策略逻辑：
做期货日内，20min为周期，每天14：55的时候把仓位还原，控制每天的交易次数不超过固定数值
如果现在的价格比过去20min的最高价高就买入，比20min最低价低就卖空
利用atr进行移动止损
代码如下，麻烦大神看看哪里错了：
from datetime import datetime
from mimetypes import inited
from numpy import True_
from pymongo import MIN_SUPPORTED_WIRE_VERSION
from vnpy.trader.constant import Interval
from vnpy.trader.object import BarData, OrderData, TickData, TradeData
from vnpy.trader.utility import ArrayManager, BarGenerator
from vnpy_ctastrategy.base import StopOrder
from vnpy_ctastrategy.template import CtaTemplate
class BreakThrough(CtaTemplate):
#参数
signal_window = 20
atr_multiple:int = 2 #atr倍数
atr_window:int = 20 #用多少跟算atr
fixed_pro_tar:int = 10 #止盈，最后除以1000，10%
fixed_stop:int = 15 #止损，每天15%
count_control:int = 6 #每天交易次数
fixed_size = 10
#变量
atr_value:float = 0.0
up_line:float = 0.0
mid_line:float = 0.0
down_line:float = 0.0
pro_tar:float = 0.0 #止盈线
net_stop:float = 0.0 #止损线——平仓线
count_control_num:int = 0
intra_trade_high = 0
intra_trade_low = 0
#参数和变量展示存放区
parameters = [
"atr_multiple",
"atr_window",
"fixed_pro_tar",
"fixed_stop",
"count_control"
]
variables = [
"atr_value",
"up_line",
"mid_line",
"down_line",
"pro_tar",
"net_stop",
"count_control_num",
"intra_trade_high",
"intra_trade_low"
]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting) -> None:
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar, 20, self.on_20min_bar, interval=Interval.MINUTE) #合成器
self.am = ArrayManager() #K线池
self.count_control_num = 0
self.last_bar:BarData = None #刚开始没有K线
def on_init(self) -> None:
self.write_log("策略初始化")
self.load_bar(days=10) #下载K线
def on_start(self) -> None:
self.write_log("策略启动")
self.put_event()
def on_stop(self) -> None:
self.write_log("策略停止")
self.put_event()
def on_tick(self, tick: TickData):
self.bg.update_tick(tick)
def on_bar(self, bar: BarData): #合成K线
self.bg.update_bar(bar)
def on_20min_bar(self, bar: BarData) -> None: #合成K线
self.cancel_all()
self.am.update_bar(bar)
if self.am.inited:
return
self.atr_value = self.am.atr(self.atr_window)
if self.last_bar and str(self.last_bar.datetime)[-14:-6] == "14:55:00":
self.count_control_num = 0 #交易次数归0
if self.pos > 0:
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 self.pos == 0 and self.count_control_num < self.count_control:
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
self.up_line = max(self.am.high[-20:]) # 20min最高价
self.down_line = min(self.am.low[-20:]) # 20min最低价
print('\n')
print(bar.high_price, bar.low_price, self.up_line, self.down_line)
if bar.high_price > self.up_line:
print("多头信号成立")
# if bar.open_price > self.up_line:
# print("买一手")
# self.buy(bar.open_price, self.fixed_size)
# else:
# print("买一手")
# self.buy(self.up_line, self.fixed_size)
self.buy(self.up_line, self.fixed_size, stop=True)
elif bar.low_price < self.down_line:
print("空头信号成立")
# if bar.open_price < self.down_line:
# print("卖一手")
# self.short(bar.open_price, self.fixed_size)
# else:
# print("卖一手")
# self.short(self.down_line, self.fixed_size)
self.short(self.down_line, self.fixed_size, stop=True)
elif self.pos > 0: # 止损单
self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
self.long_stop = self.intra_trade_high - self.atr_value*self.atr_multiple
self.sell(self.long_stop, abs(self.pos), stop=True)
elif self.pos < 0: # 止损单
self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
self.short_stop = self.intra_trade_low + self.atr_value*self.atr_multiple
self.cover(self.short_stop, abs(self.pos), True)
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.
"""
if self.pos > 0: #持仓大于0，说明有多单
self.count_control_num += 1 #当有成交后，成交次数加一
elif self.pos < 0: #持空单
self.count_control_num += 1
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
