zhoujie/Quant_Code
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

增加交易策略、交易指标、量化库代码等文件夹

Browse Source
This commit is contained in:
Win_home
2025-04-27 15:54:09 +08:00
parent ca3b209096
commit f57150dae8
589 changed files with 854346 additions and 1757 deletions
Download Patch File Download Diff File Expand all files Collapse all files

238
1.交易策略/1.CTA策略/1.松鼠策略/2.松鼠SF09_基于成交量的阶梯均线过滤震荡行情/使用文稿/vnpy/vip09.py Normal file
View File

@@ -0,0 +1,238 @@
from vnpy_ctastrategy import (
CtaTemplate,
TargetPosTemplate,
StopOrder,
TickData,
BarData,
TradeData,
OrderData,
BarGenerator,
ArrayManager,
)
import pandas as pd
class vip09(TargetPosTemplate):
""""""
author = "松鼠Quant"
Length = 30
N=5
X=10
TS = 45
lots=1
current_bar = 0
Highup=0
Lowdown=0
HigherAfterEntry = float('inf')
LowerAfterEntry = -float('inf')
liQKA = 0
DliqPoint = 0
KliqPoint = 0
OBVValue=[0]
MAOBV=[0]
M2=[0]
cond1=[0]*2
cond2=[0]*2
cond3=[0]*2
cond4=[0]*2
cond5=[0]*2
kong_cond1=[0]*2
kong_cond2=[0]*2
kong_cond3=[0]*2
kong_cond4=[0]*2
kong_cond5=[0]*2
MA1=0
MA2=0
MA3=0
parameters = ["Length",'N','X',"TS",'lots']
variables = ["HigherAfterEntry","LowerAfterEntry","liQKA","DliqPoint","KliqPoint"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
#df: pd.DataFrame = pd.read_csv(r"index_contract.csv")
#self.contracts_sizes = {row.vt_symbol.split('.')[0]: row.contract_size for _, row in df.iterrows()}
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager(200)
self.pos=0
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
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.
"""
am = self.am
am.update_bar(bar)
if not am.inited:
return
# 如果历史数据还没有初始化完毕，则直接返回
# 注意：am 是交易系统中的一个数据管理器，可能用于管理历史数据
# bar 是当前的K线数据，其中包含了开盘价、最高价、最低价、收盘价和成交量等信息
if self.current_bar == 0:
self.OBVValue = [0]
else:
if am.close_array[-1] > am.close_array[-2]:
self.OBVValue += [self.OBVValue[-1] + am.volume_array[-1]]
elif am.close_array[-1] < am.close_array[-2]:
self.OBVValue += [self.OBVValue[-1] - am.volume_array[-1]]
# 根据收盘价的涨跌更新 OBV 值
# 如果当前收盘价大于昨日收盘价，则 OBV 值加上当前成交量
# 如果当前收盘价小于昨日收盘价，则 OBV 值减去当前成交量
# 注意：OBV 是一种基于成交量变化来反映买卖力量的技术指标，用于判断市场的买卖压力
self.current_bar=self.current_bar+1 #Bar线计数
#print(bar.datetime,"current_bar:",self.current_bar)
# 记录当前Bar的计数器值，并打印当前Bar的时间和计数器值
if(self.current_bar<self.Length*3):
return
# 如果当前Bar的计数器值小于三倍的Length，则直接返回
# 这可能是因为需要一定数量的历史数据才能计算出所需的指标值
# print(f'{self.OBVValue},OBVValue')
self.MA1=am.ema(self.Length,array=True)
self.MA2=am.ema(self.Length*2,array=True)
self.MA3=am.ema(self.Length*3,array=True)
# 计算三条指定长度的指数移动平均线（EMA）
# 分别记为MA1、MA2和MA3
self.MAOBV += [(sum(self.OBVValue[-self.Length:]) / self.Length)]
self.M2 += [(sum(self.OBVValue[-self.X:]) / self.X)]
# 计算 OBV 和 M2 的移动平均值
self.cond1=self.MA1 if am.close_array[-1] > self.MA1[-2] else self.cond1
self.cond2=self.MA1 if self.M2[-1] > self.M2[-2] else self.cond2
self.cond3=self.MA2 if am.close_array[-1] > self.MA2[-1] and self.MAOBV[-1] > self.MAOBV[-2] else self.cond3
self.cond4=self.MA2 if am.close_array[-1] > self.MA2[-1] else self.cond4
self.cond5=self.MA3 if am.close_array[-1] > self.MA3[-1] and self.MAOBV[-1] > self.MAOBV[-2] else self.cond5
# 根据条件更新多头条件指标cond1到cond5
# 根据条件更新空头条件指标kong_cond1到kong_cond5
self.kong_cond1=self.MA1 if am.close_array[-1] < self.MA1[-2] else self.kong_cond1
self.kong_cond2=self.MA1 if self.M2[-1] < self.M2[-2] else self.kong_cond2
self.kong_cond3=self.MA2 if am.close_array[-1] < self.MA2[-1] and self.MAOBV[-1] < self.MAOBV[-2] else self.kong_cond3
self.kong_cond4=self.MA2 if am.close_array[-1] < self.MA2[-1] else self.kong_cond4
self.kong_cond5=self.MA3 if am.close_array[-1] < self.MA3[-1] and self.MAOBV[-1] < self.MAOBV[-2] else self.kong_cond5
# 更新空头条件指标kong_cond1到kong_cond5
self.Highup=max(am.high_array[-self.N:-1])
self.Lowdown=min(am.low_array[-self.N:-1])
# 计算最近N个Bar的最高价和最低价，分别记为Highup和Lowdown
Long_line=am.close_array[-1]>self.MA3[-1] and self.MAOBV[-1]>self.MAOBV[-2]
short_line=am.close_array[-1]<self.MA3[-1] and self.MAOBV[-1]<self.MAOBV[-2]
#print(f'{self.MAOBV[-1]},MAOBV')
#print(f'{Long_line},Long_line')
#print(f'{short_line},short_line')
if Long_line:
if self.cond4[-1]>self.cond5[-2] and self.cond5[-1]>self.cond5[-2] and self.cond4[-1]>self.cond4[-2] and self.cond3[-1]>self.cond3[-2] and self.cond2[-1]>self.cond2[-2] and self.cond1[-1]>self.cond1[-2] :
if self.pos!=1 and bar.high_price>=self.Highup :
if self.pos == 0:
self.buy(bar.close_price, self.lots)
elif self.pos < 0:
self.cover(bar.close_price, self.lots)
self.buy(bar.close_price, self.lots)
self.LowerAfterEntry = bar.close_price
if short_line:
if self.kong_cond4[-1]<self.kong_cond5[-1] and self.kong_cond5[-1]<self.kong_cond5[-2] and self.kong_cond4[-1]<self.kong_cond4[-2] and self.kong_cond3[-1]<self.kong_cond3[-2] and self.kong_cond2[-1]<self.kong_cond2[-2] and self.kong_cond1[-1]<self.kong_cond1[-2]:
if self.pos!=-1 and bar.low_price<=self.Lowdown :
if self.pos == 0:
self.short(bar.close_price, self.lots)
elif self.pos > 0:
self.sell(bar.close_price, self.lots)
self.short(bar.close_price, self.lots)
self.HigherAfterEntry = bar.close_price
#记录入场后的最高价和最低价
if self.pos>0:
#self.HigherAfterEntry = HigherAfterEntry
self.LowerAfterEntry = max(self.LowerAfterEntry, bar.low_price)
elif self.pos<0:
self.HigherAfterEntry = min(self.HigherAfterEntry, bar.high_price)
#self.LowerAfterEntry = LowerAfterEntry
if self.pos == 0:
self.liQKA = 1
else:
self.liQKA = self.liQKA - 0.1
self.liQKA = max(self.liQKA, 0.5)
if self.pos>0:
DliqPoint = self.LowerAfterEntry - ((bar.open_price)*self.TS/1000)*self.liQKA
#print(bar.datetime,"DliqPoint",DliqPoint,"low_price",bar.low_price,"self.LowerAfterEntry",self.LowerAfterEntry)
if self.pos<0:
KliqPoint = self.HigherAfterEntry + ((bar.open_price)*self.TS/1000)*self.liQKA
#print(bar.datetime,"KliqPoint",KliqPoint,"high_price",bar.high_price,"self.HigherAfterEntry",self.HigherAfterEntry)
if (self.pos>0 and bar.low_price <= DliqPoint and DliqPoint>0):
#多头出场
self.sell(bar.close_price, self.lots)
elif (self.pos<0 and bar.high_price > KliqPoint and KliqPoint>0):
#空头出场
self.cover(bar.close_price, self.lots)
self.current_bar += 1
self.put_event()
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