188 lines
6.4 KiB
Python
188 lines
6.4 KiB
Python
# encoding: UTF-8
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"""
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感谢Darwin Quant贡献的策略思路。
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知乎专栏原文：https://zhuanlan.zhihu.com/p/24448511
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策略逻辑：
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1. 布林通道（信号）
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2. CCI指标（过滤）
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3. ATR指标（止损）
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适合品种：螺纹钢
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适合周期：15分钟
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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。
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"""
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from __future__ import division
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from vnpy.trader.vtObject import VtBarData
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from vnpy.trader.vtConstant import EMPTY_STRING
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from vnpy.trader.app.ctaStrategy.ctaTemplate import (CtaTemplate,
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BarManager,
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ArrayManager)
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########################################################################
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class BollChannelStrategy(CtaTemplate):
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"""基于布林通道的交易策略"""
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className = 'BollChannelStrategy'
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author = u'用Python的交易员'
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# 策略参数
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bollWindow = 18 # 布林通道窗口数
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bollDev = 3.4 # 布林通道的偏差
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cciWindow = 10 # CCI窗口数
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atrWindow = 30 # ATR窗口数
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slMultiplier = 5.2 # 计算止损距离的乘数
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initDays = 10 # 初始化数据所用的天数
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fixedSize = 1 # 每次交易的数量
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# 策略变量
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bollUp = 0 # 布林通道上轨
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bollDown = 0 # 布林通道下轨
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cciValue = 0 # CCI指标数值
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atrValue = 0 # ATR指标数值
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intraTradeHigh = 0 # 持仓期内的最高点
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intraTradeLow = 0 # 持仓期内的最低点
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longStop = 0 # 多头止损
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shortStop = 0 # 空头止损
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# 参数列表，保存了参数的名称
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paramList = ['name',
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'className',
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'author',
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'vtSymbol',
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'bollWindow',
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'bollDev',
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'cciWindow',
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'atrWindow',
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'slMultiplier',
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'initDays',
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'fixedSize']
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# 变量列表，保存了变量的名称
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varList = ['inited',
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'trading',
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'pos',
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'bollUp',
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'bollDown',
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'cciValue',
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'atrValue',
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'intraTradeHigh',
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'intraTradeLow',
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'longStop',
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'shortStop']
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#----------------------------------------------------------------------
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def __init__(self, ctaEngine, setting):
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"""Constructor"""
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super(BollChannelStrategy, self).__init__(ctaEngine, setting)
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self.bm = BarManager(self.onBar, 15, self.onXminBar) # 创建K线合成器对象
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self.am = ArrayManager()
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#----------------------------------------------------------------------
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def onInit(self):
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"""初始化策略（必须由用户继承实现）"""
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self.writeCtaLog(u'%s策略初始化' %self.name)
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# 载入历史数据，并采用回放计算的方式初始化策略数值
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initData = self.loadBar(self.initDays)
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for bar in initData:
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self.onBar(bar)
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self.putEvent()
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#----------------------------------------------------------------------
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def onStart(self):
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"""启动策略（必须由用户继承实现）"""
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self.writeCtaLog(u'%s策略启动' %self.name)
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self.putEvent()
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#----------------------------------------------------------------------
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def onStop(self):
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"""停止策略（必须由用户继承实现）"""
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self.writeCtaLog(u'%s策略停止' %self.name)
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self.putEvent()
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#----------------------------------------------------------------------
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def onTick(self, tick):
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"""收到行情TICK推送（必须由用户继承实现）"""
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self.bm.updateTick(tick)
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#----------------------------------------------------------------------
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def onBar(self, bar):
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"""收到Bar推送（必须由用户继承实现）"""
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self.bm.updateBar(bar)
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#----------------------------------------------------------------------
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def onXminBar(self, bar):
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"""收到X分钟K线"""
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# 全撤之前发出的委托
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self.cancelAll()
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# 保存K线数据
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am = self.am
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am.updateBar(bar)
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if not am.inited:
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return
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# 计算指标数值
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self.bollUp, self.bollDown = am.boll(self.bollWindow, self.bollDev)
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self.cciValue = am.cci(self.cciWindow)
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self.atrValue = am.atr(self.atrWindow)
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# 判断是否要进行交易
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# 当前无仓位，发送开仓委托
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if self.pos == 0:
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self.intraTradeHigh = bar.high
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self.intraTradeLow = bar.low
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if self.cciValue > 0:
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self.buy(self.bollUp, self.fixedSize, True)
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elif self.cciValue < 0:
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self.short(self.bollDown, self.fixedSize, True)
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# 持有多头仓位
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elif self.pos > 0:
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self.intraTradeHigh = max(self.intraTradeHigh, bar.high)
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self.intraTradeLow = bar.low
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self.longStop = self.intraTradeHigh - self.atrValue * self.slMultiplier
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self.sell(self.longStop, abs(self.pos), True)
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# 持有空头仓位
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elif self.pos < 0:
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self.intraTradeHigh = bar.high
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self.intraTradeLow = min(self.intraTradeLow, bar.low)
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self.shortStop = self.intraTradeLow + self.atrValue * self.slMultiplier
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self.cover(self.shortStop, abs(self.pos), True)
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# 发出状态更新事件
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self.putEvent()
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#----------------------------------------------------------------------
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def onOrder(self, order):
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"""收到委托变化推送（必须由用户继承实现）"""
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pass
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#----------------------------------------------------------------------
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def onTrade(self, trade):
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# 发出状态更新事件
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self.putEvent()
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#----------------------------------------------------------------------
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def onStopOrder(self, so):
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"""停止单推送"""
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pass
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