卡尔曼策略新增md文件
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src/strategies/TrendlineBreakoutStrategy/TrendlineMomStrategy.py
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src/strategies/TrendlineBreakoutStrategy/TrendlineMomStrategy.py
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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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from collections import deque
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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_v2
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class PriceRangeVolumeIntensityStrategy(Strategy):
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"""
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价格区间成交量强度策略 (V11 - 市场冲击强度版):
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- 【核心修改】策略的强度指标从单纯的 `volume` 升级为 `volume * (bar.high - bar.low)`。
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- 这个新指标能更准确地衡量市场的“冲击力”或“有效动能”，过滤掉高换手但价格停滞的无效信号。
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- 继承了 V10 版本的高效无状态 deque 实现，仅改变了指标的输入源。
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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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strategy_mode: str,
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trade_volume: int = 1,
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trendline_n: int = 50,
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intensity_kappa: float = 0.1,
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intensity_lookback: int = 24,
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intensity_entry_percent: float = 0.95,
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intensity_exit_percent: float = 0.50,
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order_direction: Optional[List[str]] = None,
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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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if strategy_mode not in ['TREND', 'REVERSION']:
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raise ValueError(f"strategy_mode 必须是 'TREND' 或 'REVERSION', 但收到了 '{strategy_mode}'")
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self.strategy_mode = strategy_mode
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self.params = {
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"order_direction": order_direction if order_direction is not None else ["BUY", "SELL"],
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"trendline_n": trendline_n,
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"intensity_kappa": intensity_kappa,
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"intensity_lookback": intensity_lookback,
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"intensity_entry_percent": intensity_entry_percent,
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"intensity_exit_percent": intensity_exit_percent,
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}
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self.weights = np.exp(-self.params['intensity_kappa'] * np.arange(self.params['intensity_lookback'], 0, -1))
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self.intensity_window: Optional[deque] = None
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self.pos_meta: Dict[str, Dict[str, Any]] = {}
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print(f"PriceRangeVolumeIntensityStrategy (V11) initialized.")
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print(f"--- Strategy Mode SET TO: {self.strategy_mode} ---")
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print(f"Intensity metric: volume * (high - low)")
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def _calculate_single_intensity(self, metric_slice: np.ndarray) -> float:
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"""根据一段“市场冲击”指标切片，计算最新的一个强度值。"""
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intensity_unscaled = np.dot(metric_slice, self.weights)
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return intensity_unscaled * self.params['intensity_kappa']
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def on_init(self):
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super().on_init()
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self.pos_meta.clear()
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self.intensity_window = None
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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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lookback = self.params['intensity_lookback']
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min_bars_required = max(self.params['trendline_n'] + 2, 2 * lookback)
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if len(bar_history) < min_bars_required:
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return
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# --- 【核心修改】计算新的“市场冲击”指标序列 ---
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# 替代了之前的 all_volumes
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market_impact_metric = np.array(
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[(b.high - b.low) * 1 for b in bar_history],
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dtype=float
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)
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# 简单的零值处理，防止 (high-low) 为 0 或负数（异常数据）导致的问题
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market_impact_metric[market_impact_metric <= 0] = 1e-9
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# --- 策略预热 (Warm-up) 与 增量更新 (逻辑不变，数据源已更新) ---
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if self.intensity_window is None:
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self.intensity_window = deque(maxlen=lookback)
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print("Warming up the market impact intensity window...")
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for i in range(len(market_impact_metric) - lookback, len(market_impact_metric)):
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metric_slice = market_impact_metric[i - lookback : i]
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intensity_value = self._calculate_single_intensity(metric_slice)
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self.intensity_window.append(intensity_value)
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print("Warm-up complete.")
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else:
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latest_metric_slice = market_impact_metric[-lookback:]
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latest_intensity_value = self._calculate_single_intensity(latest_metric_slice)
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self.intensity_window.append(latest_intensity_value)
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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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# --- 平仓与开仓逻辑 (完全不变，因为它们依赖于 intensity_window 的结果) ---
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latest_intensity = self.intensity_window[-1]
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# 1. 平仓逻辑
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meta = self.pos_meta.get(symbol)
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if meta and pos != 0:
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exit_threshold = np.quantile(list(self.intensity_window), self.params['intensity_exit_percent'])
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if latest_intensity < exit_threshold:
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self.log(f"[{self.strategy_mode}模式] 市场冲击强度平仓信号，平仓。")
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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
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if pos == 0:
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signal = self._calculate_entry_signal(
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self.strategy_mode, bar_history, self.params, self.intensity_window
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)
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if signal and signal in self.params['order_direction']:
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self.log(f"[{self.strategy_mode}模式] 市场冲击强度开仓信号: {signal}")
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self.send_open_order(signal, open_price, self.trade_volume)
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# _calculate_entry_signal 函数完全不变，因为它只消费 intensity_window
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def _calculate_entry_signal(self, mode: str, bar_history: List[Bar], params: Dict, intensity_window: deque) -> \
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Optional[str]:
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latest_intensity_value = intensity_window[-1]
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entry_threshold = np.quantile(list(intensity_window), params['intensity_entry_percent'])
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if not (latest_intensity_value > entry_threshold):
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return None
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close_prices = np.array([b.close for b in bar_history])
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prices_for_trendline = close_prices[-params['trendline_n'] - 1:-1]
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trend_upper, trend_lower = calculate_latest_trendline_values_v2(prices_for_trendline)
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if trend_upper is not None and trend_lower is not None:
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prev_close = bar_history[-2].close
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last_close = bar_history[-1].close
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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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if upper_break_event: return "BUY" if mode == 'TREND' else "SELL"
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if lower_break_event: return "SELL" if mode == 'TREND' else "BUY"
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return None
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# 其他辅助函数 (send_order, on_rollover) 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] = {
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"direction": direction, "volume": volume, "entry_price": entry_price
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}
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self.log(
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f"发送开仓订单 ({self.strategy_mode}): {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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self.intensity_window = None
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