1、新增dp策略

real_trading/ReversalVolatilityStrategy/FG.py

@@ -0,0 +1,47 @@
+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.ReversalVolatilityStrategy.ReversalVolatilityStrategy import ReversalVolatilityStrategy
+
+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': 1,
+    # 'partial_profit_atr_multiplier': 1.8,
+    # 'partial_profit_atr_multiplier': 1.3,
+    'partial_profit_atr_multiplier': [0.8, 0.7],
+    'trailing_stop_atr_multiplier': 1,
+    # 'open_atr_multiplier': 0.8,
+    # 'open_atr_multiplier': 0.4,
+    'open_atr_multiplier': [0.8, 1.6],
+    'order_direction': ['SELL', 'BUY'],
+    'enable_log': True,           # 建议在调试和测试时开启日志
+    'indicators': [RSI(20, 35, 60), RSI(14, 25, 45)]
+}
+# 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=ReversalVolatilityStrategy,
+    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

real_trading/ReversalVolatilityStrategy/MA.py

@@ -0,0 +1,47 @@
+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.ReversalVolatilityStrategy.ReversalVolatilityStrategy import ReversalVolatilityStrategy
+
+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': 2,
+    # 'partial_profit_atr_multiplier': 1.8,
+    # 'partial_profit_atr_multiplier': 1.3,
+    'partial_profit_atr_multiplier': [1.8, 1.3],
+    'trailing_stop_atr_multiplier': 1,
+    # 'open_atr_multiplier': 0.8,
+    # 'open_atr_multiplier': 0.4,
+    'open_atr_multiplier': [0.8, 0.4],
+    'order_direction': ['BUY', 'SELL'],
+    'enable_log': True,           # 建议在调试和测试时开启日志
+    'indicators':[BollingerBandwidth(window=10, nbdev=1.5, down_bound=0.25, up_bound=2), ADX(14, 10, 30)]
+}
+# 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=ReversalVolatilityStrategy,
+    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

real_trading/ReversalVolatilityStrategy/RM.py

@@ -0,0 +1,47 @@
+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.ReversalVolatilityStrategy.ReversalVolatilityStrategy import ReversalVolatilityStrategy
+
+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.RM"
+strategy_parameters = {
+    'main_symbol': 'RM',  # <-- 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,
+    # 'partial_profit_atr_multiplier': 1.8,
+    # 'partial_profit_atr_multiplier': 1.3,
+    'partial_profit_atr_multiplier': [1.8, 0.9],
+    'trailing_stop_atr_multiplier': 1,
+    # 'open_atr_multiplier': 0.8,
+    # 'open_atr_multiplier': 0.4,
+    'open_atr_multiplier': [0.6, 0.8],
+    'order_direction': ['BUY', 'SELL'],
+    'enable_log': True,           # 建议在调试和测试时开启日志
+    'indicators': [ADX(30, 10, 20), ADX(7, 30, 75)]
+}
+# 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=ReversalVolatilityStrategy,
+    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

real_trading/ReversalVolatilityStrategy/SA.py

@@ -0,0 +1,49 @@
+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, \
+    PriceRangeToVolatilityRatio
+from src.tqsdk_real_engine import TqsdkEngine
+
+# 导入你的策略类
+from src.strategies.ReversalVolatilityStrategy.ReversalVolatilityStrategy import ReversalVolatilityStrategy
+
+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.SA"
+strategy_parameters = {
+    'main_symbol': 'SA',  # <-- 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,
+    # 'partial_profit_atr_multiplier': 1.8,
+    # 'partial_profit_atr_multiplier': 1.3,
+    'partial_profit_atr_multiplier': [1.5, 1.5],
+    'trailing_stop_atr_multiplier': 1,
+    # 'open_atr_multiplier': 0.8,
+    # 'open_atr_multiplier': 0.4,
+    'open_atr_multiplier': [0.2, 0.0],
+    'order_direction': ['BUY', 'SELL'],
+    'enable_log': True,           # 建议在调试和测试时开启日志
+    'indicators': [RSI(25, 30, 65), PriceRangeToVolatilityRatio(3, 21, 1, 2.2)]
+}
+
+# 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=ReversalVolatilityStrategy,
+    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

real_trading/ReversalVolatilityStrategy/SF.py

@@ -0,0 +1,43 @@
+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
+from src.tqsdk_real_engine import TqsdkEngine
+
+# 导入你的策略类
+from src.strategies.ReversalVolatilityStrategy.ReversalVolatilityStrategy import ReversalVolatilityStrategy
+
+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.SF"
+strategy_parameters = {
+    'main_symbol': 'SF',  # <-- 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,
+    'partial_profit_atr_multiplier': [1.4, 1.7],
+    'trailing_stop_atr_multiplier': 1,
+    'open_atr_multiplier': [0.4, 0.0],
+    'order_direction': ['SELL', 'BUY'],
+    'enable_log': True,           # 建议在调试和测试时开启日志
+    'indicators': [RSI(5, 50, 95), 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=ReversalVolatilityStrategy,
+    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

real_trading/ReversalVolatilityStrategy/c.py

@@ -0,0 +1,43 @@
+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.ReversalVolatilityStrategy.ReversalVolatilityStrategy import ReversalVolatilityStrategy
+
+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@DCE.c"
+strategy_parameters = {
+    'main_symbol': 'c',  # <-- 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,
+    'partial_profit_atr_multiplier': [2.0, 1.7],
+    'trailing_stop_atr_multiplier': 1,
+    'open_atr_multiplier': [0.8, 0.8],
+    'order_direction': ['SELL', 'BUY'],
+    'enable_log': True,           # 建议在调试和测试时开启日志
+    'indicators': [None, RSI(30, 30, 50)]
+}
+# 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=ReversalVolatilityStrategy,
+    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

real_trading/ReversalVolatilityStrategy/rb.py

@@ -0,0 +1,46 @@
+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
+from src.tqsdk_real_engine import TqsdkEngine
+
+# 导入你的策略类
+from src.strategies.ReversalVolatilityStrategy.ReversalVolatilityStrategy import ReversalVolatilityStrategy
+
+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@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': 2,
+    'partial_profit_atr_multiplier': 0.6,
+    'trailing_stop_atr_multiplier': 1,
+    # 'open_atr_multiplier': 1.2,
+    # 'open_atr_multiplier': 1.4,
+    'open_atr_multiplier': [1.2, 1.4],
+    'order_direction': ['BUY', 'SELL'],
+    'enable_log': True,           # 建议在调试和测试时开启日志
+    'indicators': [None, RSI(35, 35, 50)],
+}
+
+# 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=ReversalVolatilityStrategy,
+    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