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@Channelchan 2018-11-28T09:50:16.000000Z 字数 11191 阅读 64517

止盈止损-TrailingStopLoss

1、 最高价吊灯(highPrice)
2、波幅吊灯(atrMultiple)
3、 价格百分比跟踪(stairPct)
4、 指标追踪(Indicator)

1. 最高价吊灯(highPrice)

适用于日内交易：
1、 设置追踪止损的百分比
2、 创建记录最高最低价的字典并把初始值设置成0与一个极大数值
3、 记录不断创新高或新低的价格
4、当现价超过最(高/低)价加减追踪止损的百分比的比例即出场

  1. # 设置参数
  2. trailingPct = 0.02 #百分之二
  4. # 设置变量
  5. self.intraTradeHighDict = {s: 0 for s in self.symbolList}
  6. self.intraTradeLowDict = {s: 999999 for s in self.symbolList}
  8. # 变量初始化
  9. if self.posDict[symbol + "_LONG"] == 0 and self.posDict[symbol + "_SHORT"] == 0:
  10.     self.intraTradeHighDict[symbol] = 0
  11.     self.intraTradeLowDict[symbol] = 999999
  13. # 持有多头仓位
  14. elif self.posDict[symbol + "_LONG"] > 0:
  15.     self.intraTradeHighDict[symbol] = max(self.intraTradeHighDict[symbol], bar.high)
  16.     longStop = self.intraTradeHighDict[symbol] * (1-self.trailingPct)
  17.     if bar.low <= longStop:
  18.         self.sell(symbol, bar.close * 0.985, self.posDict[symbol + "_LONG"])
  20. # 持有空头仓位
  21. elif self.posDict[symbol + "_SHORT"] > 0:
  22.     self.intraTradeLowDict[symbol] = min(self.intraTradeLowDict[symbol], bar.low)
  23.     shortStop = self.intraTradeLowDict[symbol] * (1 + self.trailingPct)
  24.     if bar.high >= shortStop:
  25.         self.cover(symbol, bar.close * 1.015, self.posDict[symbol + "_SHORT"])

2. 波幅吊灯(atrMultiple)

适用于日内交易：
1. 设置ATR的倍数，并计算ATR的值。
2. 创建记录最高最低价的字典并把初始值设置成0与一个极大数值
3. 记录不断创新高或新低的价格
4. 当现价超过最(高/低)价加减ATR的倍数即出场，记录止损价，只能提升浮盈。

  1. # 设置参数
  2. atrMultipler = 3 #3倍的ATR
  4. # 设置变量
  5. self.intraTradeHighDict = {s: 0 for s in self.symbolList}
  6. self.intraTradeLowDict = {s: 999999 for s in self.symbolList}
  8. # 计算ATR的值
  9. atr = ta.ATR(am.close, 10)
  11. # 变量初始化
  12. if self.posDict[symbol + "_LONG"] == 0 and self.posDict[symbol + "_SHORT"] == 0:
  13.     self.intraTradeHighDict[symbol] = 0
  14.     self.intraTradeLowDict[symbol] = 999999
  15.     self.longStop[symbol] = 0
  16.     self.shortStop[symbol] = 999999
  18. # 持有多头仓位
  19. elif self.posDict[symbol + "_LONG"] > 0:
  20.     self.intraTradeHighDict[symbol] = max(self.intraTradeHighDict[symbol], bar.high)
  21.     self.longStop[symbol] = max(self.longStop[symbol], self.intraTradeHighDict[symbol]-self.atrMultipler*self.atr)
  22.     if bar.low <= self.longStop[symbol]:
  23.         self.sell(symbol, bar.close * 0.985, self.posDict[symbol + "_LONG"])
  25. # 持有空头仓位
  26. elif self.posDict[symbol + "_SHORT"] > 0:
  27.     self.intraTradeLowDict[symbol] = min(self.intraTradeLowDict[symbol], bar.low)
  28.     self.shortStop[symbol] = min(self.shortStop[symbol], self.intraTradeLowDict[symbol]+self.atrMultipler*self.atr)
  29.     if bar.high >= self.shortStop[symbol]:
  30.         self.cover(symbol, bar.close * 1.015, self.posDict[symbol + "_SHORT"])

3. 价格百分比跟踪(stairPct)

适用于隔夜交易：
1. 设置追踪止损的百分比
2. 创建记录最高最低价的字典并把初始值设置成0与一个极大数值
3. 记录不断创新高或新低的价格
4. 当最(高/低)价加减追踪止损百分比超过一定比例，止损才会移动
5. 当现价超过止损即出场

  1. # 设置参数
  2. trailingPct = 0.02 #百分之二
  4. # 设置变量
  5. self.intraTradeHighDict = {s: 0 for s in self.symbolList}
  6. self.intraTradeLowDict = {s: 999999 for s in self.symbolList}
  8. # 变量初始化
  9. if self.posDict[symbol + "_LONG"] == 0 and self.posDict[symbol + "_SHORT"] == 0:
  10.     self.intraTradeHighDict[symbol] = 0
  11.     self.intraTradeLowDict[symbol] = 999999
  12.     self.nChange = 0
  14. # 持有多头仓位
  15. elif self.posDict[symbol + "_LONG"] > 0:
  16.     self.intraTradeHighDict[symbol] = max(self.intraTradeHighDict[symbol], bar.high)
  17.     self.nChange = (self.intraTradeHighDict[symbol]/transactionPrice[symbol]-1)//self.trailingPct
  18.     changePrice = transactionPrice[symbol]*self.nChange*self.trailingPct
  19.     self.longStop[symbol] = max(self.longStop[symbol], transactionPrice[symbol]*(1-self.trailingPct)+changePrice)
  20.     if bar.low <= self.longStop[symbol]:
  21.         self.sell(symbol, bar.close * 0.985, self.posDict[symbol + "_LONG"])
  23. # 持有空头仓位
  24. elif self.posDict[symbol + "_SHORT"] > 0:
  25.     self.intraTradeLowDict[symbol] = min(self.intraTradeLowDict[symbol], bar.low)
  26.     self.nChange[symbol] = -1* (self.intraTradeLowDict[symbol]/self.transactionPrice[symbol]-1)//self.trailingPct
  27.     changePrice = self.transactionPrice[symbol]*self.nChange[symbol]*self.trailingPct
  28.     self.shortStop[symbol] = min(self.shortStop[symbol], self.transactionPrice[symbol]*(1+self.trailingPct)-changePrice)
  29.     if bar.high >= self.shortStop[symbol]:
  30.         self.cover(symbol, bar.close * 1.015, self.posDict[symbol + "_SHORT"])
  31.         self.stopLossControl[symbol] = -1

4. 指标追踪止损(Indicator)

适合信号出场：
1. 设定指标参数
2. 多空出场信号

  1. # 设置参数
  2. kamaPeriod = 20
  4. # 计算指标
  5. kama = ta.KAMA(am.close, self.kamaPeriod)
  7. # 持有多头仓位
  8. if self.posDict[symbol + "_LONG"] > 0:
  9.     if bar.close<=kama[-1]:
  10.         self.sell(symbol, bar.close * 0.985, self.posDict[symbol + "_LONG"])
  11. # 持有空头仓位
  12. if self.posDict[symbol + "_SHORT"] > 0:
  13.     if bar.close>=kama[-1]:
  14.         self.cover(symbol, bar.close * 1.015, self.posDict[symbol + "_SHORT"])
  1. # 设置参数
  2. sarPeriod = 20
  4. # 计算指标
  5. sar = ta.SAR(am.close, self.kamaPeriod)
  7. # 持有多头仓位
  8. if self.posDict[symbol + "_LONG"] > 0:
  9.     if bar.close<=sar[-1] and bar.close>=sar[-2]:
  10.         self.sell(symbol, bar.close * 0.985, self.posDict[symbol + "_LONG"])
  12. # 持有空头仓位
  13. if self.posDict[symbol + "_SHORT"] > 0:
  14.     if bar.close<=sar[-1] and bar.close>=sar[-2]:
  15.         self.cover(symbol, bar.close * 1.015, self.posDict[symbol + "_SHORT"])

Example: stairPctCase

  1. 设置参数
  2. 添加stairPct模块到onBar
  1. from vnpy.trader.vtConstant import *
  2. from vnpy.trader.app.ctaStrategy import CtaTemplate
  3. import talib as ta
  5. ########################################################################
  6. # 策略继承CtaTemplate
  7. class MultiFrameMaStrategy(CtaTemplate):
  8.     className = 'MultiFrameMaStrategy'
  9.     author = 'ChannelCMT'
  11.     # 策略参数
  12.     fastPeriod = 20; slowPeriod = 40
  13.     signalMaPeriod = 20
  14.     trailingPct = 0.04 #百分之二
  15.     lot = 1
  17.     # 策略变量
  18.     maTrend = {} # 记录趋势状态，多头1，空头-1
  19.     transactionPrice = {} # 记录成交价格
  21.     # 参数列表，保存了参数的名称
  22.     paramList = [
  23.                  'fastPeriod',
  24.                  'slowPeriod',
  25.                  'signalMaPeriod',
  26.                  'stopRatio'
  27.                 ]    
  29.     # 变量列表，保存了变量的名称
  30.     varList = [
  31.                'maTrend',
  32.                'transactionPrice'
  33.               ]  
  35.     # 同步列表，保存了需要保存到数据库的变量名称
  36.     syncList = ['posDict', 'eveningDict']
  38.     #----------------------------------------------------------------------
  39.     def __init__(self, ctaEngine, setting):
  40.         super().__init__(ctaEngine, setting)
  42.     #----------------------------------------------------------------------
  43.     def onInit(self):
  44.         """初始化策略"""
  45.         self.writeCtaLog(u'策略初始化')
  46.         self.transactionPrice = {s:0 for s in self.symbolList} # 生成成交价格的字典
  47.         self.maTrend = {s:0 for s in self.symbolList}
  48.         self.intraTradeHighDict = {s: 0 for s in self.symbolList}
  49.         self.intraTradeLowDict = {s: 999999 for s in self.symbolList}
  50.         self.putEvent()
  52.     #----------------------------------------------------------------------
  53.     def onStart(self):
  54.         """启动策略"""
  55.         self.writeCtaLog(u'策略启动')
  56.         self.putEvent()
  58.     #----------------------------------------------------------------------
  59.     def onStop(self):
  60.         """停止策略"""
  61.         self.writeCtaLog(u'策略停止')
  62.         self.putEvent()
  64.     #----------------------------------------------------------------------
  65.     def onTick(self, tick):
  66.         """收到行情TICK推送"""
  67.         pass
  69.     #----------------------------------------------------------------------
  70.     def onBar(self, bar):
  71.         """收到Bar推送"""
  72.         self.onBarStopLoss(bar)
  74.     def onBarStopLoss(self, bar):
  75.         symbol = bar.vtSymbol
  77.         # 变量初始化
  78.         if self.posDict[symbol + "_LONG"] == 0 and self.posDict[symbol + "_SHORT"] == 0:
  79.             self.intraTradeHighDict[symbol] = 0
  80.             self.intraTradeLowDict[symbol] = 999999
  82.         # 持有多头仓位
  83.         elif self.posDict[symbol + "_LONG"] > 0:
  84.             self.intraTradeHighDict[symbol] = max(self.intraTradeHighDict[symbol], bar.high)
  85.             longStop = self.intraTradeHighDict[symbol] * (1-self.trailingPct)
  86.             if bar.low <= longStop:
  87. #                 print('longStop')
  88.                 self.cancelAll()
  89.                 self.sell(symbol, bar.close * 0.99, self.posDict[symbol + "_LONG"])
  91.         # 持有空头仓位
  92.         elif self.posDict[symbol + "_SHORT"] > 0:
  93.             self.intraTradeLowDict[symbol] = min(self.intraTradeLowDict[symbol], bar.low)
  94.             shortStop = self.intraTradeLowDict[symbol] * (1 + self.trailingPct)
  95.             if bar.high >= shortStop:
  96. #                 print('shortStop')
  97.                 self.cancelAll()
  98.                 self.cover(symbol, bar.close * 1.01, self.posDict[symbol + "_SHORT"])
  99.     #----------------------------------------------------------------------
  100.     def on60MinBar(self, bar):
  101.         """收到60MinBar推送"""
  102.         symbol = bar.vtSymbol
  104.         am60 = self.getArrayManager(symbol, "60m")
  106.         if not am60.inited:
  107.             return
  109.         # 计算均线并判断趋势
  110.         fastMa = ta.MA(am60.close, self.fastPeriod)
  111.         slowMa = ta.MA(am60.close, self.slowPeriod)
  113.         if fastMa[-1] > slowMa[-1]:
  114.             self.maTrend[symbol] = 1
  115.         else:
  116.             self.maTrend[symbol] = -1
  118.     #----------------------------------------------------------------------
  119.     def on15MinBar(self, bar):
  120.         """收到15MinBar推送"""
  121.         symbol = bar.vtSymbol
  123.         am15 = self.getArrayManager(symbol, "15m")
  125.         if not am15.inited:
  126.             return
  128.         signalMa = ta.EMA(am15.close, self.signalMaPeriod)
  130.         maUp = signalMa[-1]>signalMa[-3] # 均线上涨
  131.         maDn = signalMa[-1]<signalMa[-3] # 均线下跌
  133.         # 均线上涨， 趋势为多头， 多头没有持仓
  134.         if maUp and (self.maTrend[symbol]==1) and (self.posDict[symbol+'_LONG']==0):
  135.             if  (self.posDict[symbol+'_SHORT']==0):
  136.                 self.buy(symbol, bar.close*1.01, self.lot)  # 成交价*1.01发送高价位的限价单，以最优市价买入进场
  137.             elif (self.posDict[symbol+'_SHORT'] > 0):
  138.                 self.cancelAll() # 撤销挂单
  139.                 self.cover(symbol, bar.close*1.01, self.posDict[symbol+'_SHORT']) 
  140.                 self.buy(symbol, bar.close*1.01, self.lot)
  142.         # 均线下跌， 趋势为空头， 空头没有持仓
  143.         if maDn and (self.maTrend[symbol]==-1) and (self.posDict[symbol+'_SHORT']==0):
  144.             if (self.posDict[symbol+'_LONG']==0):
  145.                 self.short(symbol, bar.close*0.99, self.lot) # 成交价*0.99发送低价位的限价单，以最优市价卖出进场
  146.             elif (self.posDict[symbol+'_LONG'] > 0):
  147.                 self.cancelAll() # 撤销挂单
  148.                 self.sell(symbol, bar.close*0.99, self.posDict[symbol+'_LONG'])
  149.                 self.short(symbol, bar.close*0.99, self.lot)
  150.         self.putEvent()
  152.     #----------------------------------------------------------------------
  153.     def onOrder(self, order):
  154.         """收到委托变化推送（必须由用户继承实现）"""
  155.         # 对于无需做细粒度委托控制的策略，可以忽略onOrder
  156.         pass
  158.     #----------------------------------------------------------------------
  159.     def onTrade(self, trade):
  160.         """收到成交推送（必须由用户继承实现）"""
  161.         symbol = trade.vtSymbol
  162.         if trade.offset == OFFSET_OPEN:  # 判断成交订单类型
  163.             self.transactionPrice[symbol] = trade.price # 记录成交价格
  164. #         print(trade.tradeTime, self.posDict)
  165.     #----------------------------------------------------------------------
  166.     def onStopOrder(self, so):
  167.         """停止单推送"""
  168.         pass# 策略变量
  1. from vnpy.trader.app.ctaStrategy import BacktestingEngine
  2. import pandas as pd
  4. def runBacktesting(strategyClass, settingDict,
  5.                    startDate, endDate, slippage, rate):
  6.     engine = BacktestingEngine()
  7.     engine.setBacktestingMode(engine.BAR_MODE)  # 设置引擎的回测模式为K线
  8.     engine.setDatabase('VnTrader_1Min_Db')    # 设置使用的历史数据库
  9.     engine.setStartDate(startDate, initHours=200)   # 设置回测用的数据起始日期
  10.     engine.setEndDate(endDate)     # 设置回测用的数据结束日期
  11.     engine.setSlippage(slippage)    # 设置滑点
  12.     engine.setRate(rate)             # 设置手续费万0.3
  13.     engine.initStrategy(strategyClass, settingDict)
  14.     engine.setCapital(100000)     # 设置回测本金
  15.     engine.runBacktesting()
  16.     #显示逐日回测结果
  17.     engine.showDailyResult()
  18.     #显示逐笔回测结果
  19.     engine.showBacktestingResult()
  20.     # 计算回测结果
  21.     perfromance = engine.calculateDailyResult()
  22.     perfromanceDf , result = engine.calculateDailyStatistics(perfromance)
  23.     tradeReport = pd.DataFrame([obj.__dict__ for obj in engine.tradeDict.values()])
  24.     tradeDf = tradeReport.set_index('dt')
  25.     return perfromanceDf, tradeDf
  1. parameterDict = {'symbolList':['BTCUSDT:binance']}
  2. runBacktesting(MultiFrameMaStrategy, parameterDict, '20180901 12:00', '20181121 12:00', 0.002, 5/10000)
2018-11-27 19:01:27.942563  计算按日统计结果
2018-11-27 19:01:27.973531  ------------------------------
2018-11-27 19:01:27.973531  首个交易日：  2018-09-01 00:00:00
2018-11-27 19:01:27.973531  最后交易日：  2018-11-21 00:00:00
2018-11-27 19:01:27.973531  总交易日：   82
2018-11-27 19:01:27.973531  盈利交易日   43
2018-11-27 19:01:27.973531  亏损交易日：  38
2018-11-27 19:01:27.973531  起始资金：   100000
2018-11-27 19:01:27.973531  结束资金：   101,956.69
2018-11-27 19:01:27.973531  总收益率：   1.96%
2018-11-27 19:01:27.973531  年化收益：   5.73%
2018-11-27 19:01:27.973531  总盈亏：    1,956.69
2018-11-27 19:01:27.973531  最大回撤:   -462.06
2018-11-27 19:01:27.974531  百分比最大回撤: -0.46%
2018-11-27 19:01:27.974531  总手续费：   483.71
2018-11-27 19:01:27.974531  总滑点：    0.3
2018-11-27 19:01:27.974531  总成交金额：  967,425.45
2018-11-27 19:01:27.974531  总成交笔数：  152
2018-11-27 19:01:27.974531  日均盈亏：   23.86
2018-11-27 19:01:27.974531  日均手续费：  5.9
2018-11-27 19:01:27.974531  日均滑点：   0.0
2018-11-27 19:01:27.974531  日均成交金额： 11,797.87
2018-11-27 19:01:27.974531  日均成交笔数： 1.85
2018-11-27 19:01:27.974531  日均收益率：  0.02%
2018-11-27 19:01:27.974531  收益标准差：  0.13%
2018-11-27 19:01:27.974531  Sharpe Ratio：   2.61

output_13_1.png-55.1kB

2018-11-27 19:01:29.331143  计算回测结果
2018-11-27 19:01:29.338136  ------------------------------
2018-11-27 19:01:29.338136  第一笔交易：  2018-09-04 06:45:00
2018-11-27 19:01:29.338136  最后一笔交易： 2018-11-21 10:18:00
2018-11-27 19:01:29.338136  总交易次数：  76
2018-11-27 19:01:29.338136  总盈亏：    1,956.69
2018-11-27 19:01:29.338136  最大回撤:   -1,028.45
2018-11-27 19:01:29.338136  平均每笔盈利： 25.75
2018-11-27 19:01:29.338136  平均每笔滑点： 0.0
2018-11-27 19:01:29.338136  平均每笔佣金： 6.36
2018-11-27 19:01:29.338136  胜率      27.63%
2018-11-27 19:01:29.338136  盈利交易平均值 237.95
2018-11-27 19:01:29.338136  亏损交易平均值 -55.28
2018-11-27 19:01:29.338136  盈亏比：    4.3

output_13_3.png-40.3kB

2018-11-27 19:01:30.086370  计算按日统计结果
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