[Mod]调整部分海龟命名
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vn.py
parent
e5c0850956
commit
846e677bbc
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
@ -18,7 +18,7 @@ class TurtleResult(object):
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.pos = 0
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self.unit = 0
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self.entry = 0 # 开仓均价
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self.exit = 0 # 平仓均价
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self.pnl = 0 # 盈亏
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@ -26,16 +26,16 @@ class TurtleResult(object):
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#----------------------------------------------------------------------
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def open(self, price, change):
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"""开仓或者加仓"""
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cost = self.pos * self.entry # 计算之前的开仓成本
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cost = self.unit * self.entry # 计算之前的开仓成本
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cost += change * price # 加上新仓位的成本
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self.pos += change # 加上新仓位的数量
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self.entry = cost / self.pos # 计算新的平均开仓成本
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self.unit += change # 加上新仓位的数量
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self.entry = cost / self.unit # 计算新的平均开仓成本
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#----------------------------------------------------------------------
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def close(self, price):
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"""平仓"""
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self.exit = price
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self.pnl = self.pos * (self.exit - self.entry)
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self.pnl = self.unit * (self.exit - self.entry)
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########################################################################
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@ -75,7 +75,7 @@ class TurtleSignal(object):
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self.shortEntry4 = 0
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self.shortStop = 0 # 空头止损位
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self.pos = 0 # 信号持仓
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self.unit = 0 # 信号持仓
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self.result = None # 当前的交易
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self.resultList = [] # 交易列表
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self.bar = None # 最新K线
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@ -102,34 +102,34 @@ class TurtleSignal(object):
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return
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# 优先检查平仓
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if self.pos > 0:
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if self.unit > 0:
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longExit = max(self.longStop, self.exitDown)
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if bar.low <= longExit:
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self.sell(longExit)
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return
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elif self.pos < 0:
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elif self.unit < 0:
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shortExit = min(self.shortStop, self.exitUp)
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if bar.high >= shortExit:
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self.cover(shortExit)
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return
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# 没有仓位或者持有多头仓位的时候，可以做多（加仓）
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if self.pos >= 0:
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if self.unit >= 0:
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trade = False
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if bar.high >= self.longEntry1 and self.pos < 1:
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if bar.high >= self.longEntry1 and self.unit < 1:
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self.buy(self.longEntry1, 1)
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trade = True
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if bar.high >= self.longEntry2 and self.pos < 2:
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if bar.high >= self.longEntry2 and self.unit < 2:
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self.buy(self.longEntry2, 1)
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trade = True
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if bar.high >= self.longEntry3 and self.pos < 3:
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if bar.high >= self.longEntry3 and self.unit < 3:
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self.buy(self.longEntry3, 1)
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trade = True
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if bar.high >= self.longEntry4 and self.pos < 4:
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if bar.high >= self.longEntry4 and self.unit < 4:
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self.buy(self.longEntry4, 1)
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trade = True
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@ -137,17 +137,17 @@ class TurtleSignal(object):
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return
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# 没有仓位或者持有空头仓位的时候，可以做空（加仓）
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if self.pos <= 0:
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if bar.low <= self.shortEntry1 and self.pos > -1:
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if self.unit <= 0:
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if bar.low <= self.shortEntry1 and self.unit > -1:
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self.short(self.shortEntry1, 1)
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if bar.low <= self.shortEntry2 and self.pos > -2:
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if bar.low <= self.shortEntry2 and self.unit > -2:
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self.short(self.shortEntry2, 1)
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if bar.low <= self.shortEntry3 and self.pos > -3:
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if bar.low <= self.shortEntry3 and self.unit > -3:
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self.short(self.shortEntry3, 1)
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if bar.low <= self.shortEntry4 and self.pos > -4:
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if bar.low <= self.shortEntry4 and self.unit > -4:
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self.short(self.shortEntry4, 1)
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#----------------------------------------------------------------------
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@ -157,7 +157,7 @@ class TurtleSignal(object):
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self.exitUp, self.exitDown = self.am.donchian(self.exitWindow)
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# 有持仓后，ATR波动率和入场位等都不再变化
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if not self.pos:
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if not self.unit:
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self.atrVolatility = self.am.atr(self.atrWindow)
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self.longEntry1 = self.entryUp
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@ -190,7 +190,7 @@ class TurtleSignal(object):
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def sell(self, price):
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"""卖出平仓"""
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price = self.calculateTradePrice(DIRECTION_SHORT, price)
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volume = abs(self.pos)
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volume = abs(self.unit)
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self.close(price)
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self.newSignal(DIRECTION_SHORT, OFFSET_CLOSE, price, volume)
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@ -210,7 +210,7 @@ class TurtleSignal(object):
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def cover(self, price):
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"""买入平仓"""
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price = self.calculateTradePrice(DIRECTION_LONG, price)
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volume = abs(self.pos)
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volume = abs(self.unit)
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self.close(price)
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self.newSignal(DIRECTION_LONG, OFFSET_CLOSE, price, volume)
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@ -218,7 +218,7 @@ class TurtleSignal(object):
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#----------------------------------------------------------------------
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def open(self, price, change):
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"""开仓"""
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self.pos += change
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self.unit += change
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if not self.result:
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self.result = TurtleResult()
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@ -227,7 +227,7 @@ class TurtleSignal(object):
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#----------------------------------------------------------------------
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def close(self, price):
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"""平仓"""
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self.pos = 0
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self.unit = 0
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self.result.close(price)
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self.resultList.append(self.result)
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@ -266,14 +266,15 @@ class TurtlePortfolio(object):
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self.signalDict = defaultdict(list)
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self.posDict = {} # 每个品种的持仓情况
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self.unitDict = {} # 每个品种的持仓情况
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self.totalLong = 0 # 总的多头持仓
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self.totalShort = 0 # 总的空头持仓
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self.tradingDict = {} # 交易中的信号字典
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self.sizeDict = {} # 合约大小字典
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self.unitDict = {} # 按照波动幅度计算的委托量单位字典
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self.multiplierDict = {} # 按照波动幅度计算的委托量单位字典
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self.posDict = {} # 真实持仓量字典
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self.portfolioValue = 0 # 组合市值
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@ -291,6 +292,7 @@ class TurtlePortfolio(object):
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l.append(signal1)
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l.append(signal2)
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self.unitDict[vtSymbol] = 0
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self.posDict[vtSymbol] = 0
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#----------------------------------------------------------------------
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@ -302,17 +304,17 @@ class TurtlePortfolio(object):
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#----------------------------------------------------------------------
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def newSignal(self, signal, direction, offset, price, volume):
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"""对交易信号进行过滤，符合条件的才发单执行"""
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pos = self.posDict[signal.vtSymbol]
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unit = self.unitDict[signal.vtSymbol]
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# 如果当前无仓位，则重新根据波动幅度计算委托量单位
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if not pos:
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if not unit:
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size = self.sizeDict[signal.vtSymbol]
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riskValue = self.portfolioValue * 0.01
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unit = riskValue / (signal.atrVolatility * size)
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unit = int(round(unit, 0))
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self.unitDict[signal.vtSymbol] = unit
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multiplier = riskValue / (signal.atrVolatility * size)
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multiplier = int(round(multiplier, 0))
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self.multiplierDict[signal.vtSymbol] = multiplier
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else:
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unit = self.unitDict[signal.vtSymbol]
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multiplier = self.multiplierDict[signal.vtSymbol]
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# 开仓
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if offset == OFFSET_OPEN:
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@ -329,29 +331,29 @@ class TurtlePortfolio(object):
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return
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# 单品种持仓不能超过上限
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if self.posDict[signal.vtSymbol] >= MAX_PRODUCT_POS:
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if self.unitDict[signal.vtSymbol] >= MAX_PRODUCT_POS:
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return
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# 卖出
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else:
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if self.totalShort <= -MAX_DIRECTION_POS:
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return
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if self.posDict[signal.vtSymbol] <= -MAX_PRODUCT_POS:
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if self.unitDict[signal.vtSymbol] <= -MAX_PRODUCT_POS:
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return
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# 平仓
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else:
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if direction == DIRECTION_LONG:
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# 必须有空头持仓
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if pos >= 0:
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if unit >= 0:
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return
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# 平仓数量不能超过空头持仓
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volume = min(volume, abs(pos))
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volume = min(volume, abs(unit))
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else:
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if pos <= 0:
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if unit <= 0:
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return
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volume = min(volume, abs(pos))
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volume = min(volume, abs(unit))
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# 获取当前交易中的信号，如果不是本信号，则忽略
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currentSignal = self.tradingDict.get(signal.vtSymbol, None)
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@ -365,27 +367,29 @@ class TurtlePortfolio(object):
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else:
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self.tradingDict.pop(signal.vtSymbol)
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self.sendOrder(signal.vtSymbol, direction, offset, price, volume, unit)
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self.sendOrder(signal.vtSymbol, direction, offset, price, volume, multiplier)
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#----------------------------------------------------------------------
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def sendOrder(self, vtSymbol, direction, offset, price, volume, unit):
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def sendOrder(self, vtSymbol, direction, offset, price, volume, multiplier):
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""""""
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# 计算合约持仓
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if direction == DIRECTION_LONG:
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self.posDict[vtSymbol] += volume
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self.unitDict[vtSymbol] += volume
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self.posDict[vtSymbol] += volume * multiplier
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else:
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self.posDict[vtSymbol] -= volume
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self.unitDict[vtSymbol] -= volume
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self.posDict[vtSymbol] -= volume * multiplier
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# 计算总持仓
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self.totalLong = 0
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self.totalShort = 0
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for pos in self.posDict.values():
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if pos > 0:
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self.totalLong += pos
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elif pos < 0:
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self.totalShort += pos
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for unit in self.unitDict.values():
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if unit > 0:
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self.totalLong += unit
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elif unit < 0:
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self.totalShort += unit
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# 向回测引擎中发单记录
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self.engine.sendOrder(vtSymbol, direction, offset, price, volume*unit)
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self.engine.sendOrder(vtSymbol, direction, offset, price, volume*multiplier)
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