cfdaily
162 lines
5.7 KiB
Python
162 lines
5.7 KiB
Python
#!/usr/bin/env python
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# -*- coding: utf-8 -*-
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"""
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纯突破量化策略
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N日新高放量突破买入，严格止损止盈
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"""
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import pandas as pd
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import numpy as np
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from vnpy.app.cta_strategy import CtaTemplate
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from vnpy.trader.object import BarData
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class PureBreakoutStrategy(CtaTemplate):
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"""
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纯突破策略
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- N日新高放量突破买入
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- 止损：跌破突破日最低价的-5%
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- 跟踪止盈：从买入后高点回落10%止盈
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- 均线止盈：跌破均线卖出
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- 最长持有到期自动卖出
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- 单票最大仓位5%
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"""
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author = "翼德"
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parameters = [
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"breakout_days",
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"volume_multiple",
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"stop_loss_pct",
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"trailing_stop_pct",
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"ma_period",
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"max_holding_days",
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"max_position_pct",
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]
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variables = [
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]
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def __init__(self, cta_engine, strategy_name, setting_dict):
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super().__init__(cta_engine, strategy_name, setting_dict)
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# 默认参数
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self.breakout_days = getattr(self, 'breakout_days', 60)
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self.volume_multiple = getattr(self, 'volume_multiple', 1.5)
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self.stop_loss_pct = getattr(self, 'stop_loss_pct', 0.05)
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self.trailing_stop_pct = getattr(self, 'trailing_stop_pct', 0.10)
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self.ma_period = getattr(self, 'ma_period', 20)
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self.max_holding_days = getattr(self, 'max_holding_days', 60)
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self.max_position_pct = getattr(self, 'max_position_pct', 0.05)
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# 持仓信息
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self.in_market = False
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self.entry_price = 0
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self.breakout_low = 0
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self.highest_price = 0
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self.entry_date = None
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self.holding_days = 0
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def on_init(self):
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self.write_log("策略初始化完成")
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self.load_bar(self.breakout_days + self.max_holding_days)
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def on_start(self):
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self.write_log("策略启动")
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def on_stop(self):
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self.write_log("策略停止")
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def on_bar(self, bar: BarData):
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if self.in_market:
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self.holding_days += 1
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# 更新最高价
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if bar.close > self.highest_price:
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self.highest_price = bar.close
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# 检查卖出条件
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exit_signal = False
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# 1. 止损检查 - 跌破突破低价*(1-stop_loss_pct)
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stop_price = self.breakout_low * (1 - self.stop_loss_pct)
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if bar.low <= stop_price:
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exit_signal = True
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self.write_log(f"触发止损，价格{bar.low:.2f} <= 止损价{stop_price:.2f}")
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# 2. 跟踪止盈 - 从最高点回落超过trailing_stop_pct
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if not exit_signal:
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trailing_price = self.highest_price * (1 - self.trailing_stop_pct)
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if bar.close <= trailing_price:
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exit_signal = True
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self.write_log(f"触发跟踪止盈，价格{bar.close:.2f} <= 止盈价{trailing_price:.2f}")
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# 3. 均线止盈 - 收盘价跌破均线
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if not exit_signal:
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closes = self.get_bars(self.ma_period)
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if len(closes) >= self.ma_period:
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ma = np.mean([b.close for b in closes])
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if bar.close < ma:
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exit_signal = True
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self.write_log(f"触发均线止盈，价格{bar.close:.2f} < MA{self.ma_period}={ma:.2f}")
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# 4. 持有到期
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if not exit_signal and self.holding_days >= self.max_holding_days:
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exit_signal = True
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self.write_log(f"持有到期{self.holding_days}天，自动卖出")
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if exit_signal:
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# 全部卖出
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position = self.get_position(self.vt_symbol)
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if position and position.volume > 0:
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self.sell(self.vt_symbol, bar.close, position.volume)
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self.in_market = False
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return
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# 如果没持仓，检查突破信号
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else:
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# 获取最近N日数据
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bars = self.get_bars(self.breakout_days + 1)
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if len(bars) < self.breakout_days + 1:
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return
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# 计算N日最高价
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highest = max(b.close for b in bars[:-1])
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current_close = bar.close
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current_volume = bar.volume
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# 计算N日平均成交量
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avg_volume = np.mean(b.volume for b in bars[:-1])
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# 突破条件：收盘价创新高 + 成交量放量
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if current_close > highest and current_volume >= avg_volume * self.volume_multiple:
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# 突破买入
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# 计算目标仓位
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target_value = self.balance * self.max_position_pct
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target_volume = int(target_value / bar.open / 100) * 100
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if target_volume > 0:
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self.buy(self.vt_symbol, bar.open, target_volume)
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self.in_market = True
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self.entry_price = bar.open
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self.breakout_low = bar.low
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self.highest_price = bar.close
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self.entry_date = bar.datetime
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self.holding_days = 0
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self.write_log(f"突破买入，价格{bar.open:.2f}，数量{target_volume}")
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return
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def _need_rebalance(self, current_date):
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if self.last_rebalance_date is None:
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return True
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if self.rebalance_freq == 'M':
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if current_date.month != self.last_rebalance_date.month:
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return True
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elif self.rebalance_freq == 'W':
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current_week = current_date.isocalendar()[1]
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last_week = self.last_rebalance_date.isocalendar()[1]
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if current_week != last_week:
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return True
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return False
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