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[Add]新增跨周期CTA演示策略strategyMult

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vn.py 2017-12-04 15:37:15 +08:00
parent c1ef3422a0
commit ac993cffad
3 changed files with 257 additions and 13 deletions
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6
examples/CtaBacktesting/.ipynb_checkpoints/backtesting_IF-checkpoint.ipynb
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@ -11,7 +11,8 @@
"%matplotlib inline\n",
"\n",
"from vnpy.trader.app.ctaStrategy.ctaBacktesting import BacktestingEngine, OptimizationSetting, MINUTE_DB_NAME\n",
"from vnpy.trader.app.ctaStrategy.strategy.strategyAtrRsi import AtrRsiStrategy"
"from vnpy.trader.app.ctaStrategy.strategy.strategyAtrRsi import AtrRsiStrategy\n",
"from vnpy.trader.app.ctaStrategy.strategy.strategyMultiTimeframe import MultiTimeframeStrategy"
]
},
{
@ -66,7 +67,8 @@
"source": [
"# 在引擎中创建策略对象\n",
"d = {'atrLength': 11} # 策略参数配置\n",
"engine.initStrategy(AtrRsiStrategy, d) # 创建策略对象"
"#engine.initStrategy(AtrRsiStrategy, d) # 创建策略对象\n",
"engine.initStrategy(MultiTimeframeStrategy, d) # 创建策略对象"
]
},
{

79
examples/CtaBacktesting/backtesting_IF.ipynb
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185
vnpy/trader/app/ctaStrategy/strategy/strategyMultiTimeframe.py Normal file
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@ -0,0 +1,185 @@
# encoding: UTF-8
"""
一个跨时间周期的策略，基于15分钟K线判断趋势方向，并使用5分钟RSI指标作为入场
"""
from vnpy.trader.vtObject import VtBarData
from vnpy.trader.vtConstant import EMPTY_STRING
from vnpy.trader.app.ctaStrategy.ctaTemplate import (CtaTemplate,
BarManager,
ArrayManager)
########################################################################
class MultiTimeframeStrategy(CtaTemplate):
"""跨时间周期交易策略"""
className = 'MultiTimeframeStrategy'
author = u'用Python的交易员'
# 策略参数
rsiSignal = 20 # RSI信号阈值
rsiWindow = 14 # RSI窗口
fastWindow = 5 # 快速均线窗口
slowWindow = 20 # 慢速均线窗口
initDays = 10 # 初始化数据所用的天数
fixedSize = 1 # 每次交易的数量
# 策略变量
rsiValue = 0 # RSI指标的数值
rsiLong = 0 # RSI买开阈值
rsiShort = 0 # RSI卖开阈值
fastMa = 0 # 5分钟快速均线
slowMa = 0 # 5分钟慢速均线
maTrend = 0 # 均线趋势，多头1，空头-1
# 参数列表，保存了参数的名称
paramList = ['name',
'className',
'author',
'vtSymbol',
'rsiSignal',
'rsiWindow',
'fastWindow',
'slowWindow']
# 变量列表，保存了变量的名称
varList = ['inited',
'trading',
'pos',
'rsiValue',
'rsiLong',
'rsiShort',
'fastMa',
'slowMa',
'maTrend']
# 同步列表，保存了需要保存到数据库的变量名称
syncList = ['pos']
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(MultiTimeframeStrategy, self).__init__(ctaEngine, setting)
self.rsiLong = 50 + self.rsiSignal
self.rsiShort = 50 - self.rsiSignal
# 创建K线合成器对象
self.bm5 = BarManager(self.onBar, 5, self.on5MinBar)
self.am5 = ArrayManager()
self.bm15 = BarManager(self.onBar, 15, self.on15MinBar)
self.am15 = ArrayManager()
#----------------------------------------------------------------------
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）"""
# 只需要要在一个BM中合成1分钟K线
self.bm5.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
# 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.bm5.updateBar(bar)
#----------------------------------------------------------------------
def on5MinBar(self, bar):
"""5分钟K线"""
self.cancelAll()
# 保存K线数据
self.am5.updateBar(bar)
if not self.am5.inited:
return
# 如果15分钟数据尚未初始化完毕，则直接返回
if not self.maTrend:
return
# 计算指标数值
self.rsiValue = self.am5.rsi(self.rsiWindow)
# 判断是否要进行交易
# 当前无仓位
if self.pos == 0:
if self.maTrend > 0 and self.rsiValue >= self.rsiLong:
self.buy(bar.close+5, self.fixedSize)
elif self.maTrend < 0 and self.rsiValue <= self.rsiShort:
self.short(bar.close-5, self.fixedSize)
# 持有多头仓位
elif self.pos > 0:
if self.maTrend < 0 or self.rsiValue < 50:
self.sell(bar.close-5, abs(self.pos))
# 持有空头仓位
elif self.pos < 0:
if self.maTrend > 0 or self.rsiValue > 50:
self.cover(bar.close+5, abs(self.pos))
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def on15MinBar(self, bar):
"""15分钟K线推送"""
self.am15.updateBar(bar)
if not self.am15.inited:
return
# 计算均线并判断趋势
self.fastMa = self.am15.sma(self.fastWindow)
self.slowMa = self.am15.sma(self.slowWindow)
if self.fastMa > self.slowMa:
self.maTrend = 1
else:
self.maTrend = -1
#----------------------------------------------------------------------
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