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增加交易策略、交易指标、量化库代码等文件夹

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2025-04-27 15:54:09 +08:00
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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/vnpy/vip10.py Normal file
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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