1、新增dp策略

futures_trading_strategies/RM/ReversalVolatilityStrategy/ReversalVolatilityStrategy.py

@@ -0,0 +1,315 @@
+# src/strategies/ReversalVolatilityStrategy.py
+
+import numpy as np
+import talib
+from typing import Optional, Dict, Any, List, Tuple
+
+from src.core_data import Bar, Order
+from src.indicators.indicators import StochasticOscillator, RSI
+from src.strategies.base_strategy import Strategy
+
+
+# def calculate_atr(bars: List[Bar], period: int) -> float:
+#     """
+#     从Bar对象列表中计算平均真实波幅(ATR)。
+#     """
+#     if len(bars) < period + 1:
+#         return 0.0
+
+#     true_ranges = []
+#     for i in range(1, len(bars)):
+#         high_low = bars[i].high - bars[i].low
+#         high_prev_close = abs(bars[i].high - bars[i - 1].close)
+#         low_prev_close = abs(bars[i].low - bars[i - 1].close)
+#         tr = max(high_low, high_prev_close, low_prev_close)
+#         true_ranges.append(tr)
+
+#     return np.mean(true_ranges[-(period):])
+
+
+def find_fvg(bars: List[Bar]) -> Optional[Tuple[str, float, float]]:
+    """
+    使用最近的三根K线识别公允价值缺口(FVG)。
+
+    返回:
+        一个元组 (方向, 上沿价格, 下沿价格) 或 None (如果没有找到FVG)。
+        'bullish': K线1的最高价和K线3的最低价之间的缺口。
+        'bearish': K线1的最低价和K线3的最高价之间的缺口。
+    """
+    if len(bars) < 3:
+        return None
+
+    bar1, bar2, bar3 = bars[-3], bars[-2], bars[-1]
+
+    # 检查看涨FVG (向上的失衡)
+    if bar1.high < bar3.low:
+        # 缺口本身就意味着中间的K线是强劲的
+        return ('bullish', bar3.low, bar1.high)
+
+    # 检查看跌FVG (向下的失衡)
+    if bar1.low > bar3.high:
+        return ('bearish', bar1.low, bar3.high)
+
+    return None
+
+
+class ReversalVolatilityStrategy(Strategy):
+    """
+    一个反转波动率策略，该策略在价格回调至公允价值缺口(FVG)时入场，
+    并使用基于ATR的两阶段止盈系统，其中第二阶段为ATR回撤止盈。
+    """
+
+    def __init__(
+            self,
+            context: Any,
+            main_symbol: str,
+            enable_log: bool,
+            trade_volume: int,
+            atr_period: int = 14,
+            stop_loss_atr_multiplier: float = 1.0,
+            partial_profit_atr_multiplier: float | List[float] = 2.0,
+            # full_profit_atr_multiplier: float = 4.0,  # 移除固定止盈乘数
+            trailing_stop_atr_multiplier: float = 1.0,  # 新增：回撤止盈ATR乘数
+            open_atr_multiplier: float | List[float] = 1.0,
+            order_direction=None,
+            indicators=[None, None],
+    ):
+        """
+        Args:
+            context: 回测上下文。
+            symbol (str): 主要交易的合约代码。
+            trade_volume (int): 每笔交易的总手数。必须是偶数。
+            atr_period (int): 计算ATR的回看周期。
+            stop_loss_atr_multiplier (float): ATR的乘数，用于设置止损。
+            partial_profit_atr_multiplier (float): ATR的乘数，用于设置第一止盈目标。
+            trailing_stop_atr_multiplier (float): ATR的乘数，用于设置最大回撤止盈。
+        """
+        super().__init__(context, main_symbol, enable_log)
+        if order_direction is None:
+            order_direction = ['BUY', 'SELL', ]
+        # if trade_volume % 2 != 0:
+        #     raise ValueError("为了实现部分止盈, trade_volume必须是偶数。")
+
+        self.trade_volume = trade_volume
+        self.atr_period = atr_period
+        self.stop_loss_atr_multiplier = stop_loss_atr_multiplier
+        if isinstance(partial_profit_atr_multiplier, float) or isinstance(partial_profit_atr_multiplier, int):
+            self.partial_profit_atr_multiplier = [partial_profit_atr_multiplier, partial_profit_atr_multiplier]
+        elif isinstance(partial_profit_atr_multiplier, list):
+            self.partial_profit_atr_multiplier = partial_profit_atr_multiplier
+
+        self.trailing_stop_atr_multiplier = trailing_stop_atr_multiplier
+        if isinstance(open_atr_multiplier, float) or isinstance(open_atr_multiplier, int):
+            self.open_atr_multiplier = [open_atr_multiplier, open_atr_multiplier]
+        elif isinstance(open_atr_multiplier, list):
+            self.open_atr_multiplier = open_atr_multiplier  # 初始化新增参数
+        self.order_direction = order_direction
+
+        self.indicator_long = indicators[0]
+        self.indicator_short = indicators[1]
+
+        self.main_symbol = main_symbol
+        self.order_id_counter = 0
+        self._last_order_id: Optional[str] = None
+
+        # 字典，用于存储交易的元数据，如入场价、入场时的ATR和最高/最低价
+        self.position_meta: Dict[str, Any] = {}
+
+        self.log(
+            "ReversalVolatilityStrategy 初始化参数: \n"
+            f"交易量={self.trade_volume}, ATR周期={self.atr_period}, \n"
+            f"止损ATR乘数={self.stop_loss_atr_multiplier}, 部分止盈ATR乘数={self.partial_profit_atr_multiplier}, \n"
+            f"回撤止盈ATR乘数={self.trailing_stop_atr_multiplier}"  # 更新日志信息
+        )
+
+    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
+        current_time = self.get_current_time()
+
+        # --- 1. 取消上一根K线未成交的限价单 ---
+        if self._last_order_id and self._last_order_id in self.get_pending_orders():
+            self.cancel_order(self._last_order_id)
+            self.log(f"已取消上一根K线的挂单: {self._last_order_id}")
+        self._last_order_id = None
+
+        bar_history = self.get_bar_history()
+        if len(bar_history) < self.atr_period + 3:
+            return  # 数据不足，无法计算指标
+
+        # --- 2. 计算指标 ---
+        # current_atr = calculate_atr(bar_history, self.atr_period)
+        current_atr = talib.ATR(np.array([bar.high for bar in bar_history]),
+                                np.array([bar.low for bar in bar_history]),
+                                np.array([bar.close for bar in bar_history]),
+                                timeperiod=self.atr_period)[-1]
+        if current_atr == 0:
+            return  # 避免除以零或在不活跃的市场中交易
+
+        fvg_signal = find_fvg(bar_history)
+
+        # --- 3. 管理现有持仓 (平仓逻辑) ---
+        current_positions = self.get_current_positions()
+        position_volume = current_positions.get(self.symbol, 0)
+        avg_entry_price = self.get_average_position_price(self.symbol)
+
+        if position_volume != 0:
+            # 传递当前Bar的最高价和最低价用于更新最优价格
+            current_bar_high = bar_history[-1].high
+            current_bar_low = bar_history[-1].low
+            self.manage_open_position(position_volume, open_price, current_bar_high, current_bar_low, avg_entry_price, current_atr)
+            return  # 如果正在管理平仓，则不评估进场信号
+
+        # --- 4. 评估新机会 (开仓逻辑) ---
+        if position_volume == 0 and fvg_signal:
+            self.evaluate_entry_signal(fvg_signal, open_price, current_atr)
+
+    def manage_open_position(self, volume: int, current_price: float, current_bar_high: float, current_bar_low: float,
+                             entry_price: float, current_atr: float):
+
+        # current_atr = self.position_meta[self.symbol]['entry_atr']
+
+        # 定义基于入场时ATR的止损目标价格
+        # stop_loss_price = entry_price - entry_atr * self.stop_loss_atr_multiplier if volume > 0 else entry_price + entry_atr * self.stop_loss_atr_multiplier
+        stop_loss_price = entry_price - 5 if volume > 0 else entry_price + 5
+        partial_profit_atr_multiplier = self.partial_profit_atr_multiplier[0] if volume > 0 else \
+        self.partial_profit_atr_multiplier[1]
+        partial_tp_price = entry_price + current_atr * partial_profit_atr_multiplier if volume > 0 else entry_price - current_atr * partial_profit_atr_multiplier
+
+        self.log(f'持仓:{volume}, pos:{current_price - entry_price}, current_price:{current_price}, stop_loss_price:{stop_loss_price}, partial_profit_atr_multiplier:{partial_profit_atr_multiplier}, partial_tp_price:{partial_tp_price}')
+
+        # 检查多头持仓
+
+        if volume > 0:
+
+            # # 最大回撤止盈 (只在部分止盈后激活)
+            # if partially_exited:
+            #     trailing_stop_level = optimal_price - self.trailing_stop_atr_multiplier * current_atr
+            #     if current_price <= trailing_stop_level:
+            #         self.log(f"多头回撤止盈到达 {current_price:.2f}. 关闭剩余仓位。")
+            #         self.close_position("CLOSE_LONG", abs(volume))
+            # 部分止盈
+            if current_price >= partial_tp_price:
+                self.log(f"多头部分止盈到达 {current_price:.2f}. 关闭仓位。")
+                # self.send_market_order("CLOSE_LONG", self.trade_volume)
+                self.close_position("CLOSE_LONG", abs(volume))
+                # 首次触发部分止盈时，将当前价格设置为最优价格，作为回撤止盈的起点
+            # 止损
+            elif current_price <= stop_loss_price:
+                self.log(f"多头止损到达 {current_price:.2f}. 关闭全部仓位。")
+                self.close_position("CLOSE_LONG", abs(volume))
+
+        # 检查空头持仓
+        elif volume < 0:
+
+            # # 最大回撤止盈 (只在部分止盈后激活)
+            # if partially_exited:
+            #     trailing_stop_level = optimal_price + self.trailing_stop_atr_multiplier * current_atr
+            #     if current_price >= trailing_stop_level:
+            #         self.log(f"空头回撤止盈到达 {current_price:.2f}. 关闭剩余仓位。")
+            #         self.close_position("CLOSE_SHORT", abs(volume))
+            # 部分止盈
+            if current_price <= partial_tp_price:
+                self.log(f"空头部分止盈到达 {current_price:.2f}. 关闭一半仓位。")
+                # self.send_market_order("CLOSE_SHORT", self.trade_volume)
+                self.close_position("CLOSE_SHORT", abs(volume))
+            # 止损
+            elif current_price >= stop_loss_price:
+                self.log(f"空头止损到达 {current_price:.2f}. 关闭全部仓位。")
+                self.close_position("CLOSE_SHORT", abs(volume))
+
+    def evaluate_entry_signal(self, fvg_signal, open_price, current_atr):
+        direction, fvg_high, fvg_low = fvg_signal
+        open_atr_multiplier = self.open_atr_multiplier[0] if 'bullish' == direction else self.open_atr_multiplier[1]
+
+        # 多头入场信号
+        if 'bullish' == direction:
+            # 在FVG上沿挂限价单，等待价格回调
+            if self.indicator_long is None or self.indicator_long.is_condition_met(*self.get_indicator_tuple()):
+                limit_price = fvg_low + open_atr_multiplier * current_atr
+                # 避免追高
+                if open_price > limit_price:
+                    self.log(f"检测到看涨FVG。在 {limit_price:.2f} 挂限价买单。fvg_high：{fvg_low}，current_atr：{current_atr}")
+                    new_order = self.send_limit_order("BUY", limit_price, self.trade_volume, {'entry_atr': current_atr})
+                    if new_order:
+                        self._last_order_id = new_order.id
+
+        # 空头入场信号
+        elif 'bearish' == direction:
+            # 在FVG下沿挂限价单
+            if self.indicator_short is None or self.indicator_short.is_condition_met(*self.get_indicator_tuple()):
+                limit_price = fvg_high - open_atr_multiplier * current_atr
+                # 避免追低
+                if open_price < limit_price:
+                    self.log(f"检测到看跌FVG。在 {limit_price:.2f} 挂限价卖单。fvg_high：{fvg_high}，current_atr：{current_atr}")
+                    new_order = self.send_limit_order("SELL", limit_price, self.trade_volume, {'entry_atr': current_atr})
+                    if new_order:
+                        self._last_order_id = new_order.id
+
+    def close_position(self, direction: str, volume: int):
+        self.send_market_order(direction, volume)
+        if self.symbol in self.position_meta:
+            del self.position_meta[self.symbol]  # 完全平仓后清理元数据
+
+    def send_limit_order(self, direction: str, limit_price: float, volume: int, meta: Dict) -> Optional[Order]:
+        if direction not in self.order_direction:
+            return None
+
+        order_id = f"{self.symbol}_{direction}_{self.get_current_time().strftime('%Y%m%d%H%M%S')}_{self.order_id_counter}"
+        self.order_id_counter += 1
+        order = Order(
+            id=order_id,
+            symbol=self.symbol,
+            direction=direction,
+            volume=volume,
+            price_type="LIMIT",
+            limit_price=limit_price,
+            submitted_time=self.get_current_time(),
+            offset="OPEN",
+        )
+
+        # 存储开仓时的元数据，包括入场价和入场时的ATR
+        self.position_meta[self.symbol] = {
+            "entry_price": limit_price,
+            "entry_atr": meta.get('entry_atr', 0),
+            "partially_exited": False,
+            "optimal_price": limit_price  # 初始最优价格设置为入场价格
+        }
+
+        entry_price = limit_price
+        entry_atr = meta.get('entry_atr', 0)
+        stop_loss_price = entry_price - 5 if direction == "BUY" else entry_price + 5
+        partial_profit_atr_multiplier = self.partial_profit_atr_multiplier[0] if volume > 0 else \
+        self.partial_profit_atr_multiplier[1]
+        partial_tp_price = entry_price + entry_atr * partial_profit_atr_multiplier if volume > 0 else entry_price - entry_atr * partial_profit_atr_multiplier
+
+        self.log(
+            f'atr: {meta.get("entry_atr", 0)}, stop_loss_price: {stop_loss_price}, partial_tp_price: {partial_tp_price}')
+
+        return self.send_order(order)
+
+    def send_market_order(self, direction: str, volume: int):
+        order_id = f"{self.symbol}_{direction}_{self.get_current_time().strftime('%Y%m%d%H%M%S')}_{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="CLOSE"  # 在本策略中，所有市价单都是为了平仓
+        )
+        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 = {}  # 换月时清空所有元数据
+        self.log("检测到换月。已清空挂单和持仓元数据。")
+
+    def on_close_bar(self, bar: Bar, next_bar_open: Optional[float] = None):
+        self.cancel_all_pending_orders(self.main_symbol)