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/5.松鼠SF13_基于抄底摸顶思路的震荡策略/使用文稿/VNPY/vip13.py

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+from vnpy_ctastrategy import (
+    CtaTemplate,
+    TargetPosTemplate,
+    StopOrder,
+    TickData,
+    BarData,
+    TradeData,
+    OrderData,
+    BarGenerator,
+    ArrayManager,
+)
+import numpy as np
+
+class vip13(CtaTemplate):
+    author = "松鼠Quant"
+
+    boll_n = 20
+    offset = 1.5
+    trailing_stop_rate =60
+    x = 30
+    rsi_n = 14
+    over_sold = 30
+    over_bought = 70
+    
+    parameters = ["boll_n", "offset", "trailing_stop_rate", "x"]
+    variables = ["lots", "up_line", "down_line", "mid_line", "band", "rsi_value", "kg", "highest_low_after_entry", "lowest_high_after_entry", "rsi_n", "over_sold", "over_bought"]
+
+    def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
+        """"""
+        super().__init__(cta_engine, strategy_name, vt_symbol, setting)
+        
+        self.lots = 0
+        self.up_line = 0
+        self.down_line = 0
+        self.mid_line = 0
+        self.band = 0
+        self.rsi_value = 0
+        self.kaiduo = False
+        self.kaikong = False
+        self.kg = 0
+        self.highest_low_after_entry = 0
+        self.lowest_high_after_entry = 0
+        self.bg = BarGenerator(self.on_bar)
+        self.am = ArrayManager(300)
+        self.pos=0
+        
+    def on_init(self):
+        self.write_log("策略初始化")
+        self.load_bar(10)
+        
+    def on_start(self):
+        self.write_log("策略启动")
+        
+    def on_stop(self):
+        self.write_log("策略停止")
+        
+    def on_tick(self, tick: TickData):
+        pass
+    
+    def on_bar(self, bar: BarData):
+        self.am.update_bar(bar)
+        if not self.am.inited:
+            return
+        
+        self.lots = 1
+        
+        self.calculate_boll()
+        self.calculate_rsi()
+        
+        self.kaikong = self.rsi_value > self.over_bought and self.am.close[-1] < self.up_line
+        self.kaiduo = self.rsi_value < self.over_sold and self.am.close[-1] > self.down_line
+        
+        if self.kaiduo:
+            self.kg = 1
+            self.hd = self.am.high[-self.x:-1].max()
+        
+        if self.kaikong:
+            self.kg = -1
+            self.ld = self.am.low[-self.x:-1].min()
+        
+
+        if  self.pos != 1 and self.kg == 1 and bar.close_price >= self.hd :
+            self.buy(bar.close_price, self.lots)
+            self.highest_low_after_entry = bar.close_price
+            self.pos=1
+        if  self.pos != -1 and self.kg == -1 and bar.close_price <= self.ld:
+            self.short(bar.close_price, self.lots)
+            self.lowest_high_after_entry = bar.close_price
+            self.pos=-1
+        
+        self.trailing_stop(bar)
+        
+        self.put_event()
+    
+    def calculate_boll(self):
+        self.mid_line = self.am.sma(self.boll_n)
+        self.band = self.am.std(self.boll_n)
+        self.up_line = self.mid_line + self.offset * self.band
+        self.down_line = self.mid_line - self.offset * self.band
+    
+    def calculate_rsi(self):
+        self.rsi_value = self.am.rsi(self.rsi_n)
+    
+    def trailing_stop(self, bar: BarData):
+        if self.pos > 0:
+            self.highest_low_after_entry = max(self.highest_low_after_entry, bar.low_price)
+            dliq_point = self.highest_low_after_entry - bar.open_price * (self.trailing_stop_rate/1000)
+            if bar.close_price < dliq_point:
+                self.sell(bar.close_price, self.lots)
+                self.pos=0
+        if self.pos < 0:
+            self.lowest_high_after_entry = min(self.lowest_high_after_entry, bar.high_price)
+            kliq_point = self.lowest_high_after_entry + bar.open_price * (self.trailing_stop_rate/1000)
+            if bar.close_price > kliq_point:
+                self.cover(bar.close_price, self.lots)
+                self.pos=0