178 lines
7.9 KiB
Python
178 lines
7.9 KiB
Python
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import numpy as np
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import pandas as pd
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from typing import Optional, Dict, Any, List
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# 假设这些是你项目中的模块
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from src.core_data import Bar, Order
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from src.strategies.base_strategy import Strategy
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from src.algo.TrendLine import calculate_latest_trendline_values
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from src.algo.HawksProcess import calculate_hawkes_bands
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class TrendlineHawkesStrategy(Strategy):
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"""
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趋势线与霍克斯过程双重确认策略 (V2 - 支持逻辑反转):
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入场信号 (双重确认):
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1. 趋势线事件: 收盘价突破上轨(标准模式做多)或下轨(标准模式做空)。
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2. 霍克斯确认: 同时，成交量霍克斯强度必须高于其近期高位分位数。
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出场逻辑 (基于霍克斯过程):
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- 当成交量霍克斯强度从高位回落至近期低位分位数以下时，平仓。
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逻辑反转 (`reverse_logic=True`):
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- 趋势线突破上轨时，开【空】仓。
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- 趋势线突破下轨时，开【多】仓。
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"""
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def __init__(
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self,
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context: Any,
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main_symbol: str,
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trade_volume: int = 1,
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order_direction: Optional[List[str]] = None,
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# --- 新增: 逻辑反转开关 ---
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reverse_logic: bool = False,
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# --- 趋势线参数 ---
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trendline_n: int = 50,
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# --- 霍克斯过程参数 ---
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hawkes_kappa: float = 0.1,
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hawkes_lookback: int = 50,
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hawkes_entry_percent: float = 0.95,
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hawkes_exit_percent: float = 0.50,
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enable_log: bool = True,
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):
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super().__init__(context, main_symbol, enable_log)
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self.main_symbol = main_symbol
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self.trade_volume = trade_volume
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self.order_direction = order_direction or ["BUY", "SELL"]
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# --- 新增 ---
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self.reverse_logic = reverse_logic
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self.trendline_n = trendline_n
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self.hawkes_kappa = hawkes_kappa
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self.hawkes_lookback = hawkes_lookback
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self.hawkes_entry_percent = hawkes_entry_percent
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self.hawkes_exit_percent = hawkes_exit_percent
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self.pos_meta: Dict[str, Dict[str, Any]] = {}
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if self.trendline_n < 3:
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raise ValueError("trendline_n 必须大于或等于 3")
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log_message = (
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f"TrendlineHawkesStrategy 初始化:\n"
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f"【逻辑模式】: {'反转 (Reversal)' if self.reverse_logic else '标准 (Breakout)'}\n"
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f"趋势线周期={self.trendline_n}\n"
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f"霍克斯参数: kappa={self.hawkes_kappa}, lookback={self.hawkes_lookback}, "
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f"entry_pct={self.hawkes_entry_percent}, exit_pct={self.hawkes_exit_percent}"
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)
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self.log(log_message)
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def on_init(self):
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# (此函数保持不变)
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super().on_init()
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self.pos_meta.clear()
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def on_open_bar(self, open_price: float, symbol: str):
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bar_history = self.get_bar_history()
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min_bars_required = max(self.trendline_n + 2, self.hawkes_lookback + 2)
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if len(bar_history) < min_bars_required:
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return
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self.cancel_all_pending_orders(symbol)
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pos = self.get_current_positions().get(symbol, 0)
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# --- 数据准备 (与之前相同) ---
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close_prices = np.array([b.close for b in bar_history])
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volume_series = pd.Series(
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[b.volume for b in bar_history],
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index=pd.to_datetime([b.datetime for b in bar_history])
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)
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vol_hawkes, hawkes_upper_band, hawkes_lower_band = calculate_hawkes_bands(
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volume_series, self.hawkes_lookback, self.hawkes_kappa,
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self.hawkes_entry_percent, self.hawkes_exit_percent
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)
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latest_hawkes_value = vol_hawkes.iloc[-1]
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latest_hawkes_upper = hawkes_upper_band.iloc[-1]
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latest_hawkes_lower = hawkes_lower_band.iloc[-1]
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# 1. 优先处理平仓逻辑 (逻辑保持不变)
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meta = self.pos_meta.get(symbol)
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if meta and pos != 0:
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if latest_hawkes_value < latest_hawkes_lower:
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self.log(f"霍克斯出场信号: 强度({latest_hawkes_value:.2f}) < 阈值({latest_hawkes_lower:.2f})")
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self.send_market_order("CLOSE_LONG" if meta['direction'] == "BUY" else "CLOSE_SHORT", abs(pos))
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del self.pos_meta[symbol]
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return
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# 2. 开仓逻辑 (加入反转判断)
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if pos == 0:
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prices_for_trendline = close_prices[-self.trendline_n - 1:-1]
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trend_upper, trend_lower = calculate_latest_trendline_values(prices_for_trendline)
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if trend_upper is None or trend_lower is None:
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return
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prev_close = bar_history[-2].close
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last_close = bar_history[-1].close
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# --- a) 定义基础的突破【事件】 ---
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upper_break_event = last_close > trend_upper and prev_close < trend_upper
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lower_break_event = last_close < trend_lower and prev_close > trend_lower
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# --- b) 定义霍克斯【确认】---
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hawkes_confirmation = latest_hawkes_value > latest_hawkes_upper
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# 只有当基础事件和霍克斯确认都发生时，才考虑开仓
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if hawkes_confirmation and (upper_break_event or lower_break_event):
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# --- c) 【核心修改】根据 reverse_logic 决定最终交易方向 ---
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trade_direction = None
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if upper_break_event: # 价格向上突破上轨
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# 标准模式：做多 (动量)
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# 反转模式：做空 (力竭反转)
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trade_direction = "SELL" if self.reverse_logic else "BUY"
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elif lower_break_event: # 价格向下突破下轨
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# 标准模式：做空 (动量)
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# 反转模式：做多 (恐慌探底反转)
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trade_direction = "BUY" if self.reverse_logic else "SELL"
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# d) 执行交易
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if trade_direction and trade_direction in self.order_direction:
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event_type = "向上突破" if upper_break_event else "向下突破"
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logic_type = "反转" if self.reverse_logic else "标准"
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self.log(
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f"{logic_type}模式 {trade_direction} 信号: "
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f"价格{event_type} & 霍克斯强度({latest_hawkes_value:.2f}) > 阈值({latest_hawkes_upper:.2f})"
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)
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self.send_open_order(trade_direction, open_price, self.trade_volume)
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# send_open_order, send_market_order, on_rollover 等方法保持不变
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def send_open_order(self, direction: str, entry_price: float, volume: int):
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current_time = self.get_current_time()
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order_id = f"{self.symbol}_{direction}_{current_time.strftime('%Y%m%d%H%M%S')}"
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order_direction = "BUY" if direction == "BUY" else "SELL"
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order = Order(id=order_id, symbol=self.symbol, direction=order_direction, volume=volume, price_type="MARKET",
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submitted_time=current_time, offset="OPEN")
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self.send_order(order)
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self.pos_meta[self.symbol] = {"direction": direction, "volume": volume, "entry_price": entry_price}
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self.log(f"发送开仓订单: {direction} {volume}手 @ Market Price (执行价约 {entry_price:.2f})")
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def send_market_order(self, direction: str, volume: int):
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current_time = self.get_current_time()
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order_id = f"{self.symbol}_{direction}_{current_time.strftime('%Y%m%d%H%M%S')}"
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order = Order(id=order_id, symbol=self.symbol, direction=direction, volume=volume, price_type="MARKET",
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submitted_time=current_time, offset="CLOSE")
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self.send_order(order)
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self.log(f"发送平仓订单: {direction} {volume}手 @ Market Price")
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def on_rollover(self, old_symbol: str, new_symbol: str):
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super().on_rollover(old_symbol, new_symbol)
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self.cancel_all_pending_orders(new_symbol)
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self.pos_meta.clear()
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