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boll_control_dc_strategy.py
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# _*_coding : UTF-8 _*_
#开发团队 ：yunya
#开发人员 ：Administrator
#开发时间 : 2020/6/17 21:49
#文件名称 ：boll_control_dc_strategy.py
#开发工具 ： PyCharm
from vnpy.app.cta_strategy import (
CtaTemplate,
StopOrder,
TickData,
BarData,
TradeData,
OrderData,
BarGenerator,
ArrayManager,
)
from vnpy.trader.object import Direction
from vnpy.app.cta_strategy.new_strategy import NewBarGenerator
class Boll_Control_Dcs_trategy(CtaTemplate):
""""""
author = "yunya"
open_window = 36
boll_length = 24
prop = 1.8
atr_window = 30
sl_multiplier = 0.2
dc_length = 20
fixed_size = 1
entry_crossover = 0
atr_value = 0
intra_trade_high = 0
intra_trade_low = 0
long_stop_trade = 0
short_stop_trade = 0
long_stop = 0
short_stop = 0
exit_short = 0
exit_long = 0
entry_ema = 0
parameters = [
"open_window",
"boll_length",
"dc_length",
"sl_multiplier",
"prop",
"fixed_size",
]
variables = [
"entry_crossover",
"long_stop",
"short_stop"
]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = NewBarGenerator(self.on_bar, self.open_window, self.on_xmin_bar)
self.am = ArrayManager(int(self.boll_length) + 100)
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(10)
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动")
self.put_event()
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止")
self.put_event()
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg.update_bar(bar)
def on_xmin_bar(self, bar: BarData):
""""""
self.cancel_all()
am = self.am
am.update_bar(bar)
if not am.inited:
return
# Calculate array 计算数组
self.sma_array = am.sma(self.boll_length, True)
std_array = am.sma(self.boll_length, True)
dev = abs(self.am.close[:-1] - self.sma_array[:-1]) / std_array[:-1]
dev_max = dev[-self.boll_length:].max()
self.boll_up_array = self.sma_array + std_array * dev_max
self.boll_down_array = self.sma_array - std_array * dev_max
# Get current and last index
current_sma = self.sma_array[-1]
last_sma = self.sma_array[-2]
last_close = self.am.close[-2]
currnet_boll_up = self.boll_up_array[-1]
last_boll_up = self.boll_up_array[-2]
current_boll_down = self.boll_down_array[-1]
last_boll_down = self.boll_down_array[-2]
up_limit = current_sma * (1 + self.prop / 100)
down_limit = current_sma * (1 - self.prop / 100)
boll_width = currnet_boll_up - current_boll_down
# Get crossover
if (
last_close <= last_boll_up
and bar.close_price > currnet_boll_up
and bar.close_price < up_limit
):
self.entry_crossover = 1
elif (
last_close >= last_boll_down
and bar.close_price < current_boll_down
and bar.close_price > down_limit
):
self.entry_crossover = -1
if(last_close <=last_sma
and bar.close_price > current_sma):
self.entry_ema = -1
elif (last_close >= last_sma
and bar.close_price < current_sma):
self.entry_ema = 1
else:
self.entry_ema = 0
self.atr_value = am.atr(self.atr_window)
self.exit_short, self.exit_long = self.am.donchian(self.dc_length)
if not self.pos:
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
if self.entry_crossover > 0:
self.buy(up_limit, self.fixed_size, True)
elif self.entry_crossover < 0:
self.short(down_limit, self.fixed_size, True)
elif self.pos > 0:
if self.entry_ema > 0:
self.sell((bar.close_price - 5), abs(self.pos))
# 最高价回撤比例、固定止损、唐安奇下轨中的最大值为止损位
self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
self.intra_trade_low = bar.low_price
long_stop_high = self.intra_trade_high - boll_width * self.sl_multiplier
long_high_trade = max(long_stop_high,self.long_stop_trade)
self.long_stop = max(self.exit_long,long_high_trade)
self.sell(self.long_stop, abs(self.pos), True)
elif self.pos < 0:
if self.entry_ema < 0:
self.cover((bar.close_price + 5), abs(self.pos))
else:
# 最低价回撤比例、固定止损、唐安奇上轨中的最小值为止损位
self.intra_trade_high = bar.high_price
self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
short_stop_low = self.intra_trade_low + boll_width * self.sl_multiplier
short_low_trade = min(short_stop_low,self.short_stop_trade)
self.short_stop = min(short_low_trade,self.exit_short)
self.cover(self.short_stop, abs(self.pos), True)
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
self.put_event()
pass
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
if trade.direction == Direction.LONG:
self.long_entry = trade.price # 成交最高价
self.long_stop_trade = self.long_entry - 2 * self.atr_value
else:
self.short_entry = trade.price
self.short_stop_trade = self.short_entry + 2 * self.atr_value
self.sync_data()
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
self.put_event()
pass