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.")