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