255 lines
11 KiB
Python
255 lines
11 KiB
Python
import numpy as np
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import talib
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from typing import Optional, Any, List
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from src.core_data import Bar, Order
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from src.indicators.base_indicators import Indicator
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from src.indicators.indicators import Empty
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from src.strategies.base_strategy import Strategy
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class AreaReversalStrategy(Strategy):
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"""
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面积反转策略（开仓逻辑不变，出场替换为 ATR 动态跟踪止损）
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"""
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def __init__(
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self,
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context: Any,
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main_symbol: str,
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enable_log: bool,
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trade_volume: int,
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ma_period: int = 14,
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area_window: int = 14,
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strength_window: int = 50,
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breakout_window: int = 20,
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quantile_threshold: float = 0.4,
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top_k: int = 3,
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# --- 原有跟踪止损（保留为后备）---
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trailing_points: float = 100.0,
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trailing_percent: float = None,
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# --- 新增 ATR 动态止损参数 ---
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atr_period: int = 14,
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initial_atr_mult: float = 3.0, # 初始止损 = 1.0 * ATR
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max_atr_mult: float = 9.0, # 最大止损 = 3.0 * ATR
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scale_threshold_mult: float = 1.0, # 盈利达 initial_atr_mult * ATR 时开始扩大
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use_atr_trailing: bool = True, # 是否启用 ATR 止损
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# --- 其他 ---
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order_direction: Optional[List[str]] = None,
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indicators: Optional[List[Indicator]] = None,
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):
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super().__init__(context, main_symbol, enable_log)
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if order_direction is None:
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order_direction = ["BUY", "SELL"]
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if indicators is None:
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indicators = [Empty(), Empty()]
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self.trade_volume = trade_volume
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self.ma_period = ma_period
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self.area_window = area_window
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self.strength_window = strength_window
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self.breakout_window = breakout_window
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self.quantile_threshold = quantile_threshold
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self.top_k = top_k
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self.trailing_points = trailing_points
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self.trailing_percent = trailing_percent
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self.atr_period = atr_period
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self.initial_atr_mult = initial_atr_mult
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self.max_atr_mult = max_atr_mult
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self.scale_threshold_mult = scale_threshold_mult
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self.use_atr_trailing = use_atr_trailing
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self.order_direction = order_direction
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self.indicators = indicators
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# 状态（新增 entry_atr）
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self.entry_price = None
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self.highest_high = None
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self.lowest_low = None
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self.entry_atr = None # 入场时的 ATR 值
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self.order_id_counter = 0
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self.min_bars_needed = max(
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ma_period,
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area_window * 3,
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strength_window,
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breakout_window,
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atr_period
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) + 10
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self.log("AreaReversalStrategy with ATR Trailing Stop Initialized")
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def _calculate_areas(self, closes: np.array, ma: np.array) -> np.array:
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diffs = np.abs(closes - ma)
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areas = talib.SUM(diffs, self.area_window)
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return areas
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def on_open_bar(self, open_price: float, symbol: str):
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self.symbol = symbol
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bar_history = self.get_bar_history()
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if len(bar_history) < self.min_bars_needed or not self.trading:
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return
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position = self.get_current_positions().get(self.symbol, 0)
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current_bar = bar_history[-1]
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# === 提取价格序列（新增 highs, lows 用于 ATR）===
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closes = np.array([b.close for b in bar_history], dtype=float)
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highs = np.array([b.high for b in bar_history], dtype=float)
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lows = np.array([b.low for b in bar_history], dtype=float)
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# === 计算指标 ===
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ma = talib.SMA(closes, self.ma_period)
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areas = self._calculate_areas(closes, ma)
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# 新增：计算 ATR
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if self.use_atr_trailing:
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atr = talib.ATR(highs, lows, closes, self.atr_period)
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current_atr = atr[-1]
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else:
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current_atr = None
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A1 = areas[-1]
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A2 = areas[-2] if len(areas) >= 2 else 0
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historical_areas = areas[-(self.strength_window + 1):-1]
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if len(historical_areas) < self.strength_window:
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return
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# === 面积信号条件（完全不变）===
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area_contracting = (A1 < A2) and (A2 > 0)
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threshold = np.nanpercentile(historical_areas, self.quantile_threshold * 100)
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strength_satisfied = (A2 >= threshold)
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top_k_values = np.partition(historical_areas, -self.top_k)[-self.top_k:]
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local_peak = (A2 >= np.min(top_k_values))
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area_signal = area_contracting and strength_satisfied and local_peak
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# === 突破判断（完全不变）===
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recent_bars = bar_history[-self.breakout_window:]
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highest = max(b.high for b in recent_bars)
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lowest = min(b.low for b in recent_bars)
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# =============== 开仓逻辑（完全不变）==============
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if position == 0 and area_signal:
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if "BUY" in self.order_direction and current_bar.high >= highest:
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self.send_market_order("BUY", self.trade_volume, "OPEN")
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self.entry_price = current_bar.close
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self.highest_high = current_bar.high
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self.lowest_low = None
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if self.use_atr_trailing and current_atr is not None:
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self.entry_atr = current_atr # 记录入场 ATR
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self.log(f"🚀 Long Entry | A2={A2:.4f}")
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elif "SELL" in self.order_direction and current_bar.low <= lowest:
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self.send_market_order("SELL", self.trade_volume, "OPEN")
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self.entry_price = current_bar.close
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self.lowest_low = current_bar.low
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self.highest_high = None
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if self.use_atr_trailing and current_atr is not None:
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self.entry_atr = current_atr
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self.log(f"⬇️ Short Entry | A2={A2:.4f}")
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# =============== 出场逻辑：ATR 动态跟踪止损 ===============
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elif position != 0 and self.entry_price is not None:
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if self.use_atr_trailing and self.entry_atr is not None:
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# --- ATR 动态止损 ---
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if position > 0:
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if self.highest_high is None or current_bar.high > self.highest_high:
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self.highest_high = current_bar.high
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unrealized_pnl = current_bar.close - self.entry_price
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scale_threshold_pnl = self.scale_threshold_mult * self.initial_atr_mult * self.entry_atr
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if unrealized_pnl <= 0:
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trail_mult = self.initial_atr_mult
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elif unrealized_pnl >= scale_threshold_pnl:
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trail_mult = self.max_atr_mult
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else:
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ratio = unrealized_pnl / scale_threshold_pnl
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trail_mult = self.initial_atr_mult + ratio * (self.max_atr_mult - self.initial_atr_mult)
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stop_loss_price = self.highest_high - trail_mult * self.entry_atr
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if current_bar.low <= stop_loss_price:
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self.close_position("CLOSE_LONG", position)
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self._reset_state()
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self.log(f"CloseOperation (ATR Trailing) | Mult={trail_mult:.2f}")
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else: # short
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if self.lowest_low is None or current_bar.low < self.lowest_low:
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self.lowest_low = current_bar.low
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unrealized_pnl = self.entry_price - current_bar.close
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scale_threshold_pnl = self.scale_threshold_mult * self.initial_atr_mult * self.entry_atr
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if unrealized_pnl <= 0:
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trail_mult = self.initial_atr_mult
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elif unrealized_pnl >= scale_threshold_pnl:
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trail_mult = self.max_atr_mult
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else:
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ratio = unrealized_pnl / scale_threshold_pnl
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trail_mult = self.initial_atr_mult + ratio * (self.max_atr_mult - self.initial_atr_mult)
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stop_loss_price = self.lowest_low + trail_mult * self.entry_atr
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if current_bar.high >= stop_loss_price:
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self.close_position("CLOSE_SHORT", -position)
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self._reset_state()
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self.log(f"CloseOperation (ATR Trailing) | Mult={trail_mult:.2f}")
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else:
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# --- 保留原有跟踪止损（后备）---
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if position > 0:
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if self.highest_high is None or current_bar.high > self.highest_high:
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self.highest_high = current_bar.high
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if self.trailing_percent is not None:
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offset = self.highest_high * self.trailing_percent
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else:
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offset = self.trailing_points
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stop_loss_price = self.highest_high - offset
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if current_bar.low <= stop_loss_price:
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self.close_position("CLOSE_LONG", position)
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self._reset_state()
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else:
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if self.lowest_low is None or current_bar.low < self.lowest_low:
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self.lowest_low = current_bar.low
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if self.trailing_percent is not None:
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offset = self.lowest_low * self.trailing_percent
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else:
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offset = self.trailing_points
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stop_loss_price = self.lowest_low + offset
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if current_bar.high >= stop_loss_price:
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self.close_position("CLOSE_SHORT", -position)
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self._reset_state()
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def _reset_state(self):
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self.entry_price = None
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self.highest_high = None
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self.lowest_low = None
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self.entry_atr = None
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# --- 模板方法（不变）---
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def on_init(self):
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super().on_init()
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self.cancel_all_pending_orders(self.main_symbol)
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self._reset_state()
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def close_position(self, direction: str, volume: int):
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self.send_market_order(direction, volume, offset="CLOSE")
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def send_market_order(self, direction: str, volume: int, offset: str):
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order_id = f"{self.symbol}_{direction}_MARKET_{self.order_id_counter}"
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self.order_id_counter += 1
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order = Order(
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id=order_id,
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symbol=self.symbol,
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direction=direction,
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volume=volume,
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price_type="MARKET",
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submitted_time=self.get_current_time(),
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offset=offset,
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)
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self.send_order(order)
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def on_rollover(self, old_symbol: str, new_symbol: str):
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super().on_rollover(old_symbol, new_symbol)
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self._reset_state()
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self.log("Rollover: Reset trailing stop state.") |