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)
def close2(self, bar: BarData, calc_data):
if self.level > 0:
self.order_data = np.append(self.order_data, bar.close_price)
order_id = None
offset = -40
offset_m = int(offset / 2)
deg_full = calc_regress_deg(self.strategy.am.close[-10:], False)
if len(self.order_data) > abs(offset * 1.5):
y_fit = reg_util.regress_y_polynomial(self.order_data,
zoom=True)
deg_order_short = calc_regress_deg(y_fit[:abs(offset)], False)
if self.volumn > 0:
if deg_full < -0.01:
# if abs(deg_order_short) < abs(deg_full):
return self.strategy.sell(
bar.close_price,
1,
type=OrderType.MARKET,
extra={"reason": "平仓:趋势趋弱,deg={}".format(deg_full)})
elif self.volumn < 0:
if deg_full > 0.01:
# if abs(deg_order_short) < abs(deg_full):
return self.strategy.cover(
bar.close_price,
1,
type=OrderType.MARKET,
extra={"reason": "平仓:趋势趋弱,deg={}".format(deg_full)})
def trend_reverse_close(self, am: ArrayManager, bar: BarData, calc_data):
if self.trade_mgr.get_status() != PositionStatus.Empty:
data = self.ma_info.info[-60:]
length = len(data)
close = (data[10] + data[20] + data[30]) / 3
if length > 10:
y_fit = reg_util.regress_y_polynomial(close[-10:], zoom=True)
deg = calc_regress_deg(y_fit[:10], False)
else:
deg = calc_regress_deg(close[-10:], False)
calc_data["trade_close_deg"] = deg
if self.trade_mgr.get_status() == PositionStatus.Short:
if deg > 0.01:
calc_data["trade_close"] = "平仓:趋势反转{}".format(deg)
return self.trade_mgr.cover(bar.close_price)
elif self.trade_mgr.get_status() == PositionStatus.Long:
if deg < -0.01:
calc_data["trade_close"] = "平仓:趋势反转{}".format(deg)
return self.trade_mgr.sell(bar.close_price)
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)
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)