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 (Dual-Mode Kalman Strategy) # ============================================================================= class DualModeKalmanStrategy(Strategy): """ 一个内置两种相反交易逻辑（趋势跟踪 vs. 均值回归）的自适应策略。 本策略旨在通过一个核心参数 `strategy_mode`，在两种市场范式间切换， 以适应不同品种的内在“性格”。 人格1: 'TREND' (趋势模式) - 哲学: 价格的强力突破会引发自我强化的趋势。 - 入场: 价格向上/下“逃逸”卡尔曼线 -> 做多/做空。 - 出场: 使用结构化卡尔曼止损，让利润奔跑。 人格2: 'REVERSION' (均值回归模式) - 哲学: 价格的极端偏离是不可持续的，终将回归均值。 - 入场: 价格向上/下极端偏离（超买/超卖） -> 做空/做多。 - 出场: 当价格回归至卡爾曼線時获利了结。 """ def __init__( self, context: Any, main_symbol: str, enable_log: bool, trade_volume: int, # --- 【核心人格切换】 --- strategy_mode: str = 'TREND', # 可选: 'TREND' 或 'REVERSION' # --- 【通用参数】 --- kalman_process_noise: float = 0.01, kalman_measurement_noise: float = 0.5, atr_period: int = 20, atr_lookback: int = 100, atr_percentile_threshold: float = 25.0, entry_threshold_atr: float = 2.5, initial_stop_atr_multiplier: float = 2.0, # --- 【趋势模式专用】 --- structural_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'] # --- 参数验证与赋值 --- if strategy_mode.upper() not in ['TREND', 'REVERSION']: raise ValueError(f"strategy_mode must be 'TREND' or 'REVERSION', but got {strategy_mode}") self.strategy_mode = strategy_mode.upper() self.trade_volume = trade_volume self.atr_period = atr_period self.atr_lookback = atr_lookback self.atr_percentile_threshold = atr_percentile_threshold self.entry_threshold_atr = entry_threshold_atr self.initial_stop_atr_multiplier = initial_stop_atr_multiplier self.structural_stop_atr_multiplier = structural_stop_atr_multiplier self.order_direction = order_direction # 卡尔曼滤波器状态 self.Q = kalman_process_noise self.R = kalman_measurement_noise self.P = 1.0 self.x_hat = 0.0 self.kalman_initialized = False self._atr_history: deque = deque(maxlen=self.atr_lookback) self.position_meta: Dict[str, Any] = self.context.load_state() self.main_symbol = main_symbol self.order_id_counter = 0 if indicators is None: indicators = [Empty(), Empty()] self.indicators = indicators self.log(f"DualModeKalmanStrategy Initialized with Personality: [{self.strategy_mode}]") def on_init(self): super().on_init() self.cancel_all_pending_orders(self.main_symbol) self.position_meta = self.context.load_state() def on_open_bar(self, open_price: float, symbol: str): self.symbol = symbol bar_history = self.get_bar_history() if len(bar_history) < max(self.atr_period, self.atr_lookback) + 2: return self.cancel_all_pending_orders(symbol) # --- 通用数据计算 --- 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) current_atr = talib.ATR(highs, lows, closes, self.atr_period)[-1] self._atr_history.append(current_atr) if current_atr <= 0 or len(self._atr_history) < self.atr_lookback: return if not self.kalman_initialized: self.x_hat = closes[-1] self.kalman_initialized = True x_hat_minus = self.x_hat P_minus = self.P + self.Q K = P_minus / (P_minus + self.R) self.x_hat = x_hat_minus + K * (closes[-1] - x_hat_minus) self.P = (1 - K) * P_minus kalman_price = self.x_hat # --- 分模式管理持仓 --- position_volume = self.get_current_positions().get(self.symbol, 0) meta = self.position_meta.get(symbol) if position_volume != 0 and not meta: self.log(f"警告：检测到实际持仓({position_volume})与策略状态(无记录)不一致！" f"可能由状态加载失败导致。将强制平仓以同步状态。", level='WARNING') direction_to_close = "CLOSE_LONG" if position_volume > 0 else "CLOSE_SHORT" self.send_market_order(direction_to_close, abs(position_volume), 'CLOSE') return if position_volume == 0 and meta: self.log(f"信息：检测到策略状态({meta.get('direction')})与实际持仓(0)不一致，meta:{meta}。" f"可能是外部平仓导致。正在清理过时状态。", level='INFO') new_pos_meta = {k: v for k, v in self.position_meta.items() if k != symbol} self.position_meta = new_pos_meta self.save_state(new_pos_meta) if not self.trading: return if position_volume != 0: self.log(f'manage_open_position') self.manage_open_position(position_volume, bar_history[-1], current_atr, kalman_price) return # --- 状态过滤 (对两种模式都适用) --- atr_threshold = np.percentile(list(self._atr_history), self.atr_percentile_threshold) if current_atr < atr_threshold: return # --- 分模式评估新机会 --- self.log(f'evaluate_entry_signal') self.evaluate_entry_signal(bar_history[-1], kalman_price, current_atr) def manage_open_position(self, volume: int, current_bar: Bar, current_atr: float, kalman_price: float): meta = self.position_meta.get(self.symbol) if not meta: return # --- 通用逻辑：首先检查初始硬止损 --- 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:.4f}") self.close_position("CLOSE_LONG" if volume > 0 else "CLOSE_SHORT", abs(volume)) return # --- 分模式出场逻辑 --- if self.strategy_mode == 'TREND': # 【趋势模式】: 使用结构化卡尔曼止损 stop_price = 0 if volume > 0: stop_price = max(kalman_price - self.structural_stop_atr_multiplier * current_atr, initial_stop_price) self.log(f'stop_price: {stop_price:.4f}, kalman_price: {kalman_price:.4f}') if current_bar.low <= stop_price: self.log(f"TREND Mode: Structural Stop hit for LONG at {stop_price:.4f}") self.close_position("CLOSE_LONG", abs(volume)) else: # volume < 0 stop_price = min(kalman_price + self.structural_stop_atr_multiplier * current_atr, initial_stop_price) self.log(f'stop_price: {stop_price:.4f}, kalman_price: {kalman_price:.4f}') if current_bar.high >= stop_price: self.log(f"TREND Mode: Structural Stop hit for SHORT at {stop_price:.4f}") self.close_position("CLOSE_SHORT", abs(volume)) elif self.strategy_mode == 'REVERSION': # 【回归模式】: 检查是否触及均值作为止盈 if volume > 0: stop_price = max(kalman_price - self.structural_stop_atr_multiplier * current_atr, initial_stop_price) self.log(f'stop_price: {stop_price:.4f}, kalman_price: {kalman_price:.4f}') if current_bar.low <= stop_price: self.log(f"TREND Mode: Structural Stop hit for LONG at {stop_price:.4f}") self.close_position("CLOSE_LONG", abs(volume)) else: # volume < 0 stop_price = min(kalman_price + self.structural_stop_atr_multiplier * current_atr, initial_stop_price) self.log(f'stop_price: {stop_price:.4f}, kalman_price: {kalman_price:.4f}') if current_bar.high >= stop_price: self.log(f"TREND Mode: Structural Stop hit for SHORT at {stop_price:.4f}") self.close_position("CLOSE_SHORT", abs(volume)) def evaluate_entry_signal(self, current_bar: Bar, kalman_price: float, current_atr: float): deviation = current_bar.close - kalman_price deviation_in_atr = deviation / current_atr direction = None if self.strategy_mode == 'TREND': # 【趋势模式】入场逻辑 if "BUY" in self.order_direction and deviation_in_atr > self.entry_threshold_atr and self.indicators[ 0].is_condition_met(*self.get_indicator_tuple()): direction = "BUY" elif "SELL" in self.order_direction and deviation_in_atr < -self.entry_threshold_atr and self.indicators[ 1].is_condition_met(*self.get_indicator_tuple()): direction = "SELL" elif self.strategy_mode == 'REVERSION': # 【回归模式】入场逻辑 (完全相反) if "SELL" in self.order_direction and deviation_in_atr > self.entry_threshold_atr and self.indicators[ 1].is_condition_met(*self.get_indicator_tuple()): direction = "SELL" # 价格超买 -> 做空 elif "BUY" in self.order_direction and deviation_in_atr < -self.entry_threshold_atr and self.indicators[ 0].is_condition_met(*self.get_indicator_tuple()): direction = "BUY" # 价格超卖 -> 做多 if direction: self.log( f"{self.strategy_mode} Mode: Catalyst Fired. Direction: {direction}. Deviation: {deviation_in_atr:.2f} ATRs.") entry_price = current_bar.close + (1 if direction == "BUY" else -1) stop_loss_price = entry_price - self.initial_stop_atr_multiplier * current_atr if direction in ["BUY", "CLOSE_SHORT"] else entry_price + self.initial_stop_atr_multiplier * current_atr meta = {'entry_price': entry_price, 'initial_stop_price': stop_loss_price} self.send_limit_order(entry_price, direction, self.trade_volume, "OPEN", meta) self.save_state(self.position_meta) # ... (辅助函数 close_position, send_market_order, on_rollover 保持不变) ... def close_position(self, direction: str, volume: int): self.send_market_order(direction, volume, offset="CLOSE") if self.symbol in self.position_meta: self.position_meta = {} self.save_state(self.position_meta) 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 send_limit_order(self, limit_price: float, 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="LIMIT", submitted_time=self.get_current_time(), offset=offset, limit_price=limit_price) self.send_order(order) def on_rollover(self, old_symbol: str, new_symbol: str): super().on_rollover(old_symbol, new_symbol) self.position_meta = {} self.kalman_initialized = False self._atr_history.clear() self.log("Rollover detected. All strategy states have been reset.")