def setConfig(root=None):
# 设置策略类
optimize.strategyClass = DoubleMaStrategy
# 设置缓存路径，如果不设置则不会缓存优化结果。
optimize.root = root
# 设置引擎参数
optimize.engineSetting = {
"startDate": "20181130 00:00:00",
"endDate": "20190115 23:59:00",
"dbName": "VnTrader_1Min_Db",
"contract": [{
"slippage": 0.5,
"rate": 0.0005,
}]
}
# 设置策略固定参数
optimize.globalSetting = {
"symbolList": ["IF88:CTP"],
"barPeriod": 150,
}
# 设置策略优化参数
optimize.paramsSetting = {
"fastPeriod": range(5, 21, 10),
"slowPeriod": range(30, 81, 20)
}
path = os.path.split(os.path.realpath(__file__))[0]
with open(path + "//CTA_setting.json") as f:
globalSetting = json.load(f)[0]
optimize.globalSetting = globalSetting
optimize.initOpt()
def setConfig(root=None):
# 设置策略类
optimize.strategyClass = Donchian_Strategy
# 设置缓存路径，如果不设置则不会缓存优化结果。
optimize.root = root
# 设置引擎参数
optimize.engineSetting = {
"startDate": "20180202 10:00:00",
"endDate": "20190225 23:00:00",
"dbName": "VnTrader_1Min_Db",
"contract": [{
"slippage": 0.5,
"rate": 5 / 10000,
}]
}
# 设置策略固定参数
optimize.globalSetting = {
"symbolList": ["IF88:CTP"],
"barPeriod": 150,
}
# 设置策略优化参数
optimize.paramsSetting = {
"envPeriod": range(10, 20, 2),
"stopAtrTime": np.arange(1.5, 2.5, 0.2)
}
path = os.path.split(os.path.realpath(__file__))[0]
with open(path + "//CTA_setting.json") as f:
globalSetting = json.load(f)[0]
optimize.globalSetting = globalSetting
optimize.initOpt()
def setConfig(root=None):
# 设置策略类
optimize.strategyClass = MacdCCIStrategy
# 设置缓存路径，如果不设置则不会缓存优化结果。
optimize.root = root
# 设置引擎参数
optimize.engineSetting = {
"startDate": "20160603 10:00:00",
"endDate": "20190225 23:00:00",
"dbName": "VnTrader_1Min_Db",
"contract": [{
"slippage": 0.1,
"rate": 0.0005,
}]
}
# 设置策略固定参数
optimize.globalSetting = {
"symbolList": ["IF88:CTP"],
"barPeriod": 150,
}
# 设置策略优化参数
optimize.paramsSetting = {
"CCIshortPeriod": range(11, 31, 5),
"CCIlongPeriod": range(31, 51, 5)
}
path = os.path.split(os.path.realpath(__file__))[0]
with open(path + "//CTA_setting.json") as f:
globalSetting = json.load(f)[0]
optimize.globalSetting = globalSetting
optimize.initOpt()
def setConfig(root=None):
# 设置策略类
optimize.strategyClass = Price_VolumeStrategy
# 设置缓存路径，如果不设置则不会缓存优化结果。
optimize.root = root
# 设置引擎参数
optimize.engineSetting = {
"startDate": "20140101 00:00:00",
"endDate": "20171231 23:59:00",
"dbName": "VnTrader_1Min_Db",
"contract": [{
"slippage": 0.5,
"rate": 0.0005,
}]
}
# 设置策略固定参数
optimize.globalSetting = {
"symbolList": ["IF:CTP"],
"barPeriod": 150,
}
# 设置策略优化参数
optimize.paramsSetting = {
"PERIOD": range(5, 31, 5),
"STDUP": range(0.5, 3, 0.5),
"STDDN": range(0.5, 3, 0.5)
}
path = os.path.split(os.path.realpath(__file__))[0]
with open(path + "//Price_Volume_CTA_setting.json") as f:
globalSetting = json.load(f)[0]
optimize.globalSetting = globalSetting
optimize.initOpt()
def initOptimize(self, paramSetting, root=None):
optimize.strategyClass = self.strategyClass
optimize.engineSetting = self.engineSetting
optimize.globalSetting = self.globalSetting
optimize.paramsSetting = paramSetting
optimize.root = root
optimize.initOpt()
def setConfig(root=None):
# 设置策略类
optimize.strategyClass = DoubleMaStrategy
# 设置缓存路径，如果不设置则不会缓存优化结果。
optimize.root = root
# 设置引擎参数
optimize.engineSetting = {
'dbURI': "mongodb://192.168.0.104:27017",
"bardbName": "VnTrader_1Min_Db_contest",
"timeRange": {
"tradeStart": datetime(2014, 6, 1),
"tradeEnd": datetime(2016, 6, 1),
"historyStart": datetime(2014, 3, 1),
},
"contract": [{
"slippage": 0.5,
"rate": 0.0005,
}]
}
# 设置策略固定参数
optimize.globalSetting = {
"symbolList": ["IF88:CTP"],
# "barPeriod": 100,
}
# 设置策略优化参数
optimize.paramsSetting = {
"fastPeriod": range(5, 21, 5),
"slowPeriod": range(30, 81, 20)
}
path = os.path.split(os.path.realpath(__file__))[0]
with open(path + "//CTA_setting.json") as f:
globalSetting = json.load(f)[0]
optimize.globalSetting = globalSetting
optimize.initOpt()
def setConfig(root=None):
# 设置策略类
optimize.strategyClass = SimpleStrategy
# 设置缓存路径，如果不设置则不会缓存优化结果。
optimize.root = root
# 设置引擎参数
optimize.engineSetting = {
"timeRange": {
"tradeStart": datetime(2014, 1, 1),
"tradeEnd": datetime(2017, 12, 31),
"historyStart": datetime(2013, 12, 1)
},
"dbURI":
"localhost",
"bardbName":
"vnTrader_1Min_Db",
"contracts": [{
"symbol": "IF:CTP",
"rate": 5 / 10000, # 单边手续费 IF RB 2019,8,1 2017,12,31
"slippage": 0.5 # 滑价
}]
}
# 设置策略固定参数
optimize.globalSetting = {
"symbolList": ["IF:CTP"],
"barPeriod": 150,
}
# 设置策略优化参数
optimize.paramsSetting = {
"Env_trend_period": 30, #range(20,61,5),
"Env_trend_value": 0.5,
"trend_condition_period": 25, #range(20,61,5),
"EfficiencyRation_threshold": 0.5,
"BOLL_MID_MA_strend": 50, #range(35,51,5),
"BOLL_SD_strend": 27, #range(20,31,1),
"BOLL_MID_MA_wtrend": 40, #range(20,61,5),
"BOLL_SD_wtrend": 22, #range(20,31,1),
"ATR_period": range(10, 31, 1),
"ATR_threshold": range(2, 5, 1),
"ROC_Period": 65, #range(20,81,5),
"ROC_MA_Period": 70, #range(20,81,5),
"BOLL_MID_MA_ntrend": 30, #range(20,51,5),
"BOLL_SD_ntrend": 24, #range(20,31,1),
"MA_Short_period": 50, #range(20,121,5),
"MA_Long_period": 60, #range(80,121,5),
"ntrend_Stop_Time": 6,
"Capital": 500000,
"lot": 0.4,
"wlot": 0.3,
"addTime": 1,
"addlot": 0.1,
"addPre": 0.03
}
path = os.path.split(os.path.realpath(__file__))[0]
with open(path + "//setting.json") as f:
globalSetting = json.load(f)[0]
optimize.globalSetting = globalSetting
optimize.initOpt()
def setConfig(setting=None, root=None, STRATEGYCLASS=None, ENGINESETTING= None):
# 设置策略类
optimize.strategyClass = STRATEGYCLASS
# 设置缓存路径，如果不设置则不会缓存优化结果。
optimize.root = root
# 设置引擎参数
optimize.engineSetting = ENGINESETTING
# 设置策略固定参数
with open("CTA_setting.json") as f:
globalSettingsetting = json.load(f)[0]
globalSettingsetting.update(ENGINESETTING)
optimize.globalSetting = globalSettingsetting
# 设置策略优化参数
optimize.paramsSetting = setting
optimize.initOpt()
def setConfig(root=None):
# 设置策略类
optimize.strategyClass = KMAStrategy
# 设置缓存路径，如果不设置则不会缓存优化结果。
optimize.root = root
# 设置引擎参数
optimize.engineSetting = {
"timeRange": {
"tradeStart": datetime(2014, 1, 1),
"tradeEnd": datetime(2017, 12, 31),
"historyStart": datetime(2013, 7, 1)
},
"dbURI": "localhost",
"bardbName": "VnTrader_1Min_Db",
"contracts": [{
"symbol": symbolName,
"slippage": 0.5,
"rate": 0.0005
}]
}
# 设置策略固定参数
optimize.globalSetting = {
"timeframeMap": {
"signalPeriod": "30m"
},
"symbolList": [symbolName],
"barPeriod": 200,
"atrPeriod": 30,
"fastPeriod": 20,
"stopAtrTimes": 100000,
"stopRevTimes": 100000,
"lot": 2
}
# 设置策略优化参数
optimize.paramsSetting = {
"slowPeriod": range(30, 101, 10),
"slowPeriod2": range(30, 181, 10),
"channelPeriod": range(10, 101, 10)
}
optimize.initOpt()
def setConfig(root=None):
# 设置策略类
optimize.strategyClass = myStrategy
# 设置缓存路径，如果不设置则不会缓存优化结果。
optimize.root = root
# 设置引擎参数
optimize.engineSetting = {
"timeRange": {
"tradeStart": datetime(2014, 2, 2),
"tradeEnd": datetime(2019, 7, 20),
"historyStart": datetime(2013, 1, 1)
},
"dbURI":
"localhost",
"bardbName":
"vnTrader_1Min_Db",
"contracts": [{
"symbol": "IF:CTP",
"rate": 5 / 10000, # 单边手续费
"slippage": 0.002 # 滑价
}]
}
# 设置策略固定参数
optimize.globalSetting = {
"symbolList": ["IF:CTP"],
"barPeriod": 300,
"timeframeMap": {
"signalPeriod": "15m"
},
"macdPeriod": 12,
"macdsignalPeriod": 26,
"macdhistPeriod": 9,
"stopwinPeriod": 12,
"posTime": 4,
"addPct": 0.02,
"lot": 10,
"atrPeriod": 24,
"maPeriod": 40
}
# 设置策略优化参数
optimize.paramsSetting = {"stopAtrTime": np.arange(0.5, 3, 0.5)}
optimize.initOpt()
def setConfig(root=None):
# 设置策略类
optimize.strategyClass = Strategy
# 设置缓存路径，如果不设置则不会缓存优化结果。
optimize.root = root
# 设置引擎参数
optimize.engineSetting = {
"startDate": "20160603 10:00:00",
"endDate": "20190225 23:00:00",
"dbName": "VnTrader_1Min_Db",
"contract": [{
"slippage": 0,
"rate": 0
}]
}
# 设置策略固定参数
optimize.globalSetting = {
"symbolList": ["RB88:CTP"],
"barPeriod": 150, #往前推的初始数据值
"timeframeMap": {
"envPeriod": "15m",
"signalPeriod": "15m",
"ATRPeriod": "60m"
},
"barPeriod": 150,
"envPeriod": 100,
"stoplossPct": 0.02,
"atrPeriod": 20,
"lot": 10
}
# 设置策略优化参数
optimize.paramsSetting = {
"fastPeriod": range(1, 21, 1),
"slowPeriod": range(5, 31, 1)
}
path = os.path.split(os.path.realpath(__file__))[0]
with open(path + "//CTA_setting.json") as f:
globalSetting = json.load(f)[0]
optimize.globalSetting = globalSetting
optimize.initOpt()
def setConfig(root=None):
# 设置策略类
optimize.strategyClass = myStrategy
# 设置缓存路径，如果不设置则不会缓存优化结果。
optimize.root = root
# 设置引擎参数
optimize.engineSetting = {
"startDate": "20160703 10:00:00",
"endDate": "20190101 23:59:00",
"dbName": "VnTrader_1Min_Db",
"contract":[{
"slippage": 0.002,
"rate": 5/10000,
}]
}
# 设置策略固定参数
optimize.globalSetting = {
"symbolList": ["A88:CTP"],
"barPeriod": 150,
}
# 设置策略优化参数
optimize.paramsSetting = {
"envPeriod": range(10,25,5),
"longenvPeriod": range(20,35,5),
"MIfactor": np.arange(0.05, 0.2, 0.05),
"bullPeriod": range(15,30,5),
"bearPeriod": (10,15,5),
"fastPeriod": range(5,15,5),
"slowPeriod": range(20,35,5),
"maPeriod": range(25,35,5)
}
path = os.path.split(os.path.realpath("runOptParallel.py"))[0]
with open(path+"/CTA_setting.json") as f:
globalSetting = json.load(f)[0]
optimize.globalSetting = globalSetting
optimize.initOpt()
def setConfig(root=None):
# 设置策略类
optimize.strategyClass = TurningPointStrategy
# 设置缓存路径，如果不设置则不会缓存优化结果。
optimize.root = root
# 设置引擎参数
optimize.engineSetting = {
# "timeRange": {
# "tradeStart": datetime(2017, 12, 31),
# "tradeEnd": datetime(2019, 8, 2),
# "historyStart": datetime(2016, 6, 3)
# },
# "timeRange": {
# "tradeStart": datetime(2014, 2, 18),
# "tradeEnd": datetime(2017, 12, 31),
# "historyStart": datetime(2013, 11, 4)
# },
"timeRange": {
"tradeStart": datetime(2014, 2, 18),
"tradeEnd": datetime(2019, 8, 2),
"historyStart": datetime(2013, 11, 4)
},
"dbURI":
"localhost",
"bardbName":
"vnTrader_1Min_Db",
"contract": [{
"symbol": "JD:CTP",
"size": 1, # 每点价值
"priceTick": 0.01, # 最小价格变动
"slippage": 0.5,
"rate": 5 / 10000,
}]
}
# 设置策略固定参数
optimize.globalSetting = {
"symbolList": ["J:CTP"], # 修改品种必须通过 CTA_setting.json，这里是无效的
"barPeriod": 150,
}
# 设置策略优化参数
optimize.paramsSetting = {
# 'nBar': range(7,17,1),
# 'base_range': np.arange(0.01, 0.021, 0.005),
# 'back_range': np.arange(-0.007, 0, 0.002),
# 'symbolList': [["J:CTP"], ["IF:CTP"], ["RB:CTP"], ["AG:CTP"], ["ZN:CTP"], ["TA:CTP"], ["AU:CTP"]],
# 'symbolList': [["I:CTP"], ["SR:CTP"], ["CF:CTP"], ["BU:CTP"]],
# 'ma_period': range(3,10,1),
# 'profit_r': np.arange(0.8, 1.21, 0.1),
# 'loss_r': np.arange(0.4, 0.71, 0.1),
# 'sp_length': range(4,10,1),
# 'change_r1': np.arange(0.1, 0.51, 0.2),
# 'change_r2': np.arange(0, 1.01, 0.2),
# 'dif_r1': np.arange(0.3, 1.01, 0.1),
'dif_r2': np.arange(1.2, 1.41, 0.1),
# 'posTime': range(1,3,1),
# 'addPct': np.arange(0.005, 0.021, 0.005),
}
path = os.path.split(os.path.realpath(__file__))[0]
with open(path + "//CTA_setting.json") as f:
globalSetting = json.load(f)[0]
optimize.globalSetting = globalSetting
optimize.initOpt()