cfdaily
70 lines
1.8 KiB
Python
70 lines
1.8 KiB
Python
from vnpy_ctastrategy import (
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CtaTemplate,
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StopOrder,
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TickData,
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BarData,
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TradeData,
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OrderData,
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BarGenerator,
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ArrayManager,
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)
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class SimpleTestStrategy(CtaTemplate):
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"""最简单的测试策略，用于排查回测API问题"""
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author = "姜维"
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# 策略参数
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fast_window = 5
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slow_window = 20
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# 策略变量
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fast_ma = 0
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slow_ma = 0
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parameters = ["fast_window", "slow_window"]
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variables = ["fast_ma", "slow_ma"]
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def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
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"""初始化策略"""
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super().__init__(cta_engine, strategy_name, vt_symbol, setting)
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# 创建K线合成器
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self.bg = BarGenerator(self.on_bar)
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# 创建数组管理器
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self.am = ArrayManager()
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def on_init(self):
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"""策略初始化"""
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self.write_log("策略初始化")
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# 预加载10根K线
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self.load_bar(10)
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def on_start(self):
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"""策略启动"""
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self.write_log("策略启动")
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def on_stop(self):
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"""策略停止"""
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self.write_log("策略停止")
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def on_tick(self, tick: TickData):
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"""Tick推送"""
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self.bg.update_tick(tick)
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def on_bar(self, bar: BarData):
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"""K线推送"""
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# 更新数组
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self.am.update_bar(bar)
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if not self.am.inited:
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return
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# 计算指标
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self.fast_ma = self.am.sma(self.fast_window)
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self.slow_ma = self.am.sma(self.slow_window)
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# 简单交易逻辑
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if self.fast_ma > self.slow_ma and not self.pos:
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self.buy(bar.close_price, 1)
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elif self.fast_ma < self.slow_ma and self.pos > 0:
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self.sell(bar.close_price, 1) |