您是指的回测时间的范围么?还是指标的范围,我都试过了还是溢出报错。麻烦您谤满看下应该把哪个值改小
from sys import call_tracing
from numpy.core.numeric import cross
from vnpy.app.cta_strategy import (
CtaTemplate,
StopOrder,
TickData,
BarData,
TradeData,
OrderData,
BarGenerator,
ArrayManager,
)
import numpy as np
class EmaMacciStrategy523(CtaTemplate):
author = "用cci ema单线价格"
ema_slow_window = 60
cci_window = 30
fixsize = 3
slow_ema0 = 0.0
cci_0 = 0.0
cci_1 = 0.0
parameters = [ "ema_slow_window",
"cci_window",
"fixsize"
]
variables = [ "slow_ema0",
"cci_0",
"cci_1"
]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(1)
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动")
self.put_event()
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止")
self.put_event()
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
am = self.am
am.update_bar(bar)
if not am.inited:
return
cci_value = am.cci(self.cci_window,array=True)
self.cci_0 = cci_value[-1]
self.cci_1 = cci_value[-2]
slow_ema0 = am.ema(self.ema_slow_window, array=True)
self.slow_ema0 = slow_ema0[-1]
keep_over = bar.close_price > self.slow_ema0
keep_below = bar.close_price < self.slow_ema0
if keep_over :
if self.pos == 0:
if self.cci_0 >= 99 :
self.buy(bar.close_price, self.fixsize)
if self.cci_1 - self.cci_0 >= 20 or self.cci_0 <=99 :
self.sell(bar.close_price, abs(self.pos), stop=True)
elif self.pos >0:
if self.cci_0 < 99 or keep_below:
self.sell(bar.close_price, abs(self.pos), stop=True)
elif self.pos < 0:
self.cover(bar.close_price, abs(self.pos), stop=True)
if keep_below:
if self.pos == 0:
if self.cci_0 <= -99 :
self.short(bar.close_price,self.fixsize)
if self.cci_1 - self.cci_0 >= 20 or self.cci_0 >= -99 :
self.cover(bar.close_price, abs(self.pos), stop=True)
elif self.pos < 0:
if self.cci_0 > -99 or keep_over:
self.sell(bar.close_price, abs(self.pos), stop=True)
elif self.pos > 0:
self.sell(bar.close_price,abs(self.pos),stop=True)
扩展了两个持续指标 keep_over keep_below
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
pass
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass