import numpy as np import pandas as pd from typing import Optional, Dict, Any, List # 假设这些是你项目中的模块 from src.core_data import Bar, Order from src.strategies.base_strategy import Strategy from src.algo.TrendLine import calculate_latest_trendline_values from src.algo.HawksProcess import calculate_hawkes_bands class TrendlineHawkesStrategy(Strategy): """ 趋势线与霍克斯过程双重确认策略 (V2 - 支持逻辑反转): 入场信号 (双重确认): 1. 趋势线事件: 收盘价突破上轨(标准模式做多)或下轨(标准模式做空)。 2. 霍克斯确认: 同时，成交量霍克斯强度必须高于其近期高位分位数。 出场逻辑 (基于霍克斯过程): - 当成交量霍克斯强度从高位回落至近期低位分位数以下时，平仓。 逻辑反转 (`reverse_logic=True`): - 趋势线突破上轨时，开【空】仓。 - 趋势线突破下轨时，开【多】仓。 """ def __init__( self, context: Any, main_symbol: str, trade_volume: int = 1, order_direction: Optional[List[str]] = None, # --- 新增: 逻辑反转开关 --- reverse_logic: bool = False, # --- 趋势线参数 --- trendline_n: int = 50, # --- 霍克斯过程参数 --- hawkes_kappa: float = 0.1, hawkes_lookback: int = 50, hawkes_entry_percent: float = 0.95, hawkes_exit_percent: float = 0.50, enable_log: bool = True, ): super().__init__(context, main_symbol, enable_log) self.main_symbol = main_symbol self.trade_volume = trade_volume self.order_direction = order_direction or ["BUY", "SELL"] # --- 新增 --- self.reverse_logic = reverse_logic self.trendline_n = trendline_n self.hawkes_kappa = hawkes_kappa self.hawkes_lookback = hawkes_lookback self.hawkes_entry_percent = hawkes_entry_percent self.hawkes_exit_percent = hawkes_exit_percent self.pos_meta: Dict[str, Dict[str, Any]] = {} if self.trendline_n < 3: raise ValueError("trendline_n 必须大于或等于 3") log_message = ( f"TrendlineHawkesStrategy 初始化:\n" f"【逻辑模式】: {'反转 (Reversal)' if self.reverse_logic else '标准 (Breakout)'}\n" f"趋势线周期={self.trendline_n}\n" f"霍克斯参数: kappa={self.hawkes_kappa}, lookback={self.hawkes_lookback}, " f"entry_pct={self.hawkes_entry_percent}, exit_pct={self.hawkes_exit_percent}" ) self.log(log_message) def on_init(self): # (此函数保持不变) 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 = max(self.trendline_n + 2, self.hawkes_lookback + 2) if len(bar_history) < min_bars_required: return self.cancel_all_pending_orders(symbol) pos = self.get_current_positions().get(symbol, 0) # --- 数据准备 (与之前相同) --- close_prices = np.array([b.close for b in bar_history]) volume_series = pd.Series( [b.volume for b in bar_history], index=pd.to_datetime([b.datetime for b in bar_history]) ) vol_hawkes, hawkes_upper_band, hawkes_lower_band = calculate_hawkes_bands( volume_series, self.hawkes_lookback, self.hawkes_kappa, self.hawkes_entry_percent, self.hawkes_exit_percent ) latest_hawkes_value = vol_hawkes.iloc[-1] latest_hawkes_upper = hawkes_upper_band.iloc[-1] latest_hawkes_lower = hawkes_lower_band.iloc[-1] # 1. 优先处理平仓逻辑 (逻辑保持不变) meta = self.pos_meta.get(symbol) if meta and pos != 0: if latest_hawkes_value < latest_hawkes_lower: self.log(f"霍克斯出场信号: 强度({latest_hawkes_value:.2f}) < 阈值({latest_hawkes_lower:.2f})") self.send_market_order("CLOSE_LONG" if meta['direction'] == "BUY" else "CLOSE_SHORT", abs(pos)) del self.pos_meta[symbol] return # 2. 开仓逻辑 (加入反转判断) if pos == 0: prices_for_trendline = close_prices[-self.trendline_n - 1:-1] trend_upper, trend_lower = calculate_latest_trendline_values(prices_for_trendline) if trend_upper is None or trend_lower is None: return prev_close = bar_history[-2].close last_close = bar_history[-1].close # --- a) 定义基础的突破【事件】 --- upper_break_event = last_close > trend_upper and prev_close < trend_upper lower_break_event = last_close < trend_lower and prev_close > trend_lower # --- b) 定义霍克斯【确认】--- hawkes_confirmation = latest_hawkes_value > latest_hawkes_upper # 只有当基础事件和霍克斯确认都发生时，才考虑开仓 if hawkes_confirmation and (upper_break_event or lower_break_event): # --- c) 【核心修改】根据 reverse_logic 决定最终交易方向 --- trade_direction = None if upper_break_event: # 价格向上突破上轨 # 标准模式：做多 (动量) # 反转模式：做空 (力竭反转) trade_direction = "SELL" if self.reverse_logic else "BUY" elif lower_break_event: # 价格向下突破下轨 # 标准模式：做空 (动量) # 反转模式：做多 (恐慌探底反转) trade_direction = "BUY" if self.reverse_logic else "SELL" # d) 执行交易 if trade_direction and trade_direction in self.order_direction: event_type = "向上突破" if upper_break_event else "向下突破" logic_type = "反转" if self.reverse_logic else "标准" self.log( f"{logic_type}模式 {trade_direction} 信号: " f"价格{event_type} & 霍克斯强度({latest_hawkes_value:.2f}) > 阈值({latest_hawkes_upper:.2f})" ) self.send_open_order(trade_direction, open_price, self.trade_volume) # send_open_order, send_market_order, on_rollover 等方法保持不变 def send_open_order(self, direction: str, entry_price: float, volume: int): 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} self.log(f"发送开仓订单: {direction} {volume}手 @ Market Price (执行价约 {entry_price:.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()