增加交易策略、交易指标、量化库代码等文件夹
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1.交易策略/1.CTA策略/1.松鼠策略/3.松鼠SF10__魔改布林交易策略/使用文稿/TBQ/VIP10.fbk
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1.交易策略/1.CTA策略/1.松鼠策略/3.松鼠SF10__魔改布林交易策略/使用文稿/TBQ/VIP10.fbk
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//------------------------------------------------------------------------
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// <20><><EFBFBD><EFBFBD>: vip09
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// <20><><EFBFBD><EFBFBD>: vip09
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// <20><><EFBFBD><EFBFBD>: <20><>ʽӦ<CABD><D3A6>
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// <20><><EFBFBD><EFBFBD>: <20>û<EFBFBD>Ӧ<EFBFBD><D3A6>
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// <20><><EFBFBD><EFBFBD>: Void
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//------------------------------------------------------------------------
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Params
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//Ĭ<><C4AC><EFBFBD><EFBFBD><EFBFBD><EFBFBD>888 1Сʱ
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Numeric Length(20); //<2F><><EFBFBD><EFBFBD>
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Numeric Offset(2); //<2F><><EFBFBD><EFBFBD><EEB1B6>
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Numeric X(0.5);
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Numeric SS(0.01);
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Numeric TRS(75);//<2F>ƶ<EFBFBD>ֹ<EFBFBD><D6B9>ֹӯ<D6B9><D3AF><EFBFBD><EFBFBD> <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD>Χ<EFBFBD><CEA7><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD> 5-100<30><30>5
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Numeric Fund(20000); //Ͷ<>뱣֤<EBB1A3><D6A4><EFBFBD><EFBFBD>
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Vars
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Numeric Lots(0);
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Series<Numeric> ma1;
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Series<Numeric> UpLine; //<2F>Ϲ<EFBFBD>
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Series<Numeric> DownLine; //<2F>¹<EFBFBD>
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Series<Numeric> MidLine; //<2F>м<EFBFBD><D0BC><EFBFBD>
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Series<Numeric> Band;
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Series<Numeric> cond1;
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Series<Numeric> cond2;
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Series<Numeric> cond3;
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Series<Numeric> cond4;
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Series<Numeric> kcond1;
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Series<Numeric> kcond2;
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Series<Numeric> kcond3;
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Series<Numeric> kcond4;
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//<2F><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
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Series<Numeric> MyPrice;//<2F><><EFBFBD>ּ۸<D6BC>
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Series<Numeric> MyPrice2;//<2F><><EFBFBD>ּ۸<D6BC>
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Series<Numeric> HighAfterEntry;//<2F><><EFBFBD>ֺ<EFBFBD><D6BA><EFBFBD><EFBFBD>ֵ<EFBFBD><D6B5><EFBFBD><EFBFBD><EFBFBD>
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Series<Numeric> LowAfterEntry;//<2F><><EFBFBD>ֺ<EFBFBD><D6BA><EFBFBD><EFBFBD>ֵ<EFBFBD><D6B5><EFBFBD><EFBFBD>ͼ<EFBFBD>
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Series<Numeric> liQKA;
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Series<Numeric> DliqPoint;
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Series<Numeric> KliqPoint;
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Series<Numeric> barcoutN;
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Series<Numeric> bar_entry_count;
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Series<Numeric> kaicang_kg;
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Series<Numeric> BB;
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Series<Numeric> WIDTH;
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Plot plt1;
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Plot plt2;
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Events
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//<2F>˴<EFBFBD>ʵ<EFBFBD><CAB5><EFBFBD>¼<EFBFBD><C2BC><EFBFBD><EFBFBD><EFBFBD>
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//<2F><>ʼ<EFBFBD><CABC><EFBFBD>¼<EFBFBD><C2BC><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ڼ䣬<DABC><E4A3AC><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ֻ<EFBFBD><D6BB>һ<EFBFBD>Σ<EFBFBD>Ӧ<EFBFBD><D3A6><EFBFBD>ڶ<EFBFBD><DAB6><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ݵȲ<DDB5><C8B2><EFBFBD>
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OnInit()
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{
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//<2F><><EFBFBD><EFBFBD><EFBFBD><EFBFBD>Դ<EFBFBD>й<EFBFBD>
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Range[0:DataCount-1]
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{
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//=========<3D><><EFBFBD><EFBFBD>Դ<EFBFBD><D4B4><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>==============
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AddDataFlag(Enum_Data_RolloverBackWard()); //<2F><><EFBFBD>ú<EFBFBD><C3BA><EFBFBD>Ȩ
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AddDataFlag(Enum_Data_RolloverRealPrice()); //<2F><><EFBFBD><EFBFBD>ӳ<EFBFBD><D3B3><EFBFBD><EFBFBD>ʵ<EFBFBD>۸<EFBFBD>
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AddDataFlag(Enum_Data_AutoSwapPosition()); //<2F><><EFBFBD><EFBFBD><EFBFBD>Զ<EFBFBD><D4B6><EFBFBD><EFBFBD><EFBFBD>
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//AddDataFlag(Enum_Data_IgnoreSwapSignalCalc()); //<2F><><EFBFBD>ú<EFBFBD><C3BA>Ի<EFBFBD><D4BB><EFBFBD><EFBFBD>źż<C5BA><C5BC><EFBFBD>
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plt1.figure(0); //plt_vol<6F><6C><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>û<EFBFBD><C3BB>壬û<E5A3AC><C3BB>ָ<EFBFBD><D6B8><EFBFBD><EFBFBD><EFBFBD><EFBFBD>id,ϵͳ<CFB5>Զ<EFBFBD><D4B6><EFBFBD><EFBFBD><EFBFBD>
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plt2.figure(0);
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}
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}
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//Bar<61><72><EFBFBD><EFBFBD><EFBFBD>¼<EFBFBD><C2BC><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>indexs<78><73>ʾ<EFBFBD>仯<EFBFBD><E4BBAF><EFBFBD><EFBFBD><EFBFBD><EFBFBD>Դͼ<D4B4><CDBC>ID<49><44><EFBFBD><EFBFBD>
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OnBar(ArrayRef<Integer> indexs)
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{
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Lots = Max(1, Round(Fund/(O*ContractUnit*BigPointValue* MarginRatio/rollover), 0));
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MidLine = AverageFC(Close,Length);
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Band = StandardDev(Close,Length,2);
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UpLine = MidLine + Offset * Band;
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DownLine = MidLine - Offset * Band;
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PlotNumeric("MidLine",cond1,cond1,White);
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PlotNumeric("UpLine",cond2,cond2,red);
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PlotNumeric("DownLine",cond3,cond3,Green);
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//<2F><><EFBFBD>ּ<EFBFBD><D6BC>ޣ<EFBFBD>BB<42><42>=<3D><><EFBFBD><EFBFBD><EFBFBD>̼<EFBFBD>-<2D><><EFBFBD><EFBFBD><EFBFBD>¹<EFBFBD><C2B9>۸<EFBFBD><DBB8><EFBFBD>/<2F><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>Ϲ<EFBFBD><CFB9>۸<EFBFBD>-<2D><><EFBFBD><EFBFBD><EFBFBD>¹<EFBFBD><C2B9>۸<EFBFBD><DBB8><EFBFBD>
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BB=((C-DownLine)/(UpLine-DownLine));
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//WIDTH=<3D><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>Ϲ<EFBFBD>ֵ-<2D><><EFBFBD><EFBFBD><EFBFBD>¹<EFBFBD>ֵ<EFBFBD><D6B5>/<2F><><EFBFBD><EFBFBD>ƽ<EFBFBD><C6BD>ֵ
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WIDTH=((UpLine-DownLine)/MidLine);
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plt1.line("BB",BB); //<2F><><EFBFBD><EFBFBD>
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plt2.line("WIDTH",WIDTH);
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if(MarketPosition!=1 and H>=UpLine[1] and C[1]<UpLine[1] and BB[1]>X and WIDTH[1]>SS)
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{
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Buy(Lots,max(open,UpLine[1])); // <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>㿪<EFBFBD><E3BFAA><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
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LowAfterEntry = EntryPrice;//<2F><><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ͷ<EFBFBD><CDB7><EFBFBD>ּ۸<D6BC>;
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kaicang_kg=1; // <20><><EFBFBD><EFBFBD><EFBFBD>ѿ<EFBFBD><D1BF><EFBFBD>
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bar_entry_count=0; // <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>δ<EFBFBD><CEB4><EFBFBD>ֵ<EFBFBD>Bar<61><72><EFBFBD><EFBFBD>
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barcoutN=0; //<2F><><EFBFBD><EFBFBD>liQKAϵ<41><CFB5><EFBFBD>ļ<EFBFBD><C4BC><EFBFBD>
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liQKA = 1;
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}
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if(MarketPosition!=-1 and L<=DownLine[1] and C[1]>DownLine[1] and BB[1]<X and WIDTH[1]>SS)
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{
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SellShort(Lots,min(open,DownLine[1])); // <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>㿪<EFBFBD><E3BFAA><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
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HighAfterEntry = EntryPrice;//<2F><><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ͷ<EFBFBD><CDB7><EFBFBD>ּ۸<D6BC>;
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kaicang_kg=1; // <20><><EFBFBD><EFBFBD><EFBFBD>ѿ<EFBFBD><D1BF><EFBFBD>
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bar_entry_count=0; // <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>δ<EFBFBD><CEB4><EFBFBD>ֵ<EFBFBD>Bar<61><72><EFBFBD><EFBFBD>
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barcoutN=0; //<2F><><EFBFBD><EFBFBD>liQKAϵ<41><CFB5><EFBFBD>ļ<EFBFBD><C4BC><EFBFBD>
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liQKA = 1;
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}
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if(kaicang_kg[1] ==1) // <20><><EFBFBD><EFBFBD><EFBFBD>ڱ<EFBFBD><DAB1><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>п<EFBFBD><D0BF>ֲ<EFBFBD><D6B2><EFBFBD>
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{
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bar_entry_count=bar_entry_count+1; // <20><><EFBFBD><EFBFBD><EFBFBD>ּ<EFBFBD><D6BC><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>һ
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}
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Else
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{
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bar_entry_count=0; // <20><><EFBFBD><EFBFBD>û<EFBFBD>п<EFBFBD><D0BF>֣<EFBFBD><D6A3><EFBFBD><F2BDABBF>ּ<EFBFBD><D6BC><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>Ϊ 0
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}
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//<2F>ƶ<EFBFBD><C6B6><EFBFBD><EFBFBD><EFBFBD>
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If(MarketPosition == 0) // <20><><EFBFBD><EFBFBD>Ӧ<EFBFBD><D3A6><EFBFBD><EFBFBD>Ĭ<EFBFBD><C4AC>ֵ<EFBFBD><D6B5>
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{
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liQKA = 1;
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barcoutN=0;
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}Else if(bar_entry_count>barcoutN) //<2F><><EFBFBD>гֲֵ<D6B2><D6B5><EFBFBD><EFBFBD><EFBFBD><EFBFBD>£<EFBFBD>liQKA<4B><41><EFBFBD><EFBFBD><EFBFBD>ųֲ<C5B3>ʱ<EFBFBD><CAB1><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>Ӷ<EFBFBD><D3B6><EFBFBD>С<EFBFBD><D0A1><EFBFBD><EFBFBD>ֹ<EFBFBD><D6B9>ֹӯ<D6B9><D3AF><EFBFBD>ȳ<EFBFBD><C8B3><EFBFBD><EFBFBD>ļ<EFBFBD><C4BC>١<EFBFBD>
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{
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liQKA = liQKA - 0.1;
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liQKA = Max(liQKA,0.3);
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barcoutN=bar_entry_count;
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}
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Commentary("kaicang_kg[1]"+text(kaicang_kg[1]));
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Commentary("bar_entry_count"+text(bar_entry_count));
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Commentary("barcoutN"+text(barcoutN));
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Commentary("liQKA"+text(liQKA));
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// <20><>¼<EFBFBD><C2BC><EFBFBD>ֺ<EFBFBD><D6BA><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ߵ<EFBFBD><DFB5><EFBFBD><EFBFBD><EFBFBD><EFBFBD>͵<EFBFBD>
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If(bar_entry_count > 0)
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{
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HighAfterEntry = Min(HighAfterEntry,High); // <20><>ͷֹ<CDB7>𣬸<EFBFBD><F0A3ACB8><EFBFBD><EFBFBD><EFBFBD><EFBFBD>͵<EFBFBD><CDB5><EFBFBD><EFBFBD><EFBFBD>
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LowAfterEntry = Max(LowAfterEntry,Low); // <20><>ͷֹ<CDB7>𣬸<EFBFBD><F0A3ACB8><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ߵ<EFBFBD><DFB5><EFBFBD><EFBFBD>ͼ<EFBFBD>
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}
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if(MarketPosition>0)
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{
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DliqPoint = LowAfterEntry - (Open*TRS/1000)*liQKA; //<2F><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>㣬<EFBFBD><E3A3AC><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>Ƴ<EFBFBD><C6B3><EFBFBD><EFBFBD><EFBFBD><DFBB><EFBFBD><EFBFBD>ųֲ<C5B3>ʱ<EFBFBD><CAB1><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ӱ<EFBFBD><D3B1><EFBFBD>Խ<EFBFBD><D4BD>Խ<EFBFBD><D4BD><EFBFBD>У<EFBFBD>
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}
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if(MarketPosition<0)
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{
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KliqPoint = HighAfterEntry + (Open*TRS/1000)*liQKA; //<2F><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>㣬<EFBFBD><E3A3AC><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>Ƴ<EFBFBD><C6B3><EFBFBD><EFBFBD><EFBFBD><DFBB><EFBFBD><EFBFBD>ųֲ<C5B3>ʱ<EFBFBD><CAB1><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ӱ<EFBFBD><D3B1><EFBFBD>Խ<EFBFBD><D4BD>Խ<EFBFBD><D4BD><EFBFBD>У<EFBFBD>
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}
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If(KliqPoint[1]>0 and MarketPosition<0)PlotNumeric("KliqPoint[1]",KliqPoint[1]);
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if(DliqPoint[1]>0 and MarketPosition>0)PlotNumeric("DliqPoint[1]",DliqPoint[1]);
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// <20><><EFBFBD>жʱ
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If(MarketPosition >0 And bar_entry_count >0 And Low <= DliqPoint[1] and DliqPoint[1]>0 and DliqPoint[1]>0 and bar_entry_count>0)
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{
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Sell(0,Min(Open,DliqPoint[1]));
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DliqPoint=0;
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kaicang_kg=0;
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}
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// <20><><EFBFBD>пյ<D0BF>ʱ
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If(MarketPosition <0 And bar_entry_count >0 And High >= KliqPoint[1] and KliqPoint[1]>0 and KliqPoint[1]>0 and bar_entry_count>0)
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{
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BuyToCover(0,Max(Open,KliqPoint[1]));
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KliqPoint=0;
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kaicang_kg=0;
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}
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}
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1.交易策略/1.CTA策略/1.松鼠策略/3.松鼠SF10__魔改布林交易策略/使用文稿/TBQ/源码.doc
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1.交易策略/1.CTA策略/1.松鼠策略/3.松鼠SF10__魔改布林交易策略/使用文稿/TBQ/源码.doc
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1.交易策略/1.CTA策略/1.松鼠策略/3.松鼠SF10__魔改布林交易策略/使用文稿/TBQ/策略讲解.doc
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1.交易策略/1.CTA策略/1.松鼠策略/3.松鼠SF10__魔改布林交易策略/使用文稿/TBQ/策略讲解.doc
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6970
1.交易策略/1.CTA策略/1.松鼠策略/3.松鼠SF10__魔改布林交易策略/使用文稿/vnpy/rb888.csv
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6970
1.交易策略/1.CTA策略/1.松鼠策略/3.松鼠SF10__魔改布林交易策略/使用文稿/vnpy/rb888.csv
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Load Diff
158
1.交易策略/1.CTA策略/1.松鼠策略/3.松鼠SF10__魔改布林交易策略/使用文稿/vnpy/vip10.ipynb
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158
1.交易策略/1.CTA策略/1.松鼠策略/3.松鼠SF10__魔改布林交易策略/使用文稿/vnpy/vip10.ipynb
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{
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"cells": [
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{
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"cell_type": "code",
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"execution_count": 1,
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"metadata": {},
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"outputs": [],
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"source": [
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"from datetime import datetime\n",
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"\n",
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"from vnpy.trader.optimize import OptimizationSetting\n",
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"from vnpy_ctastrategy.backtesting import BacktestingEngine\n",
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"# from vnpy_ctastrategy.strategies.vip10 import vip10\n",
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"from vip10 import vip10"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 2,
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"metadata": {},
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"outputs": [],
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"source": [
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"engine = BacktestingEngine()\n",
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"engine.set_parameters(\n",
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" vt_symbol=\"rb888.SHFE\",\n",
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" interval=\"1h\",\n",
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" start=datetime(2020, 1, 1),\n",
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" end=datetime(2024, 3, 21),\n",
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" rate=1.5/10000,\n",
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" slippage=1,\n",
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" size=10,\n",
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" pricetick=1,\n",
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" capital=1_000_00,\n",
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")\n",
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"engine.add_strategy(vip10, {})"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 3,
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"metadata": {
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"scrolled": false
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},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"2024-08-25 20:34:47.539362\t开始加载历史数据\n",
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"2024-08-25 20:34:47.539362\t加载进度：# [0%]\n",
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"2024-08-25 20:34:47.747392\t加载进度：# [10%]\n",
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"2024-08-25 20:34:47.748385\t加载进度：## [20%]\n",
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"2024-08-25 20:34:47.748385\t加载进度：### [30%]\n",
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"2024-08-25 20:34:47.749381\t加载进度：#### [40%]\n",
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"2024-08-25 20:34:47.749381\t加载进度：##### [50%]\n",
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"2024-08-25 20:34:47.750388\t加载进度：###### [60%]\n",
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"2024-08-25 20:34:47.750388\t加载进度：####### [70%]\n",
|
||||
"2024-08-25 20:34:47.751394\t加载进度：######## [80%]\n",
|
||||
"2024-08-25 20:34:47.751394\t加载进度：######### [90%]\n",
|
||||
"2024-08-25 20:34:47.751394\t加载进度：########## [100%]\n",
|
||||
"2024-08-25 20:34:47.752372\t历史数据加载完成，数据量：0\n",
|
||||
"2024-08-25 20:34:47.752372\t策略初始化完成\n",
|
||||
"2024-08-25 20:34:47.752372\t开始回放历史数据\n",
|
||||
"2024-08-25 20:34:47.752372\t历史数据回放结束\n",
|
||||
"2024-08-25 20:34:47.752372\t开始计算逐日盯市盈亏\n",
|
||||
"2024-08-25 20:34:47.752372\t回测成交记录为空\n"
|
||||
]
|
||||
},
|
||||
{
|
||||
"ename": "KeyError",
|
||||
"evalue": "\"None of ['date'] are in the columns\"",
|
||||
"output_type": "error",
|
||||
"traceback": [
|
||||
"\u001b[1;31m---------------------------------------------------------------------------\u001b[0m",
|
||||
"\u001b[1;31mKeyError\u001b[0m Traceback (most recent call last)",
|
||||
"Cell \u001b[1;32mIn[3], line 3\u001b[0m\n\u001b[0;32m 1\u001b[0m engine\u001b[38;5;241m.\u001b[39mload_data()\n\u001b[0;32m 2\u001b[0m engine\u001b[38;5;241m.\u001b[39mrun_backtesting()\n\u001b[1;32m----> 3\u001b[0m df \u001b[38;5;241m=\u001b[39m \u001b[43mengine\u001b[49m\u001b[38;5;241;43m.\u001b[39;49m\u001b[43mcalculate_result\u001b[49m\u001b[43m(\u001b[49m\u001b[43m)\u001b[49m\n\u001b[0;32m 4\u001b[0m engine\u001b[38;5;241m.\u001b[39mcalculate_statistics()\n\u001b[0;32m 5\u001b[0m engine\u001b[38;5;241m.\u001b[39mshow_chart()\n",
|
||||
"File \u001b[1;32mc:\\veighna_studio\\lib\\site-packages\\vnpy_ctastrategy\\backtesting.py:283\u001b[0m, in \u001b[0;36mBacktestingEngine.calculate_result\u001b[1;34m(self)\u001b[0m\n\u001b[0;32m 280\u001b[0m \u001b[38;5;28;01mfor\u001b[39;00m key, value \u001b[38;5;129;01min\u001b[39;00m daily_result\u001b[38;5;241m.\u001b[39m\u001b[38;5;18m__dict__\u001b[39m\u001b[38;5;241m.\u001b[39mitems():\n\u001b[0;32m 281\u001b[0m results[key]\u001b[38;5;241m.\u001b[39mappend(value)\n\u001b[1;32m--> 283\u001b[0m \u001b[38;5;28mself\u001b[39m\u001b[38;5;241m.\u001b[39mdaily_df \u001b[38;5;241m=\u001b[39m \u001b[43mDataFrame\u001b[49m\u001b[38;5;241;43m.\u001b[39;49m\u001b[43mfrom_dict\u001b[49m\u001b[43m(\u001b[49m\u001b[43mresults\u001b[49m\u001b[43m)\u001b[49m\u001b[38;5;241;43m.\u001b[39;49m\u001b[43mset_index\u001b[49m\u001b[43m(\u001b[49m\u001b[38;5;124;43m\"\u001b[39;49m\u001b[38;5;124;43mdate\u001b[39;49m\u001b[38;5;124;43m\"\u001b[39;49m\u001b[43m)\u001b[49m\n\u001b[0;32m 285\u001b[0m \u001b[38;5;28mself\u001b[39m\u001b[38;5;241m.\u001b[39moutput(\u001b[38;5;124m\"\u001b[39m\u001b[38;5;124m逐日盯市盈亏计算完成\u001b[39m\u001b[38;5;124m\"\u001b[39m)\n\u001b[0;32m 286\u001b[0m \u001b[38;5;28;01mreturn\u001b[39;00m \u001b[38;5;28mself\u001b[39m\u001b[38;5;241m.\u001b[39mdaily_df\n",
|
||||
"File \u001b[1;32mc:\\veighna_studio\\lib\\site-packages\\pandas\\core\\frame.py:6109\u001b[0m, in \u001b[0;36mDataFrame.set_index\u001b[1;34m(self, keys, drop, append, inplace, verify_integrity)\u001b[0m\n\u001b[0;32m 6106\u001b[0m missing\u001b[38;5;241m.\u001b[39mappend(col)\n\u001b[0;32m 6108\u001b[0m \u001b[38;5;28;01mif\u001b[39;00m missing:\n\u001b[1;32m-> 6109\u001b[0m \u001b[38;5;28;01mraise\u001b[39;00m \u001b[38;5;167;01mKeyError\u001b[39;00m(\u001b[38;5;124mf\u001b[39m\u001b[38;5;124m\"\u001b[39m\u001b[38;5;124mNone of \u001b[39m\u001b[38;5;132;01m{\u001b[39;00mmissing\u001b[38;5;132;01m}\u001b[39;00m\u001b[38;5;124m are in the columns\u001b[39m\u001b[38;5;124m\"\u001b[39m)\n\u001b[0;32m 6111\u001b[0m \u001b[38;5;28;01mif\u001b[39;00m inplace:\n\u001b[0;32m 6112\u001b[0m frame \u001b[38;5;241m=\u001b[39m \u001b[38;5;28mself\u001b[39m\n",
|
||||
"\u001b[1;31mKeyError\u001b[0m: \"None of ['date'] are in the columns\""
|
||||
]
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"engine.load_data()\n",
|
||||
"engine.run_backtesting()\n",
|
||||
"df = engine.calculate_result()\n",
|
||||
"engine.calculate_statistics()\n",
|
||||
"engine.show_chart()"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {
|
||||
"scrolled": false
|
||||
},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"'''用于参数优化'''\n",
|
||||
"# setting = OptimizationSetting()\n",
|
||||
"# setting.set_target(\"sharpe_ratio\")\n",
|
||||
"# setting.add_parameter(\"Length\", 5, 80, 5)\n",
|
||||
"# setting.add_parameter(\"Offset\", 0.5, 3, 0.5)\n",
|
||||
"# setting.add_parameter(\"X\", 1, 3, 1)\n",
|
||||
"# setting.add_parameter(\"TS\", 5, 80, 5)\n",
|
||||
"# from multiprocessing import cpu_count\n",
|
||||
"# # 获取 CPU 核心数量\n",
|
||||
"# num_cores = cpu_count()\n",
|
||||
"# print(f\"获取 CPU 核心数量:\",round(num_cores/2))\n",
|
||||
"# engine.run_ga_optimization(setting, max_workers=round(num_cores/2))"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {
|
||||
"scrolled": false
|
||||
},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"# engine.run_bf_optimization(setting)"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": []
|
||||
}
|
||||
],
|
||||
"metadata": {
|
||||
"kernelspec": {
|
||||
"display_name": "Python 3",
|
||||
"language": "python",
|
||||
"name": "python3"
|
||||
},
|
||||
"language_info": {
|
||||
"codemirror_mode": {
|
||||
"name": "ipython",
|
||||
"version": 3
|
||||
},
|
||||
"file_extension": ".py",
|
||||
"mimetype": "text/x-python",
|
||||
"name": "python",
|
||||
"nbconvert_exporter": "python",
|
||||
"pygments_lexer": "ipython3",
|
||||
"version": "3.10.9"
|
||||
},
|
||||
"vscode": {
|
||||
"interpreter": {
|
||||
"hash": "1b43cb0bd93d5abbadd54afed8252f711d4681fe6223ad6b67ffaee289648f85"
|
||||
}
|
||||
}
|
||||
},
|
||||
"nbformat": 4,
|
||||
"nbformat_minor": 2
|
||||
}
|
||||
211
1.交易策略/1.CTA策略/1.松鼠策略/3.松鼠SF10__魔改布林交易策略/使用文稿/vnpy/vip10.py
Normal file
211
1.交易策略/1.CTA策略/1.松鼠策略/3.松鼠SF10__魔改布林交易策略/使用文稿/vnpy/vip10.py
Normal file
@@ -0,0 +1,211 @@
|
||||
from vnpy_ctastrategy import (
|
||||
CtaTemplate,
|
||||
TargetPosTemplate,
|
||||
StopOrder,
|
||||
TickData,
|
||||
BarData,
|
||||
TradeData,
|
||||
OrderData,
|
||||
BarGenerator,
|
||||
ArrayManager,
|
||||
)
|
||||
import pandas as pd
|
||||
|
||||
class vip10(TargetPosTemplate):
|
||||
""""""
|
||||
author = "松鼠Quant"
|
||||
|
||||
#默认螺纹888 1小时
|
||||
|
||||
Length = 50 #布林周期
|
||||
Offset=2 #标准差倍数倍数
|
||||
X=2 #过滤均线的Length倍数， 范围及步长：1-5，1
|
||||
TS = 60 #移动止损止盈幅度 参数范围及步长： 5-200，5
|
||||
|
||||
|
||||
lots=1 #下单手数
|
||||
|
||||
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
|
||||
|
||||
kong_cond1=[0]*2
|
||||
kong_cond2=[0]*2
|
||||
kong_cond3=[0]*2
|
||||
|
||||
|
||||
MA1=0
|
||||
MA2=0
|
||||
MA3=0
|
||||
BB=0
|
||||
WIDTH=0
|
||||
|
||||
|
||||
|
||||
|
||||
parameters = ["Length",'Offset','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(300)
|
||||
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.
|
||||
"""
|
||||
self.cancel_all()
|
||||
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
|
||||
|
||||
self.current_bar=self.current_bar+1 #Bar线计数
|
||||
#print(bar.datetime,"current_bar:",self.current_bar)
|
||||
|
||||
|
||||
# 如果当前Bar的计数器值小于三倍的Length，则直接返回
|
||||
if(self.current_bar<self.Length*self.X):
|
||||
return
|
||||
|
||||
#中轨
|
||||
self.MA1=am.ema(self.Length,array=True)
|
||||
self.MA2=am.ema(self.Length*self.X,array=True)
|
||||
# #上下轨
|
||||
self.boll_up, self.boll_down = am.boll(self.Length, self.Offset,array=True)
|
||||
|
||||
# 多头开仓条件
|
||||
self.cond1=self.MA1 if self.MA1[-1]>self.MA1[-2] and am.close_array[-1] > self.MA1[-2] else self.cond1
|
||||
self.cond2=self.boll_up if self.boll_up[-1] > self.boll_up[-2] and am.high_array[-1] > self.boll_up[-1] else self.cond2
|
||||
self.cond3=self.MA2 if self.MA2[-1] > self.MA2[-2] and am.close_array[-1] > self.MA2[-1] else self.cond3
|
||||
|
||||
|
||||
# 空头开仓条件
|
||||
self.kong_cond1=self.MA1 if self.MA1[-1] < self.MA1[-2] and am.close_array[-1] < self.MA1[-2] else self.kong_cond1
|
||||
self.kong_cond2=self.boll_down if self.boll_down[-1] < self.boll_down[-2] and am.low_array[-1] < self.boll_down[-1] else self.kong_cond2
|
||||
self.kong_cond3=self.MA2 if self.MA2[-1] < self.MA2[-2] and am.close_array[-1] < self.MA2[-1] else self.kong_cond3
|
||||
|
||||
|
||||
#布林极限（BB）=（收盘价-布林下轨价格）/（布林上轨价格-布林下轨价格）
|
||||
self.BB=((am.close_array[-1]-self.boll_down[-1])/(self.boll_up[-1]-self.boll_down[-1]))
|
||||
|
||||
|
||||
#极限宽，WIDTH=（布林上轨值-布林下轨值）/布林平均值，VIP10用不到这个算法，可以自己拓展
|
||||
self.WIDTH=((self.boll_up[-1]-self.boll_down[-1])/self.boll_up[-1])*100
|
||||
|
||||
if self.cond1[-1]>self.cond1[-2] and self.cond2[-1]>self.cond2[-2] and self.cond3[-1]>self.cond3[-2] and self.BB>0.5 :
|
||||
if self.pos!=1 and bar.high_price>=self.cond2[-1] :
|
||||
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.liQKA = 1
|
||||
self.LowerAfterEntry = bar.close_price
|
||||
|
||||
|
||||
if self.kong_cond1[-1]<self.kong_cond1[-2] and self.kong_cond2[-1]<self.kong_cond2[-2] and self.kong_cond3[-1]<self.kong_cond3[-2] and self.BB<0.5 :
|
||||
if self.pos!=-1 and bar.low_price<=self.kong_cond2[-1] :
|
||||
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.liQKA = 1
|
||||
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
|
||||
Binary file not shown.
Binary file not shown.
Reference in New Issue
Block a user