplate):
""""""
author = "用Python的交易员"
no_trade_time_begin1 = time(hour=9, minute=0)
no_trade_time_end1 = time(hour=9, minute=30)
no_trade_time_begin2 = time(hour=23, minute=0)
no_trade_time_end2 = time(hour=23, minute=30)
load_bar_day = 20
boll_window = 16
boll_dev = 2.6
# cci_window = 10
atr_window = 30
# atr_ma_window = 10
rsi_f_window = 5
rsi_l_window = 10
grow_window = 5
reduce_window = 5
# rsi_entry = 16
# ma_window = 5
sl_multiplier = 7.6
fixed_size = 1
db_record = 0
bar_size = 100
boll_up = 0
boll_down = 0
# cci_value = 0
atr_value = 0
# atr_ma = 0
rsi_f_value = 0
rsi_l_value = 0
rsi_max_value = 0
rsi_min_value = 0
rsi_f_ma = 0
rsi_l_ma = 0
intra_trade_high = 0
intra_trade_low = 0
long_stop = 0
short_stop = 0
vt_1m_orderids = []
vt_15m_orderids = []
parameters = [
"boll_window", "boll_dev", "atr_window", "rsi_f_window",
"rsi_l_window", "grow_window", "reduce_window", "sl_multiplier",
"fixed_size", "bar_size", "db_record"
]
variables = [
"boll_up", "boll_down", "atr_value", "rsi_f_value", "rsi_l_value",
"rsi_f_ma", "rsi_l_ma", "rsi_max_value", "rsi_min_value",
"intra_trade_high", "intra_trade_low", "long_stop", "short_stop"
]
# parameters = ["boll_window", "boll_dev", "cci_window","rsi_window","rsi_entry","ma_window",
# "atr_window","atr_ma_window","sl_multiplier", "fixed_size"]
# variables = ["boll_up", "boll_down", "cci_value", "atr_value","atr_ma","rsi_value",
# "intra_trade_high", "intra_trade_low", "long_stop", "short_stop"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
#todo,多时间周期，分长短期，判断不同的指标
self.bg = BarGenerator(self.on_bar, 15, self.on_15min_bar)
#self.am_1m = ArrayManager()
self.am_15m = ArrayManager(self.bar_size)
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(self.load_bar_day)
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.cancel_order_list(self.vt_1m_orderids)
# self.am_1m.update_bar(bar)
# if not self.am_1m.inited:
# return
# # #todo 1分钟的策略
#
# self.boll_up, self.boll_down = self.am_1m.boll(self.boll_window, self.boll_dev)
# self.atr_value = self.am_1m.atr(self.atr_window)
# rsi_f_array = self.am_1m.rsi(self.rsi_f_window, array=True)
# rsi_l_array = self.am_1m.rsi(self.rsi_l_window, array=True)
# self.rsi_f_value = rsi_f_array[-1]
# self.rsi_l_value = rsi_l_array[-1]
#
# if self.pos == 0:
# self.intra_trade_high = bar.high_price
# self.intra_trade_low = bar.low_price
#
# # todo,波动不够大，应该过滤
# if self.rsi_f_value > self.rsi_l_value and if_keep_grow(self.grow_window, rsi_f_array):
# vt_orderids = self.buy(self.boll_up, self.fixed_size, True)
# self.vt_1m_orderids.extend(vt_orderids)
# elif self.rsi_f_value < self.rsi_l_value and if_keep_reduce(self.reduce_window, rsi_f_array):
# vt_orderids = self.short(self.boll_down, self.fixed_size, True)
# self.vt_1m_orderids.extend(vt_orderids)
# # todo，持续范围内小波动，震荡策略
#
#
#
# elif self.pos > 0:
# self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
# self.intra_trade_low = bar.low_price
# if if_keep_reduce(self.reduce_window, rsi_f_array): # self.rsi_f_value < self.rsi_l_value and
# vt_orderids = self.sell(bar.close_price - 5, abs(self.pos))
# else:
# self.long_stop = self.intra_trade_high - self.atr_value * self.sl_multiplier
# vt_orderids = self.sell(self.long_stop, abs(self.pos), True)
# self.vt_1m_orderids.extend(vt_orderids)
# elif self.pos < 0:
# self.intra_trade_high = bar.high_price
# self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
# if if_keep_grow(self.grow_window, rsi_f_array): # self.rsi_f_value > self.rsi_l_value and
# vt_orderids = self.cover(bar.close_price + 5, abs(self.pos))
# else:
# self.short_stop = self.intra_trade_low + self.atr_value * self.sl_multiplier
# vt_orderids = self.cover(self.short_stop, abs(self.pos), True)
# self.vt_1m_orderids.extend(vt_orderids)
# if self.db_record:
# database_manager.save_bar_calc(bar, self.get_variables())
#
# self.put_event()
self.bg.update_bar(bar)
def on_15min_bar(self, bar: BarData):
""""""
self.cancel_order_list(self.vt_15m_orderids)
self.am_15m.update_bar(bar)
if not self.am_15m.inited:
return
self.boll_up, self.boll_down = self.am_15m.boll(
self.boll_window, self.boll_dev)
#self.cci_value = am.cci(self.cci_window)
self.atr_value = self.am_15m.atr(self.atr_window)
# atr_array = am.atr(self.atr_window, array=True)
# self.atr_value = atr_array[-1]
#self.atr_ma = atr_array[-self.atr_ma_window:].mean()
rsi_f_array = self.am_15m.rsi(self.rsi_f_window, array=True)
rsi_l_array = self.am_15m.rsi(self.rsi_l_window, array=True)
# self.rsi_max_value = rsi_f_array[-self.rsi_f_window:].max()
# self.rsi_min_value = rsi_f_array[-self.rsi_f_window:].min()
# self.rsi_f_ma = rsi_f_array[-self.rsi_f_window:].mean()
# self.rsi_l_ma = rsi_f_array[-self.rsi_f_window:].mean()
self.rsi_f_value = rsi_f_array[-1]
self.rsi_l_value = rsi_l_array[-1]
#self.ma_value = am.sma(self.ma_window)
# if (bar.datetime.time() >= self.no_trade_time_begin1 and bar.datetime.time() <= self.no_trade_time_end1) \
# or (bar.datetime.time() >= self.no_trade_time_begin2 and bar.datetime.time() <= self.no_trade_time_end2):
# return
if self.pos == 0:
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
#todo,波动不够大，应该过滤
#if self.rsi_f_value > 50 and self.rsi_f_value > self.rsi_l_value and if_keep_grow(self.grow_window, rsi_f_array) and self.rsi_f_value < 85: #self.rsi_f_value>=self.rsi_max_value:
if self.rsi_f_value > self.rsi_l_value: #and if_keep_grow(self.grow_window, rsi_f_array):
#self.buy(bar.close_price+5, self.fixed_size)
vt_orderids = self.buy(self.boll_up, self.fixed_size, True)
self.vt_15m_orderids.extend(vt_orderids)
#elif self.rsi_f_value < 50 and self.rsi_f_value < self.rsi_l_value and if_keep_reduce(self.reduce_window, rsi_f_array) and self.rsi_f_value >15: #self.rsi_f_value <=self.rsi_min_value:
elif self.rsi_f_value < self.rsi_l_value: # and if_keep_reduce(self.reduce_window, rsi_f_array):
#self.short(bar.close_price-5, self.fixed_size)
vt_orderids = self.short(self.boll_down, self.fixed_size, True)
self.vt_15m_orderids.extend(vt_orderids)
#todo，持续范围内小波动，震荡策略
elif self.pos > 0:
self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
self.intra_trade_low = bar.low_price
if if_keep_reduce(
self.reduce_window,
rsi_f_array): #self.rsi_f_value < self.rsi_l_value and
vt_orderids = self.sell(bar.close_price - 5, abs(self.pos))
else:
self.long_stop = self.intra_trade_high - self.atr_value * self.sl_multiplier
vt_orderids = self.sell(self.long_stop, abs(self.pos), True)
self.vt_15m_orderids.extend(vt_orderids)
elif self.pos < 0:
self.intra_trade_high = bar.high_price
self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
if if_keep_grow(
self.grow_window,
rsi_f_array): #self.rsi_f_value > self.rsi_l_value and
vt_orderids = self.cover(bar.close_price + 5, abs(self.pos))
else:
self.short_stop = self.intra_trade_low + self.atr_value * self.sl_multiplier
vt_orderids = self.cover(self.short_stop, abs(self.pos), True)
self.vt_15m_orderids.extend(vt_orderids)
if self.db_record:
database_manager.save_bar_calc(bar, self.get_variables())
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.
"""
#数据库记录成交记录，bar记录，variables值
if self.db_record:
database_manager.save_trade_data(trade, self.get_variables())
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
class RsiAdaptStrategy(CtaTemplate):
"""
策略逻辑：
一、、过虑信号 （小时周期）
使用rsiboll来判断信号强弱
二、开单信号 （分钟周期）
1、使用布林上下轨作为开单条件
三、止损
使用动态布林中轨止损
"""
author = "yunya"
min_window = 45
open_window = 15
rsi_length = 23
kk_length = 80
kk_dev = 2.0
trading_size = 1
atr_length = 30
rsi_entry = 0
kk_up = 0
kk_down = 0
long_stop = 0
short_stop = 0
rsi_value = 0
rsi_up = 0
rsi_dow = 0
ema_mid = 0
ema_length_new = 0
current_ema_mid = 0
last_ema_mid = 0
current_close = 0
last_close = 0
front_close = 0
exit_long = 0
exit_short = 0
long_entry = 0
short_entry = 0
long_stop_trade = 0
short_stop_drade = 0
exit_long_nex = 0
exit_long_last = 0
exit_short_nex = 0
exit_short_last = 0
atr_value = 0
parameters = [
"open_window",
"min_window",
"rsi_length",
"kk_length",
"kk_dev",
"trading_size",
"atr_length",
]
variables = [
"rsi_entry",
"long_stop",
"short_stop",
"rsi_value",
"rsi_up",
"rsi_dow",
"ema_mid",
"ema_length_new",
"current_ema_mid",
"last_ema_mid",
"current_close",
"last_close",
"front_close",
"exit_long",
"exit_short",
"long_entry",
"short_entry",
"long_stop_trade",
"short_stop_drade",
"exit_long_nex",
"exit_long_last",
"exit_short_nex",
"exit_short_last",
]
def __init__(
self,
cta_engine: Any,
strategy_name: str,
vt_symbol: str,
setting: dict,
):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg_xminute = NewBarGenerator(on_bar=self.on_bar,
window=self.min_window,
on_window_bar=self.on_xminute_bar)
self.am_xminute = ArrayManager(self.kk_length * 2 + 10)
self.bg_open = NewBarGenerator(on_bar=self.on_bar,
window=self.open_window,
on_window_bar=self.on_5min_bar)
self.am_open = ArrayManager()
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化。。")
self.load_bar(30)
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_open.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg_xminute.update_bar(bar)
self.bg_open.update_bar(bar)
def on_5min_bar(self, bar: BarData):
"""
:param bar:
:type bar:
:return:
:rtype:
"""
self.cancel_all()
self.am_open.update_bar(bar)
if not self.am_open.inited or not self.am_xminute.inited:
return
ema_mid_array = self.am_open.ema(self.kk_length, True)
atr = self.am_open.atr(self.kk_length, True)
kk_up_array = ema_mid_array + atr * self.kk_dev
kk_down_array = ema_mid_array - atr * self.kk_dev
self.ema_mid = ema_mid_array[-1]
self.kk_up = kk_up_array[-1]
self.kk_down = kk_down_array[-1]
self.current_close = self.am_open.close[-1]
self.last_close = self.am_open.close[-2]
self.front_close = self.am_open.close[-3]
if not self.pos:
self.exit_long_nex = 0
self.exit_long_last = 0
self.exit_short_nex = 0
self.exit_short_last = 0
self.ema_length_new = self.kk_length
self.atr_value = self.am_open.atr(self.atr_length)
if self.rsi_entry > 0:
self.buy(self.kk_up, self.trading_size, True)
self.write_log(
f"下多单：{bar.datetime}, {self.kk_up}, {self.trading_size}")
elif self.rsi_entry < 0:
self.short(self.kk_down, self.trading_size, True)
self.write_log(
f"下多单：{bar.datetime}, {self.kk_down}, {self.trading_size}")
elif self.pos > 0:
close_long = self.current_close > self.last_close > self.front_close
if close_long:
self.ema_length_new -= 1
self.ema_length_new = max(self.ema_length_new, 5)
ema_mid_new = self.am_xminute.sma(self.ema_length_new, True)
self.current_ema_mid = ema_mid_new[-1]
self.last_ema_mid = ema_mid_new[-2]
# 仓位是long 时，如果价格下穿新布林中轨
con1 = bar.close_price < self.current_ema_mid
con2 = bar.close_price >= self.last_ema_mid
if con1 and con2:
self.exit_long_nex = bar.close_price # 保存当前收盘价
if self.exit_long_last == 0 or self.exit_long_nex > self.exit_long_last:
self.exit_long_last = self.exit_long_nex
self.ema_length_new = self.kk_length
# 下穿新均线，以原布林均线挂出停止单，避免快速下跌而无法止损
self.exit_long = self.ema_mid
else:
# 收盘价在两条均线平均价上方，以当前收盘价挂出限价单
if bar.close_price > (
(self.ema_mid + self.current_ema_mid) / 2):
self.exit_long = bar.close_price
elif bar.close_price < self.ema_mid:
self.exit_long = bar.close_price
else:
self.exit_long = self.ema_mid
# print(f"我是多单，收盘价在两个中轨均值下方，以原中轨挂止损单:{self.exit_long},")
else:
self.exit_long = self.ema_mid
self.long_stop = max(self.exit_long, self.long_stop_trade)
self.sell(self.long_stop, abs(self.pos), True)
elif self.pos < 0:
close_short = self.current_close < self.last_close < self.front_close
if close_short:
self.ema_length_new -= 1
self.ema_length_new = max(self.ema_length_new, 5)
ema_mid_new = self.am_xminute.sma(self.ema_length_new, True)
self.current_ema_mid = ema_mid_new[-1]
self.last_ema_mid = ema_mid_new[-2]
# 仓位是short 时，如果价格上穿新布林中轨
con1 = bar.close_price > self.current_ema_mid
con2 = bar.close_price <= self.last_ema_mid
if con1 and con2:
self.exit_short_nex = bar.close_price
if self.exit_short_last == 0 or self.exit_short_nex < self.exit_short_last:
self.exit_short_last = self.exit_short_nex
self.ema_length_new = self.kk_length
self.exit_short = self.ema_mid
else:
if bar.close_price < (self.ema_mid +
self.current_ema_mid / 2):
self.exit_short = bar.close_price
elif bar.close_price < self.ema_mid:
self.exit_short = bar.close_price
else:
self.exit_short = self.ema_mid
else:
self.exit_short = self.ema_mid
self.short_stop = min(self.exit_short, self.short_stop_drade)
self.cover(self.short_stop, abs(self.pos), True)
self.sync_data()
self.put_event()
def on_xminute_bar(self, bar: BarData):
"""
:param bar:
:return:
"""
self.am_xminute.update_bar(bar)
if not self.am_xminute.inited:
return
ema_array = talib.EMA(self.am_xminute.close, self.rsi_length)
std_array = talib.EMA(self.am_xminute.close, self.rsi_length)
dev_array = abs(self.am_xminute.close[:-1] -
ema_array[:-1]) / std_array[:-1]
dev_max = max(dev_array[-self.rsi_length:])
rsi_array = talib.RSI(self.am_xminute.close[:-1], self.rsi_length)
rsi_up_array = rsi_array + rsi_array * dev_max
rsi_dow_array = rsi_array - rsi_array * dev_max
rsi_value_array = self.am_xminute.rsi(self.rsi_length, True)
self.rsi_up = rsi_up_array[-1]
self.rsi_dow = rsi_dow_array[-1]
self.rsi_value = rsi_value_array[-1]
current_rsi = rsi_value_array[-1]
last_rsi = rsi_value_array[-2]
current_rsi_up = rsi_up_array[-1]
last_rsi_up = rsi_up_array[-2]
current_rsi_down = rsi_dow_array[-1]
last_rsi_down = rsi_dow_array[-2]
con1 = current_rsi > current_rsi_up
con2 = last_rsi <= last_rsi_up
con3 = current_rsi < current_rsi_down
con4 = last_rsi >= last_rsi_down
if con1 > con2:
self.rsi_entry = 1
elif con3 and con4:
self.rsi_entry = -1
self.sync_data()
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
if trade.direction == Direction.LONG:
self.long_entry = trade.price # 成交最高价
self.long_stop_trade = self.long_entry - 2 * self.atr_value
else:
self.short_entry = trade.price
self.short_stop_drade = self.short_entry + 2 * self.atr_value
self.sync_data()
def on_order(self, order: OrderData):
"""
订单更新回调
Callback of new order data update.
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
self.put_event()
class TurtleSignalStrategy(CtaTemplate):
""""""
author = "backtest example"
entry_window = 20
exit_window = 10
atr_window = 20
fixed_size = 1
entry_up = 0
entry_down = 0
exit_up = 0
exit_down = 0
atr_value = 0
long_entry = 0
short_entry = 0
long_stop = 0
short_stop = 0
parameters = ["entry_window", "exit_window", "atr_window", "fixed_size"]
variables = ["entry_up", "entry_down", "exit_up", "exit_down", "atr_value"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(TurtleSignalStrategy, self).__init__(cta_engine, strategy_name,
vt_symbol, setting)
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(20)
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.cancel_all()
self.am.update_bar(bar)
if not self.am.inited:
return
# Only calculates new entry channel when no position holding
if not self.pos:
self.entry_up, self.entry_down = self.am.donchian(
self.entry_window)
self.exit_up, self.exit_down = self.am.donchian(self.exit_window)
if not self.pos:
self.atr_value = self.am.atr(self.atr_window)
self.long_entry = 0
self.short_entry = 0
self.long_stop = 0
self.short_stop = 0
self.send_buy_orders(self.entry_up)
self.send_short_orders(self.entry_down)
elif self.pos > 0:
sell_price = max(self.long_stop, self.exit_down)
self.sell(sell_price, abs(self.pos), True)
elif self.pos < 0:
cover_price = min(self.short_stop, self.exit_up)
self.cover(cover_price, abs(self.pos), True)
self.put_event()
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
if trade.direction == Direction.LONG:
self.long_entry = trade.price
self.long_stop = self.long_entry - 2 * self.atr_value
else:
self.short_entry = trade.price
self.short_stop = self.short_entry + 2 * self.atr_value
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
def send_buy_orders(self, price):
""""""
self.buy(price, self.fixed_size, True)
def send_short_orders(self, price):
""""""
self.short(price, self.fixed_size, True)
class DudlThrust_NewStrategy(CtaTemplate):
""""""
author = "yunyu"
window_min = 15
rolling_period = 70
upper_open = 0.5
lower_open = 0.6
stop_multiplier = 1.8
dc_length = 30
cci_length = 10
cci_stop = 20
trailing_tax = 1.8
fixed_size = 1
up = 0
down = 0
exit_shour = 0
exit_long = 0
intra_trade_high = 0
intra_trade_low = 0
long_stop = 0
short_stop = 0
long_entry = 0
short_entry = 0
long_out = 0
short_out = 0
cci_value = 0
ask = 0
bid = 0
parameters = [
"window_min",
"rolling_period",
"upper_open",
"lower_open",
"stop_multiplier",
"dc_length",
"cci_length",
"cci_stop",
"trailing_tax",
"fixed_size",
]
variables = [
"up", "down", "exit_shour", "exit_long", "intra_trade_high",
"intra_trade_low", "long_stop", "short_stop", "long_entry",
"short_entry", "long_out", "short_out", "cci_value"
]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(on_bar=self.on_bar)
self.am = ArrayManager(
(max(self.dc_length, self.rolling_period) + 10) * 60)
self.bg_xmin = BarGenerator(on_bar=self.on_bar,
window=self.window_min,
on_window_bar=self.on_xmin_bar)
self.am_xmin = ArrayManager(
max(self.dc_length, self.rolling_period) + 10)
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)
self.ask = tick.ask_price_1 # 卖一价
self.bid = tick.bid_price_1 # 买一价
self.put_event()
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg_xmin.update_bar(bar)
self.cancel_all()
self.exit_shour, self.exit_long = self.am.donchian(self.dc_length * 60)
if self.pos == 0:
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
if self.cci_value > self.cci_stop:
self.buy(self.up, self.fixed_size, True)
elif self.cci_value < -self.cci_stop:
self.short(self.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
self.long_out = self.intra_trade_high * (1 -
self.trailing_tax / 100)
self.long_stop = max(self.long_entry, self.long_out,
self.exit_long)
self.sell(self.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)
self.short_out = self.intra_trade_low * (1 +
self.trailing_tax / 100)
self.short_stop = min(self.short_entry, self.short_out,
self.exit_shour)
self.cover(self.short_stop, abs(self.pos), True)
self.put_event()
def on_xmin_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.am_xmin.update_bar(bar)
if not self.am_xmin.inited:
return
self.up, self.down = self.dualthrust(self.am_xmin.high,
self.am_xmin.low,
self.am_xmin.close,
self.am_xmin.open,
self.rolling_period,
self.upper_open, self.lower_open)
self.cci_value = self.am_xmin.cci(self.cci_length)
self.atr_value = self.am.atr(16)
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.
"""
if trade.direction == Direction.LONG:
long_price = trade.price
self.long_entry = long_price - self.stop_multiplier * self.atr_value
else:
short_price = trade.price
self.short_entry = short_price + self.stop_multiplier * self.atr_value
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
# self.put_event()
def market_order(self):
""""""
pass
# self.buy(self.last_tick.limit_up, 1)
# self.write_log("执行市价单测试")
def limit_order(self):
""""""
pass
# self.buy(self.last_tick.limit_down, 1)
# self.write_log("执行限价单测试")
def stop_order(self):
""""""
pass
# self.buy(self.last_tick.ask_price_1, 1, True)
# self.write_log("执行停止单测试")
def dualthrust(self, high, low, close, open, n, k1, k2):
"""
:param high:
:param low:
:param close:
:return:
"""
#计算N日最高价的最高价，收盘价的最高价、最低价，最低价的最低价
hh = high[-n:-1].max()
lc = close[-n:-1].min()
hc = close[-n:-1].max()
ll = low[-n:-1].max()
#计算range,上下轨的距离前一根K线开盘价的距离
range = max(hh - lc, hc - ll)
up = open[-2] + k1 * range
down = open[-2] - k2 * range
return up, down
class TurtleCStrategy(CtaTemplate):
""""""
# 反向海龟信号
author = "turtle_inverse_trade"
entry_window = 50
exit_window = 20
atr_window = 20
stop_multiple = 2
fixed_size = 1
entry_up = 0
entry_down = 0
exit_up = 0
exit_down = 0
atr_value = 0
long_entry = 0
short_entry = 0
long_stop = 0
short_stop = 0
parameters = [
"entry_window", "exit_window", "atr_window", "fixed_size",
"stop_multiple"
]
variables = ["entry_up", "entry_down", "exit_up", "exit_down", "atr_value"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(TurtleCStrategy, self).__init__(cta_engine, strategy_name,
vt_symbol, setting)
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(20)
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.cancel_all()
self.am.update_bar(bar)
if not self.am.inited:
return
# Only calculates new entry channel when no position holding
if not self.pos:
self.entry_up, self.entry_down = self.am.donchian(
self.entry_window)
# self.close_ma = self.am.sma(50)
# self.entry_up += self.close_ma * 0.002
# self.entry_down -= self.close_ma * 0.002
self.exit_up, self.exit_down = self.am.donchian(self.exit_window)
if not self.pos:
self.atr_value = self.am.atr(self.atr_window)
self.long_entry = 0
self.short_entry = 0
self.long_stop = 0
self.short_stop = 0
self.send_buy_orders(self.entry_up)
self.send_short_orders(self.entry_down)
elif self.pos > 0:
# inverse system
# 有多头要卖出，等向上再卖出
self.sell(self.exit_up, abs(self.pos), False)
elif self.pos < 0:
# inverse system
# 有空头要买回，等向下再补回
self.cover(self.exit_down, abs(self.pos), False)
self.put_event()
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
if trade.direction == Direction.LONG:
self.long_entry = trade.price
self.long_stop = self.long_entry - self.stop_multiple * self.atr_value
else:
self.short_entry = trade.price
self.short_stop = self.short_entry + self.stop_multiple * self.atr_value
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
def send_buy_orders(self, price):
""""""
# invere system
self.short(price, self.fixed_size, False)
def send_short_orders(self, price):
""""""
# inverse system
self.buy(price, self.fixed_size, False)
class Boll_kk_vix_simple_Strategy(CtaTemplate):
"""
本策略为反向策略，币本位 Reverse 反向
"""
author = "yunya"
open_window = 5
xminute_window = 15
com_length = 450
exit_dc_length = 10
fast_sma_length = 45
slow_sma_length = 110
cci_length = 30
cci_exit = 26
sl_multiplier = 8.0
fixed_size = 1
bollkk_ema = 0
bollkk_up = 0
bollkk_down = 0
bollkk_width = 0
cci_vlue = 0
long_stop = 0
short_stop = 0
exit_up = 0
exit_down = 0
atr_value = 0
long_entry = 0
short_entry = 0
ma_trend = 0
exit_dc_long = 0
exit_dc_short = 0
intra_trade_high = 0
intra_trade_low = 0
parameters = [
"open_window",
"xminute_window",
"com_length",
"fast_sma_length",
"slow_sma_length",
"cci_length",
"cci_exit",
"exit_dc_length",
"sl_multiplier",
"fixed_size",
]
variables = [
"bollkk_ema",
"bollkk_up",
"bollkk_down",
"bollkk_width",
"cci_vlue",
"long_stop",
"short_stop",
"exit_up",
"exit_down",
"atr_value",
"long_entry",
"short_entry",
"ma_trend",
]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg_xminute = BarGenerator(on_bar=self.on_bar,
window=self.xminute_window,
on_window_bar=self.on_xminute_bar,
interval=Interval.MINUTE)
self.am_xminute = ArrayManager(self.com_length + 10)
self.bg = BarGenerator(self.on_bar, self.open_window, self.on_open_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_xminute.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg.update_bar(bar)
self.bg_xminute.update_bar(bar)
def on_open_bar(self, bar: BarData):
"""
:param bar:
:return:
"""
# 先使用挂单全撤的粗化订单管理
self.cancel_all()
self.am.update_bar(bar)
if not self.am_xminute.inited or not self.am.inited:
return
if self.pos == 0:
# 根据布林带宽度动态调整仓位大小
# self.trading_size = max(int(self.risk_level / self.xminute_com_width), 1)
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
if self.cci_value > self.cci_exit and self.ma_trend > 0:
self.buy(self.bollkk_up, self.fixed_size, True)
elif self.cci_value < -self.cci_exit and self.ma_trend < 0:
self.short(self.bollkk_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
exit_long_stop = self.intra_trade_high - self.bollkk_width * self.sl_multiplier
exit_long_dc = max(exit_long_stop, self.exit_dc_long)
self.exit_up = max(exit_long_dc, self.long_stop)
self.sell(self.exit_up, 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)
exit_short_stop = self.intra_trade_low + self.bollkk_width * self.sl_multiplier
exit_shout_dc = min(exit_short_stop, self.exit_dc_short)
self.exit_down = min(exit_shout_dc, self.short_stop)
self.cover(self.exit_down, abs(self.pos), True)
self.put_event()
self.sync_data()
def on_xminute_bar(self, bar: BarData):
"""
:param bar:
:return:
"""
# x分钟 多策略合合成的通道线
self.am_xminute.update_bar(bar)
if not self.am_xminute.inited:
return
bollkk_ema_value, self.bollkk_up, self.bollkk_down, = self.boll_kk_combination(
high=self.am_xminute.high[:-1],
close=self.am_xminute.close[:-1],
low=self.am_xminute.low[:-1],
com_length=self.com_length)
# 计算开平信号
self.current_close = self.am_xminute.close[-1]
self.last_close = self.am_xminute.close[-2]
self.bollkk_ema = bollkk_ema_value[-1]
self.bollkk_width = abs(self.bollkk_up - self.bollkk_down)
self.cci_value = self.am_xminute.cci(self.cci_length)
self.fast_ma = self.am_xminute.sma(self.fast_sma_length)
self.slow_ma = self.am_xminute.sma(self.slow_sma_length)
if self.fast_ma > self.slow_ma:
self.ma_trend = 1
else:
self.ma_trend = -1
self.atr_value = self.am_xminute.atr(30)
self.exit_dc_short, self.exit_dc_long = self.am_xminute.donchian(
self.exit_dc_length)
self.sync_data()
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.
"""
if trade.direction == Direction.LONG:
self.long_entry = trade.price # 成交最高价
self.long_stop = self.long_entry - 2 * self.atr_value
else:
self.short_entry = trade.price
self.short_stop = self.short_entry + 2 * self.atr_value
self.sync_data()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
def boll_kk_combination(self, high, close, low, com_length):
"""
通过计算收盘价与收盘价均线之间的倍数，来自动调整boll 、kk 的通过宽度
"""
# 计算组合均线
bollkk_ema = talib.EMA(close, com_length)
# 计算自适布林带
boll_std = talib.STDDEV(close, com_length)
boll_dev = abs(close - bollkk_ema) / boll_std
boll_up = bollkk_ema + boll_dev * boll_std
boll_down = bollkk_ema - boll_dev * boll_std
# 计算自适肯特通道
kk_atr = talib.ATR(high, low, close, com_length)
kk_dev = abs(close - bollkk_ema) / kk_atr
kk_up = bollkk_ema + kk_atr * kk_dev
kk_down = bollkk_ema - kk_atr * kk_dev
bollkk_up = max(boll_up[-1], kk_up[-1])
bollkk_down = min(boll_down[-1], kk_down[-1])
return bollkk_ema, bollkk_up, bollkk_down,
