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boll_kk_vix_simple_strategy.py
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# _*_coding : UTF-8 _*_
# 开发团队 ：yunya
# 开发人员 ：Administrator
# 开发时间 : 2020/6/14 14:11
# 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
import numpy as np
class Boll_kk_vix_simple_Strategy(CtaTemplate):
"""
本策略为反向策略，币本位 Reverse 反向
"""
author = "yunya"
open_window = 5
xminute_window = 15
com_length = 450
exit_dc_length = 10
fast_sma_length = 45
slow_sma_length = 110
cci_length = 30
cci_exit = 26
sl_multiplier = 8.0
fixed_size = 1
bollkk_ema = 0
bollkk_up = 0
bollkk_down = 0
bollkk_width = 0
cci_vlue = 0
long_stop = 0
short_stop = 0
exit_up = 0
exit_down = 0
atr_value = 0
long_entry = 0
short_entry = 0
ma_trend = 0
exit_dc_long =0
exit_dc_short = 0
intra_trade_high = 0
intra_trade_low = 0
parameters = [
"open_window",
"xminute_window",
"com_length",
"fast_sma_length",
"slow_sma_length",
"cci_length",
"cci_exit",
"exit_dc_length",
"sl_multiplier",
"fixed_size",
]
variables = [
"bollkk_ema",
"bollkk_up",
"bollkk_down",
"bollkk_width",
"cci_vlue",
"long_stop",
"short_stop",
"exit_up",
"exit_down",
"atr_value",
"long_entry",
"short_entry",
"ma_trend",
]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg_xminute = BarGenerator(
on_bar=self.on_bar,
window=self.xminute_window,
on_window_bar=self.on_xminute_bar,
interval=Interval.MINUTE
)
self.am_xminute = 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_xminute.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg.update_bar(bar)
self.bg_xminute.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_xminute.inited or not self.am.inited:
return
if self.pos == 0:
# 根据布林带宽度动态调整仓位大小
# self.trading_size = max(int(self.risk_level / self.xminute_com_width), 1)
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
if self.cci_value > self.cci_exit and self.ma_trend > 0:
self.buy(self.bollkk_up,self.fixed_size, True)
elif self.cci_value < -self.cci_exit and self.ma_trend < 0:
self.short(self.bollkk_down, self.fixed_size, True)
elif self.pos > 0:
self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
self.intra_trade_low = bar.low_price
exit_long_stop = self.intra_trade_high - self.bollkk_width * self.sl_multiplier
exit_long_dc = max(exit_long_stop,self.exit_dc_long)
self.exit_up = max(exit_long_dc, self.long_stop)
self.sell(self.exit_up, abs(self.pos), True)
elif self.pos < 0:
self.intra_trade_high = bar.high_price
self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
exit_short_stop = self.intra_trade_low + self.bollkk_width * self.sl_multiplier
exit_shout_dc = min(exit_short_stop,self.exit_dc_short)
self.exit_down = min(exit_shout_dc, self.short_stop)
self.cover(self.exit_down, abs(self.pos), True)
self.put_event()
self.sync_data()
def on_xminute_bar(self, bar: BarData):
"""
:param bar:
:return:
"""
# x分钟 多策略合合成的通道线
self.am_xminute.update_bar(bar)
if not self.am_xminute.inited:
return
bollkk_ema_value,self.bollkk_up,self.bollkk_down,= self.boll_kk_combination(
high=self.am_xminute.high[:-1],
close=self.am_xminute.close[:-1],
low=self.am_xminute.low[:-1],
com_length=self.com_length
)
# 计算开平信号
self.current_close = self.am_xminute.close[-1]
self.last_close = self.am_xminute.close[-2]
self.bollkk_ema = bollkk_ema_value[-1]
self.bollkk_width = abs(self.bollkk_up - self.bollkk_down)
self.cci_value = self.am_xminute.cci(self.cci_length)
self.fast_ma = self.am_xminute.sma(self.fast_sma_length)
self.slow_ma = self.am_xminute.sma(self.slow_sma_length)
if self.fast_ma > self.slow_ma:
self.ma_trend = 1
else:
self.ma_trend = -1
self.atr_value = self.am_xminute.atr(30)
self.exit_dc_short,self.exit_dc_long = self.am_xminute.donchian(self.exit_dc_length)
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_kk_combination(self,high,close,low,com_length):
"""
通过计算收盘价与收盘价均线之间的倍数，来自动调整boll 、kk 的通过宽度
"""
# 计算组合均线
bollkk_ema = talib.EMA(close, com_length)
# 计算自适布林带
boll_std = talib.STDDEV(close, com_length)
boll_dev = abs(close - bollkk_ema) / boll_std
boll_up = bollkk_ema + boll_dev * boll_std
boll_down = bollkk_ema - boll_dev * boll_std
# 计算自适肯特通道
kk_atr = talib.ATR(high, low, close, com_length)
kk_dev = abs(close - bollkk_ema) / kk_atr
kk_up = bollkk_ema + kk_atr * kk_dev
kk_down = bollkk_ema - kk_atr * kk_dev
bollkk_up = max(boll_up[-1],kk_up[-1])
bollkk_down = min(boll_down[-1],kk_down[-1])
return bollkk_ema,bollkk_up,bollkk_down,