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boll_kc_dc_combination_strategy.py
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# _*_coding : UTF-8 _*_
# 开发团队 ：yunya
# 开发人员 ：Administrator
# 开发时间 : 2020/6/11 19:11
# 文件名称 ：boll_kc_dc_combination _strategy.py
# 开发工具 ： PyCharm
import talib
from vnpy.app.cta_strategy import (
CtaTemplate,
StopOrder,
Direction,
TickData,
BarData,
TradeData,
OrderData,
BarGenerator,
ArrayManager,
)
from vnpy.trader.constant import Interval
class Boll_Kc_Dc_CombinationStrategy(CtaTemplate):
""""""
author = "yunya"
open_window = 2
xsmall_window = 15
xbig_window = 15
com_length = 250
boll_dev = 2.0
kk_dev = 2.0
trading_size = 1
xsmall_up_min = 0
xsmall_down_min = 0
xsmall_up_max = 0
xsmall_down_max = 0
xsmall_ema_mid = 0
xsmall_com_width = 0
xbig_up_min = 0
xbig_down_min = 0
xbig_up_max = 0
xbig_down_max = 0
xbig_ema_mid = 0
xbig_com_width = 0
long_entry = 0
short_entry = 0
long_stop = 0
short_stop = 0
exit_up = 0
exit_down = 0
# entry_window = 28
# exit_window = 7
# atr_window = 4
# risk_level = 0.2
#
# trading_size = 0
# entry_up = 0
# entry_down = 0
# exit_up = 0
# exit_down = 0
# atr_value = 0
#
parameters = ["entry_window", "exit_window", "atr_window", "risk_level"]
variables = [
"entry_up", "entry_down", "exit_up",
"exit_down", "trading_size", "atr_value"
]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg_xsmall = BarGenerator(
on_bar=self.on_bar,
window=self.xsmall_window,
on_window_bar=self.on_xsmall_bar,
interval=Interval.MINUTE
)
self.am_xsmall = ArrayManager(self.com_length + 10)
self.bg_xbig = BarGenerator(
on_bar=self.on_bar,
window=self.xbig_window,
on_window_bar=self.on_xbig_bar,
interval=Interval.MINUTE
)
self.am_xbig = ArrayManager(self.com_length + 10)
self.bg = BarGenerator(self.on_bar, self.open_window, self.on_open_bar)
self.am = ArrayManager()
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")
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止")
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg_xsmall.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg.update_bar(bar)
self.bg_xsmall.update_bar(bar)
self.bg_xbig.update_bar(bar)
def on_open_bar(self,bar:BarData):
"""
:param bar:
:return:
"""
# 先使用挂单全撤的粗化订单管理
self.cancel_all()
self.am.update_bar(bar)
if not self.am_xsmall.inited or not self.am_xbig.inited or not self.am.inited:
return
if self.pos == 0:
# 如果价格突破 xsmall_up_min 线时，在xsmall_up_max 价格挂停止单
if self.am_xsmall.close[-1] >= self.xsmall_up_min and self.am.close[-1] >=self.xsmall_up_min:
self.buy(self.xsmall_up_max,self.trading_size,True)
# 如果价格突破 xsmall_down_min 线时，在xsmall_down_max 价格挂停止单
elif self.am_xsmall.close[-1] <= self.xsmall_down_min and self.am.close[-1] <= self.xsmall_down_min:
self.short(self.xsmall_down_max,self.trading_size,True)
elif self.pos > 0:
# 成交价固定止损位与中轨中最大值为当前止损位
self.exit_up = max(self.xsmall_ema_mid,self.long_stop)
self.sell(self.exit_up,abs(self.pos),True)
elif self.pos < 0:
# 成交价固定止损位与中轨中最小值为当前止损位
self.exit_down = min(self.xsmall_ema_mid,self.short_stop)
self.cover(self.exit_down,abs(self.pos),True)
self.sync_data()
self.put_event()
def on_xsmall_bar(self, bar: BarData):
"""
:param bar:
:return:
"""
# x分钟 多策略合合成的通道线
self.am_xsmall.update_bar(bar)
if not self.am_xsmall.inited or not self.am_xbig.inited:
return
self.xsmall_ema_mid,self.xsmall_com_width,self.xsmall_up_min, self.xsmall_down_min,\
self.xsmall_up_max, self.xsmall_down_max = self.boll_kc_dc_combination(
high=self.am_xsmall.high[:-1],
low=self.am_xsmall.low[:-1],
close=self.am_xsmall.close[:-1],
boll_dev=self.boll_dev,
kk_dev=self.kk_dev,
com_length=self.com_length
)
print(f"xsmall: mid:{self.xsmall_ema_mid},width:{self.xsmall_com_width},upmin:{self.xsmall_up_min},\
downmin:{self.xsmall_down_min},upmax:{self.xsmall_up_max},downmax:{self.xsmall_down_max}" + "\n")
self.atr_value = self.am_xsmall.atr(self.com_length)
self.sync_data()
self.put_event()
def on_xbig_bar(self,bar:BarData):
"""
:param bar:
:return:
"""
# x分钟 多策略合合成的通道线
self.am_xbig.update_bar(bar)
if not self.am_xbig.inited:
return
self.xbig_ema_mid,self.xbig_com_width,self.xbig_up_min,self.xbig_down_min,\
self.xbig_up_max,self.xbig_down_max = self.boll_kc_dc_combination(
high=self.am_xbig.high[:-1],
close=self.am_xbig.close[:-1],
low=self.am_xbig.low[:-1],
boll_dev=self.boll_dev,
kk_dev=self.kk_dev,
com_length=self.com_length
)
print(f"xbig:mid:{self.xbig_ema_mid},width:{self.xbig_com_width},upmin:{self.xbig_up_min},\
downmin:{self.xbig_down_min},upmax:{self.xbig_up_max},downmax:{self.xbig_down_max}" + "\n")
self.sync_data()
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
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 = self.long_entry - 2 * self.atr_value
else:
self.short_entry = trade.price
self.short_stop = self.short_entry + 2 * self.atr_value
self.sync_data()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
def boll_kc_dc_combination(self, high, close, low, boll_dev, kk_dev, com_length):
# 计算组合均线
ema_com = talib.EMA(close, com_length)
# 计算布林带
boll_std = talib.STDDEV(close, com_length)
boll_up = ema_com + boll_dev * boll_std
boll_down = ema_com - boll_dev * boll_std
# 计算肯特通道
kc_atr = talib.ATR(high, low, close, com_length)
kc_up = ema_com + kc_atr * kk_dev
kc_dowm = ema_com - kc_atr * kk_dev
# 计算唐安奇通道
dc_up = talib.MAX(high, com_length)
dc_down = talib.MIN(low, com_length)
# 计算轨道 因kc通道是直接，最小值大概率是直接，所以去除
pass_up_min = min(dc_up[-1], boll_up[-1])
pass_down_min = max(dc_down[-1], boll_down[-1])
pass_up_max = max(kc_up[-1], dc_up[-1], boll_up[-1])
pass_down_max = min(kc_dowm[-1], dc_down[-1], boll_down[-1])
ema_mid = ema_com[-1]
com_width = abs(pass_up_max - pass_down_max)
return ema_mid, com_width, pass_up_min, pass_down_min, pass_up_max, pass_down_max