From 1356aac89447008c810e694850f87395994d36d9 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Tue, 17 Sep 2019 23:11:17 +0800 Subject: [PATCH] [Mod] close #1937 --- .../cta_strategy/strategies/turtle_signal_strategy.py | 11 ++++++++--- 1 file changed, 8 insertions(+), 3 deletions(-) diff --git a/vnpy/app/cta_strategy/strategies/turtle_signal_strategy.py b/vnpy/app/cta_strategy/strategies/turtle_signal_strategy.py index aa608b95..bcbe766d 100644 --- a/vnpy/app/cta_strategy/strategies/turtle_signal_strategy.py +++ b/vnpy/app/cta_strategy/strategies/turtle_signal_strategy.py @@ -78,7 +78,12 @@ class TurtleSignalStrategy(CtaTemplate): if not self.am.inited: return - self.entry_up, self.entry_down = self.am.donchian(self.entry_window) + # Only calculates new entry channel when no position holding + if not self.pos: + self.entry_up, self.entry_down = self.am.donchian( + self.entry_window + ) + self.exit_up, self.exit_down = self.am.donchian(self.exit_window) if not self.pos: @@ -92,13 +97,13 @@ class TurtleSignalStrategy(CtaTemplate): self.send_buy_orders(self.entry_up) self.send_short_orders(self.entry_down) elif self.pos > 0: - self.send_buy_orders(self.long_entry) + self.send_buy_orders(self.entry_up) sell_price = max(self.long_stop, self.exit_down) self.sell(sell_price, abs(self.pos), True) elif self.pos < 0: - self.send_short_orders(self.short_entry) + self.send_short_orders(self.entry_down) cover_price = min(self.short_stop, self.exit_up) self.cover(cover_price, abs(self.pos), True)