VNPY基于SAR和肯特納的交易策略是怎樣的

VNPY基于SAR和肯特納的交易策略是怎樣的，針對這個問題，這篇文章詳細介紹了相對應(yīng)的分析和解答，希望可以幫助更多想解決這個問題的小伙伴找到更簡單易行的方法。

一個比較簡單策略，主要是為了驗證SAR出場指標的；然后和可以結(jié)合其他下單值,做的一個簡單組合。只是用來測試。

入場指標，cci，如果cci大于0，多頭，cci小于0空頭。下阻止單，金額就是Kelter上下軌。多頭買入價格是通道上軌。空頭買入價格是通道下軌。
出場指標，這里出場和入場適用不同周期的k線，因為這樣可以更靈活跑回測。SAR價格作為賣出價格，開阻止單，如果觸及SAR價格賣出。
先在class ArrayManager() 加入sar方法。當(dāng)然最好還是繼承新增。

點擊(此處)折疊或打開

1. def sar(self, acceleration = 0.02, maximum = 0.2, array =False):
   

2.         """sar"""
   

3.         real = talib.SAR(self.high,self.low, acceleration= acceleration,maximum = maximum)
   

4.         if array:
   

5.             return real
   

6.         return real[-1]

然后創(chuàng)建策略。

點擊(此處)折疊或打開

1. # encoding: UTF-8
   

2. 
   

3. from __future__ import division
   

4. 
   

5. from vnpy.trader.vtObject import VtBarData
   

6. from vnpy.trader.vtConstant import EMPTY_STRING
   

7. from vnpy.trader.app.ctaStrategy.ctaTemplate import (CtaTemplate,
   

8.                                                      BarGenerator,
   

9.                                                      ArrayManager)
   

10. 
    

11. 
    

12. ########################################################################
    

13. class SARKELStrategy(CtaTemplate):
    

14.     """基于sar and Keltner 交易策略"""
    

15.     className = 'SARKELStrategy'
    

16.     author = u'BillyZhang'
    

17. 
    

18.     # 策略參數(shù)
    

19.     sarAcceleration = 0.02 #加速線
    

20.     sarMaximum = 0.2    #
    

21.     cciWindow = 20  # CCI窗口數(shù)
    

22.     keltnerWindow = 25  # keltner窗口數(shù)
    

23.     keltnerlMultiplier = 6.0  # 乘數(shù)
    

24.     initDays = 10  # 初始化數(shù)據(jù)所用的天數(shù)
    

25.     fixedSize = 1  # 每次交易的數(shù)量
    

26.     barMins = 15
    

27.     barMinsClose = 10
    

28.     # 策略變量
    

29.     sarValue = 0  # sar指標數(shù)值
    

30.     cciValue = 0  # CCI指標數(shù)值
    

31.     keltnerup = 0
    

32.     keltnerdown = 0
    

33.     longStop = 0  # 多頭止損
    

34.     shortStop = 0  # 空頭止損
    

35. 
    

36.     # 參數(shù)列表，保存了參數(shù)的名稱
    

37.     paramList = ['name',
    

38.                  'className',
    

39.                  'author',
    

40.                  'vtSymbol',
    

41.                  'sarAcceleration',
    

42.                  'sarMaximum',
    

43.                  'cciWindow',
    

44.                  'keltnerWindow',
    

45.                  'keltnerlMultiplier',
    

46.                  'initDays',
    

47.                  'fixedSize',
    

48.                  'barMinsClose',
    

49.                  'barMins']
    

50. 
    

51.     # 變量列表，保存了變量的名稱
    

52.     varList = ['inited',
    

53.                'trading',
    

54.                'pos',
    

55.                'sarValue',
    

56.                'cciValue',
    

57.                'atrValue',
    

58.                'intraBarHigh',
    

59.                'intraBarLow',
    

60.                'longStop',
    

61.                'shortStop']
    

62. 
    

63.     # 同步列表，保存了需要保存到數(shù)據(jù)庫的變量名稱
    

64.     syncList = ['pos',
    

65.                 'intraTradeHigh',
    

66.                 'intraTradeLow']
    

67. 
    

68.     # ----------------------------------------------------------------------
    

69.     def __init__(self, ctaEngine, setting):
    

70.         """Constructor"""
    

71.         super(SARKELStrategy, self).__init__(ctaEngine, setting)
    

72. 
    

73.         self.bg = BarGenerator(self.onBar, self.barMins, self.onXminBar) # 創(chuàng)建K線合成器對象
    

74.         self.am = ArrayManager()
    

75. 
    

76.         self.bgclose = BarGenerator(self.onBar, self.barMinsClose, self.onminBarClose)
    

77.         self.amClose = ArrayManager()
    

78. 
    

79.     # ----------------------------------------------------------------------
    

80.     def onminBarClose(self, bar):
    

81.         """分鐘作為清倉周期"""
    

82.         # 如果沒有倉位,那么不用care,直接skip
    

83. 
    

84.         # 保存K線數(shù)據(jù)
    

85.         amClose = self.amClose
    

86. 
    

87.         amClose.updateBar(bar)
    

88. 
    

89.         if not amClose.inited:
    

90.             return
    

91. 
    

92.         # 計算指標數(shù)值
    

93.         self.sarValue = amClose.sar(self.sarAcceleration,self.sarMaximum)
    

94. 
    

95.         # 判斷是否要進行交易
    

96.         if self.pos == 0:
    

97.             return
    

98. 
    

99.         # 當(dāng)前無倉位，發(fā)送開倉委托
    

100.         # 持有多頭倉位
     

101.         elif self.pos > 0:
     

102.             self.cancelAll()
     

103.             self.sell(self.sarValue, abs(self.pos), True)
     

104. 
     

105.         # 持有空頭倉位
     

106.         elif self.pos < 0:
     

107.             self.cancelAll()
     

108.             self.cover(self.sarValue, abs(self.pos), True)
     

109. 
     

110.         # 同步數(shù)據(jù)到數(shù)據(jù)庫
     

111.         self.saveSyncData()
     

112. 
     

113.         # 發(fā)出狀態(tài)更新事件
     

114.         self.putEvent()
     

115. 
     

116. 
     

117.         # ----------------------------------------------------------------------
     

118. 
     

119.     def onInit(self):
     

120.         """初始化策略（必須由用戶繼承實現(xiàn)）"""
     

121.         self.writeCtaLog(u'%s策略初始化' % self.name)
     

122. 
     

123.         # 載入歷史數(shù)據(jù)，并采用回放計算的方式初始化策略數(shù)值
     

124.         initData = self.loadBar(self.initDays)
     

125.         for bar in initData:
     

126.             self.onBar(bar)
     

127. 
     

128.         self.putEvent()
     

129. 
     

130.     # ----------------------------------------------------------------------
     

131.     def onStart(self):
     

132.         """啟動策略（必須由用戶繼承實現(xiàn)）"""
     

133.         self.writeCtaLog(u'%s策略啟動' % self.name)
     

134.         self.putEvent()
     

135. 
     

136.     # ----------------------------------------------------------------------
     

137.     def onStop(self):
     

138.         """停止策略（必須由用戶繼承實現(xiàn)）"""
     

139.         self.writeCtaLog(u'%s策略停止' % self.name)
     

140.         self.putEvent()
     

141. 
     

142.     # ----------------------------------------------------------------------
     

143.     def onTick(self, tick):
     

144.         """收到行情TICK推送（必須由用戶繼承實現(xiàn)）"""
     

145.         self.bg.updateTick(tick)
     

146. 
     

147.     # ----------------------------------------------------------------------
     

148.     def onBar(self, bar):
     

149.         """收到Bar推送（必須由用戶繼承實現(xiàn)）"""
     

150.         self.bg.updateBar(bar)
     

151.         self.bgclose.updateBar(bar)
     

152. 
     

153.     # ----------------------------------------------------------------------
     

154.     def onXminBar(self, bar):
     

155.         """收到X分鐘K線"""
     

156.         # 全撤之前發(fā)出的委托
     

157.         self.cancelAll()
     

158. 
     

159.         # 保存K線數(shù)據(jù)
     

160.         am = self.am
     

161. 
     

162.         am.updateBar(bar)
     

163. 
     

164.         if not am.inited:
     

165.             return
     

166. 
     

167.         # 計算指標數(shù)值
     

168.         self.cciValue = am.cci(self.cciWindow)
     

169.         self.keltnerup, self.keltnerdown = am.keltner(self.keltnerWindow,self.keltnerlMultiplier)
     

170. 
     

171.         # 判斷是否要進行交易
     

172. 
     

173.         # 當(dāng)前無倉位，發(fā)送開倉委托
     

174.         if self.pos == 0:
     

175. 
     

176.             if self.cciValue > 0:
     

177.                 # ru
     

178.                 self.buy(self.keltnerup,self.fixedSize, True)
     

179. 
     

180.             elif self.cciValue < 0:
     

181.                 self.short(self.keltnerdown, self.fixedSize, True)
     

182. 
     

183.         # 同步數(shù)據(jù)到數(shù)據(jù)庫
     

184.         self.saveSyncData()
     

185. 
     

186.         # 發(fā)出狀態(tài)更新事件
     

187.         self.putEvent()
     

188. 
     

189.     # ----------------------------------------------------------------------
     

190.     def onOrder(self, order):
     

191.         """收到委托變化推送（必須由用戶繼承實現(xiàn)）"""
     

192.         pass
     

193. 
     

194.     # ----------------------------------------------------------------------
     

195.     def onTrade(self, trade):
     

196.         # 發(fā)出狀態(tài)更新事件
     

197.         self.putEvent()
     

198. 
     

199.     # ----------------------------------------------------------------------
     

200.     def onStopOrder(self, so):
     

201.         """停止單推送"""
     

202.         pass

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