264 lines
9.0 KiB
Python
264 lines
9.0 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 pandas as pd
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import numpy as np
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import math
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class vip11(TargetPosTemplate):
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""""""
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author = "松鼠Quant"
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#默认螺纹888 1H
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length = 15
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M=35
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smoothingFactor = 0.1
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TS = 50 #移动止损止盈幅度 参数范围及步长： 5-200，5
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lots=1 #下单手数
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fastLength = 12
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slowLength = 26
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MACDLength =9
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current_bar = 0
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Highup=0
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Lowdown=0
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HigherAfterEntry = float('inf')
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LowerAfterEntry = -float('inf')
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liQKA = 0
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DliqPoint = 0
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KliqPoint = 0
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OBVValue=[0]
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MAOBV=[0]
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M2=[0]
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cond1=[0]*2
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cond2=[0]*2
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cond3=[0]*2
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kong_cond1=[0]*2
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kong_cond2=[0]*2
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kong_cond3=[0]*2
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MACDValue=[0]*3
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normalizedMACD=[1]*3
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smoothedMACD=[1]*3
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smoothedNormalizedMACD=[1]*3
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STCValue=[1]*3
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MA1=0
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MA2=0
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MA3=0
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gobro=0
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parameters = ["length",'M','smoothingFactor',"TS",'lots']
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variables = ["HigherAfterEntry","LowerAfterEntry","liQKA","DliqPoint","KliqPoint"]
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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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#df: pd.DataFrame = pd.read_csv(r"index_contract.csv")
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#self.contracts_sizes = {row.vt_symbol.split('.')[0]: row.contract_size for _, row in df.iterrows()}
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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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"""
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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.load_bar(1)
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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 calculate_con(self,Price1, Price2, Length):
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Matches = 0
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Price2=Price2-Length
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Price2list=[]
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Price2list.extend([Price2 + j for j in range(1, Length)]) # 使用extend将元素添加到列表中
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# 检查是否有足够的数据进行计算
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if len(Price1) < Length :
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return 0
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else:
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for i in range(1,Length-1):
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# 计算Con条件
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if (Price1[i] >= Price1[i-1] and Price2list[i] >= Price2list[i-1]) or \
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(Price1[i] < Price1[i-1] and Price2list[i] < Price2list[i-1]):
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Matches += 1
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# 计算结果并返回
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return 2 * Matches / Length - 1
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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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# 如果历史数据还没有初始化完毕，则直接返回
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# 注意：am 是交易系统中的一个数据管理器，可能用于管理历史数据
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# bar 是当前的K线数据，其中包含了开盘价、最高价、最低价、收盘价和成交量等信息
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self.current_bar=self.current_bar+1 #Bar线计数
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#print(bar.datetime,"current_bar:",self.current_bar)
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# 如果当前Bar的计数器值小于self.M*2
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if(self.current_bar<self.M*2):
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return
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#均线
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self.MA1=am.ema(self.M,array=True)
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self.MA2=am.ema(self.M*2,array=True)
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# 如果当前Bar的计数器值小于self.MACDLength
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if(self.current_bar<self.MACDLength):
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return
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a1 = 2 / (self.fastLength + 1)
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a2 = 2 / (self.slowLength + 1)
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# 计算相关系数
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r2 = 0.5 * math.pow(self.calculate_con(am.close_array[-self.MACDLength:], self.current_bar, self.MACDLength), 2) + 0.5
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kk = r2 * ((1 - a1) * (1 - a2)) + (1 - r2) * ((1 - a1) / (1 - a2))
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# 计算MACD值
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self.MACDValue.append((am.close_array[-1] - am.close_array[-2]) * (a1 - a2) + (-a2 - a1 + 2) * self.MACDValue[-1] - kk * self.MACDValue[-2])
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# 如果当前Bar的计数器值小于self.fastLength
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if(self.current_bar<self.fastLength):
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return
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lowestMACD = min(self.MACDValue[-self.fastLength:])
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highestMACD = max(self.MACDValue[-self.fastLength:]) - lowestMACD
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# 归一化MACD
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self.normalizedMACD.append((self.MACDValue[-1] - lowestMACD) / highestMACD * 100 if highestMACD > 0 else self.normalizedMACD[-1])
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# 平滑MACD
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self.smoothedMACD.append(self.normalizedMACD[-1] if self.smoothedMACD[-1]==1 else self.smoothedMACD[-2] + self.smoothingFactor * (self.normalizedMACD[-1] - self.smoothedMACD[-2]))
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# 计算平滑后MACD的最低值和最高值
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lowestSmoothedMACD = min(self.smoothedMACD[-self.fastLength:])
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highestSmoothedMACD = max(self.smoothedMACD[-self.fastLength:]) - lowestSmoothedMACD
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# 归一化平滑后MACD
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self.smoothedNormalizedMACD.append((self.smoothedMACD[-1] - lowestSmoothedMACD) / highestSmoothedMACD * 100 if highestSmoothedMACD > 0 else self.smoothedNormalizedMACD[-1])
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# 平滑归一化后MACD，得到STC值
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self.STCValue.append(self.smoothedNormalizedMACD[-1] if self.STCValue[-1]==1 else self.STCValue[-2] + self.smoothingFactor * (self.smoothedNormalizedMACD[-1] - self.STCValue[-2]))
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STCvalue1=round(self.STCValue[-1]-50,0)
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STCvalue2=round(self.STCValue[-2]-50,0)
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STCvalue3=round(self.STCValue[-3]-50,0)
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# 如果当前Bar的计数器值小于self.fastLength
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if(self.current_bar<self.length):
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return
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Highup=max(am.high_array[-self.length:-1])
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Lowdown=min(am.low_array[-self.length:-1])
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#/*开平仓条件代码-----------------------------------------------------------------------------------------------------------------------------------*/
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cond1=STCvalue1>STCvalue2 and STCvalue3>=STCvalue2
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cond2=STCvalue1<STCvalue2 and STCvalue3<=STCvalue2
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cond3=self.MA1[-1]>self.MA2[-1] and am.close_array[-1]>self.MA2[-1]
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cond4=self.MA1[-1]<self.MA2[-1] and am.close_array[-1]<self.MA2[-1]
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if cond1:
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self.gobro=1
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if cond2:
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self.gobro=-1
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if self.pos!=1 and self.gobro==1 and bar.high_price>=Highup and STCvalue1<0 and cond3==True:
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if self.pos == 0:
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self.buy(bar.close_price, self.lots)
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elif self.pos < 0:
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self.cover(bar.close_price, self.lots)
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self.buy(bar.close_price, self.lots)
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self.liQKA = 1
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self.LowerAfterEntry = bar.close_price
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if self.pos!=-1 and self.gobro==-1 and bar.low_price<=Lowdown and STCvalue1>0 and cond4==True :
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if self.pos == 0:
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self.short(bar.close_price, self.lots)
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elif self.pos > 0:
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self.sell(bar.close_price, self.lots)
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self.short(bar.close_price, self.lots)
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self.liQKA = 1
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self.HigherAfterEntry = bar.close_price
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#记录入场后的最高价和最低价
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if self.pos>0:
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#self.HigherAfterEntry = HigherAfterEntry
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self.LowerAfterEntry = max(self.LowerAfterEntry, bar.low_price)
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elif self.pos<0:
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self.HigherAfterEntry = min(self.HigherAfterEntry, bar.high_price)
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#self.LowerAfterEntry = LowerAfterEntry
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if self.pos == 0:
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self.liQKA = 1
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else:
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self.liQKA = self.liQKA - 0.1
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self.liQKA = max(self.liQKA, 0.5)
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if self.pos>0:
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DliqPoint = self.LowerAfterEntry - ((bar.open_price)*self.TS/1000)*self.liQKA
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#print(bar.datetime,"DliqPoint",DliqPoint,"low_price",bar.low_price,"self.LowerAfterEntry",self.LowerAfterEntry)
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if self.pos<0:
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KliqPoint = self.HigherAfterEntry + ((bar.open_price)*self.TS/1000)*self.liQKA
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#print(bar.datetime,"KliqPoint",KliqPoint,"high_price",bar.high_price,"self.HigherAfterEntry",self.HigherAfterEntry)
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if (self.pos>0 and bar.low_price <= DliqPoint and DliqPoint>0):
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#多头出场
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self.sell(bar.close_price, self.lots)
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self.gobro=0
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elif (self.pos<0 and bar.high_price > KliqPoint and KliqPoint>0):
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#空头出场
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self.cover(bar.close_price, self.lots)
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self.gobro=0
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self.current_bar += 1
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self.put_event()
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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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