卡尔曼策略新增md文件

real_trading/KalmanStrategy/rb.py

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+from datetime import timedelta
+
+from tqsdk import TqApi, TqAuth, TqAccount
+
+from futures_trading_strategies.rb.KalmanStrategy.KalmanStrategy2 import DualModeKalmanStrategy
+# 导入 TqsdkEngine，而不是原来的 BacktestEngine
+from src.indicators.indicators import PriceRangeToVolatilityRatio
+from src.tqsdk_real_engine import TqsdkEngine
+
+# 导入你的策略类
+
+# --- 配置参数 ---
+# Tqsdk 的本地数据文件路径，注意 Tqsdk 要求文件名为 KQ_m@交易所_品种名_周期.csv
+
+# 主力合约的 symbol
+symbol = "KQ.m@SHFE.rb"
+strategy_parameters = {
+    'main_symbol': 'rb',  # <-- 替换为你的交易品种代码，例如 'GC=F' (黄金期货), 'ZC=F' (玉米期货)
+    'trade_volume': 3,
+    'order_direction': ['SELL', 'BUY'],
+    'indicators': [PriceRangeToVolatilityRatio(7, 21, 4, 5), PriceRangeToVolatilityRatio(7, 21, 4, 5)],
+    'enable_log': True
+}
+# api = TqApi(TqKq(), auth=TqAuth("emanresu", "dfgvfgdfgg"))
+api = TqApi(TqAccount('H宏源期货', '903308830', 'lzr520102'), auth=TqAuth("emanresu", "dfgvfgdfgg"))
+
+# --- 1. 初始化回测引擎并运行 ---
+print("\n初始化 Tqsdk 回测引擎...")
+engine = TqsdkEngine(
+    strategy_class=DualModeKalmanStrategy,
+    strategy_params=strategy_parameters,
+    api=api,
+    symbol=symbol,
+    duration_seconds=60 * 15,
+    roll_over_mode=True,  # 启用换月模式检测
+    history_length=1000,
+    close_bar_delta=timedelta(minutes=58)
+)
+engine.run()  # 这是一个同步方法，内部会运行 asyncio 循环

real_trading/KalmanStrategy/states/futures_trading_strategies.rb.KalmanStrategy.KalmanStrategy2.DualModeKalmanStrategy_79a05e4c003f357d75b75cbd1a43d515.json

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+{}

real_trading/TrendlineBreakoutStrategy/FG.py

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+from datetime import timedelta
+
+from futures_trading_strategies.FG.TrendlineBreakoutStrategy.DualModeTrendlineHawkesStrategy2 import \
+    DualModeTrendlineHawkesStrategy
+from src.analysis.result_analyzer import ResultAnalyzer
+
+# 导入 TqsdkEngine，而不是原来的 BacktestEngine
+from src.indicators.indicators import RSI, HistoricalRange, BollingerBandwidth, NormalizedATR, ADX
+from src.tqsdk_real_engine import TqsdkEngine
+
+# 导入你的策略类
+
+from tqsdk import TqApi, TqBacktest, TqAuth, TqKq, TqAccount
+
+# --- 配置参数 ---
+# Tqsdk 的本地数据文件路径，注意 Tqsdk 要求文件名为 KQ_m@交易所_品种名_周期.csv
+
+# 主力合约的 symbol
+symbol = "KQ.m@CZCE.FG"
+strategy_parameters = {
+    'main_symbol': 'FG',  # <-- 替换为你的交易品种代码，例如 'GC=F' (黄金期货), 'ZC=F' (玉米期货)
+    'trade_volume': 2,
+    # 'indicators': [RateOfChange(10, -2.1, -0.5), ROC_MA(10, 10, -2.7, -0.4)],
+    'enable_log': True,
+    'trend_params': {
+        "trendline_n": 10,
+        "hawkes_kappa": 0.9,
+    },
+    'reversion_params': {
+        "trendline_n": 70,
+        "hawkes_kappa": 0.1,
+    },
+    'conflict_resolution': 'NONE'
+}
+# api = TqApi(TqKq(), auth=TqAuth("emanresu", "dfgvfgdfgg"))
+api = TqApi(TqAccount('H宏源期货', '903308830', 'lzr520102'), auth=TqAuth("emanresu", "dfgvfgdfgg"))
+
+# --- 1. 初始化回测引擎并运行 ---
+print("\n初始化 Tqsdk 回测引擎...")
+engine = TqsdkEngine(
+    strategy_class=DualModeTrendlineHawkesStrategy,
+    strategy_params=strategy_parameters,
+    api=api,
+    symbol=symbol,
+    duration_seconds=60 * 15,
+    roll_over_mode=True,  # 启用换月模式检测
+    history_length=1000,
+    close_bar_delta=timedelta(minutes=58)
+)
+engine.run()  # 这是一个同步方法，内部会运行 asyncio 循环

real_trading/TrendlineBreakoutStrategy/states/futures_trading_strategies.FG.TrendlineBreakoutStrategy.DualModeTrendlineHawkesStrategy2.DualModeTrendlineHawkesStrategy_5d81697b05c45c5d1a461e00ef023f88.json

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+{}

real_trading/ValueMigrationStrategy/MA.py

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+from datetime import timedelta
+from src.analysis.result_analyzer import ResultAnalyzer
+
+# 导入 TqsdkEngine，而不是原来的 BacktestEngine
+from src.indicators.indicators import RSI, HistoricalRange, BollingerBandwidth, NormalizedATR, ADX
+from src.tqsdk_real_engine import TqsdkEngine
+
+# 导入你的策略类
+from src.strategies.ValueMigrationStrategy.ValueMigrationStrategy2 import ValueMigrationStrategy
+
+from tqsdk import TqApi, TqBacktest, TqAuth, TqKq, TqAccount
+
+# --- 配置参数 ---
+# Tqsdk 的本地数据文件路径，注意 Tqsdk 要求文件名为 KQ_m@交易所_品种名_周期.csv
+
+# 主力合约的 symbol
+symbol = "KQ.m@CZCE.MA"
+strategy_parameters = {
+    'main_symbol': 'MA',  # <-- 替换为你的交易品种代码，例如 'GC=F' (黄金期货), 'ZC=F' (玉米期货)
+    'trade_volume': 1,
+    'hvn_distance_ticks': 5,
+    # 'stop_loss_atr': 0.5,
+    # 'take_profit_atr': 1,
+    'stop_loss_atr': 0.01,
+    'take_profit_atr': 0.01,
+    'order_direction': ['SELL', 'BUY'],
+    # 'indicators': [NormalizedATR(21, 0.35, 0.6), NormalizedATR(21, 0.35, 0.6)],
+    'enable_log': True
+}
+
+# api = TqApi(TqKq(), auth=TqAuth("emanresu", "dfgvfgdfgg"))
+api = TqApi(TqAccount('H宏源期货', '903308830', 'lzr520102'), auth=TqAuth("emanresu", "dfgvfgdfgg"))
+
+# --- 1. 初始化回测引擎并运行 ---
+print("\n初始化 Tqsdk 回测引擎...")
+engine = TqsdkEngine(
+    strategy_class=ValueMigrationStrategy,
+    strategy_params=strategy_parameters,
+    api=api,
+    symbol=symbol,
+    duration_seconds=60 * 15,
+    roll_over_mode=True,  # 启用换月模式检测
+    history_length=100,
+    close_bar_delta=timedelta(minutes=58)
+)
+engine.run()  # 这是一个同步方法，内部会运行 asyncio 循环