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/8.松鼠SF17_一个穿越牛熊的普适策略/使用文稿/vnpy/VIP17_duo.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 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

1.交易策略/1.CTA策略/1.松鼠策略/8.松鼠SF17_一个穿越牛熊的普适策略/使用文稿/vnpy/VIP17_kong.py

@@ -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