增加交易策略、交易指标、量化库代码等文件夹

1.交易策略/1.CTA策略/1.松鼠策略/4.松鼠SF11__MACD震荡与沙夫趋势/使用文档/vnpy/vip11.py

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+from vnpy_ctastrategy import (
+    CtaTemplate,
+    TargetPosTemplate,
+    StopOrder,
+    TickData,
+    BarData,
+    TradeData,
+    OrderData,
+    BarGenerator,
+    ArrayManager,
+)
+import pandas as pd
+import numpy as np
+import math
+class vip11(TargetPosTemplate):
+    """"""
+    author = "松鼠Quant"
+    
+    #默认螺纹888  1H
+    length = 15
+    M=35
+    smoothingFactor = 0.1
+    TS = 50 #移动止损止盈幅度 参数范围及步长： 5-200，5
+    lots=1 #下单手数
+    
+
+    fastLength = 12
+    slowLength = 26
+    MACDLength =9
+ 
+    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
+    MACDValue=[0]*3
+    normalizedMACD=[1]*3
+    smoothedMACD=[1]*3
+    smoothedNormalizedMACD=[1]*3
+    STCValue=[1]*3
+
+    
+    MA1=0
+    MA2=0
+    MA3=0
+
+    gobro=0
+    
+    
+
+    parameters = ["length",'M','smoothingFactor',"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 calculate_con(self,Price1, Price2, Length):
+        Matches = 0
+        Price2=Price2-Length
+        Price2list=[]
+        Price2list.extend([Price2 + j for j in range(1, Length)])  # 使用extend将元素添加到列表中
+        # 检查是否有足够的数据进行计算
+        if len(Price1) < Length :
+            return 0
+        else:
+            for i in range(1,Length-1):
+                # 计算Con条件
+                if (Price1[i] >= Price1[i-1] and Price2list[i] >= Price2list[i-1]) or \
+                (Price1[i] < Price1[i-1] and Price2list[i] < Price2list[i-1]):
+                    Matches += 1
+            # 计算结果并返回
+            return 2 * Matches / Length - 1
+
+    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self.M*2
+        if(self.current_bar<self.M*2):
+            return   
+        #均线
+        self.MA1=am.ema(self.M,array=True)
+        self.MA2=am.ema(self.M*2,array=True)
+        
+        # 如果当前Bar的计数器值小于self.MACDLength
+        if(self.current_bar<self.MACDLength):
+            return
+
+        a1 = 2 / (self.fastLength + 1)
+        a2 = 2 / (self.slowLength + 1)
+        # 计算相关系数
+        r2 = 0.5 * math.pow(self.calculate_con(am.close_array[-self.MACDLength:], self.current_bar, self.MACDLength), 2) + 0.5
+        kk = r2 * ((1 - a1) * (1 - a2)) + (1 - r2) * ((1 - a1) / (1 - a2))
+        # 计算MACD值
+        self.MACDValue.append((am.close_array[-1] - am.close_array[-2]) * (a1 - a2) + (-a2 - a1 + 2) * self.MACDValue[-1] - kk * self.MACDValue[-2])
+        
+        # 如果当前Bar的计数器值小于self.fastLength
+        if(self.current_bar<self.fastLength):
+            return
+        
+        lowestMACD = min(self.MACDValue[-self.fastLength:])
+        highestMACD = max(self.MACDValue[-self.fastLength:]) - lowestMACD
+        # 归一化MACD
+        self.normalizedMACD.append((self.MACDValue[-1] - lowestMACD) / highestMACD * 100 if highestMACD > 0 else self.normalizedMACD[-1])
+        # 平滑MACD
+        self.smoothedMACD.append(self.normalizedMACD[-1] if self.smoothedMACD[-1]==1 else self.smoothedMACD[-2] + self.smoothingFactor * (self.normalizedMACD[-1] - self.smoothedMACD[-2]))
+        # 计算平滑后MACD的最低值和最高值
+        lowestSmoothedMACD = min(self.smoothedMACD[-self.fastLength:])
+        highestSmoothedMACD = max(self.smoothedMACD[-self.fastLength:]) - lowestSmoothedMACD
+        # 归一化平滑后MACD
+        self.smoothedNormalizedMACD.append((self.smoothedMACD[-1] - lowestSmoothedMACD) / highestSmoothedMACD * 100 if highestSmoothedMACD > 0 else self.smoothedNormalizedMACD[-1])
+        # 平滑归一化后MACD，得到STC值
+        self.STCValue.append(self.smoothedNormalizedMACD[-1] if self.STCValue[-1]==1 else self.STCValue[-2] + self.smoothingFactor * (self.smoothedNormalizedMACD[-1] - self.STCValue[-2]))
+        
+        STCvalue1=round(self.STCValue[-1]-50,0)
+        STCvalue2=round(self.STCValue[-2]-50,0)
+        STCvalue3=round(self.STCValue[-3]-50,0)
+
+        # 如果当前Bar的计数器值小于self.fastLength
+        if(self.current_bar<self.length):
+            return
+          
+        Highup=max(am.high_array[-self.length:-1])
+        Lowdown=min(am.low_array[-self.length:-1])
+        
+        #/*开平仓条件代码-----------------------------------------------------------------------------------------------------------------------------------*/
+        cond1=STCvalue1>STCvalue2 and STCvalue3>=STCvalue2
+        cond2=STCvalue1<STCvalue2 and STCvalue3<=STCvalue2
+        cond3=self.MA1[-1]>self.MA2[-1] and am.close_array[-1]>self.MA2[-1]
+        cond4=self.MA1[-1]<self.MA2[-1] and am.close_array[-1]<self.MA2[-1]
+
+        if cond1:
+            self.gobro=1
+
+        if cond2:
+            self.gobro=-1
+
+        if self.pos!=1 and self.gobro==1 and bar.high_price>=Highup and STCvalue1<0 and cond3==True:
+                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.pos!=-1 and self.gobro==-1 and bar.low_price<=Lowdown and STCvalue1>0 and cond4==True :
+                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)
+            self.gobro=0
+        elif (self.pos<0 and bar.high_price > KliqPoint and KliqPoint>0):
+            #空头出场
+            self.cover(bar.close_price, self.lots)
+            self.gobro=0
+        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