300 lines
11 KiB
Python
300 lines
11 KiB
Python
# encoding: UTF-8
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"""
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基于King Keltner通道的交易策略，适合用在股指上，
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展示了OCO委托和5分钟K线聚合的方法。
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注意事项：
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1. 作者不对交易盈利做任何保证，策略代码仅供参考
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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
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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
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"""
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from __future__ import division
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from ctaBase import *
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from ctaTemplate import CtaTemplate
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import talib
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import numpy as np
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########################################################################
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class KkStrategy(CtaTemplate):
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"""基于King Keltner通道的交易策略"""
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className = 'KkStrategy'
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author = u'用Python的交易员'
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# 策略参数
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kkLength = 32 # 计算通道中值的窗口数
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kkDev = 2.2 # 计算通道宽度的偏差
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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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bar = None # 1分钟K线对象
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barMinute = EMPTY_STRING # K线当前的分钟
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fiveBar = None # 1分钟K线对象
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bufferSize = 100 # 需要缓存的数据的大小
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bufferCount = 0 # 目前已经缓存了的数据的计数
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highArray = np.zeros(bufferSize) # K线最高价的数组
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lowArray = np.zeros(bufferSize) # K线最低价的数组
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closeArray = np.zeros(bufferSize) # K线收盘价的数组
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atrValue = 0 # 最新的ATR指标数值
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kkMid = 0 # KK通道中轨
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kkUp = 0 # KK通道上轨
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kkDown = 0 # KK通道下轨
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buyOrderID = None # OCO委托买入开仓的委托号
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shortOrderID = None # OCO委托卖出开仓的委托号
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orderList = [] # 保存委托代码的列表
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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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'kkLength',
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'kkDev']
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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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'atrValue',
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'kkMid',
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'kkUp',
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'kkDown']
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#----------------------------------------------------------------------
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def __init__(self, ctaEngine, setting):
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"""Constructor"""
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super(KkStrategy, self).__init__(ctaEngine, setting)
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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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# 聚合为1分钟K线
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tickMinute = tick.datetime.minute
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if tickMinute != self.barMinute:
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if self.bar:
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self.onBar(self.bar)
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bar = CtaBarData()
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bar.vtSymbol = tick.vtSymbol
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bar.symbol = tick.symbol
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bar.exchange = tick.exchange
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bar.open = tick.lastPrice
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bar.high = tick.lastPrice
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bar.low = tick.lastPrice
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bar.close = tick.lastPrice
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bar.date = tick.date
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bar.time = tick.time
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bar.datetime = tick.datetime # K线的时间设为第一个Tick的时间
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self.bar = bar # 这种写法为了减少一层访问，加快速度
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self.barMinute = tickMinute # 更新当前的分钟
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else: # 否则继续累加新的K线
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bar = self.bar # 写法同样为了加快速度
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bar.high = max(bar.high, tick.lastPrice)
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bar.low = min(bar.low, tick.lastPrice)
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bar.close = tick.lastPrice
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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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# 如果当前是一个5分钟走完
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if bar.datetime.minute % 5 == 0:
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# 如果已经有聚合5分钟K线
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if self.fiveBar:
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# 将最新分钟的数据更新到目前5分钟线中
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fiveBar = self.fiveBar
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fiveBar.high = max(fiveBar.high, bar.high)
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fiveBar.low = min(fiveBar.low, bar.low)
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fiveBar.close = bar.close
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# 推送5分钟线数据
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self.onFiveBar(fiveBar)
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# 清空5分钟线数据缓存
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self.fiveBar = None
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else:
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# 如果没有缓存则新建
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if not self.fiveBar:
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fiveBar = CtaBarData()
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fiveBar.vtSymbol = bar.vtSymbol
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fiveBar.symbol = bar.symbol
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fiveBar.exchange = bar.exchange
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fiveBar.open = bar.open
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fiveBar.high = bar.high
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fiveBar.low = bar.low
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fiveBar.close = bar.close
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fiveBar.date = bar.date
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fiveBar.time = bar.time
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fiveBar.datetime = bar.datetime
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self.fiveBar = fiveBar
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else:
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fiveBar = self.fiveBar
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fiveBar.high = max(fiveBar.high, bar.high)
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fiveBar.low = min(fiveBar.low, bar.low)
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fiveBar.close = bar.close
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#----------------------------------------------------------------------
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def onFiveBar(self, bar):
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"""收到5分钟K线"""
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# 撤销之前发出的尚未成交的委托（包括限价单和停止单）
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for orderID in self.orderList:
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self.cancelOrder(orderID)
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self.orderList = []
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# 保存K线数据
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self.closeArray[0:self.bufferSize-1] = self.closeArray[1:self.bufferSize]
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self.highArray[0:self.bufferSize-1] = self.highArray[1:self.bufferSize]
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self.lowArray[0:self.bufferSize-1] = self.lowArray[1:self.bufferSize]
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self.closeArray[-1] = bar.close
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self.highArray[-1] = bar.high
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self.lowArray[-1] = bar.low
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self.bufferCount += 1
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if self.bufferCount < self.bufferSize:
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return
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# 计算指标数值
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self.atrValue = talib.ATR(self.highArray,
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self.lowArray,
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self.closeArray,
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self.kkLength)[-1]
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self.kkMid = talib.MA(self.closeArray, self.kkLength)[-1]
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self.kkUp = self.kkMid + self.atrValue * self.kkDev
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self.kkDown = self.kkMid - self.atrValue * self.kkDev
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# 判断是否要进行交易
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# 当前无仓位，发送OCO开仓委托
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if self.pos == 0:
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self.sendOcoOrder(self.kkUp, self.kkDown, self.fixedSize)
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# 持有多头仓位
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elif self.pos > 0 and bar.close < self.kkUp:
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orderID = self.sell(bar.close*0.97, abs(self.pos))
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self.orderList.append(orderID)
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# 持有空头仓位
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elif self.pos < 0 and bar.close > self.kkDown:
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orderID = self.buy(bar.close*1.03, abs(self.pos))
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self.orderList.append(orderID)
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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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# 多头开仓成交后，撤消空头委托
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if self.pos > 0:
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self.cancelOrder(self.shortOrderID)
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if self.buyOrderID in self.orderList:
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self.orderList.remove(self.buyOrderID)
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if self.shortOrderID in self.orderList:
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self.orderList.remove(self.shortOrderID)
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# 反之同样
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elif self.pos < 0:
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self.cancelOrder(self.buyOrderID)
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if self.buyOrderID in self.orderList:
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self.orderList.remove(self.buyOrderID)
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if self.shortOrderID in self.orderList:
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self.orderList.remove(self.shortOrderID)
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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 sendOcoOrder(self, buyPrice, shortPrice, volume):
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"""
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发送OCO委托
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OCO(One Cancel Other)委托：
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1. 主要用于实现区间突破入场
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2. 包含两个方向相反的停止单
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3. 一个方向的停止单成交后会立即撤消另一个方向的
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"""
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# 发送双边的停止单委托，并记录委托号
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self.buyOrderID = self.buy(buyPrice, volume, True)
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self.shortOrderID = self.short(shortPrice, volume, True)
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# 将委托号记录到列表中
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self.orderList.append(self.buyOrderID)
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self.orderList.append(self.shortOrderID)
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if __name__ == '__main__':
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# 提供直接双击回测的功能
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# 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
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from ctaBacktesting import *
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from PyQt4 import QtCore, QtGui
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# 创建回测引擎
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engine = BacktestingEngine()
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# 设置引擎的回测模式为K线
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engine.setBacktestingMode(engine.BAR_MODE)
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# 设置回测用的数据起始日期
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engine.setStartDate('20120101')
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# 设置产品相关参数
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engine.setSlippage(0.2) # 股指1跳
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engine.setRate(0.3/10000) # 万0.3
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engine.setSize(300) # 股指合约大小
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# 设置使用的历史数据库
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engine.setDatabase(MINUTE_DB_NAME, 'IF0000')
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# 在引擎中创建策略对象
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d = {}
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engine.initStrategy(KkStrategy, d)
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# 开始跑回测
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engine.runBacktesting()
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# 显示回测结果
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engine.showBacktestingResult() |