这是一个利用2小时k线，上下穿60日均线来决定买入和卖出的策略。数据是自己导入的，经其他策略测试，没有问题。
结果却只有一笔成交，不知道错在哪里，望大神指点一下，不胜感激！
`from vnpy.app.cta_strategy import (
CtaTemplate,
BarGenerator,
ArrayManager
)
from vnpy.trader.object import(
BarData,
TickData
)
from typing import (
Any,
Callable
)
from vnpy.trader.constant import Interval
class DemoStrategy(CtaTemplate):
#定义参数
day_window = 60
hour_window = 2
fixed_size = 1
#定义变量
day_window_ma = 0
parameters = [
"day_window",
"hour_window",
"fixed_size"
]
variables = [
"day_window_ma"
]
def __init__(
self,
cta_engine: Any,
strategy_name: str,
vt_symbol: str,
setting: dict,
):
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg_day = BarGenerator(self.on_bar, 1, self.on_day_bar, interval=Interval.DAILY)
self.bg_hour = BarGenerator(self.on_bar, self.hour_window, self.on_hour_bar, interval=Interval.HOUR)
self.am = ArrayManager()
def on_init(self):
"""策略初始化"""
self.write_log("策略初始化")
self.load_bar(110)
def on_start(self):
'''策略启动'''
self.write_log("策略启动")
def on_stop(self):
"""策略停止"""
self.write_log("策略停止")
def on_tick(self, tick: TickData):
self.bg_day.update_tick(tick)
self.bg_hour.update_tick(tick)
def on_bar(self, bar:BarData):
"""K线更新"""
self.bg_day.update_bar(bar)
self.bg_hour.update_bar(bar)
def on_hour_bar(self, bar:BarData):
if not self.am.inited:
return
self.day_window_ma = self.am.close_array[-self.day_window:-1].mean()
cross_over = (bar.open_price <= self.day_window_ma) and (bar.close_price > self.day_window_ma)
cross_below = (bar.open_price >= self.day_window_ma) and (bar.close_price < self.day_window_ma)
if cross_over:
price = bar.close_price + 2
if self.pos == 0:
self.buy(price, self.fixed_size)
elif self.pos < 0:
self.cover(price, abs(self.pos))
self.buy(price, self.fixed_size)
elif cross_below:
price = bar.close_price - 2
if self.pos == 0:
self.short(price, self.fixed_size)
elif self.pos > 0:
self.sell(price, abs(self.pos))
self.short(price, self.fixed_size)
self.put_event()
def on_day_bar(self, bar:BarData):
self.am.update_bar(bar)
`
