1、trend + hawks 策略

real_trading/SA/TrendlineBreakoutStrategy/TrendlineBreakoutStrategy.py

@@ -0,0 +1,180 @@
+import numpy as np
+import talib
+from typing import Optional, Dict, Any, List, Tuple, Union
+
+from src.algo.TrendLine import calculate_latest_trendline_values
+# 假设这些是你项目中的基础模块
+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
+
+
+class TrendlineBreakoutStrategy(Strategy):
+    """
+    趋势线突破策略 V3 (优化版):
+    1. 策略逻辑与 V2 相同，但趋势线计算被重构为一个独立的、
+       高性能的辅助方法。
+    2. 该方法只计算最新的趋势线值，避免不必要的数组生成。
+
+    开仓信号:
+    - 做多: 上一根收盘价上穿下趋势线
+    - 做空: 上一根收盘价下穿上趋势线
+
+    平仓逻辑:
+    - 采用 ATR 滑动止损 (Trailing Stop)。
+    """
+
+    def __init__(
+            self,
+            context: Any,
+            main_symbol: str,
+            trendline_n: int = 50,
+            trade_volume: int = 1,
+            order_direction: Optional[List[str]] = None,
+            atr_period: int = 14,
+            atr_multiplier: float = 1.0,
+            enable_log: bool = True,
+            indicators: Union[Indicator, List[Indicator]] = None,
+    ):
+        super().__init__(context, main_symbol, enable_log)
+        self.main_symbol = main_symbol
+        self.trendline_n = trendline_n
+        self.trade_volume = trade_volume
+        self.order_direction = order_direction or ["BUY", "SELL"]
+        self.atr_period = atr_period
+        self.atr_multiplier = atr_multiplier
+        self.pos_meta: Dict[str, Dict[str, Any]] = {}
+        if indicators is None:
+            indicators = [Empty(), Empty()]
+        self.indicators = indicators
+
+        if self.trendline_n < 3:
+            raise ValueError("trendline_n 必须大于或等于 3")
+
+        log_message = (
+            f"TrendlineBreakoutStrategy (V3 Optimized) 初始化:\n"
+            f"交易标的={self.main_symbol}, 交易量={self.trade_volume}\n"
+            f"趋势线周期={self.trendline_n}, ATR周期={self.atr_period}, ATR倍数={self.atr_multiplier}"
+        )
+        self.log(log_message)
+
+
+    def _calculate_atr(self, bar_history: List[Bar]) -> Optional[float]:
+        # (此函数与上一版本完全相同，保持不变)
+        if len(bar_history) < self.atr_period + 1: return None
+        highs = np.array([b.high for b in bar_history])
+        lows = np.array([b.low for b in bar_history])
+        closes = np.array([b.close for b in bar_history])
+        atr = talib.ATR(highs, lows, closes, timeperiod=self.atr_period)
+        return atr[-1] if not np.isnan(atr[-1]) else None
+
+    def on_init(self):
+        super().on_init()
+        self.pos_meta.clear()
+
+    def on_open_bar(self, open_price: float, symbol: str):
+        bar_history = self.get_bar_history()
+        min_bars_required = self.trendline_n + 2
+        if len(bar_history) < min_bars_required:
+            return
+
+        self.cancel_all_pending_orders(symbol)
+        pos = self.get_current_positions().get(symbol, 0)
+
+        # 1. 优先处理平仓逻辑 (逻辑不变)
+        meta = self.pos_meta.get(symbol)
+        if meta and pos != 0:
+            current_atr = self._calculate_atr(bar_history[:-1])
+            if current_atr:
+                trailing_stop = meta['trailing_stop']
+                direction = meta['direction']
+                last_close = bar_history[-1].close
+                if direction == "BUY":
+                    new_stop_level = last_close - current_atr * self.atr_multiplier
+                    trailing_stop = max(trailing_stop, new_stop_level)
+                else:  # SELL
+                    new_stop_level = last_close + current_atr * self.atr_multiplier
+                    trailing_stop = min(trailing_stop, new_stop_level)
+                self.pos_meta[symbol]['trailing_stop'] = trailing_stop
+                if (direction == "BUY" and open_price <= trailing_stop) or \
+                        (direction == "SELL" and open_price >= trailing_stop):
+                    self.log(f"ATR滑动止损触发: 价格 {open_price:.2f} 触及止损位 {trailing_stop:.2f}")
+                    self.send_market_order("CLOSE_LONG" if direction == "BUY" else "CLOSE_SHORT", abs(pos))
+                    del self.pos_meta[symbol]
+                    return
+
+        # 2. 开仓逻辑 (调用优化后的方法)
+        if pos == 0:
+            prices_for_trendline = np.array([b.close for b in bar_history[-self.trendline_n - 1:-1]])
+
+            # --- 调用新的独立方法 ---
+            trendline_val_upper, trendline_val_lower = calculate_latest_trendline_values(prices_for_trendline)
+
+            if trendline_val_upper is None or trendline_val_lower is None:
+                return  # 无法计算趋势线，跳过
+
+            prev_close = bar_history[-2].close
+            last_close = bar_history[-1].close
+
+            current_atr = self._calculate_atr(bar_history[:-1])
+            if not current_atr:
+                return
+
+            if "BUY" in self.order_direction and last_close > trendline_val_upper and self.indicators[0].is_condition_met(*self.get_indicator_tuple()):
+                self.log(f"做多信号: Close({last_close:.2f}) 上穿下趋势线({trendline_val_upper:.2f})")
+                self.send_open_order("BUY", open_price, self.trade_volume, current_atr)
+
+            elif "SELL" in self.order_direction and last_close < trendline_val_lower and self.indicators[1].is_condition_met(*self.get_indicator_tuple()):
+                self.log(f"做空信号: Close({last_close:.2f}) 下穿上趋势线({trendline_val_lower:.2f})")
+                self.send_open_order("SELL", open_price, self.trade_volume, current_atr)
+
+            # is_met = self.indicators[0].is_condition_met(*self.get_indicator_tuple())
+            # if "BUY" in self.order_direction and last_close > trendline_val_upper and is_met:
+            #     self.log(f"做多信号: Close({last_close:.2f}) 上穿下趋势线({trendline_val_upper:.2f})")
+            #     self.send_open_order("BUY", open_price, self.trade_volume, current_atr)
+            #
+            # elif "SELL" in self.order_direction and last_close < trendline_val_lower and is_met:
+            #     self.log(f"做空信号: Close({last_close:.2f}) 下穿上趋势线({trendline_val_lower:.2f})")
+            #     self.send_open_order("SELL", open_price, self.trade_volume, current_atr)
+
+            # prob = self.indicators[0].get_latest_value(*self.get_indicator_tuple())
+            # if "BUY" in self.order_direction and last_close > trendline_val_upper:
+            #     if prob is None or prob[0] < prob[1]:
+            #         self.log(f"做多信号: Close({last_close:.2f}) 上穿下趋势线({trendline_val_upper:.2f})")
+            #         self.send_open_order("BUY", open_price, self.trade_volume, current_atr)
+            #
+            # elif "SELL" in self.order_direction and last_close < trendline_val_lower:
+            #     if prob is None or prob[2] < prob[3]:
+            #         self.log(f"做空信号: Close({last_close:.2f}) 下穿上趋势线({trendline_val_lower:.2f})")
+            #         self.send_open_order("SELL", open_price, self.trade_volume, current_atr)
+
+    # send_open_order, send_market_order, on_rollover 等方法与上一版本完全相同，保持不变
+    def send_open_order(self, direction: str, entry_price: float, volume: int, current_atr: float):
+        if direction == "BUY":
+            initial_stop = entry_price - current_atr * self.atr_multiplier
+        else:
+            initial_stop = entry_price + current_atr * self.atr_multiplier
+        current_time = self.get_current_time()
+        order_id = f"{self.symbol}_{direction}_{current_time.strftime('%Y%m%d%H%M%S')}"
+        order_direction = "BUY" if direction == "BUY" else "SELL"
+        order = Order(id=order_id, symbol=self.symbol, direction=order_direction, volume=volume, price_type="MARKET",
+                      submitted_time=current_time, offset="OPEN")
+        self.send_order(order)
+        self.pos_meta[self.symbol] = {"direction": direction, "volume": volume, "entry_price": entry_price,
+                                      "trailing_stop": initial_stop}
+        self.log(
+            f"发送开仓订单: {direction} {volume}手 @ Market Price (执行价约 {entry_price:.2f}), 初始ATR止损位: {initial_stop:.2f}")
+
+    def send_market_order(self, direction: str, volume: int):
+        current_time = self.get_current_time()
+        order_id = f"{self.symbol}_{direction}_{current_time.strftime('%Y%m%d%H%M%S')}"
+        order = Order(id=order_id, symbol=self.symbol, direction=direction, volume=volume, price_type="MARKET",
+                      submitted_time=current_time, offset="CLOSE")
+        self.send_order(order)
+        self.log(f"发送平仓订单: {direction} {volume}手 @ Market Price")
+
+    def on_rollover(self, old_symbol: str, new_symbol: str):
+        super().on_rollover(old_symbol, new_symbol)
+        self.cancel_all_pending_orders(new_symbol)
+        self.pos_meta.clear()