# encoding: UTF-8 """ 基于King Keltner通道的交易策略，适合用在股指上， 展示了OCO委托和5分钟K线聚合的方法。 注意事项： 1. 作者不对交易盈利做任何保证，策略代码仅供参考 2. 本策略需要用到talib，没有安装的用户请先参考www.vnpy.org上的教程安装 3. 将IF0000_1min.csv用ctaHistoryData.py导入MongoDB后，直接运行本文件即可回测策略 """ from __future__ import division from ctaBase import * from ctaTemplate import CtaTemplate import talib import numpy as np ######################################################################## class KkStrategy(CtaTemplate): """基于King Keltner通道的交易策略""" className = 'KkStrategy' author = u'用Python的交易员' # 策略参数 kkLength = 11 # 计算通道中值的窗口数 kkDev = 1.6 # 计算通道宽度的偏差 trailingPrcnt = 0.8 # 移动止损 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 bar = None # 1分钟K线对象 barMinute = EMPTY_STRING # K线当前的分钟 fiveBar = None # 1分钟K线对象 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 atrValue = 0 # 最新的ATR指标数值 kkMid = 0 # KK通道中轨 kkUp = 0 # KK通道上轨 kkDown = 0 # KK通道下轨 intraTradeHigh = 0 # 持仓期内的最高点 intraTradeLow = 0 # 持仓期内的最低点 buyOrderID = None # OCO委托买入开仓的委托号 shortOrderID = None # OCO委托卖出开仓的委托号 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', 'kkLength', 'kkDev'] # 变量列表，保存了变量的名称 varList = ['inited', 'trading', 'pos', 'atrValue', 'kkMid', 'kkUp', 'kkDown'] #---------------------------------------------------------------------- def __init__(self, ctaEngine, setting): """Constructor""" super(KkStrategy, self).__init__(ctaEngine, setting) #---------------------------------------------------------------------- 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）""" # 聚合为1分钟K线 tickMinute = tick.datetime.minute if tickMinute != self.barMinute: if self.bar: self.onBar(self.bar) bar = CtaBarData() bar.vtSymbol = tick.vtSymbol bar.symbol = tick.symbol bar.exchange = tick.exchange bar.open = tick.lastPrice bar.high = tick.lastPrice bar.low = tick.lastPrice bar.close = tick.lastPrice bar.date = tick.date bar.time = tick.time bar.datetime = tick.datetime # K线的时间设为第一个Tick的时间 self.bar = bar # 这种写法为了减少一层访问，加快速度 self.barMinute = tickMinute # 更新当前的分钟 else: # 否则继续累加新的K线 bar = self.bar # 写法同样为了加快速度 bar.high = max(bar.high, tick.lastPrice) bar.low = min(bar.low, tick.lastPrice) bar.close = tick.lastPrice #---------------------------------------------------------------------- def onBar(self, bar): """收到Bar推送（必须由用户继承实现）""" # 如果当前是一个5分钟走完 if bar.datetime.minute % 5 == 0: # 如果已经有聚合5分钟K线 if self.fiveBar: # 将最新分钟的数据更新到目前5分钟线中 fiveBar = self.fiveBar fiveBar.high = max(fiveBar.high, bar.high) fiveBar.low = min(fiveBar.low, bar.low) fiveBar.close = bar.close # 推送5分钟线数据 self.onFiveBar(fiveBar) # 清空5分钟线数据缓存 self.fiveBar = None else: # 如果没有缓存则新建 if not self.fiveBar: fiveBar = CtaBarData() fiveBar.vtSymbol = bar.vtSymbol fiveBar.symbol = bar.symbol fiveBar.exchange = bar.exchange fiveBar.open = bar.open fiveBar.high = bar.high fiveBar.low = bar.low fiveBar.close = bar.close fiveBar.date = bar.date fiveBar.time = bar.time fiveBar.datetime = bar.datetime self.fiveBar = fiveBar else: fiveBar = self.fiveBar fiveBar.high = max(fiveBar.high, bar.high) fiveBar.low = min(fiveBar.low, bar.low) fiveBar.close = bar.close #---------------------------------------------------------------------- def onFiveBar(self, bar): """收到5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.atrValue = talib.ATR(self.highArray, self.lowArray, self.closeArray, self.kkLength)[-1] self.kkMid = talib.MA(self.closeArray, self.kkLength)[-1] self.kkUp = self.kkMid + self.atrValue * self.kkDev self.kkDown = self.kkMid - self.atrValue * self.kkDev # 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 self.sendOcoOrder(self.kkUp, self.kkDown, self.fixedSize) # 持有多头仓位 elif self.pos > 0: self.intraTradeHigh = max(self.intraTradeHigh, bar.high) self.intraTradeLow = bar.low orderID = self.sell(self.intraTradeHigh*(1-self.trailingPrcnt/100), abs(self.pos), True) self.orderList.append(orderID) # 持有空头仓位 elif self.pos < 0: self.intraTradeHigh = bar.high self.intraTradeLow = min(self.intraTradeLow, bar.low) orderID = self.buy(self.intraTradeLow*(1+self.trailingPrcnt/100), abs(self.pos), True) self.orderList.append(orderID) # 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): # 多头开仓成交后，撤消空头委托 if self.pos > 0: self.cancelOrder(self.shortOrderID) if self.buyOrderID in self.orderList: self.orderList.remove(self.buyOrderID) if self.shortOrderID in self.orderList: self.orderList.remove(self.shortOrderID) # 反之同样 elif self.pos < 0: self.cancelOrder(self.buyOrderID) if self.buyOrderID in self.orderList: self.orderList.remove(self.buyOrderID) if self.shortOrderID in self.orderList: self.orderList.remove(self.shortOrderID) # 发出状态更新事件 self.putEvent() #---------------------------------------------------------------------- def sendOcoOrder(self, buyPrice, shortPrice, volume): """ 发送OCO委托 OCO(One Cancel Other)委托： 1. 主要用于实现区间突破入场 2. 包含两个方向相反的停止单 3. 一个方向的停止单成交后会立即撤消另一个方向的 """ # 发送双边的停止单委托，并记录委托号 self.buyOrderID = self.buy(buyPrice, volume, True) self.shortOrderID = self.short(shortPrice, volume, True) # 将委托号记录到列表中 self.orderList.append(self.buyOrderID) self.orderList.append(self.shortOrderID) if __name__ == '__main__': # 提供直接双击回测的功能 # 导入PyQt4的包是为了保证matplotlib使用PyQt4而不是PySide，防止初始化出错 from ctaBacktesting import * from PyQt4 import QtCore, QtGui # 创建回测引擎 engine = BacktestingEngine() # 设置引擎的回测模式为K线 engine.setBacktestingMode(engine.BAR_MODE) # 设置回测用的数据起始日期 engine.setStartDate('20130101') # 设置产品相关参数 engine.setSlippage(0.2) # 股指1跳 engine.setRate(0.3/10000) # 万0.3 engine.setSize(300) # 股指合约大小 # 设置使用的历史数据库 engine.setDatabase(MINUTE_DB_NAME, 'IF0000') # 在引擎中创建策略对象 d = {} engine.initStrategy(KkStrategy, d) # 开始跑回测 engine.runBacktesting() # 显示回测结果 engine.showBacktestingResult()