增加交易策略、交易指标、量化库代码等文件夹
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//------------------------------------------------------------------------
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// 简称: VIP17_duo
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// 名称: VIP17_duo
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// 类别: 公式应用
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// 类型: 用户应用
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// 输出: Void
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//------------------------------------------------------------------------
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Params
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Numeric Fund(20000); // 投入保证金
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Vars
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Numeric Lots(0); // 交易手数
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Numeric totalScore(5); // 开仓分数阈值，目前都是等权分配，总共6个指标及6分。
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Numeric rpmPeriod(14); // RPM Period
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Numeric bboPeriod(16); // BBO Period
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Numeric macdFastPeriod(12); // MACD Fast Period
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Numeric macdSlowPeriod(24); // MACD Slow Period
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Numeric macdSignalPeriod(9); // MACD Signal Period
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Numeric rsiPeriod(14); // RSI Period
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Numeric cciPeriod(14); // CCI Period
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Numeric stochasticKLength(14); // Stochastic %K Length
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Numeric stochasticKSmoothing(1); // Stochastic %K Smoothing
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Numeric stochasticDSmoothing(3); // Stochastic %D Smoothing
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Numeric supertrendPeriod(10); // SUPERTREND Period
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Numeric supertrendFactor(2); // SUPERTREND Factor
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Series<Numeric> rpmValue; // RPM Value
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Series<Numeric> bboValue; // BBO Value
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Series<Numeric> macdValue; // MACD Value
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Series<Numeric> macdSignal; // MACD Signal Line
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Series<Numeric> macdHist; // MACD Histogram
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Series<Numeric> rsiValue; // RSI Value
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Series<Numeric> stochasticValue; // Stochastic Value
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Series<Numeric> cciValue; // CCI Value
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Series<Numeric> supertrendValue; // SUPERTREND Value
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Series<Numeric> netChgAvg ;
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Series<Numeric> totChgAvg ;
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Series<Numeric> score;
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Numeric EntryStrength(90); // 趋势强度的进场值
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Numeric Length(5); // 强弱指标和通道计算的周期值
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Series<Numeric> CloseChange; // 收盘价变动值
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Numeric i; // 循环控制变量
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Numeric UpCloses; // 收盘价上涨累计值
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Numeric DnCloses; // 收盘价下跌累计值
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Numeric SumChange; // 收盘价变动累计值
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Series<Numeric> MarketStrength; // 市场强弱指标
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Plot plt1; // 用于画图的对象
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Events
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OnInit()
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{
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Range[0:DataCount-1]
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{
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//=========数据源相关设置==============
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AddDataFlag(Enum_Data_RolloverBackWard()); //设置后复权
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AddDataFlag(Enum_Data_RolloverRealPrice()); //设置映射真实价格
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AddDataFlag(Enum_Data_AutoSwapPosition()); //设置自动换仓
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//AddDataFlag(Enum_Data_IgnoreSwapSignalCalc()); //设置忽略换仓信号计算
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}
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// 创建第一个副图
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plt1.figure(0); // 独立副图区域
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plt1.setOption("Score", "width", Enum_7Pix); // 将指标“MA1”的输出线宽设置为3像素
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plt1.setOption("Score","color",Blue);
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}
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OnBar(ArrayRef<Integer> indexs)
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{
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// 计算交易手数
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Lots = Max(1, Round(Fund/(O*ContractUnit*BigPointValue* MarginRatio/rollover), 0));
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// 计算市场强弱指标
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CloseChange = Close - Close[1];
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UpCloses = 0;
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DnCloses = 0;
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For i = 0 To Length-1
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{
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// 收盘价上涨计入涨幅累计
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If(CloseChange[i] > 0)
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UpCloses = UpCloses + CloseChange[i];
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// 否则计入跌幅累计
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Else
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DnCloses = DnCloses + CloseChange[i];
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}
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// 计算周期内涨跌
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SumChange = Summation(CloseChange, Length);
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// 周期内上涨，计算上涨强度，0-100之间
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If(SumChange >= 0)
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{
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MarketStrength = SumChange / UpCloses * 100;
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}
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// 周期内下跌，计算下跌强度，0-100之间
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Else
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{
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MarketStrength = SumChange / Abs(DnCloses) * 100;
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}
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// 计算 MACD 值
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Numeric emaFast = XAverage(Close, macdFastPeriod);
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Numeric emaSlow = XAverage(Close, macdSlowPeriod);
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macdValue = emaFast - emaSlow;
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macdSignal = XAverage(macdValue, macdSignalPeriod);
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macdHist = macdValue - macdSignal;
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// 计算 RSI 值
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Numeric SF = 1 / rsiPeriod;
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Numeric change = Close - Close[1];
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If(CurrentBar <= rsiPeriod - 1)
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{
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netChgAvg = (Close - Close[rsiPeriod]) / rsiPeriod;
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totChgAvg = Average(Abs(Close - Close[1]), rsiPeriod);
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}
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Else
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{
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netChgAvg = netChgAvg[1] + SF * (change - netChgAvg[1]);
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totChgAvg = totChgAvg[1] + SF * (Abs(change) - totChgAvg[1]);
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}
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If(totChgAvg <> 0)
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{
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rsiValue = 50 * (netChgAvg / totChgAvg + 1);
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}
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Else
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{
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rsiValue = 50;
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}
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// 计算 Stochastic 值
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Numeric highestHigh = Highest(High, stochasticKLength);
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Numeric lowestLow = Lowest(Low, stochasticKLength);
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Numeric stochasticRaw = (Close - lowestLow) / (highestHigh - lowestLow) * 100;
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stochasticValue = Average(stochasticRaw, stochasticKSmoothing);
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// 计算 CCI 值
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Numeric typicalPrice = (High + Low + Close) / 3;
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Numeric smaTypicalPrice = Average(typicalPrice, cciPeriod);
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Numeric meanDeviation = Summation(Abs(typicalPrice - smaTypicalPrice), cciPeriod) / cciPeriod;
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If(meanDeviation <> 0)
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{
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cciValue = (typicalPrice - smaTypicalPrice) / (0.015 * meanDeviation);
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}
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Else
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{
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cciValue = 0;
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}
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// 计算 SUPERTREND 值
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Numeric atr = AvgTrueRange(supertrendPeriod);
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Numeric basicUpperBand = (High + Low) / 2 + supertrendFactor * atr;
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Numeric basicLowerBand = (High + Low) / 2 - supertrendFactor * atr;
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Numeric finalUpperBand = IIF(basicUpperBand < supertrendValue[1] || Close[1] > supertrendValue[1], basicUpperBand, supertrendValue[1]);
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Numeric finalLowerBand = IIF(basicLowerBand > supertrendValue[1] || Close[1] < supertrendValue[1], basicLowerBand, supertrendValue[1]);
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supertrendValue = IIF(Close > supertrendValue[1], finalLowerBand, finalUpperBand);
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// 设置多头条件
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Bool macdCondition = macdValue > macdSignal;
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Bool rsiCondition = rsiValue >50;
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Bool stochasticCondition = stochasticValue > 50;
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Bool cciCondition = cciValue >0;
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Bool supertrendCondition = Close > supertrendValue;
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Bool Marketbool = MarketStrength >= EntryStrength;
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// 计算得分
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score = 0;
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If(macdCondition)
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{
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score = score + 1;
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}
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If(rsiCondition)
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{
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score = score + 1;
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}
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If(stochasticCondition)
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{
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score = score + 1;
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}
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If(cciCondition)
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{
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score = score + 1;
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}
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If(supertrendCondition)
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{
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score = score + 1;
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}
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if(Marketbool)
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{
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score = score + 1;
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}
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// 在副图显示得分
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Commentary("Score: " + Text(score));
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plt1.barv("Score",score);
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// 判断是否达到条件数量
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If(score == totalScore)
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{
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Commentary("All conditions met!");
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}
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// 开多条件
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If(score[1] >= totalScore And MarketPosition == 0 ) //
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{
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Buy(Lots, Open);
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}
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// 平仓条件
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If(score[1] == 0 And MarketPosition == 1)
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{
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Sell(0, Open);
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}
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// 在副图显示条件成立和不成立
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If(macdCondition)
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{
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PlotAuto("MACD_Condition",1,1,Green,Enum_Line,Enum_Solid,Enum_7Pix);
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}
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Else
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{
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PlotAuto("MACD_Condition",1,1,Red,Enum_Line,Enum_Solid,Enum_7Pix);
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}
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If(rsiCondition)
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{
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PlotAuto("RSI_Condition",2,2,Green,Enum_Line,Enum_Solid,Enum_7Pix);
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}
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Else
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{
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PlotAuto("RSI_Condition",2,2,Red,Enum_Line,Enum_Solid,Enum_7Pix);
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}
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If(stochasticCondition)
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{
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PlotAuto("Stochastic_Condition", 3,3,Green,Enum_Line,Enum_Solid,Enum_7Pix);
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}
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Else
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{
|
||||
PlotAuto("Stochastic_Condition", 3,3,Red,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
|
||||
If(cciCondition)
|
||||
{
|
||||
PlotAuto("CCI_Condition", 4,4,Green,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
Else
|
||||
{
|
||||
PlotAuto("CCI_Condition", 4,4,Red,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
|
||||
If(supertrendCondition)
|
||||
{
|
||||
PlotAuto("Supertrend_Condition", 5,5,Green,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
Else
|
||||
{
|
||||
PlotAuto("Supertrend_Condition", 5,5,Red,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
If(Marketbool)
|
||||
{
|
||||
PlotAuto("Marketbool", 6,6,Green,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
Else
|
||||
{
|
||||
PlotAuto("Marketbool", 6,6,Red,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
|
||||
}
|
||||
//------------------------------------------------------------------------
|
||||
// 编译版本 2024/11/27 145803
|
||||
// 版权所有 songshu123
|
||||
// 更改声明 TradeBlazer Software保留对TradeBlazer平台
|
||||
// 每一版本的TradeBlazer公式修改和重写的权利
|
||||
//------------------------------------------------------------------------
|
||||
@@ -0,0 +1,274 @@
|
||||
//------------------------------------------------------------------------
|
||||
// 简称: vip17_kong
|
||||
// 名称: vip17_kong
|
||||
// 类别: 公式应用
|
||||
// 类型: 用户应用
|
||||
// 输出: Void
|
||||
//------------------------------------------------------------------------
|
||||
Params
|
||||
Numeric Fund(20000); // 投入保证金
|
||||
|
||||
Vars
|
||||
Numeric Lots(0); // 交易手数
|
||||
Numeric totalScore(5); // 开仓分数阈值，目前都是等权分配，总共6个指标及6分。
|
||||
Numeric rpmPeriod(14); // RPM Period
|
||||
Numeric bboPeriod(16); // BBO Period
|
||||
Numeric macdFastPeriod(12); // MACD Fast Period
|
||||
Numeric macdSlowPeriod(24); // MACD Slow Period
|
||||
Numeric macdSignalPeriod(9); // MACD Signal Period
|
||||
Numeric rsiPeriod(14); // RSI Period
|
||||
Numeric cciPeriod(14); // CCI Period
|
||||
Numeric stochasticKLength(14); // Stochastic %K Length
|
||||
Numeric stochasticKSmoothing(1); // Stochastic %K Smoothing
|
||||
Numeric stochasticDSmoothing(3); // Stochastic %D Smoothing
|
||||
Numeric supertrendPeriod(10); // SUPERTREND Period
|
||||
Numeric supertrendFactor(2); // SUPERTREND Factor
|
||||
Series<Numeric> rpmValue; // RPM Value
|
||||
Series<Numeric> bboValue; // BBO Value
|
||||
Series<Numeric> macdValue; // MACD Value
|
||||
Series<Numeric> macdSignal; // MACD Signal Line
|
||||
Series<Numeric> macdHist; // MACD Histogram
|
||||
Series<Numeric> rsiValue; // RSI Value
|
||||
Series<Numeric> stochasticValue; // Stochastic Value
|
||||
Series<Numeric> cciValue; // CCI Value
|
||||
Series<Numeric> supertrendValue; // SUPERTREND Value
|
||||
Series<Numeric> netChgAvg ;
|
||||
Series<Numeric> totChgAvg ;
|
||||
Series<Numeric> score;
|
||||
Numeric EntryStrength(90); // 趋势强度的进场值
|
||||
Numeric Length(5); // 强弱指标和通道计算的周期值
|
||||
Series<Numeric> CloseChange; // 收盘价变动值
|
||||
Numeric i; // 循环控制变量
|
||||
Numeric UpCloses; // 收盘价上涨累计值
|
||||
Numeric DnCloses; // 收盘价下跌累计值
|
||||
Numeric SumChange; // 收盘价变动累计值
|
||||
Series<Numeric> MarketStrength; // 市场强弱指标
|
||||
Plot plt1; // 用于画图的对象
|
||||
Events
|
||||
OnInit()
|
||||
{
|
||||
Range[0:DataCount-1]
|
||||
{
|
||||
//=========数据源相关设置==============
|
||||
AddDataFlag(Enum_Data_RolloverBackWard()); //设置后复权
|
||||
|
||||
AddDataFlag(Enum_Data_RolloverRealPrice()); //设置映射真实价格
|
||||
|
||||
AddDataFlag(Enum_Data_AutoSwapPosition()); //设置自动换仓
|
||||
|
||||
|
||||
//AddDataFlag(Enum_Data_IgnoreSwapSignalCalc()); //设置忽略换仓信号计算
|
||||
}
|
||||
// 创建第一个副图
|
||||
plt1.figure(0); // 独立副图区域
|
||||
plt1.setOption("Score", "width", Enum_7Pix); // 将指标“MA1”的输出线宽设置为3像素
|
||||
plt1.setOption("Score","color",Blue);
|
||||
}
|
||||
|
||||
OnBar(ArrayRef<Integer> indexs)
|
||||
{
|
||||
// 计算交易手数
|
||||
Lots = Max(1, Round(Fund/(O*ContractUnit*BigPointValue* MarginRatio/rollover), 0));
|
||||
// 计算市场强弱指标
|
||||
CloseChange = Close - Close[1];
|
||||
UpCloses = 0;
|
||||
DnCloses = 0;
|
||||
For i = 0 To Length-1
|
||||
{
|
||||
// 收盘价上涨计入涨幅累计
|
||||
If(CloseChange[i] > 0)
|
||||
UpCloses = UpCloses + CloseChange[i];
|
||||
// 否则计入跌幅累计
|
||||
Else
|
||||
DnCloses = DnCloses + CloseChange[i];
|
||||
}
|
||||
// 计算周期内涨跌
|
||||
SumChange = Summation(CloseChange, Length);
|
||||
// 周期内上涨，计算上涨强度，0-100之间
|
||||
If(SumChange >= 0)
|
||||
{
|
||||
MarketStrength = SumChange / UpCloses * 100;
|
||||
}
|
||||
// 周期内下跌，计算下跌强度，0-100之间
|
||||
Else
|
||||
{
|
||||
MarketStrength = SumChange / Abs(DnCloses) * 100;
|
||||
}
|
||||
|
||||
// 计算 MACD 值
|
||||
Numeric emaFast = XAverage(Close, macdFastPeriod);
|
||||
Numeric emaSlow = XAverage(Close, macdSlowPeriod);
|
||||
macdValue = emaFast - emaSlow;
|
||||
macdSignal = XAverage(macdValue, macdSignalPeriod);
|
||||
macdHist = macdValue - macdSignal;
|
||||
|
||||
// 计算 RSI 值
|
||||
Numeric SF = 1 / rsiPeriod;
|
||||
Numeric change = Close - Close[1];
|
||||
If(CurrentBar <= rsiPeriod - 1)
|
||||
{
|
||||
netChgAvg = (Close - Close[rsiPeriod]) / rsiPeriod;
|
||||
totChgAvg = Average(Abs(Close - Close[1]), rsiPeriod);
|
||||
}
|
||||
Else
|
||||
{
|
||||
netChgAvg = netChgAvg[1] + SF * (change - netChgAvg[1]);
|
||||
totChgAvg = totChgAvg[1] + SF * (Abs(change) - totChgAvg[1]);
|
||||
}
|
||||
If(totChgAvg <> 0)
|
||||
{
|
||||
rsiValue = 50 * (netChgAvg / totChgAvg + 1);
|
||||
}
|
||||
Else
|
||||
{
|
||||
rsiValue = 50;
|
||||
}
|
||||
|
||||
// 计算 Stochastic 值
|
||||
Numeric highestHigh = Highest(High, stochasticKLength);
|
||||
Numeric lowestLow = Lowest(Low, stochasticKLength);
|
||||
Numeric stochasticRaw = (Close - lowestLow) / (highestHigh - lowestLow) * 100;
|
||||
stochasticValue = Average(stochasticRaw, stochasticKSmoothing);
|
||||
|
||||
// 计算 CCI 值
|
||||
Numeric typicalPrice = (High + Low + Close) / 3;
|
||||
Numeric smaTypicalPrice = Average(typicalPrice, cciPeriod);
|
||||
Numeric meanDeviation = Summation(Abs(typicalPrice - smaTypicalPrice), cciPeriod) / cciPeriod;
|
||||
If(meanDeviation <> 0)
|
||||
{
|
||||
cciValue = (typicalPrice - smaTypicalPrice) / (0.015 * meanDeviation);
|
||||
}
|
||||
Else
|
||||
{
|
||||
cciValue = 0;
|
||||
}
|
||||
|
||||
// 计算 SUPERTREND 值
|
||||
Numeric atr = AvgTrueRange(supertrendPeriod);
|
||||
Numeric basicUpperBand = (High + Low) / 2 + supertrendFactor * atr;
|
||||
Numeric basicLowerBand = (High + Low) / 2 - supertrendFactor * atr;
|
||||
Numeric finalUpperBand = IIF(basicUpperBand < supertrendValue[1] || Close[1] > supertrendValue[1], basicUpperBand, supertrendValue[1]);
|
||||
Numeric finalLowerBand = IIF(basicLowerBand > supertrendValue[1] || Close[1] < supertrendValue[1], basicLowerBand, supertrendValue[1]);
|
||||
supertrendValue = IIF(Close > supertrendValue[1], finalLowerBand, finalUpperBand);
|
||||
|
||||
// 设置空头条件
|
||||
Bool macdCondition = macdValue < macdSignal;
|
||||
Bool rsiCondition = rsiValue <50;
|
||||
Bool stochasticCondition = stochasticValue < 50;
|
||||
Bool cciCondition = cciValue <0;
|
||||
Bool supertrendCondition = Close < supertrendValue;
|
||||
Bool Marketbool = MarketStrength >= EntryStrength;
|
||||
|
||||
// 计算得分
|
||||
score = 0;
|
||||
If(macdCondition)
|
||||
{
|
||||
score = score + 1;
|
||||
}
|
||||
If(rsiCondition)
|
||||
{
|
||||
score = score + 1;
|
||||
}
|
||||
If(stochasticCondition)
|
||||
{
|
||||
score = score + 1;
|
||||
}
|
||||
If(cciCondition)
|
||||
{
|
||||
score = score + 1;
|
||||
}
|
||||
If(supertrendCondition)
|
||||
{
|
||||
score = score + 1;
|
||||
}
|
||||
if(Marketbool)
|
||||
{
|
||||
score = score + 1;
|
||||
}
|
||||
|
||||
// 在副图显示得分
|
||||
Commentary("Score: " + Text(score));
|
||||
|
||||
|
||||
plt1.barv("Score",score);
|
||||
// 判断是否达到条件数量
|
||||
If(score == totalScore)
|
||||
{
|
||||
Commentary("All conditions met!");
|
||||
}
|
||||
// 开空条件
|
||||
If(score[1] >= totalScore And MarketPosition == 0 ) //
|
||||
{
|
||||
SellShort(Lots, Open);
|
||||
}
|
||||
|
||||
// 平仓条件
|
||||
If(score[1] == 0 And MarketPosition == -1)
|
||||
{
|
||||
BuyToCover(0, Open);
|
||||
}
|
||||
|
||||
// 在副图显示条件成立和不成立
|
||||
|
||||
If(macdCondition)
|
||||
{
|
||||
PlotAuto("MACD_Condition",1,1,Green,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
Else
|
||||
{
|
||||
PlotAuto("MACD_Condition",1,1,Red,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
|
||||
If(rsiCondition)
|
||||
{
|
||||
PlotAuto("RSI_Condition",2,2,Green,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
Else
|
||||
{
|
||||
PlotAuto("RSI_Condition",2,2,Red,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
|
||||
If(stochasticCondition)
|
||||
{
|
||||
PlotAuto("Stochastic_Condition", 3,3,Green,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
Else
|
||||
{
|
||||
PlotAuto("Stochastic_Condition", 3,3,Red,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
|
||||
If(cciCondition)
|
||||
{
|
||||
PlotAuto("CCI_Condition", 4,4,Green,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
Else
|
||||
{
|
||||
PlotAuto("CCI_Condition", 4,4,Red,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
|
||||
If(supertrendCondition)
|
||||
{
|
||||
PlotAuto("Supertrend_Condition", 5,5,Green,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
Else
|
||||
{
|
||||
PlotAuto("Supertrend_Condition", 5,5,Red,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
If(Marketbool)
|
||||
{
|
||||
PlotAuto("Marketbool", 6,6,Green,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
Else
|
||||
{
|
||||
PlotAuto("Marketbool", 6,6,Red,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
|
||||
}
|
||||
|
||||
|
||||
//------------------------------------------------------------------------
|
||||
// 编译版本 2024/11/27 150615
|
||||
// 版权所有 songshu123
|
||||
// 更改声明 TradeBlazer Software保留对TradeBlazer平台
|
||||
// 每一版本的TradeBlazer公式修改和重写的权利
|
||||
//------------------------------------------------------------------------
|
||||
Binary file not shown.
Binary file not shown.
|
After Width: | Height: | Size: 507 KiB |
@@ -0,0 +1,210 @@
|
||||
from vnpy_ctastrategy import (
|
||||
CtaTemplate,
|
||||
TargetPosTemplate,
|
||||
StopOrder,
|
||||
TickData,
|
||||
BarData,
|
||||
TradeData,
|
||||
OrderData,
|
||||
BarGenerator,
|
||||
ArrayManager,
|
||||
)
|
||||
import pandas as pd
|
||||
import numpy as np
|
||||
import talib
|
||||
|
||||
class vip17_duo(CtaTemplate):
|
||||
"""
|
||||
|
||||
VIP17多头策略
|
||||
基于多个技术指标的多头策略，当满足一定数量的多头条件时开仓
|
||||
|
||||
"""
|
||||
author = "松鼠Quant"
|
||||
|
||||
# 策略参数
|
||||
total_score = 5 # 开仓分数阈值
|
||||
entry_strength = 90 # 趋势强度的进场值
|
||||
length = 5 # 强弱指标和通道计算的周期值
|
||||
|
||||
# 指标参数
|
||||
rpm_period = 14 # RPM Period
|
||||
bbo_period = 16 # BBO Period
|
||||
macd_fast_period = 12 # MACD Fast Period
|
||||
macd_slow_period = 24 # MACD Slow Period
|
||||
macd_signal_period = 9 # MACD Signal Period
|
||||
rsi_period = 14 # RSI Period
|
||||
cci_period = 14 # CCI Period
|
||||
stoch_k_period = 14 # Stochastic %K Length
|
||||
stoch_k_smooth = 1 # Stochastic %K Smoothing
|
||||
stoch_d_smooth = 3 # Stochastic %D Smoothing
|
||||
supertrend_period = 10 # SUPERTREND Period
|
||||
supertrend_factor = 2 # SUPERTREND Factor
|
||||
|
||||
parameters = ["total_score", "entry_strength", "length",
|
||||
"macd_fast_period", "macd_slow_period", "macd_signal_period",
|
||||
"rsi_period", "cci_period", "stoch_k_period"]
|
||||
|
||||
variables = ["current_score"]
|
||||
|
||||
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
|
||||
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
|
||||
|
||||
self.bg = BarGenerator(self.on_bar)
|
||||
self.am = ArrayManager(size=100)
|
||||
|
||||
# 指标变量
|
||||
self.current_score = 0
|
||||
self.market_strength = 0
|
||||
self.supertrend_value = 0
|
||||
|
||||
def on_init(self):
|
||||
"""
|
||||
策略初始化
|
||||
"""
|
||||
self.write_log("策略初始化")
|
||||
self.load_bar(100)
|
||||
|
||||
def on_start(self):
|
||||
"""
|
||||
策略启动
|
||||
"""
|
||||
self.write_log("策略启动")
|
||||
|
||||
def on_stop(self):
|
||||
"""
|
||||
策略停止
|
||||
"""
|
||||
self.write_log("策略停止")
|
||||
|
||||
def on_tick(self, tick: TickData):
|
||||
"""
|
||||
Tick数据更新
|
||||
"""
|
||||
self.bg.update_tick(tick)
|
||||
|
||||
def calculate_market_strength(self):
|
||||
"""计算市场强度指标"""
|
||||
close_change = self.am.close_array[1:] - self.am.close_array[:-1]
|
||||
up_closes = 0
|
||||
dn_closes = 0
|
||||
|
||||
for i in range(self.length):
|
||||
if close_change[-i-1] > 0:
|
||||
up_closes += close_change[-i-1]
|
||||
else:
|
||||
dn_closes += close_change[-i-1]
|
||||
|
||||
sum_change = np.sum(close_change[-self.length:])
|
||||
|
||||
if sum_change >= 0:
|
||||
self.market_strength = (sum_change / up_closes * 100) if up_closes != 0 else 0
|
||||
else:
|
||||
self.market_strength = (sum_change / abs(dn_closes) * 100) if dn_closes != 0 else 0
|
||||
|
||||
return self.market_strength >= self.entry_strength
|
||||
|
||||
def calculate_supertrend(self):
|
||||
"""计算SuperTrend指标"""
|
||||
atr = talib.ATR(self.am.high_array, self.am.low_array,
|
||||
self.am.close_array, self.supertrend_period)
|
||||
|
||||
basic_upper = (self.am.high_array + self.am.low_array) / 2 + self.supertrend_factor * atr
|
||||
basic_lower = (self.am.high_array + self.am.low_array) / 2 - self.supertrend_factor * atr
|
||||
|
||||
# 简化的SuperTrend计算
|
||||
self.supertrend_value = basic_lower[-1]
|
||||
return self.am.close_array[-1] > self.supertrend_value
|
||||
|
||||
def calculate_score(self):
|
||||
"""
|
||||
计算综合得分
|
||||
"""
|
||||
score = 0
|
||||
# MACD条件 - 多头信号
|
||||
# 使用talib直接计算MACD
|
||||
macd, signal, hist = talib.MACD(
|
||||
self.am.close_array,
|
||||
fastperiod=self.macd_fast_period,
|
||||
slowperiod=self.macd_slow_period,
|
||||
signalperiod=self.macd_signal_period
|
||||
)
|
||||
|
||||
if not np.isnan(macd[-1]) and not np.isnan(signal[-1]):
|
||||
if macd[-1] > signal[-1]: # 多头信号：MACD线在信号线上方
|
||||
score += 1
|
||||
|
||||
# RSI条件 - 多头信号
|
||||
rsi = talib.RSI(self.am.close_array, timeperiod=self.rsi_period)
|
||||
if not np.isnan(rsi[-1]) and rsi[-1] > 50: # 多头信号：RSI大于50
|
||||
score += 1
|
||||
|
||||
# Stochastic条件 - 多头信号
|
||||
k, d = talib.STOCH(
|
||||
self.am.high_array,
|
||||
self.am.low_array,
|
||||
self.am.close_array,
|
||||
fastk_period=self.stoch_k_period,
|
||||
slowk_period=self.stoch_k_smooth,
|
||||
slowd_period=self.stoch_d_smooth
|
||||
)
|
||||
if not np.isnan(k[-1]) and k[-1] > 50: # 多头信号：K值大于50
|
||||
score += 1
|
||||
|
||||
# CCI条件 - 多头信号
|
||||
cci = talib.CCI(
|
||||
self.am.high_array,
|
||||
self.am.low_array,
|
||||
self.am.close_array,
|
||||
timeperiod=self.cci_period
|
||||
)
|
||||
if not np.isnan(cci[-1]) and cci[-1] > 0: # 多头信号：CCI大于0
|
||||
score += 1
|
||||
|
||||
# Supertrend条件
|
||||
if self.calculate_supertrend():
|
||||
score += 1
|
||||
|
||||
# 市场强度条件
|
||||
if self.calculate_market_strength():
|
||||
score += 1
|
||||
|
||||
return score
|
||||
|
||||
def on_bar(self, bar: BarData):
|
||||
"""
|
||||
K线更新回调
|
||||
"""
|
||||
self.am.update_bar(bar)
|
||||
if not self.am.inited:
|
||||
return
|
||||
|
||||
# 计算当前得分
|
||||
self.current_score = self.calculate_score()
|
||||
|
||||
# 交易信号
|
||||
if self.current_score >= self.total_score and not self.pos:
|
||||
self.buy(bar.close_price + 5, 1)
|
||||
elif self.current_score == 0 and self.pos > 0:
|
||||
self.sell(bar.close_price - 5, abs(self.pos))
|
||||
|
||||
# 输出当前得分
|
||||
self.put_event()
|
||||
|
||||
def on_trade(self, trade: TradeData):
|
||||
"""
|
||||
成交回调
|
||||
"""
|
||||
self.put_event()
|
||||
|
||||
def on_order(self, order: OrderData):
|
||||
"""
|
||||
委托回调
|
||||
"""
|
||||
pass
|
||||
|
||||
def on_stop_order(self, stop_order: StopOrder):
|
||||
"""
|
||||
停止单回调
|
||||
"""
|
||||
pass
|
||||
@@ -0,0 +1,208 @@
|
||||
from vnpy_ctastrategy import (
|
||||
CtaTemplate,
|
||||
TargetPosTemplate,
|
||||
StopOrder,
|
||||
TickData,
|
||||
BarData,
|
||||
TradeData,
|
||||
OrderData,
|
||||
BarGenerator,
|
||||
ArrayManager,
|
||||
)
|
||||
import pandas as pd
|
||||
import numpy as np
|
||||
import talib
|
||||
|
||||
class vip17_kong(CtaTemplate):
|
||||
"""
|
||||
VIP17空头策略
|
||||
基于多个技术指标的空头策略，当满足一定数量的空头条件时开仓
|
||||
"""
|
||||
author = "松鼠Quant"
|
||||
|
||||
# 策略参数
|
||||
total_score = 5 # 开仓分数阈值
|
||||
entry_strength = 90 # 趋势强度的进场值
|
||||
length = 5 # 强弱指标和通道计算的周期值
|
||||
|
||||
# 指标参数
|
||||
rpm_period = 14 # RPM Period
|
||||
bbo_period = 16 # BBO Period
|
||||
macd_fast_period = 12 # MACD Fast Period
|
||||
macd_slow_period = 24 # MACD Slow Period
|
||||
macd_signal_period = 9 # MACD Signal Period
|
||||
rsi_period = 14 # RSI Period
|
||||
cci_period = 14 # CCI Period
|
||||
stoch_k_period = 14 # Stochastic %K Length
|
||||
stoch_k_smooth = 1 # Stochastic %K Smoothing
|
||||
stoch_d_smooth = 3 # Stochastic %D Smoothing
|
||||
supertrend_period = 10 # SUPERTREND Period
|
||||
supertrend_factor = 2 # SUPERTREND Factor
|
||||
|
||||
parameters = ["total_score", "entry_strength", "length",
|
||||
"macd_fast_period", "macd_slow_period", "macd_signal_period",
|
||||
"rsi_period", "cci_period", "stoch_k_period"]
|
||||
|
||||
variables = ["current_score"]
|
||||
|
||||
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
|
||||
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
|
||||
|
||||
self.bg = BarGenerator(self.on_bar)
|
||||
self.am = ArrayManager(size=100)
|
||||
|
||||
# 指标变量
|
||||
self.current_score = 0
|
||||
self.market_strength = 0
|
||||
self.supertrend_value = 0
|
||||
|
||||
def on_init(self):
|
||||
"""
|
||||
策略初始化
|
||||
"""
|
||||
self.write_log("策略初始化")
|
||||
self.load_bar(100)
|
||||
|
||||
def on_start(self):
|
||||
"""
|
||||
策略启动
|
||||
"""
|
||||
self.write_log("策略启动")
|
||||
|
||||
def on_stop(self):
|
||||
"""
|
||||
策略停止
|
||||
"""
|
||||
self.write_log("策略停止")
|
||||
|
||||
def on_tick(self, tick: TickData):
|
||||
"""
|
||||
Tick数据更新
|
||||
"""
|
||||
self.bg.update_tick(tick)
|
||||
|
||||
def calculate_market_strength(self):
|
||||
"""计算市场强度指标"""
|
||||
close_change = self.am.close_array[1:] - self.am.close_array[:-1]
|
||||
up_closes = 0
|
||||
dn_closes = 0
|
||||
|
||||
for i in range(self.length):
|
||||
if close_change[-i-1] > 0:
|
||||
up_closes += close_change[-i-1]
|
||||
else:
|
||||
dn_closes += close_change[-i-1]
|
||||
|
||||
sum_change = np.sum(close_change[-self.length:])
|
||||
|
||||
if sum_change >= 0:
|
||||
self.market_strength = (sum_change / up_closes * 100) if up_closes != 0 else 0
|
||||
else:
|
||||
self.market_strength = (sum_change / abs(dn_closes) * 100) if dn_closes != 0 else 0
|
||||
|
||||
return self.market_strength <= -self.entry_strength # 改为判断下跌强度
|
||||
|
||||
def calculate_supertrend(self):
|
||||
"""计算SuperTrend指标"""
|
||||
atr = talib.ATR(self.am.high_array, self.am.low_array,
|
||||
self.am.close_array, self.supertrend_period)
|
||||
|
||||
basic_upper = (self.am.high_array + self.am.low_array) / 2 + self.supertrend_factor * atr
|
||||
basic_lower = (self.am.high_array + self.am.low_array) / 2 - self.supertrend_factor * atr
|
||||
|
||||
# 简化的SuperTrend计算
|
||||
self.supertrend_value = basic_upper[-1] # 改为上轨
|
||||
return self.am.close_array[-1] < self.supertrend_value # 改为判断价格低于上轨
|
||||
|
||||
def calculate_score(self):
|
||||
"""
|
||||
计算综合得分
|
||||
"""
|
||||
score = 0
|
||||
|
||||
# MACD条件 - 空头信号
|
||||
# 使用talib直接计算MACD
|
||||
macd, signal, hist = talib.MACD(
|
||||
self.am.close_array,
|
||||
fastperiod=self.macd_fast_period,
|
||||
slowperiod=self.macd_slow_period,
|
||||
signalperiod=self.macd_signal_period
|
||||
)
|
||||
|
||||
if not np.isnan(macd[-1]) and not np.isnan(signal[-1]):
|
||||
if macd[-1] < signal[-1]: # 空头信号
|
||||
score += 1
|
||||
|
||||
# RSI条件 - 空头信号
|
||||
rsi = talib.RSI(self.am.close_array, timeperiod=self.rsi_period)
|
||||
if not np.isnan(rsi[-1]) and rsi[-1] < 50:
|
||||
score += 1
|
||||
|
||||
# Stochastic条件 - 空头信号
|
||||
k, d = talib.STOCH(
|
||||
self.am.high_array,
|
||||
self.am.low_array,
|
||||
self.am.close_array,
|
||||
fastk_period=self.stoch_k_period,
|
||||
slowk_period=self.stoch_k_smooth,
|
||||
slowd_period=self.stoch_d_smooth
|
||||
)
|
||||
if not np.isnan(k[-1]) and k[-1] < 50:
|
||||
score += 1
|
||||
|
||||
# CCI条件 - 空头信号
|
||||
cci = talib.CCI(
|
||||
self.am.high_array,
|
||||
self.am.low_array,
|
||||
self.am.close_array,
|
||||
timeperiod=self.cci_period
|
||||
)
|
||||
if not np.isnan(cci[-1]) and cci[-1] < 0:
|
||||
score += 1
|
||||
|
||||
# Supertrend条件 - 空头信号
|
||||
if self.calculate_supertrend():
|
||||
score += 1
|
||||
|
||||
# 市场强度条件 - 空头信号
|
||||
if self.calculate_market_strength():
|
||||
score += 1
|
||||
|
||||
return score
|
||||
|
||||
def on_bar(self, bar: BarData):
|
||||
"""
|
||||
K线更新回调
|
||||
"""
|
||||
self.am.update_bar(bar)
|
||||
if not self.am.inited:
|
||||
return
|
||||
|
||||
# 计算当前得分
|
||||
self.current_score = self.calculate_score()
|
||||
|
||||
# 交易信号
|
||||
if self.current_score >= self.total_score and not self.pos:
|
||||
self.short(bar.close_price - 5, 1) # 改为做空
|
||||
elif self.current_score == 0 and self.pos < 0: # 改为判断空仓
|
||||
self.cover(bar.close_price + 5, abs(self.pos)) # 改为平空
|
||||
|
||||
self.put_event()
|
||||
|
||||
def on_trade(self, trade: TradeData):
|
||||
"""
|
||||
成交回调
|
||||
"""
|
||||
self.put_event()
|
||||
|
||||
def on_order(self, order: OrderData):
|
||||
"""
|
||||
委托回调
|
||||
"""
|
||||
pass
|
||||
|
||||
def on_stop_order(self, stop_order: StopOrder):
|
||||
"""
|
||||
停止单回调
|
||||
"""
|
||||
pass
|
||||
File diff suppressed because it is too large.
Load diff
Binary file not shown.
@@ -0,0 +1,7 @@
|
||||
通过网盘分享的文件：VIP15参数文件.rar
|
||||
链接: https://pan.baidu.com/s/1liwdmvmGJ7wjHWVewZUUWA?pwd=7777 提取码: 7777
|
||||
--来自百度网盘超级会员v7的分享
|
||||
|
||||
如果过期了不能用了，联系小松鼠微信：viquant01
|
||||
|
||||
quant789.com可以使用参数选取工具
|
||||
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|
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Reference in new issue
Block a user