class MaSignal(CtaSignal):
""""""
def __init__(self, fast_window: int, slow_window: int):
""""""
super().__init__()
self.fast_window = fast_window
self.slow_window = slow_window
self.bg = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.am = ArrayManager()
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_5min_bar(self, bar: BarData):
""""""
self.am.update_bar(bar)
if not self.am.inited:
self.set_signal_pos(0)
fast_ma = self.am.sma(self.fast_window)
slow_ma = self.am.sma(self.slow_window)
if fast_ma > slow_ma:
self.set_signal_pos(1)
elif fast_ma < slow_ma:
self.set_signal_pos(-1)
else:
self.set_signal_pos(0)
class RsiSignal(CtaSignal):
""""""
def __init__(self, rsi_window: int, rsi_level: float):
"""Constructor"""
super().__init__()
self.rsi_window = rsi_window
self.rsi_level = rsi_level
self.rsi_long = 50 + self.rsi_level
self.rsi_short = 50 - self.rsi_level
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
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.am.update_bar(bar)
if not self.am.inited:
self.set_signal_pos(0)
rsi_value = self.am.rsi(self.rsi_window)
if rsi_value >= self.rsi_long:
self.set_signal_pos(1)
elif rsi_value <= self.rsi_short:
self.set_signal_pos(-1)
else:
self.set_signal_pos(0)
class MultiTimeframeStrategy(CtaTemplate):
""""""
author = "用Python的交易员"
rsi_signal = 20
rsi_window = 14
fast_window = 5
slow_window = 20
fixed_size = 1
rsi_value = 0
rsi_long = 0
rsi_short = 0
fast_ma = 0
slow_ma = 0
ma_trend = 0
parameters = ["rsi_signal", "rsi_window",
"fast_window", "slow_window",
"fixed_size"]
variables = ["rsi_value", "rsi_long", "rsi_short",
"fast_ma", "slow_ma", "ma_trend"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.rsi_long = 50 + self.rsi_signal
self.rsi_short = 50 - self.rsi_signal
self.bg5 = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.am5 = ArrayManager()
self.bg15 = BarGenerator(self.on_bar, 15, self.on_15min_bar)
self.am15 = 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.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
if not self.ma_trend:
return
self.rsi_value = self.am5.rsi(self.rsi_window)
if self.pos == 0:
if self.ma_trend > 0 and self.rsi_value >= self.rsi_long:
self.buy(bar.close_price + 5, self.fixed_size)
elif self.ma_trend < 0 and self.rsi_value <= self.rsi_short:
self.short(bar.close_price - 5, self.fixed_size)
elif self.pos > 0:
if self.ma_trend < 0 or self.rsi_value < 50:
self.sell(bar.close_price - 5, abs(self.pos))
elif self.pos < 0:
if self.ma_trend > 0 or self.rsi_value > 50:
self.cover(bar.close_price + 5, 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.fast_ma = self.am15.sma(self.fast_window)
self.slow_ma = self.am15.sma(self.slow_window)
if self.fast_ma > self.slow_ma:
self.ma_trend = 1
else:
self.ma_trend = -1
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 DoubleMaStrategy(CtaTemplate):
author = "用Python的交易员"
fast_window = 10
slow_window = 20
fast_ma0 = 0.0
fast_ma1 = 0.0
slow_ma0 = 0.0
slow_ma1 = 0.0
parameters = ["fast_window", "slow_window"]
variables = ["fast_ma0", "fast_ma1", "slow_ma0", "slow_ma1"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
# super().__init__(OkexSpotApi, cta_engine)
# OkexSpotApi.__init__(self, api)
self.symbol = vt_symbol
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(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.
"""
# print(tick)
self.bg.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
am = self.am
am.update_bar(bar)
if not am.inited:
return
self.handle_data()
self.put_event()
def on_kline(self, kline_df):
"""
实盘交易调用K线函数
:param kline_df:
:return:
"""
am = self.am
am.close_array = kline_df['close']
am.high_array = kline_df['high']
am.low_array = kline_df['low']
am.open_array = kline_df['open']
self.handle_data()
def handle_data(self):
fast_ma = self.am.sma(self.fast_window, array=True)
self.fast_ma0 = fast_ma[-1]
self.fast_ma1 = fast_ma[-2]
slow_ma = self.am.sma(self.slow_window, array=True)
self.slow_ma0 = slow_ma[-1]
self.slow_ma1 = slow_ma[-2]
cross_over = self.fast_ma0 > self.slow_ma0 and self.fast_ma1 < self.slow_ma1
cross_below = self.fast_ma0 < self.slow_ma0 and self.fast_ma1 > self.slow_ma1
current_price = self.am.close_array[-1]
if cross_over:
if self.pos == 0:
self.buy(current_price, 1)
elif self.pos < 0:
self.cover(current_price, 1)
self.buy(current_price, 1)
elif cross_below:
if self.pos == 0:
self.short(current_price, 1)
elif self.pos > 0:
self.sell(current_price, 1)
self.short(current_price, 1)
def handle_data_spot(self):
fast_ma = self.am.sma(self.fast_window, array=True)
self.fast_ma0 = fast_ma[-1]
self.fast_ma1 = fast_ma[-2]
slow_ma = self.am.sma(self.slow_window, array=True)
self.slow_ma0 = slow_ma[-1]
self.slow_ma1 = slow_ma[-2]
cross_over = self.fast_ma0 > self.slow_ma0 and self.fast_ma1 < self.slow_ma1
cross_below = self.fast_ma0 < self.slow_ma0 and self.fast_ma1 > self.slow_ma1
current_price = self.am.close_array[-1]
if cross_over:
if self.pos < 0.01:
self.buy(current_price, 1, order_type='market')
elif cross_below:
if self.pos > 0:
self.sell(current_price, 1, order_type='market')
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 KingKeltnerStrategy(CtaTemplate):
""""""
author = "用Python的交易员"
kk_length = 11
kk_dev = 1.6
trailing_percent = 0.8
fixed_size = 1
kk_up = 0
kk_down = 0
intra_trade_high = 0
intra_trade_low = 0
long_vt_orderids = []
short_vt_orderids = []
vt_orderids = []
parameters = ["kk_length", "kk_dev", "trailing_percent", "fixed_size"]
variables = ["kk_up", "kk_down"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.am = ArrayManager()
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_5min_bar(self, bar: BarData):
""""""
for orderid in self.vt_orderids:
self.cancel_order(orderid)
self.vt_orderids.clear()
am = self.am
am.update_bar(bar)
if not am.inited:
return
self.kk_up, self.kk_down = am.keltner(self.kk_length, self.kk_dev)
if self.pos == 0:
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
self.send_oco_order(self.kk_up, self.kk_down, self.fixed_size)
elif self.pos > 0:
self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
self.intra_trade_low = bar.low_price
vt_orderids = self.sell(
self.intra_trade_high * (1 - self.trailing_percent / 100),
abs(self.pos), True)
self.vt_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)
vt_orderids = self.cover(
self.intra_trade_low * (1 + self.trailing_percent / 100),
abs(self.pos), True)
self.vt_orderids.extend(vt_orderids)
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 self.pos != 0:
if self.pos > 0:
for short_orderid in self.short_vt_orderids:
self.cancel_order(short_orderid)
elif self.pos < 0:
for buy_orderid in self.long_vt_orderids:
self.cancel_order(buy_orderid)
for orderid in (self.long_vt_orderids + self.short_vt_orderids):
if orderid in self.vt_orderids:
self.vt_orderids.remove(orderid)
self.put_event()
def send_oco_order(self, buy_price, short_price, volume):
""""""
self.long_vt_orderids = self.buy(buy_price, volume, True)
self.short_vt_orderids = self.short(short_price, volume, True)
self.vt_orderids.extend(self.long_vt_orderids)
self.vt_orderids.extend(self.short_vt_orderids)
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
class DoubleMaStrategy(CtaTemplate):
author = "用Python的交易员"
fast_window = 10
slow_window = 20
fast_ma0 = 0.0
fast_ma1 = 0.0
slow_ma0 = 0.0
slow_ma1 = 0.0
parameters = ["fast_window", "slow_window"]
variables = ["fast_ma0", "fast_ma1", "slow_ma0", "slow_ma1"]
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(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)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
am = self.am
am.update_bar(bar)
if not am.inited:
return
fast_ma = am.sma(self.fast_window, array=True)
self.fast_ma0 = fast_ma[-1]
self.fast_ma1 = fast_ma[-2]
slow_ma = am.sma(self.slow_window, array=True)
self.slow_ma0 = slow_ma[-1]
self.slow_ma1 = slow_ma[-2]
cross_over = self.fast_ma0 > self.slow_ma0 and self.fast_ma1 < self.slow_ma1
cross_below = self.fast_ma0 < self.slow_ma0 and self.fast_ma1 > self.slow_ma1
if cross_over:
if self.pos == 0:
self.buy(bar.close_price, 1)
elif self.pos < 0:
self.cover(bar.close_price, 1)
self.buy(bar.close_price, 1)
elif cross_below:
if self.pos == 0:
self.short(bar.close_price, 1)
elif self.pos > 0:
self.sell(bar.close_price, 1)
self.short(bar.close_price, 1)
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
pass
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
class AtrRsiStrategy(CtaTemplate):
""""""
author = " "
atr_length = 22
atr_ma_length = 10
rsi_length = 5
rsi_entry = 16
trailing_percent = 0.8
fixed_size = 1
atr_value = 0
atr_ma = 0
rsi_value = 0
rsi_buy = 0
rsi_sell = 0
intra_trade_high = 0
intra_trade_low = 0
parameters = [
"atr_length",
"atr_ma_length",
"rsi_length",
"rsi_entry",
"trailing_percent",
"fixed_size"
]
variables = [
"atr_value",
"atr_ma",
"rsi_value",
"rsi_buy",
"rsi_sell",
"intra_trade_high",
"intra_trade_low"
]
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.rsi_buy = 50 + self.rsi_entry
self.rsi_sell = 50 - self.rsi_entry
self.load_bar(1)
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()
am = self.am
am.update_bar(bar)
if not am.inited:
return
atr_array = am.atr(self.atr_length, array=True)
self.atr_value = atr_array[-1]
self.atr_ma = atr_array[-self.atr_ma_length:].mean()
self.rsi_value = am.rsi(self.rsi_length)
if self.pos == 0:
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
if self.atr_value > self.atr_ma:
if self.rsi_value > self.rsi_buy:
self.buy(bar.close_price + 5, self.fixed_size)
elif self.rsi_value < self.rsi_sell:
self.short(bar.close_price - 5, self.fixed_size)
elif self.pos > 0:
self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
self.intra_trade_low = bar.low_price
long_stop = self.intra_trade_high * \
(1 - self.trailing_percent / 100)
self.sell(long_stop, abs(self.pos), stop=True)
elif self.pos < 0:
self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
self.intra_trade_high = bar.high_price
short_stop = self.intra_trade_low * \
(1 + self.trailing_percent / 100)
self.cover(short_stop, abs(self.pos), stop=True)
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
pass
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
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().__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:
self.send_buy_orders(self.entry_up)
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.entry_down)
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 BollChannelStrategy(CtaTemplate):
""""""
author = "用Python的交易员"
boll_window = 18
boll_dev = 3.4
cci_window = 10
atr_window = 30
sl_multiplier = 5.2
fixed_size = 1
boll_up = 0
boll_down = 0
cci_value = 0
atr_value = 0
intra_trade_high = 0
intra_trade_low = 0
long_stop = 0
short_stop = 0
parameters = [
"boll_window",
"boll_dev",
"cci_window",
"atr_window",
"sl_multiplier",
"fixed_size"
]
variables = [
"boll_up",
"boll_down",
"cci_value",
"atr_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)
self.bg = BarGenerator(self.on_bar, 15, self.on_15min_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_15min_bar(self, bar: BarData):
""""""
self.cancel_all()
am = self.am
am.update_bar(bar)
if not am.inited:
return
self.boll_up, self.boll_down = am.boll(self.boll_window, self.boll_dev)
self.cci_value = am.cci(self.cci_window)
self.atr_value = am.atr(self.atr_window)
if self.pos == 0:
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
if self.cci_value > 0:
self.buy(self.boll_up, self.fixed_size, True)
elif self.cci_value < 0:
self.short(self.boll_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_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_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