From 4ad43982ff7e6d55ebda33213b5e40db1f2988ae Mon Sep 17 00:00:00 2001 From: yuanhuei <35559668+yuanhuei@users.noreply.github.com> Date: Thu, 18 Jan 2018 19:40:52 +0800 Subject: [PATCH] Add files via upload --- examples/VnTrader/MystrategyBollingerBot.py | 362 ++++++++++++++++++++ 1 file changed, 362 insertions(+) create mode 100644 examples/VnTrader/MystrategyBollingerBot.py diff --git a/examples/VnTrader/MystrategyBollingerBot.py b/examples/VnTrader/MystrategyBollingerBot.py new file mode 100644 index 00000000..d1afb40f --- /dev/null +++ b/examples/VnTrader/MystrategyBollingerBot.py @@ -0,0 +1,362 @@ +# encoding: UTF-8 + +""" +仅在知乎Live中分享，请勿外传。 + +基于布林通道通道的交易策略，适合用在股指上5分钟线上。 +""" + +from __future__ import division + +import talib +import numpy as np + +from vnpy.trader.vtObject import VtBarData +from vnpy.trader.vtConstant import EMPTY_STRING +from vnpy.trader.app.ctaStrategy.ctaTemplate import CtaTemplate, BarGenerator, ArrayManager + +import csv +from vnpy.trader.vtConstant import (EMPTY_STRING, EMPTY_UNICODE, + EMPTY_FLOAT, EMPTY_INT) + +from vnpy.event import Event +from vnpy.trader.vtGlobal import globalSetting +from vnpy.trader.vtEvent import * +from vnpy.trader.vtGateway import * +from vnpy.trader.language import text +from vnpy.trader.vtFunction import getTempPath +######################################################################## +class MyBollingerBotStrategy(CtaTemplate): + """基于布林通道的交易策略""" + className = 'MyBollingerBotStrategy' + author = 'yuanhui' + + # 策略参数 + bollWindow = 26 # 通道窗口数 + entryDev = 2 # 开仓偏差 + exitDev = 1.2 # 平仓偏差 + trailingPrcnt = 0.4 # 移动止损百分比 + maWindow = 10 # 过滤用均线窗口 + initDays = 10 # 初始化数据所用的天数 + fixedSize = 1 # 每次交易的数量 + priceTick = 0.2 # 价格最小变动 + + DayTrendStatus='duotou' #DuoTou, KongTou,Panzheng + OnehourTrendstatus='panzhen' + FifteenMinTrendStatus='panzhen' + FiveMinTrendStatus='panzhen' + + # 5Min策略变量 + bollMid = 0 # 布林带中轨 + BeforebollMid=0 #上一根K线的布林线中轨 + bollStd = 0 # 布林带宽度 + bollUp = 0 # 开仓上轨 + Beforebollup=0 #上一根K线的布林线上轨 + bollDown = 0 # 平仓下轨 + beforebooldown=0 #上一根K线的布林线下轨 + + # 15Min策略变量 + bollMid15 = 0 # 布林带中轨 + BeforebollMid15=0 #上一根K线的布林线中轨 + bollStd15 = 0 # 布林带宽度 + bollUp15 = 0 # 开仓上轨 + Beforebollup15=0 #上一根K线的布林线上轨 + bollDown15 = 0 # 平仓下轨 + beforebolldown15=0 #上一根K线的布林线下轨 + + maFilter = 0 # 均线过滤 + maFilter1 = 0 # 上一期均线 + + intraTradeHigh = 0 # 持仓期内的最高点 + longEntry = 0 # 多头开仓 + longExit = 0 # 多头平仓 + shortEntry=0 + shortExit=0 + + deal=0 + dealopen=0 + + + orderList = [] # 保存委托代码的列表 + + # 参数列表，保存了参数的名称 + paramList = ['name', + 'className', + 'author', + 'vtSymbol', + 'bollWindow', + 'entryDev', + 'exitDev', + 'trailingPrcnt', + 'maWindow', + 'initDays', + 'fixedSize', + 'DayTrendStatus'] + + # 变量列表，保存了变量的名称 + varList = ['inited', + 'trading', + 'pos', + 'bollUp', + 'bollDown', + 'bollUp15', + 'bollDown15', + 'FifteenMinTrendStatus', + 'FiveMinTrendStatus'] + + # 同步列表 + syncList = ['pos', + 'intraTradeHigh'] + + #---------------------------------------------------------------------- + def __init__(self, ctaEngine, setting): + """Constructor""" + super(MyBollingerBotStrategy, self).__init__(ctaEngine, setting) + + self.bm = BarGenerator(self.onBar, 5, self.onFiveBar) + self.am = ArrayManager() + + self.bm15 = BarGenerator(self.onBar, 15, self.on15MinBar) + self.am15 = ArrayManager() + with open("datasig.csv","wb+") as csvfile: + writer = csv.writer(csvfile) + writer.writerow(["datetime","open","close","high","low","openInterest","volume","deal","pDown","pUp","dealOpen"]) + with open("datasig15.csv","wb+") as csvfile: + writer = csv.writer(csvfile) + writer.writerow(["datetime","open","close","high","low","openInterest","volume","deal","pDown","pUp","dealOpen"]) + + #---------------------------------------------------------------------- + def onInit(self): + """初始化策略（必须由用户继承实现）""" + self.writeCtaLog(u'%s策略初始化' %self.name) + + # 载入历史数据，并采用回放计算的方式初始化策略数值 + initData = self.loadBar(self.initDays) + for bar in initData: + self.onBar(bar) + + self.putEvent() + + #---------------------------------------------------------------------- + def onStart(self): + """启动策略（必须由用户继承实现）""" + self.writeCtaLog(u'%s策略启动' %self.name) + self.putEvent() + + #---------------------------------------------------------------------- + def onStop(self): + """停止策略（必须由用户继承实现）""" + self.writeCtaLog(u'%s策略停止' %self.name) + self.putEvent() + + #---------------------------------------------------------------------- + def onTick(self, tick): + """收到行情TICK推送（必须由用户继承实现）""" + self.bm.updateTick(tick) + + #---------------------------------------------------------------------- + def onBar(self, bar): + """收到Bar推送（必须由用户继承实现）""" + #self.bm.updateBar(bar) + # 基于15分钟判断趋势过滤，因此先更新 + self.bm15.updateBar(bar) + + # 基于5分钟判断 + self.bm.updateBar(bar) + print u"策略:",self.__dict__["name"] + print u"时间：%s,1分钟刷新，趋势状态,5分钟趋势%s,15分钟趋势%s,日趋势%s"%(bar.time,self.FiveMinTrendStatus,self.FifteenMinTrendStatus,self.DayTrendStatus) + + #---------------------------------------------------------------------- + def onFiveBar(self, bar): + """收到5分钟K线""" + #计算上一个k线的布林中轨，上轨，下轨 + self.BeforebollMid=self.am.sma(self.bollWindow) + self.Beforebollup,self.beforebooldown=self.am.boll(self.bollWindow,self.entryDev) + # 保存K线数据 + self.am.updateBar(bar) + if not self.am.inited: + return + + # 撤销之前发出的尚未成交的委托（包括限价单和停止单） + self.cancelAll() + orderList=[] + + # 计算指标数值 + self.bollMid = self.am.sma(self.bollWindow) + #self.bollStd = self.am.std(self.bollWindow) + self.bollUp,self.bollDown = self.am.boll(self.bollWindow,self.entryDev) + #self.boolDown = self.bollMid - self.bollStd * self.entryDev + + #maArray = self.am.sma(self.maWindow, True) + #self.maFilter = maArray[-1] + #self.maFilter1 = maArray[-2] + #判断当前5Min布林线趋势状态 + if bar.high > self.Beforebollup: + self.FiveMinTrendStatus='duotou' + elif bar.low < self.beforebooldown: + self.FiveMinTrendStatus='kongtou' + elif bar.low < self.BeforebollMid and self.FiveMinTrendStatus=='duotou': + self.FiveMinTrendStatus='panzhen' + elif bar.high > self.BeforebollMid and self.FiveMinTrendStatus=='kongtou': + self.FiveMinTrendStatus='panzhen' + + if self.DayTrendStatus=='kongtou' and bar.high > self.bollMid15 and self.FifteenMinTrendStatus == 'kongtou': + self.FifteenMinTrendStatus=='panzhen' + if self.DayTrendStatus=='duotou' and bar.low < self.bollMid15 and self.FifteenMinTrendStatus == 'duotou': + + self.FifteenMinTrendStatus=='panzhen' + # 判断是否要进行交易 + print u"5分钟刷新，趋势状态,5分钟趋势%s,15分钟趋势%s"%(self.FiveMinTrendStatus,self.FifteenMinTrendStatus) + # 当前无仓位，发送OCO开仓委托 + if self.pos == 0: + #self.intraTradeHigh = bar.high + + if self.DayTrendStatus=='duotou' and (self.FifteenMinTrendStatus=='panzhen' or self.FifteenMinTrendStatus=='kongtou'): + orderList=self.buy(self.bollUp15+self.priceTick, self.fixedSize, True) + print u"委托多单，15分钟上轨开仓" + elif self.DayTrendStatus=='duotou' and self.FifteenMinTrendStatus=='duotou' and self.FiveMinTrendStatus=='duotou': + self.longEntry = bar.close + orderList=self.buy(self.longEntry+self.priceTick, self.fixedSize, True) + print u"委托多单，5分钟收盘价开仓" + elif self.DayTrendStatus=='duotou' and self.FifteenMinTrendStatus=='duotou' and (self.FiveMinTrendStatus=='panzhen' or self.FiveMinTrendStatus=='kongtou'): + self.longEntry=self.bollUp + orderList=self.buy(self.longEntry+self.priceTick, self.fixedSize, True) + print u"委托多单，5分钟上轨开仓" + elif self.DayTrendStatus=='kongtou' and (self.FifteenMinTrendStatus=='panzhen' or self.FifteenMinTrendStatus=='duotou') : + self.orderList=self.short(self.bollDown15-self.priceTick, self.fixedSize, True) + print u"委托空单，15分钟下轨开仓" + elif self.DayTrendStatus=='kongtou' and self.FifteenMinTrendStatus=='kongtou' and self.FiveMinTrendStatus=='kongtou': + self.shortEntry = bar.close + orderList=self.short(self.shortEntry-self.priceTick, self.fixedSize, True) + print u"委托空单，5分钟收盘价开仓" + elif self.DayTrendStatus=='kongtou' and self.FifteenMinTrendStatus=='kongtou' and (self.FiveMinTrendStatus=='panzhen' or self.FiveMinTrendStatus=='duotou'): + self.shortEntry=self.bollDown + orderList=self.short(self.shortEntry-self.priceTick, self.fixedSize, True) + print u"委托空单，5分钟下轨开仓" + + + # 持有多头仓位 + elif self.pos > 0: + #self.intraTradeHigh = max(self.intraTradeHigh, bar.high) + #self.longExit = self.intraTradeHigh * (1 - self.trailingPrcnt/100) + #self.longExit = min(self.longExit, self.exitUp) + #self.longExit=self.boolDown + + orderList=self.sell(self.bollDown-self.priceTick, abs(self.pos), True) + print u"委托止损单，5分钟下轨平仓" + # 持有空头仓位 + elif self.pos < 0: + orderList=self.cover(self.bollUp+self.priceTick, abs(self.pos), True) + print u"委托止损单，5分钟上轨平仓" + + with open("datasig.csv","ab+",) as csvfile: + writer = csv.writer(csvfile) + writer.writerow([bar.datetime,bar.open, bar.close, bar.high, bar.low,bar.openInterest,bar.volume,self.deal,0,0,self.dealopen]) + self.deal=0 + self.dealopen=0 + + + if orderList: + print u"委托单成功单号",orderList + else: + print u"委托单失败" + # 发出状态更新事件 + self.putEvent() + + + def on15MinBar(self, bar): + """15分钟K线推送""" + + #计算上一个k线的布林中轨，上轨，下轨 + self.BeforebollMid15=self.am15.sma(self.bollWindow) + self.Beforebollup15,self.beforebolldown15=self.am15.boll(self.bollWindow,self.entryDev) + + self.am15.updateBar(bar) + + if not self.am15.inited: + return + + # 计算指标数值 + self.bollMid15 = self.am.sma(self.bollWindow) + self.bollUp15,self.bollDown15 = self.am.boll(self.bollWindow,self.entryDev) + + + #判断当前15Min布林线趋势状态 + if bar.high > self.Beforebollup15 and bar.low > self.BeforebollMid15: + self.FifteenMinTrendStatus='duotou' + elif bar.low < self.beforebolldown15 and bar.high < self.Beforebollup15: + self.FifteenMinTrendStatus='kongtou' + elif bar.low < self.BeforebollMid15 and self.FifteenMinTrendStatus=='duotou': + self.FifteenMinTrendStatus='panzhen' + elif bar.high > self.BeforebollMid15 and self.FifteenMinTrendStatus=='kongtou': + self.FifteenMinTrendStatus='panzhen' + + with open("datasig15.csv","ab+",) as csvfile: + writer = csv.writer(csvfile) + writer.writerow([bar.datetime,bar.open, bar.close, bar.high, bar.low,bar.openInterest,bar.volume,self.deal,0,0,self.dealopen]) + + print u"15分钟刷新，趋势状态,5分钟趋势%s,15分钟趋势%s"%(self.FiveMinTrendStatus,self.FifteenMinTrendStatus) + # 当前无仓位，发送OCO开仓委托 + ''' + if self.pos == 0: + self.intraTradeHigh = bar.high + + if self.FifteenMinTrendStatus=='panzhen': + self.longEntry = self.bollUp15 + self.shortEntry=self.booldown15 + self.buy(self.longEntry, self.fixedSize, True) + self.short(self.shortEntry,self.fixedSize,True) + ''' + #---------------------------------------------------------------------- + def onOrder(self, order): + """收到委托变化推送（必须由用户继承实现）""" + pass + + #---------------------------------------------------------------------- + def onTrade(self, trade): + #打印信息 + print u"委托单成交" + print trade.direction + print trade.offset + print "15min:",self.FifteenMinTrendStatus + print "5min:",self.FiveMinTrendStatus + + # 发出状态更新事件 + orderList=[] + if self.pos > 0 : + orderList=self.sell(self.bollDown-self.priceTick, abs(self.pos), True) + print u"委托止损单，5分钟下轨平仓" + elif self.pos < 0 : + orderList=self.cover(self.bollUp+self.priceTick, abs(self.pos), True) + print u"委托止损单，5分钟上轨平仓" + + #打印信息 + if orderList: + print u"委托单成功单号",orderList + else: + print u"委托单失败" + + + if trade.offset==OFFSET_OPEN: + if trade.direction==DIRECTION_LONG: + self.dealopen=1 + self.FifteenMinTrendStatus='duotou' + self.FiveMinTrendStatus='duotou' + else: + self.dealopen=-1 + self.FifteenMinTrendStatus='kongtou' + self.FiveMinTrendStatus='kongtou' + + if trade.offset==OFFSET_CLOSE: + if trade.direction==DIRECTION_LONG: + self.deal=1 + else: + self.deal=-1 + + + self.putEvent() + + #---------------------------------------------------------------------- + def onStopOrder(self, so): + """停止单推送""" + pass \ No newline at end of file