def __init__(self, portfolio, vtSymbol):
self.type = 'multi'
# 策略参数
self.fixedSize = 1 # 每次交易的数量
self.initBars = 60 # 初始化数据所用的天数
self.minx = 'min5'
self.atrValue = 0
self.atrWindow = 20
self.atr_x = 8
self.dual = 10
self.gap = 30
self.gap_base = self.gap
self.gap_min = 15
self.gap_max = 40
self.price_duo_list = []
self.price_kong_list = []
self.duo_adjust_price = 0
self.kong_adjust_price = 0
# 策略临时变量
self.can_buy = False
self.can_short = False
self.pnl = 0
self.first = True
Signal.__init__(self, portfolio, vtSymbol)
self.backtest = True if self.portfolio.engine.type == 'backtest' else False
def __init__(self, portfolio, vtSymbol):
self.type = 'kong'
self.fixedSize = 1 # 每次交易的数量
self.initBars = 20 # 初始化数据所用的天数
self.minx = 'day'
# 策略参数
self.bollWindow = 10 # 布林通道窗口数
self.bollDev = 2.4 # 布林通道的偏差
self.atrValue = None
self.atrWindow = 10
self.slMultiplier = 1.5 # CF
self.hard_stop_ratio = 0.005
# 策略临时变量
self.bollUp = 0 # 布林通道上轨
self.bollDown = 0 # 布林通道下轨
self.stop = 0 # 多头止损
self.hard_stop = 100E4 # 硬止损
self.intraTradeHigh = 0
self.intraTradeLow = 100E4
self.can_short = False
self.can_cover = False
# 需要持久化保存的变量
self.cost = 0
Signal.__init__(self, portfolio, vtSymbol)
def __init__(self, portfolio, vtSymbol):
self.type = 'multi'
# 策略参数
self.fixedSize = 1 # 每次交易的数量
self.initBars = 60 # 初始化数据所用的天数
self.minx = 'min5'
self.atrValue = 0
self.atrWindow = 30
self.atr_x = 8
self.gap = 30
self.gap_base = self.gap
self.gap_min = 15
self.gap_max = 40
self.price_min = 2600
self.price_max = 3100
self.price_duo_list = []
self.price_kong_list = []
# 策略临时变量
self.can_buy = False
self.can_short = False
self.pnl = 0
Signal.__init__(self, portfolio, vtSymbol)
def __init__(self, portfolio, vtSymbol):
self.type = 'kong'
self.fixedSize = 1 # 每次交易的数量
self.initBars = 50 # 初始化数据所用的天数
self.minx = 'day'
# 策略参数
self.er_length = 20
self.filter_ratio = 0.45
self.atrWindow = 10
self.slMultiplier = 0.5 # CF
# 策略临时变量
self.stop = 0 # 多头止损
self.intraTradeHigh = 0
self.intraTradeLow = 100E4
self.can_short = False
self.can_cover = False
# 需要持久化保存的变量
self.cost = 0
Signal.__init__(self, portfolio, vtSymbol)
def __init__(self, portfolio, vtSymbol):
Signal.__init__(self, portfolio, vtSymbol)
# 策略参数
self.initBars = 90 # 初始化am所用的数目
self.fixedSize = 1 # 每次交易的数量
self.singlePosition = 3E4
# 策略参数
self.bollWindow = 20 # 布林通道窗口数
self.bollDev = 2 # 布林通道的偏差
# 策略变量
self.bollUp = None # 布林通道上轨
self.bollDown = None # 布林通道下轨
# 需要持久化保存的参数
self.buyPrice = 0
self.intraTradeLow = 100E4 # 持仓期内的最低点
self.longStop = 100E4 # 多头止损
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.portfolio.engine._backcall_loadInitBar(
self.vtSymbol, self.initBars)
for bar in initData:
if not self.am.inited:
self.onBar(bar)
def __init__(self, portfolio, vtSymbol):
Signal.__init__(self, portfolio, vtSymbol)
# 策略参数
self.atrLength = 22 # 计算ATR指标的窗口数
self.atrMaLength = 10 # 计算ATR均线的窗口数
self.rsiLength = 5 # 计算RSI的窗口数
self.rsiEntry = 16 # RSI的开仓信号
self.trailingPercent = 0.3 # 百分比移动止损
self.initBars = 90 # 初始化数据所用的天数
self.fixedSize = 1 # 每次交易的数量
# 策略变量
self.atrValue = 0 # 最新的ATR指标数值
self.atrMa = 0 # ATR移动平均的数值
self.rsiValue = 0 # RSI指标的数值
# 需要持久化保存的参数
self.buyPrice = 0
self.intraTradeHigh = 0 # 移动止损用的持仓期内最高价
self.intraTradeLow = 100E4 # 持仓期内的最低点
self.longStop = 100E4 # 多头止损
self.cost = 0
# 初始化RSI入场阈值
self.rsiBuy = 50 + self.rsiEntry
self.rsiSell = 50 - self.rsiEntry
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.portfolio.engine._bc_loadInitBar(
self.vtSymbol, self.initBars)
for bar in initData:
self.bar = bar
self.am.updateBar(bar)
def __init__(self, portfolio, vtSymbol):
self.type = 'one'
# 策略参数
self.fixedSize = 1 # 每次交易的数量
self.initBars = 100 # 初始化数据所用的天数
self.minx = 'min5'
self.atrValue = 0
self.atrWindow = 30
self.atr_x = 8
self.gap = 30
self.gap_min = 15
self.gap_max = 40
self.price_min_1 = 2600
self.price_min_2 = 2730
self.price_max_2 = 3000
self.price_max_1 = 3100
self.price_duo_list = []
self.price_kong_list = []
# 策略临时变量
self.can_buy = False
self.can_short = False
self.pnl = 0
# 需要持久化保存的变量
Signal.__init__(self, portfolio, vtSymbol)
def __init__(self, portfolio, vtSymbol):
self.type = 'mix'
# 策略参数
self.entryWindow = 100 # 入场通道周期数
self.exitWindow = 50 # 出场通道周期数
self.atrWindow = 20 # 计算ATR周期数
self.profitCheck = True # 是否检查上一笔盈利
self.initBars = 100 # 初始化数据所用的天数
self.minx = 'min15'
# 策略临时变量
self.atrVolatility = 0 # ATR波动率
self.entryUp = 0 # 入场通道
self.entryDown = 0
self.exitUp = 0 # 出场通道
self.exitDown = 0
self.longEntry1 = 0 # 多头入场位
self.longEntry2 = 0
self.longEntry3 = 0
self.longEntry4 = 0
self.longStop = 0 # 多头止损位
self.shortEntry1 = 0 # 空头入场位
self.shortEntry2 = 0
self.shortEntry3 = 0
self.shortEntry4 = 0
self.shortStop = 0 # 空头止损位
self.result_list = []
Signal.__init__(self, portfolio, vtSymbol)
def __init__(self, portfolio, vtSymbol):
self.type = 'kong'
# 策略参数
self.bollWindow = 20 # 布林通道窗口数
self.bollDev = 3.1 # 布林通道的偏差
self.cciWindow = 10 # CCI窗口数
self.atrWindow = 30 # ATR窗口数
self.slMultiplier = 3 # 计算止损距离的乘数
self.fixedSize = 1 # 每次交易的数量
self.initBars = 100 # 初始化数据所用的天数
self.minx = 'min15'
# 策略临时变量
self.cciValue = 0 # CCI指标数值
self.atrValue = 0 # ATR指标数值
self.bollUp = 0
self.bollDown = 0
self.can_buy = False
self.can_short = False
# 需要持久化保存的变量
self.cost = 0
self.intraTradeHigh = 0 # 移动止损用的持仓期内最高价
self.intraTradeLow = 0 # 持仓期内的最低点
self.stop = 0 # 多头止损
Signal.__init__(self, portfolio, vtSymbol)
def __init__(self, portfolio, vtSymbol):
self.type = 'kong'
# 策略参数
self.atrLength = 1 # 计算ATR指标的窗口数
self.atrMaLength = 14 # 计算ATR均线的窗口数
self.rsiLength = 5 # 计算RSI的窗口数
self.rsiEntry = 16 # RSI的开仓信号
self.trailingPercent = 0.7 # 百分比移动止损
self.victoryPercent = 0.3
self.fixedSize = 1 # 每次交易的数量
self.ratio_atrMa = 0.8
self.initBars = 60 # 初始化数据所用的天数
self.minx = 'min5'
# 初始化RSI入场阈值
self.rsiBuy = 50 + self.rsiEntry
self.rsiSell = 50 - self.rsiEntry
# 策略临时变量
self.atrValue = 0 # 最新的ATR指标数值
self.atrMa = 0 # ATR移动平均的数值
self.rsiValue = 0 # RSI指标的数值
self.iswave = True
self.can_buy = False
self.can_short = False
# 需要持久化保存的变量
self.cost = 0
self.intraTradeHigh = 0 # 移动止损用的持仓期内最高价
self.intraTradeLow = 0 # 持仓期内的最低点
self.stop = 0 # 多头止损
Signal.__init__(self, portfolio, vtSymbol)
def __init__(self, portfolio, vtSymbol):
self.type = 'kong'
# 策略参数
self.trailingPercent = 0.3 # 百分比移动止损
self.victoryPercent = 0.3
self.fixedSize = 1 # 每次交易的数量
self.initBars = 90 # 初始化数据所用的天数
self.minx = 'min5'
# 策略临时变量
self.can_buy = False
self.can_short = False
self.channel_up = 0
self.channel_down = 0
# 需要持久化保存的变量
self.cost = 0
self.intraTradeHigh = 0 # 移动止损用的持仓期内最高价
self.intraTradeLow = 0 # 持仓期内的最低点
self.stop = 0 # 多头止损
Signal.__init__(self, portfolio, vtSymbol)
def __init__(self, portfolio, vtSymbol):
self.type = 'kong'
# 策略参数
self.fixedSize = 1 # 每次交易的数量
self.initBars = 100 # 初始化数据所用的天数
self.minx = 'min5'
self.bollWindow = 60
self.bollDev = 3
self.atrValue = None
self.atrWindow = 10
self.slMultiplier = 1.5
self.hard_stop_ratio = 0.001
# 策略临时变量
self.can_buy = False
self.can_short = False
self.bollUp = 0
self.bollDown = 0
# 需要持久化保存的变量
self.cost = 0
self.intraTradeHigh = 0 # 移动止损用的持仓期内最高价
self.intraTradeLow = 100E4 # 持仓期内的最低点
self.stop = 0 # 多头止损
self.hard_stop = 100E4 # 硬止损
self.dida = 0
Signal.__init__(self, portfolio, vtSymbol)
def __init__(self, portfolio, vtSymbol):
Signal.__init__(self, portfolio, vtSymbol)
# 策略参数
self.bollWindow = 18 # 布林通道窗口数
self.bollDev = 3.4 # 布林通道的偏差
self.cciWindow = 10 # CCI窗口数
self.atrWindow = 30 # ATR窗口数
self.slMultiplier = 5.2 # 计算止损距离的乘数
self.initBars = 90 # 初始化数据所用的天数
self.fixedSize = 1 # 每次交易的数量
# 策略变量
self.bollUp = 0 # 布林通道上轨
self.bollDown = 0 # 布林通道下轨
self.cciValue = 0 # CCI指标数值
self.atrValue = 0 # ATR指标数值
# 需要持久化保存的参数
self.counter = 0
self.buyPrice = 0
self.intraTradeHigh = 0 # 移动止损用的持仓期内最高价
self.intraTradeLow = 100E4 # 持仓期内的最低点
self.longStop = 100E4 # 多头止损
self.shortStop = 0 # 空头止损
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.portfolio.engine._bc_loadInitBar(
self.vtSymbol, self.initBars)
for bar in initData:
self.bar = bar
self.am.updateBar(bar)
def __init__(self, portfolio, vtSymbol):
Signal.__init__(self, portfolio, vtSymbol)
# 策略参数
self.initBars = 90 # 初始化数据所用的天数
self.fixedSize = 1 # 每次交易的数量
# 策略变量
self.cciWindow = 20
self.cciLong = 100
self.cciShort = -100
self.cciValue = None
# 需要持久化保存的参数
self.counter = 0
self.buyPrice = 0
self.intraTradeHigh = 0 # 移动止损用的持仓期内最高价
self.intraTradeLow = 100E4 # 持仓期内的最低点
self.longStop = 100E4 # 多头止损
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.portfolio.engine._bc_loadInitBar(
self.vtSymbol, self.initBars)
for bar in initData:
self.bar = bar
self.am.updateBar(bar)
def __init__(self, portfolio, vtSymbol):
self.type = 'kong'
self.fixedSize = 1 # 每次交易的数量
self.initBars = 100 # 初始化数据所用的天数
self.minx = 'day'
# 策略参数
self.cciWindow = 100 # CCI窗口数
self.atrWindow = 10
self.slMultiplier = 1.5 # CF
self.hard_stop_ratio = 0.01
# 策略临时变量
self.cciValue = 0
self.atrValue = None
self.stop = 0 # 多头止损
self.hard_stop = 100E4
self.intraTradeHigh = 0
self.intraTradeLow = 100E4
self.can_short = False
self.can_cover = False
# 需要持久化保存的变量
self.cost = 0
Signal.__init__(self, portfolio, vtSymbol)
def __init__(self, portfolio, vtSymbol):
self.type = 'mix'
# 策略参数
self.fixedSize = 1 # 每次交易的数量
self.initBars = 0 # 初始化数据所用的天数
self.minx = 'min15'
# 策略临时变量
self.can_buy = False
self.can_short = False
# 需要持久化保存的变量
Signal.__init__(self, portfolio, vtSymbol)
def __init__(self, portfolio, vtSymbol):
# 策略参数
self.bollWindow = 80 # 布林通道窗口数
self.bollDev = 2 # 布林通道的偏差
self.fixedSize = 1 # 每次交易的数量
self.initBars = 90 # 初始化数据所用的天数
self.minx = 'min5'
# 策略临时变量
self.bollUp = 0 # 布林通道上轨
self.bollDown = 0 # 布林通道下轨
# 需要持久化保存的变量
self.stop = 0 # 多头止损
Signal.__init__(self, portfolio, vtSymbol)
def __init__(self, portfolio, vtSymbol):
self.type = 'duo'
# 策略参数
self.bollWindow = 10 # 布林通道窗口数
self.bollDev = 2.4 # 布林通道的偏差
self.fixedSize = 1 # 每次交易的数量
self.initBars = 20 # 初始化数据所用的天数
self.minx = 'day'
# 策略临时变量
self.bollUp = 0 # 布林通道上轨
self.bollDown = 0 # 布林通道下轨
self.stop = 0 # 多头止损
# 需要持久化保存的变量
Signal.__init__(self, portfolio, vtSymbol)
def __init__(self, portfolio, vtSymbol):
self.type = 'mix'
# 策略参数
self.fixedSize = 1 # 每次交易的数量
self.initBars = 10 # 初始化数据所用的天数
self.minx = 'min5'
# 策略临时变量
self.can_buy = False
self.can_sell = False
self.can_short = False
self.can_cover = False
# 需要持久化保存的变量
self.cost = 0
self.ins_list = []
Signal.__init__(self, portfolio, vtSymbol)
def __init__(self, portfolio, vtSymbol,
entryWindow, exitWindow, atrWindow,
profitCheck=False):
"""Constructor"""
Signal.__init__(self, portfolio, vtSymbol)
# 策略参数
self.initBars = 60 # 初始化数据所用的天数
self.entryWindow = entryWindow # 入场通道周期数
self.exitWindow = exitWindow # 出场通道周期数
self.atrWindow = atrWindow # 计算ATR周期数
self.profitCheck = profitCheck # 是否检查上一笔盈利
# 策略变量
self.atrVolatility = 0 # ATR波动率
self.entryUp = 0 # 入场通道
self.entryDown = 0
self.exitUp = 0 # 出场通道
self.exitDown = 0
self.longEntry1 = 0 # 多头入场位
self.longEntry2 = 0
self.longEntry3 = 0
self.longEntry4 = 0
self.longStop = 0 # 多头止损位
self.shortEntry1 = 0 # 空头入场位
self.shortEntry2 = 0
self.shortEntry3 = 0
self.shortEntry4 = 0
self.shortStop = 0 # 空头止损位
# 需要持久化保存的参数
self.unit = 0 # 信号持仓
self.result = None # 当前的交易
self.resultList = [] # 交易列表
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.portfolio.engine._bc_loadInitBar(self.vtSymbol, self.initBars)
for bar in initData:
self.bar = bar
self.am.updateBar(bar)
def __init__(self, portfolio, vtSymbol):
self.type = 'kong'
# 策略参数
self.fixedSize = 10 # 每次交易的数量
self.initBars = 60 # 初始化数据所用的天数
self.minx = 'day'
# 策略临时变量
self.can_buy = False
self.can_sell = False
self.can_short = False
self.can_cover = False
# 需要持久化保存的变量
self.cost = 0
size_am = 100
assert self.initBars <= size_am
Signal.__init__(self, portfolio, vtSymbol)
def __init__(self, portfolio, vtSymbol):
self.type = 'duo'
# 策略参数
self.fixedSize = 1 # 每次交易的数量
self.initBars = 240 # 初始化数据所用的天数
self.minx = 'min30'
# 策略临时变量
self.can_short = False
self.can_cover = False
self.target = ''
self.opt = True
# 需要持久化保存的变量
self.cost = 0
size_am = 300
assert self.initBars <= size_am
Signal.__init__(self, portfolio, vtSymbol, size_am)
def __init__(self, portfolio, vtSymbol):
Signal.__init__(self, portfolio, vtSymbol)
# 策略变量
self.bollUp = None # 布林通道上轨
self.bollDown = None # 布林通道下轨
# 需要持久化保存的参数
self.buyPrice = 0
self.intraTradeLow = 100E4 # 持仓期内的最低点
self.longStop = 100E4 # 多头止损
# 初始化RSI入场阈值
self.rsiBuy = 50 + self.rsiEntry
self.rsiSell = 50 - self.rsiEntry
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.portfolio.engine.loadInitBar(self.vtSymbol, self.initBars)
for bar in initData:
if not self.am.inited:
self.onBar(bar)
def __init__(self, portfolio, vtSymbol):
self.type = 'duo'
# 策略参数
self.bollWindow = 80 # 布林通道窗口数
self.bollDev = 2 # 布林通道的偏差
self.fixedSize = 1 # 每次交易的数量
self.initBars = 90 # 初始化数据所用的天数
self.minx = 'min5'
# 策略临时变量
self.bollUp = 0 # 布林通道上轨
self.bollDown = 0 # 布林通道下轨
# 需要持久化保存的变量
self.stop = 0 # 多头止损
self.intraTradeHigh = 0
self.trailingPercent = 0.8
Signal.__init__(self, portfolio, vtSymbol)
def __init__(self, portfolio, vtSymbol):
self.type = 'multi'
# 策略参数
self.fixed_size_dict = {10:1, 20:2, 30:3} # 每次交易的数量
self.initBars = 60 # 初始化数据所用的天数
self.minx = 'min5'
self.atrValue = 0
self.atrWindow = 20
self.atr_x = 8
self.dual = 10
self.atr_h = 5
self.adjust_bp = 0
self.price_tick = get_contract(vtSymbol).price_tick
self.gap = 30
self.gap_base = self.gap
self.gap_min = 15
self.gap_max = 40
self.price_duo_list = []
self.price_kong_list = []
self.duo_adjust_price = 0
self.kong_adjust_price = 0
self.size_duo_list = []
self.size_kong_list = []
# 策略临时变量
self.can_buy = False
self.can_short = False
self.pnl = 0
self.first = True
self.counter = 0
Signal.__init__(self, portfolio, vtSymbol)
self.backtest = True if self.portfolio.engine.type == 'backtest' else False
def __init__(self, portfolio, vtSymbol):
self.type = 'one'
# 策略参数
self.fixedSize = 6 # 每次交易的数量
self.initBars = 100 # 初始化数据所用的天数
self.minx = 'min30'
# 策略临时变量
self.can_buy = False
self.can_sell = False
self.can_short = False
self.can_cover = False
self.ma_short_arr = None
self.ma_mid_arr = None
self.ma_long = None
# 需要持久化保存的变量
self.cost = 0
Signal.__init__(self, portfolio, vtSymbol)
def __init__(self, portfolio, vtSymbol):
# 策略参数
self.fixedSize = 1 # 每次交易的数量
self.initBars = 100 # 初始化数据所用的天数
self.minx = 'min5'
self.atrValue = 0
self.atrWindow = 30
self.gap = 30
self.price_duo_list = []
self.price_kong_list = []
# 策略临时变量
self.can_buy = False
self.can_short = False
self.pnl = 0
# 需要持久化保存的变量
Signal.__init__(self, portfolio, vtSymbol)
def __init__(self, portfolio, vtSymbol):
self.type = 'duo'
# 策略参数
self.rsiLength = 5 # 计算RSI的窗口数
self.rsiEntry = 16 # RSI的开仓信号
self.trailingPercent = 0.7 # 百分比移动止损
self.victoryPercent = 0.3
self.fixedSize = 1 # 每次交易的数量
self.initBars = 100 # 初始化数据所用的天数
self.minx = 'min5'
# 初始化RSI入场阈值
self.rsiBuy = 50 + self.rsiEntry
self.rsiSell = 50 - self.rsiEntry
# 策略临时变量
self.atr_short = 0
self.atr_mid = 0
self.atr_long = 0
self.rsi_value = 0 # RSI指标的数值
self.rsi_ma = 0
self.can_buy = False
self.can_short = False
self.bollUp = 0
self.bollDown = 0
self.gap = 100
self.dida = 0
# 需要持久化保存的变量
self.cost = 0
self.intraTradeHigh = 0 # 移动止损用的持仓期内最高价
self.intraTradeLow = 0 # 持仓期内的最低点
self.stop = 0 # 多头止损
Signal.__init__(self, portfolio, vtSymbol)
def __init__(self, portfolio, vtSymbol):
self.type = 'kong'
# 策略参数
self.fixedSize = 1 # 每次交易的数量
self.initBars = 100 # 初始化数据所用的天数
self.minx = 'min30'
# 策略临时变量
self.can_buy = False
self.can_sell = False
self.can_short = False
self.can_cover = False
# 需要持久化保存的变量
self.cost = 0
size_am = 100
assert self.initBars <= size_am
Signal.__init__(self, portfolio, vtSymbol)
self.bm_bar = None
self.bm = ArrayManager(60)
self.init_bm()
def __init__(self, portfolio, vtSymbol):
Signal.__init__(self, portfolio, vtSymbol)