145 lines
3.5 KiB
Python
145 lines
3.5 KiB
Python
from vnpy_ctastrategy import (
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CtaTemplate,
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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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class AtrRsiStrategy(CtaTemplate):
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""""""
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author = "用Python的交易员"
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atr_length = 22
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atr_ma_length = 10
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rsi_length = 5
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rsi_entry = 16
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trailing_percent = 0.8
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fixed_size = 1
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atr_value = 0
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atr_ma = 0
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rsi_value = 0
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rsi_buy = 0
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rsi_sell = 0
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intra_trade_high = 0
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intra_trade_low = 0
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parameters = [
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"atr_length",
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"atr_ma_length",
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"rsi_length",
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"rsi_entry",
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"trailing_percent",
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"fixed_size",
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]
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variables = [
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"atr_value",
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"atr_ma",
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"rsi_value",
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"rsi_buy",
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"rsi_sell",
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"intra_trade_high",
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"intra_trade_low",
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]
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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.bg = BarGenerator(self.on_bar)
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self.am = ArrayManager()
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def on_init(self):
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"""
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Callback when strategy is inited.
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"""
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self.write_log("策略初始化")
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self.rsi_buy = 50 + self.rsi_entry
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self.rsi_sell = 50 - self.rsi_entry
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self.load_bar(10)
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def on_start(self):
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"""
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Callback when strategy is started.
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"""
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self.write_log("策略启动")
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def on_stop(self):
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"""
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Callback when strategy is stopped.
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"""
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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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"""
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Callback of new tick data update.
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"""
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self.bg.update_tick(tick)
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def on_bar(self, bar: BarData):
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"""
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Callback of new bar data update.
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"""
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self.cancel_all()
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am = self.am
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am.update_bar(bar)
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if not am.inited:
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return
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atr_array = am.atr(self.atr_length, array=True)
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self.atr_value = atr_array[-1]
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self.atr_ma = atr_array[-self.atr_ma_length :].mean()
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self.rsi_value = am.rsi(self.rsi_length)
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if self.pos == 0:
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self.intra_trade_high = bar.high_price
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self.intra_trade_low = bar.low_price
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if self.atr_value > self.atr_ma:
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if self.rsi_value > self.rsi_buy:
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self.buy(bar.close_price + 5, self.fixed_size)
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elif self.rsi_value < self.rsi_sell:
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self.short(bar.close_price - 5, self.fixed_size)
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elif self.pos > 0:
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self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
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self.intra_trade_low = bar.low_price
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long_stop = self.intra_trade_high * (1 - self.trailing_percent / 100)
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self.sell(long_stop, abs(self.pos), stop=True)
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elif self.pos < 0:
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self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
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self.intra_trade_high = bar.high_price
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short_stop = self.intra_trade_low * (1 + self.trailing_percent / 100)
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self.cover(short_stop, abs(self.pos), stop=True)
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self.put_event()
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def on_order(self, order: OrderData):
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"""
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Callback of new order data update.
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"""
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pass
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def on_trade(self, trade: TradeData):
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"""
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Callback of new trade data update.
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"""
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self.put_event()
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def on_stop_order(self, stop_order: StopOrder):
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"""
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Callback of stop order update.
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"""
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pass
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