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Merge pull request #1530 from 1122455801/Fix_AtrRsi

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[FIX] 修改Boll_Channel, Double_ma, Dual_thrust策略代码风格
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vn.py 2019-03-29 14:39:14 +08:00 committed by GitHub
commit b5fda56f55
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3 changed files with 17 additions and 17 deletions
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10
vnpy/app/cta_strategy/strategies/boll_channel_strategy.py
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@ -13,7 +13,7 @@ from vnpy.app.cta_strategy import (
class BollChannelStrategy(CtaTemplate): class BollChannelStrategy(CtaTemplate):
"""""" """"""
author = '用Python的交易员' author = "用Python的交易员"
boll_window = 18 boll_window = 18
boll_dev = 3.4 boll_dev = 3.4
@ -32,10 +32,10 @@ class BollChannelStrategy(CtaTemplate):
long_stop = 0 long_stop = 0
short_stop = 0 short_stop = 0
parameters = ['boll_window', 'boll_dev', 'cci_window', parameters = ["boll_window", "boll_dev", "cci_window",
'atr_window', 'sl_multiplier', 'fixed_size'] "atr_window", "sl_multiplier", "fixed_size"]
variables = ['boll_up', 'boll_down', 'cci_value', 'atr_value', variables = ["boll_up", "boll_down", "cci_value", "atr_value",
'intra_trade_high', 'intra_trade_low', 'long_stop', 'short_stop'] "intra_trade_high", "intra_trade_low", "long_stop", "short_stop"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting): def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
"""""" """"""

6
vnpy/app/cta_strategy/strategies/double_ma_strategy.py
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@ -11,7 +11,7 @@ from vnpy.app.cta_strategy import (
class DoubleMaStrategy(CtaTemplate): class DoubleMaStrategy(CtaTemplate):
author = '用Python的交易员' author = "用Python的交易员"
fast_window = 10 fast_window = 10
slow_window = 20 slow_window = 20
@ -22,8 +22,8 @@ class DoubleMaStrategy(CtaTemplate):
slow_ma0 = 0.0 slow_ma0 = 0.0
slow_ma1 = 0.0 slow_ma1 = 0.0
parameters = ['fast_window', 'slow_window'] parameters = ["fast_window", "slow_window"]
variables = ['fast_ma0', 'fast_ma1', 'slow_ma0', 'slow_ma1'] variables = ["fast_ma0", "fast_ma1", "slow_ma0", "slow_ma1"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting): def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
"""""" """"""

18
vnpy/app/cta_strategy/strategies/dual_thrust_strategy.py
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@ -14,13 +14,13 @@ from vnpy.app.cta_strategy import (
class DualThrustStrategy(CtaTemplate): class DualThrustStrategy(CtaTemplate):
"""""" """"""
author = u'用Python的交易员' author = "用Python的交易员"
fixed_size = 1 fixed_size = 1
k1 = 0.4 k1 = 0.4
k2 = 0.6 k2 = 0.6
barList = [] bars = []
day_open = 0 day_open = 0
day_high = 0 day_high = 0
@ -34,8 +34,8 @@ class DualThrustStrategy(CtaTemplate):
long_entered = False long_entered = False
short_entered = False short_entered = False
parameters = ['k1', 'k2', "fixed_size"] parameters = ["k1", "k2", "fixed_size"]
variables = ['range', 'long_entry', 'short_entry', 'exit_time'] variables = ["range", "long_entry", "short_entry", "exit_time"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting): def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
"""""" """"""
@ -45,7 +45,7 @@ class DualThrustStrategy(CtaTemplate):
self.bg = BarGenerator(self.on_bar) self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager() self.am = ArrayManager()
self.barList = [] self.bars = []
def on_init(self): def on_init(self):
""" """
@ -78,12 +78,12 @@ class DualThrustStrategy(CtaTemplate):
""" """
self.cancel_all() self.cancel_all()
self.barList.append(bar) self.bars.append(bar)
if len(self.barList) <= 2: if len(self.bars) <= 2:
return return
else: else:
self.barList.pop(0) self.bars.pop(0)
last_bar = self.barList[-2] last_bar = self.bars[-2]
if last_bar.datetime.date() != bar.datetime.date(): if last_bar.datetime.date() != bar.datetime.date():
if self.day_high: if self.day_high: