1、新增傅里叶策略
2、新增策略管理、策略重启功能
This commit is contained in:
@@ -0,0 +1,214 @@
|
||||
import numpy as np
|
||||
import pandas as pd
|
||||
import talib
|
||||
from collections import deque
|
||||
from typing import Optional, Any, List, Dict
|
||||
|
||||
from src.core_data import Bar, Order
|
||||
from src.indicators.base_indicators import Indicator
|
||||
from src.indicators.indicators import Empty
|
||||
from src.strategies.base_strategy import Strategy
|
||||
|
||||
|
||||
# =============================================================================
|
||||
# 策略实现 (V9 - 盘整突破版)
|
||||
# =============================================================================
|
||||
|
||||
class ConsolidationBreakoutStrategy(Strategy):
|
||||
"""
|
||||
一个基于“盘整即突破之母”原则的终极波段策略。(V9)
|
||||
|
||||
本策略旨在通过量化的方法，识别市场能量的“压缩-释放”周期，
|
||||
以捕捉趋势的主干行情，并严格规避无序的震荡。
|
||||
1. 【战略层】: 使用长期均线定义宏观牛熊环境。
|
||||
2. 【战术层】: 使用布林带宽度(BBW)的极度收缩，来识别“盘整准备”状态。
|
||||
3. 【执行层】: 在准备状态下，等待价格“突破”凯尔特纳通道作为“大幅移动”的确认信号，
|
||||
立即以市价入场，并使用ATR动态追踪止盈来截取波段利润。
|
||||
"""
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
context: Any,
|
||||
main_symbol: str,
|
||||
enable_log: bool,
|
||||
trade_volume: int,
|
||||
# --- 【战略层】环境定义 ---
|
||||
regime_ma_period: int = 200, # 定义牛熊市的长期均线
|
||||
# --- 【战术层】盘整收缩识别 (Squeeze) ---
|
||||
bollinger_period: int = 20, # 布林带周期
|
||||
bollinger_std: float = 2.0, # 布林带标准差
|
||||
bbw_lookback: int = 252, # BBW历史分位数回看窗口
|
||||
bbw_squeeze_percentile: float = 15.0, # 定义“极度收缩”的百分位
|
||||
# --- 【执行层】突破与风控 ---
|
||||
keltner_period: int = 20, # 凯尔特纳通道周期
|
||||
keltner_atr_multiplier: float = 1.5, # 凯尔特纳通道ATR乘数
|
||||
atr_period: int = 20,
|
||||
trailing_stop_atr_multiplier: float = 3.0,
|
||||
initial_stop_atr_multiplier: float = 2.5,
|
||||
order_direction: Optional[List[str]] = None,
|
||||
indicators: Optional[List[Indicator]] = None,
|
||||
):
|
||||
super().__init__(context, main_symbol, enable_log)
|
||||
if order_direction is None: order_direction = ['BUY', 'SELL']
|
||||
|
||||
self.trade_volume = trade_volume
|
||||
self.regime_ma_period = regime_ma_period
|
||||
self.bollinger_period = bollinger_period
|
||||
self.bollinger_std = bollinger_std
|
||||
self.bbw_lookback = bbw_lookback
|
||||
self.bbw_squeeze_percentile = bbw_squeeze_percentile
|
||||
self.keltner_period = keltner_period
|
||||
self.keltner_atr_multiplier = keltner_atr_multiplier
|
||||
self.atr_period = atr_period
|
||||
self.trailing_stop_atr_multiplier = trailing_stop_atr_multiplier
|
||||
self.initial_stop_atr_multiplier = initial_stop_atr_multiplier
|
||||
self.order_direction = order_direction
|
||||
|
||||
# 状态变量
|
||||
self._last_order_id: Optional[str] = None
|
||||
self.position_meta: Dict[str, Any] = {}
|
||||
self._bbw_history: deque = deque(maxlen=self.bbw_lookback)
|
||||
self._in_squeeze_ready_state: bool = False
|
||||
|
||||
self.main_symbol = main_symbol
|
||||
self.order_id_counter = 0
|
||||
|
||||
if indicators is None:
|
||||
indicators = [Empty(), Empty()]
|
||||
self.indicators = indicators
|
||||
|
||||
self.log("ConsolidationBreakoutStrategy (V9) Initialized.")
|
||||
|
||||
def on_init(self):
|
||||
super().on_init()
|
||||
self.cancel_all_pending_orders(self.main_symbol)
|
||||
|
||||
def on_open_bar(self, open_price: float, symbol: str):
|
||||
self.symbol = symbol
|
||||
|
||||
bar_history = self.get_bar_history()
|
||||
required_bars = max(self.regime_ma_period, self.bbw_lookback) + 1
|
||||
if len(bar_history) < required_bars: return
|
||||
|
||||
# --- 数据预处理与指标计算 ---
|
||||
highs = np.array([b.high for b in bar_history], dtype=float)
|
||||
lows = np.array([b.low for b in bar_history], dtype=float)
|
||||
closes = np.array([b.close for b in bar_history], dtype=float)
|
||||
|
||||
# 战略指标
|
||||
regime_ma = talib.MA(closes, timeperiod=self.regime_ma_period)[-1]
|
||||
|
||||
# 战术指标 (Squeeze)
|
||||
bb_upper, bb_mid, bb_lower = talib.BBANDS(closes, timeperiod=self.bollinger_period, nbdevup=self.bollinger_std,
|
||||
nbdevdn=self.bollinger_std)
|
||||
bb_width = (bb_upper[-1] - bb_lower[-1]) / bb_mid[-1] if bb_mid[-1] > 0 else 0
|
||||
self._bbw_history.append(bb_width)
|
||||
|
||||
# 执行指标 (Breakout)
|
||||
current_atr = talib.ATR(highs, lows, closes, self.atr_period)[-1]
|
||||
keltner_ma = talib.MA(closes, timeperiod=self.keltner_period)
|
||||
keltner_upper = keltner_ma[-1] + self.keltner_atr_multiplier * current_atr
|
||||
keltner_lower = keltner_ma[-1] - self.keltner_atr_multiplier * current_atr
|
||||
|
||||
# --- 管理现有持仓 ---
|
||||
position_volume = self.get_current_positions().get(self.symbol, 0)
|
||||
if position_volume != 0:
|
||||
self.manage_open_position(position_volume, bar_history[-1], current_atr)
|
||||
return
|
||||
|
||||
# --- 评估新机会 ---
|
||||
self.evaluate_entry_signal(bar_history[-1], regime_ma, bb_width, keltner_upper, keltner_lower)
|
||||
|
||||
def manage_open_position(self, volume: int, current_bar: Bar, current_atr: float):
|
||||
"""使用ATR追踪止盈。"""
|
||||
# (此部分与V6/V7版本代码逻辑相同，成熟且有效)
|
||||
meta = self.position_meta.get(self.symbol);
|
||||
if not meta: return
|
||||
initial_stop_price = meta['initial_stop_price']
|
||||
if (volume > 0 and current_bar.low <= initial_stop_price) or (
|
||||
volume < 0 and current_bar.high >= initial_stop_price):
|
||||
self.log(f"Initial Stop Loss hit at {initial_stop_price:.2f}");
|
||||
self.close_position("CLOSE_LONG" if volume > 0 else "CLOSE_SHORT", abs(volume));
|
||||
return
|
||||
trailing_stop_level = meta.get('trailing_stop_level', None)
|
||||
if volume > 0:
|
||||
meta['high_water_mark'] = max(meta.get('high_water_mark', meta['entry_price']), current_bar.high)
|
||||
new_trailing_stop = meta['high_water_mark'] - self.trailing_stop_atr_multiplier * current_atr
|
||||
if trailing_stop_level is None or new_trailing_stop > trailing_stop_level: trailing_stop_level = new_trailing_stop
|
||||
trailing_stop_level = max(trailing_stop_level, initial_stop_price)
|
||||
if current_bar.low <= trailing_stop_level: self.log(
|
||||
f"ATR Trailing Stop hit for LONG at {trailing_stop_level:.2f}"); self.close_position("CLOSE_LONG",
|
||||
abs(volume))
|
||||
elif volume < 0:
|
||||
meta['low_water_mark'] = min(meta.get('low_water_mark', meta['entry_price']), current_bar.low)
|
||||
new_trailing_stop = meta['low_water_mark'] + self.trailing_stop_atr_multiplier * current_atr
|
||||
if trailing_stop_level is None or new_trailing_stop < trailing_stop_level: trailing_stop_level = new_trailing_stop
|
||||
trailing_stop_level = min(trailing_stop_level, initial_stop_price)
|
||||
if current_bar.high >= trailing_stop_level: self.log(
|
||||
f"ATR Trailing Stop hit for SHORT at {trailing_stop_level:.2f}"); self.close_position("CLOSE_SHORT",
|
||||
abs(volume))
|
||||
meta['trailing_stop_level'] = trailing_stop_level
|
||||
|
||||
def evaluate_entry_signal(self, current_bar: Bar, regime_ma: float, bb_width: float, keltner_upper: float,
|
||||
keltner_lower: float):
|
||||
"""执行“盘整-突破”的入场逻辑。"""
|
||||
if len(self._bbw_history) < self.bbw_lookback: return
|
||||
|
||||
# 【战术层】检查是否进入“盘整准备”状态
|
||||
bbw_threshold = np.percentile(list(self._bbw_history), self.bbw_squeeze_percentile)
|
||||
if bb_width < bbw_threshold:
|
||||
self._in_squeeze_ready_state = True
|
||||
self.log(f"Squeeze Detected! BBW {bb_width:.4f} < Threshold {bbw_threshold:.4f}. Ready for breakout.")
|
||||
return # 进入准备状态，等待突破
|
||||
|
||||
# 【执行层】在准备状态下，检查突破信号
|
||||
if self._in_squeeze_ready_state:
|
||||
direction = None
|
||||
# 战略过滤 + 突破确认
|
||||
if "BUY" in self.order_direction and current_bar.close > regime_ma and current_bar.close > keltner_upper and \
|
||||
self.indicators[0].is_condition_met(*self.get_indicator_tuple()):
|
||||
direction = "BUY"
|
||||
elif "SELL" in self.order_direction and current_bar.close < regime_ma and current_bar.close < keltner_lower and \
|
||||
self.indicators[1].is_condition_met(*self.get_indicator_tuple()):
|
||||
direction = "SELL"
|
||||
|
||||
if direction:
|
||||
self.log(f"Squeeze Fired! Direction: {direction}. Price broke Keltner Channel. Entering at market.")
|
||||
|
||||
# 市价单入场
|
||||
entry_price = current_bar.close
|
||||
current_atr = talib.ATR(
|
||||
np.array([b.high for b in self.get_bar_history()[-self.atr_period:]], dtype=float),
|
||||
np.array([b.low for b in self.get_bar_history()[-self.atr_period:]], dtype=float),
|
||||
np.array([b.close for b in self.get_bar_history()[-self.atr_period:]], dtype=float),
|
||||
self.atr_period
|
||||
)[-1]
|
||||
|
||||
stop_loss_price = entry_price - self.initial_stop_atr_multiplier * current_atr if direction == "BUY" else entry_price + self.initial_stop_atr_multiplier * current_atr
|
||||
meta = {'entry_price': entry_price, 'initial_stop_price': stop_loss_price}
|
||||
|
||||
self.send_market_order(direction, self.trade_volume, "OPEN", meta)
|
||||
|
||||
# 重置状态机
|
||||
self._in_squeeze_ready_state = False
|
||||
|
||||
# --- 订单发送与仓位管理辅助函数 ---
|
||||
def close_position(self, direction: str, volume: int):
|
||||
self.send_market_order(direction, volume, offset="CLOSE");
|
||||
if self.symbol in self.position_meta: del self.position_meta[self.symbol]
|
||||
|
||||
def send_market_order(self, direction: str, volume: int, offset: str, meta: Optional[Dict] = None):
|
||||
if offset == "OPEN" and meta: self.position_meta[self.symbol] = meta
|
||||
order_id = f"{self.symbol}_{direction}_MARKET_{self.order_id_counter}";
|
||||
self.order_id_counter += 1;
|
||||
order = Order(id=order_id, symbol=self.symbol, direction=direction, volume=volume, price_type="MARKET",
|
||||
submitted_time=self.get_current_time(), offset=offset);
|
||||
self.send_order(order)
|
||||
|
||||
def on_rollover(self, old_symbol: str, new_symbol: str):
|
||||
super().on_rollover(old_symbol, new_symbol);
|
||||
self._last_order_id = None;
|
||||
self.position_meta = {};
|
||||
self._bbw_history.clear();
|
||||
self._in_squeeze_ready_state = False;
|
||||
self.log("Rollover detected. All strategy states have been reset.")
|
||||
Reference in New Issue
Block a user