[Add]新增BollChannelStrategy策略，适合螺纹钢15分钟

examples/CtaBacktesting/loadCsv.py

@@ -10,4 +10,5 @@ from vnpy.trader.app.ctaStrategy.ctaHistoryData import loadMcCsv
 
 if __name__ == '__main__':
     loadMcCsv('IF0000_1min.csv', MINUTE_DB_NAME, 'IF0000')
+    loadMcCsv('rb0000_1min.csv', MINUTE_DB_NAME, 'rb0000')
 

vnpy/trader/app/ctaStrategy/ctaTemplate.py

@@ -416,4 +416,40 @@ class BarManager(object):
         self.xminBar.openInterest = bar.openInterest
         self.xminBar.volume += int(bar.volume)
 
+    #----------------------------------------------------------------------
+    def updateBar(self, bar):
+        """1分钟K线更新"""
+        # 尚未创建对象
+        if not self.xminBar:
+            self.xminBar = VtBarData()
             
+            self.xminBar.vtSymbol = bar.vtSymbol
+            self.xminBar.symbol = bar.symbol
+            self.xminBar.exchange = bar.exchange
+        
+            self.xminBar.open = bar.open
+            self.xminBar.high = bar.high
+            self.xminBar.low = bar.low            
+        # 累加老K线
+        else:
+            self.xminBar.high = max(self.xminBar.high, bar.high)
+            self.xminBar.low = min(self.xminBar.low, bar.low)
+    
+        # 通用部分
+        self.xminBar.close = bar.close
+        self.xminBar.datetime = bar.datetime
+        self.xminBar.openInterest = bar.openInterest
+        self.xminBar.volume += int(bar.volume)                
+            
+        # X分钟已经走完
+        if not bar.datetime.minute % self.xmin:   # 可以用X整除
+            # 生成上一X分钟K线的时间戳
+            self.xminBar.datetime = self.xminBar.datetime.replace(second=0, microsecond=0)  # 将秒和微秒设为0
+            self.xminBar.date = self.xminBar.datetime.strftime('%Y%m%d')
+            self.xminBar.time = self.xminBar.datetime.strftime('%H:%M:%S.%f')
+            
+            # 推送
+            self.onXminBar(self.xminBar)
+            
+            # 清空老K线缓存对象
+            self.xminBar = None

vnpy/trader/app/ctaStrategy/strategy/strategyBollChannel.py

@@ -0,0 +1,218 @@
+# encoding: UTF-8
+
+"""
+感谢Darwin Quant贡献的策略思路。
+知乎专栏原文：https://zhuanlan.zhihu.com/p/24448511
+
+策略逻辑：
+1. 布林通道（信号）
+2. CCI指标（过滤）
+3. ATR指标（止损）
+
+适合品种：螺纹钢
+适合周期：15分钟
+
+这里的策略是作者根据原文结合vn.py实现，对策略实现上做了一些修改，仅供参考。
+
+"""
+
+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, BarManager
+
+
+########################################################################
+class BollChannelStrategy(CtaTemplate):
+    """基于布林通道的交易策略"""
+    className = 'BollChannelStrategy'
+    author = u'用Python的交易员'
+
+    # 策略参数
+    bollWindow = 18                     # 布林通道窗口数
+    bollDev = 3.4                       # 布林通道的偏差
+    cciWindow = 10                      # CCI窗口数
+    atrWindow = 30                      # ATR窗口数
+    slMultiplier = 5.2                  # 计算止损距离的乘数
+    initDays = 10                       # 初始化数据所用的天数
+    fixedSize = 1                       # 每次交易的数量
+
+    # 策略变量
+    bufferSize = 100                    # 需要缓存的数据的大小
+    bufferCount = 0                     # 目前已经缓存了的数据的计数
+    highArray = np.zeros(bufferSize)    # K线最高价的数组
+    lowArray = np.zeros(bufferSize)     # K线最低价的数组
+    closeArray = np.zeros(bufferSize)   # K线收盘价的数组
+    
+    bollMid = 0                         # 布林通道中轨
+    bollStd = 0                         # 布林通道标准差
+    bollUp = 0                          # 布林通道上轨
+    bollDown = 0                        # 布林通道下轨
+    cciValue = 0                        # CCI指标数值
+    atrValue = 0                        # ATR指标数值
+    
+    intraTradeHigh = 0                  # 持仓期内的最高点
+    intraTradeLow = 0                   # 持仓期内的最低点
+    longStop = 0                        # 多头止损
+    shortStop = 0                       # 空头止损
+
+    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',
+                 'bollDev',
+                 'cciWindow',
+                 'atrWindow',
+                 'slMultiplier',
+                 'initDays',
+                 'fixedSize']    
+
+    # 变量列表，保存了变量的名称
+    varList = ['inited',
+               'trading',
+               'pos',
+               'bollMid',
+               'bollStd',
+               'bollUp',
+               'bollDown',
+               'cciValue',
+               'atrValue',
+               'intraTradeHigh',
+               'intraTradeLow',
+               'longStop',
+               'shortStop']  
+
+    #----------------------------------------------------------------------
+    def __init__(self, ctaEngine, setting):
+        """Constructor"""
+        super(BollChannelStrategy, self).__init__(ctaEngine, setting)
+        
+        self.bm = BarManager(self.onBar, 15, self.onXminBar)        # 创建K线合成器对象
+        
+    #----------------------------------------------------------------------
+    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)
+    
+    #----------------------------------------------------------------------
+    def onXminBar(self, bar):
+        """收到X分钟K线"""
+        # 撤销之前发出的尚未成交的委托（包括限价单和停止单）
+        for orderID in self.orderList:
+            self.cancelOrder(orderID)
+        self.orderList = []
+    
+        # 保存K线数据
+        self.closeArray[0:self.bufferSize-1] = self.closeArray[1:self.bufferSize]
+        self.highArray[0:self.bufferSize-1] = self.highArray[1:self.bufferSize]
+        self.lowArray[0:self.bufferSize-1] = self.lowArray[1:self.bufferSize]
+    
+        self.closeArray[-1] = bar.close
+        self.highArray[-1] = bar.high
+        self.lowArray[-1] = bar.low
+    
+        self.bufferCount += 1
+        if self.bufferCount < self.bufferSize:
+            return
+    
+        # 计算指标数值
+        self.bollMid = self.closeArray[-self.bollWindow:].mean()
+        self.bollStd = self.closeArray[-self.bollWindow:].std()
+        self.bollUp = self.bollMid + self.bollStd * self.bollDev
+        self.bollDown = self.bollMid - self.bollStd * self.bollDev
+        
+        self.cciValue = talib.CCI(self.highArray, 
+                                  self.lowArray, 
+                                  self.closeArray, 
+                                  self.cciWindow)[-1]
+        self.atrValue = talib.ATR(self.highArray, 
+                                  self.lowArray, 
+                                  self.closeArray,
+                                  self.atrWindow)[-1]
+        
+        # 判断是否要进行交易
+    
+        # 当前无仓位，发送OCO开仓委托
+        if self.pos == 0:
+            self.intraTradeHigh = bar.high
+            self.intraTradeLow = bar.low            
+            
+            if self.cciValue > 0:
+                l = self.buy(self.bollUp, self.fixedSize, True)
+                self.orderList.extend(l)
+            elif self.cciValue < 0:
+                l = self.short(self.bollDown, self.fixedSize, True)
+                self.orderList.extend(l)
+    
+        # 持有多头仓位
+        elif self.pos > 0:
+            self.intraTradeHigh = max(self.intraTradeHigh, bar.high)
+            self.intraTradeLow = bar.low
+            self.longStop = self.intraTradeHigh - self.atrValue * self.slMultiplier
+            
+            l = self.sell(self.longStop, abs(self.pos), True)
+            self.orderList.extend(l)
+    
+        # 持有空头仓位
+        elif self.pos < 0:
+            self.intraTradeHigh = bar.high
+            self.intraTradeLow = min(self.intraTradeLow, bar.low)
+            self.shortStop = self.intraTradeLow + self.atrValue * self.slMultiplier
+            
+            l = self.cover(self.shortStop, abs(self.pos), True)
+            self.orderList.extend(l)
+    
+        # 发出状态更新事件
+        self.putEvent()        
+
+    #----------------------------------------------------------------------
+    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):
+        # 发出状态更新事件
+        self.putEvent()
+
+    #----------------------------------------------------------------------
+    def onStopOrder(self, so):
+        """停止单推送"""
+        pass

vnpy/trader/app/ctaStrategy/strategy/strategyKingKeltner.py

@@ -112,7 +112,6 @@ class KkStrategy(CtaTemplate):
     #----------------------------------------------------------------------
     def onFiveBar(self, bar):
         """收到5分钟K线"""
-        print bar.datetime, bar.open, bar.high, bar.low, bar.close
         # 撤销之前发出的尚未成交的委托（包括限价单和停止单）
         for orderID in self.orderList:
             self.cancelOrder(orderID)