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 __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()
self.bars = []
def __init__(self, cta_engine: CtaEngine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg_1hour = BarGenerator(self.on_bar, 1, self.on_1hour_bar, Interval.HOUR)
self.am = ArrayManager(size=100) # 时间序列，类似我们用的pandas, 值保留最近的N个K线的数据.
class FixedTradeTimeStrategy(CtaTemplate):
"""
基于价格的定投
"""
author = "51bitquant"
fixed_trade_money = 1000
parameters = ["fixed_trade_money"]
def __init__(self, cta_engine: CtaEngine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg_1hour = BarGenerator(self.on_bar, 1, self.on_1hour_bar, Interval.HOUR)
self.am = ArrayManager(size=100) # 时间序列，类似我们用的pandas, 值保留最近的N个K线的数据.
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(1) # 具体加载多少天的数据, 1表示1天的数据，如果是2表示过去2天的数据
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log(f"我的策略启动")
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):
pass
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg_1hour.update_bar(bar) # 合成1小时的数据.
self.put_event()
def on_1hour_bar(self, bar: BarData):
"""
1小时的K线数据.
"""
self.cancel_all() # 取消订单.
self.am.update_bar(bar) # 把最新的K线放进时间序列里面.
if not self.am.inited: # True
return
"""
定投逻辑: 周四下午三点定投， 周五下午四点定投
"""
# 2000 * 54 # 10万美金，
if bar.datetime.isoweekday() == 5 and bar.datetime.hour == 16:
price = bar.close_price * 1.001
self.buy(price, self.fixed_trade_money/price)
if bar.datetime.isoweekday() == 4 and bar.datetime.hour == 15:
price = bar.close_price * 1.001
self.buy(price, self.fixed_trade_money / price)
# 下面可以计算基数指标等等....
# 以及下单的事情.
self.put_event()
def on_order(self, order: OrderData):
"""
订单的回调方法: 订单状态更新的时候，会调用这个方法。
"""
self.put_event()
def on_trade(self, trade: TradeData):
"""
"""
self.put_event() # 更新UI界面方法。
def on_stop_order(self, stop_order: StopOrder):
"""
这个是一个停止单的方法，用来监听你止损单的方法。
"""
pass
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
close_5 = pd.Series(self.am5.close_array)
self.rsi_value = ta.rsi(close_5, self.rsi_window).iloc[-1]
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
close_15 = pd.Series(self.am15.close_array)
self.fast_ma = ta.sma(close_15, self.fast_window).iloc[-1]
self.slow_ma = ta.sma(close_15, self.slow_window).iloc[-1]
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
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(AtrRsiStrategy, self).__init__(cta_engine, strategy_name,
vt_symbol, setting)
self.bg = BarGenerator(self.on_bar, 15, self.on_15min_bar)
self.am = ArrayManager()
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
high = pd.Series(self.am.high_array)
low = pd.Series(self.am.low_array)
close = pd.Series(self.am.close_array)
if not self.pos:
self.entry_up, self.entry_down = high.rolling(self.entry_window).max().iloc[-1], low.rolling(
self.entry_window).min().iloc[-1]
self.exit_up, self.exit_down = high.rolling(self.exit_window).max().iloc[-1], \
low.rolling(self.entry_window).min().iloc[-1]
if not self.pos:
self.atr_value = ta.atr(high, low, close, self.atr_window).iloc[-1] # 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 FixedTradPriceStrategy(CtaTemplate):
"""
基于价格的定投
"""
author = "51bitquant"
fixed_trade_money = 1000 # 每次定投的资金比例.
price_change_pct = 0.05 # 价格变动多少的时候定投
parameters = ['fixed_trade_money', 'price_change_pct']
def __init__(self, cta_engine: CtaEngine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg_4hour = BarGenerator(self.on_bar, 4, self.on_4hour_bar, Interval.HOUR)
self.am = ArrayManager(size=100) # 时间序列，类似我们用的pandas, 值保留最近的N个K线的数据.
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(1) # 具体加载多少天的数据, 1表示1天的数据，如果是2表示过去2天的数据
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log(f"我的策略启动")
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):
pass
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg_4hour.update_bar(bar) # 合成四小时的数据.
self.put_event()
def on_4hour_bar(self, bar: BarData):
"""
四小时的K线数据.
"""
self.cancel_all() # 撤销所有订单.
self.am.update_bar(bar) # 把最新的K线放进时间序列里面.
# 下面可以计算基数指标等等....
# 以及下单的事情.
if not self.am.inited:
return
# [0,1,2,3,4,5,6]
last_close_price = self.am.close_array[-2] # 上一根K线
current_close_price = bar.close_price # self.am.close_array[-1] # 当前的收盘价
# 如果四小时价格下跌5%就买入.
if (last_close_price - current_close_price)/last_close_price >= self.price_change_pct:
price = bar.close_price * 1.001
self.buy(price, self.fixed_trade_money/price)
self.put_event()
def on_order(self, order: OrderData):
"""
订单的回调方法: 订单状态更新的时候，会调用这个方法。
"""
self.put_event()
def on_trade(self, trade: TradeData):
"""
"""
self.put_event() # 更新UI界面方法。
def on_stop_order(self, stop_order: StopOrder):
"""
这个是一个停止单的方法，用来监听你止损单的方法。
"""
pass