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jackyu66git
2025-06-13 02:00:38 +08:00
parent b4ded5d7d2
commit 20a633910d
4 changed files with 56 additions and 27 deletions
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ChanLun.py
+2 -2
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@@ -156,8 +156,8 @@ class ChanLun():
else: else:
fx_list.append(0) fx_list.append(0)
klc_strength_list.append(klc.cal_fx_strength(2)) klc_strength_list.append(klc.cal_fx_strength(2))
#if klc.klc_fx_type != Chan_KLC_FX.UNKNOWN and klc.cal_fx_strength() > 1: if klc.klc_fx_type != Chan_KLC_FX.UNKNOWN and klc.cal_fx_strength() > 1:
#print(klc.start_time, klc.end_time, klc.cal_fx_strength(), klc.klc_fx_type, fx_list[-1], klc_strength_list[-1]) print(klc.start_time, klc.end_time, klc.cal_fx_strength(), klc.klc_fx_type, fx_list[-1], klc_strength_list[-1])
else: else:
klc_strength_list.append(0) klc_strength_list.append(0)
fx_list.append(0) fx_list.append(0)
strategies/ChanPY.py → ChanPY.py
+27 -7
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@@ -30,13 +30,13 @@ class ChanPY():
k_type = KL_TYPE.K_5M k_type = KL_TYPE.K_5M
config = CChanConfig({ config = CChanConfig({
"bi_strict": True, "bi_strict": True,
"bi_algo": "fx", "bi_algo": "normal",
"trigger_step": True, "trigger_step": True,
"skip_step": 0, "skip_step": 0,
"divergence_rate": 0.9, "divergence_rate": float("inf"),
"bsp2_follow_1": False, "bsp2_follow_1": False,
"bsp3_follow_1": False, "bsp3_follow_1": False,
"min_zs_cnt": 1, "min_zs_cnt": 0,
"bs1_peak": False, "bs1_peak": False,
"macd_algo": "peak", "macd_algo": "peak",
"bs_type": '1,2,3a,1p,2s,3b', "bs_type": '1,2,3a,1p,2s,3b',
@@ -61,7 +61,7 @@ class ChanPY():
self.chan.trigger_load({self.k_type: [klu]}) self.chan.trigger_load({self.k_type: [klu]})
self.klu_list.append(klu) self.klu_list.append(klu)
def add_klu_from_dataframe(self, dataframe): def add_klu_from_dataframe(self, dataframe):
if len(dataframe) > len(self.klu_list): if len(dataframe) > len(self.klu_list) and len(dataframe) - len(self.klu_list) == 1:
klu = self.get_last_klu(dataframe) klu = self.get_last_klu(dataframe)
self.chan.trigger_load({self.k_type: [klu]}) self.chan.trigger_load({self.k_type: [klu]})
self.klu_list.append(klu) self.klu_list.append(klu)
@@ -166,6 +166,7 @@ class ChanPY():
if bsp_type == BSP_TYPE.T3B: if bsp_type == BSP_TYPE.T3B:
return -6 return -6
def get_bsps(self, dataframe:DataFrame): def get_bsps(self, dataframe:DataFrame):
fields = "time,open,high,low,close,volume"
bsps = [] bsps = []
updown = [] updown = []
bi_sure = [] bi_sure = []
@@ -190,20 +191,23 @@ class ChanPY():
last_bsp = bsp_list[-1] last_bsp = bsp_list[-1]
#print(klu.time, klu.idx, last_bsp.klu.time, last_bsp.klu.idx, last_bsp_value, lst[-2].fx, bi_list[-1].dir, bi_list[-1].is_sure,klu.close) #print(klu.time, klu.idx, last_bsp.klu.time, last_bsp.klu.idx, last_bsp_value, lst[-2].fx, bi_list[-1].dir, bi_list[-1].is_sure,klu.close)
if bsp_list_pre_len > len(bsp_list): if bsp_list_pre_len > len(bsp_list):
if abs(last_bsp_value) == 1 or abs(last_bsp_value) == 2:
bsps.append(1)
print(klu.time, klu.idx, last_bsp.klu.time, last_bsp.klu.idx, last_bsp_value, 98)
else:
bsps.append(99) bsps.append(99)
#print(klu.time, klu.idx, last_bsp.klu.time, last_bsp.klu.idx, last_bsp_value, 99)
else: else:
if bsp_list_pre_len == len(bsp_list): if bsp_list_pre_len == len(bsp_list):
if klu.idx == last_bsp.klu.idx: if klu.idx == last_bsp.klu.idx:
last_bsp_value = self.get_bsp_type(last_bsp.type[0], last_bsp.is_buy) last_bsp_value = self.get_bsp_type(last_bsp.type[0], last_bsp.is_buy)
bsps.append(last_bsp_value) bsps.append(last_bsp_value)
#print(klu.time, klu.idx, last_bsp.klu.time, last_bsp.klu.idx, last_bsp_value) print(klu.time, klu.idx, last_bsp.klu.time, last_bsp.klu.idx, last_bsp_value)
else: else:
bsps.append(0) bsps.append(0)
else: else:
last_bsp_value = self.get_bsp_type(last_bsp.type[0], last_bsp.is_buy) last_bsp_value = self.get_bsp_type(last_bsp.type[0], last_bsp.is_buy)
bsps.append(last_bsp_value) bsps.append(last_bsp_value)
#print(klu.time, klu.idx, last_bsp.klu.time, last_bsp.klu.idx, last_bsp_value) print(klu.time, klu.idx, last_bsp.klu.time, last_bsp.klu.idx, last_bsp_value)
else: else:
bsps.append(0) bsps.append(0)
bsp_list_pre_len = len(bsp_list) bsp_list_pre_len = len(bsp_list)
@@ -266,9 +270,25 @@ class ChanPY():
if self.last_kline.time < klu.time: if self.last_kline.time < klu.time:
self.chan.trigger_load({self.k_type: [klu]}) # 喂给CChan新增k线 self.chan.trigger_load({self.k_type: [klu]}) # 喂给CChan新增k线
self.last_kline = klu self.last_kline = klu
for index in range(0, len(bsps)):
if not (abs(bsps[index]) == 1 or abs(bsps[index]) == 2):
bsps[index] = 0
else:
if bsps[index] == 2:
bsps[index] = 1
else:
if bsps[index] == -2:
bsps[index] = -1
else:
bsps[index] = 0
#print(bsps) #print(bsps)
#print(updown) #print(updown)
kl_datas = self.chan.kl_datas[self.k_type] kl_datas = self.chan.kl_datas[self.k_type]
#for zs in kl_datas.zs_list: #for zs in kl_datas.zs_list:
#print(zs.begin.time, zs.end.time) #print(zs.begin.time, zs.end.time)
return bsps, updown, bi_sure return bsps, updown, bi_sure
def get_bsp_state(self, dataframe:DataFrame):
bsps, updown, bi_sure = self.get_bsps(dataframe)
#print(bsps)
return bsps
strategies/ChanLun_BTC_30.py
+25 -16
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@@ -8,6 +8,7 @@ sys.path.append(os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
from ChanLun import ChanLun from ChanLun import ChanLun
from ChanLun_Classifier import ChanLunClassifier from ChanLun_Classifier import ChanLunClassifier
from ChanEnum import Chan_FX_TYPE, Chan_KLC_FX, Chan_BI_DIR, Chan_KLC_FX from ChanEnum import Chan_FX_TYPE, Chan_KLC_FX, Chan_BI_DIR, Chan_KLC_FX
from ChanPY import ChanPY
# -------------------------------- # --------------------------------
from technical.util import resample_to_interval, resampled_merge from technical.util import resample_to_interval, resampled_merge
import talib.abstract as ta import talib.abstract as ta
@@ -61,7 +62,7 @@ class ChanLun_BTC_30(IStrategy):
"3600": 0 "3600": 0
} }
can_short = True can_short = True
lev = 50.0 lev = 1.0
stoploss = -0.3 stoploss = -0.3
trailing_stop = False trailing_stop = False
trailing_stop_positive = 0.025 trailing_stop_positive = 0.025
@@ -76,9 +77,9 @@ class ChanLun_BTC_30(IStrategy):
time30 = 30 time30 = 30
time60 = 60 time60 = 60
time4h = 240 time4h = 240
time5 = 30
last_time = datetime.now() last_time = datetime.now()
chan = ChanLun() chan = ChanLun()
chanpy = ChanPY()
classifier = ChanLunClassifier(None) classifier = ChanLunClassifier(None)
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
@@ -104,7 +105,7 @@ class ChanLun_BTC_30(IStrategy):
dataframe_1d = self.add_indicators(dataframe_1d) dataframe_1d = self.add_indicators(dataframe_1d)
#self.chan.plot_dual(dataframe_5, dataframe_30) #self.chan.plot_dual(dataframe_5, dataframe_30)
dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14)
dataframe_5['chanpy_state'] = self.chanpy.get_bsp_state(dataframe_5)
state_list, fx_list = self.chan.get_klc_strength_list(dataframe_30) state_list, fx_list = self.chan.get_klc_strength_list(dataframe_30)
dataframe_30['state'] = state_list dataframe_30['state'] = state_list
dataframe_30['fx'] = fx_list dataframe_30['fx'] = fx_list
@@ -116,7 +117,7 @@ class ChanLun_BTC_30(IStrategy):
print(klc_list[-1].klc_fx_type, klc_list[-2].klc_fx_type, klc_list[-3].klc_fx_type, klc_list[-4].klc_fx_type, klc_list[-5].klc_fx_type) print(klc_list[-1].klc_fx_type, klc_list[-2].klc_fx_type, klc_list[-3].klc_fx_type, klc_list[-4].klc_fx_type, klc_list[-5].klc_fx_type)
print("-------------------------------------------------------------------------------") print("-------------------------------------------------------------------------------")
self.last_time = datetime.now() self.last_time = datetime.now()
#dataframe = resampled_merge(dataframe, dataframe_5) dataframe = resampled_merge(dataframe, dataframe_5)
dataframe = resampled_merge(dataframe, dataframe_30) dataframe = resampled_merge(dataframe, dataframe_30)
#dataframe = resampled_merge(dataframe, dataframe_30) #dataframe = resampled_merge(dataframe, dataframe_30)
#dataframe = resampled_merge(dataframe, dataframe_60) #dataframe = resampled_merge(dataframe, dataframe_60)
@@ -169,13 +170,16 @@ class ChanLun_BTC_30(IStrategy):
return new_exitprice return new_exitprice
def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
state_str = 'resample_{}_state'.format(self.get_ticker_indicator()*self.time5) state_str = 'resample_{}_state'.format(self.get_ticker_indicator()*self.time30)
fx_str = 'resample_{}_fx'.format(self.get_ticker_indicator()*self.time5) fx_str = 'resample_{}_fx'.format(self.get_ticker_indicator()*self.time30)
chanpy_state_str = 'resample_{}_chanpy_state'.format(self.get_ticker_indicator()*self.time5)
shift_time = self.time30
dataframe.loc[ dataframe.loc[
( (
#(dataframe['state'] == "-30") #(dataframe['state'] == "-30")
(dataframe[state_str].shift(self.time5) > 1.0) & (dataframe[state_str].shift(shift_time) > 1.0) &
(dataframe[fx_str].shift(self.time5) == -1) (dataframe[fx_str].shift(shift_time) == -1) &
(dataframe[chanpy_state_str].shift(shift_time) == 1)
#(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time5)].shift(self.time5) == "-10") & #(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time5)].shift(self.time5) == "-10") &
#(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time30)] == "-10") & #(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time30)] == "-10") &
#(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time5)].shift(self.time5) == "-10") #(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time5)].shift(self.time5) == "-10")
@@ -185,8 +189,9 @@ class ChanLun_BTC_30(IStrategy):
dataframe.loc[ dataframe.loc[
( (
#(dataframe['state'] == "-30") #(dataframe['state'] == "-30")
(dataframe[state_str].shift(self.time5) > 1.0) & (dataframe[state_str].shift(shift_time) > 1.0) &
(dataframe[fx_str].shift(self.time5) == 1) (dataframe[fx_str].shift(shift_time) == 1) &
(dataframe[chanpy_state_str].shift(shift_time) == -1)
#(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time5)].shift(self.time5) == "-10") & #(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time5)].shift(self.time5) == "-10") &
#(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time30)] == "-10") & #(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time30)] == "-10") &
#(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time5)].shift(self.time5) == "-10") #(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time5)].shift(self.time5) == "-10")
@@ -195,13 +200,16 @@ class ChanLun_BTC_30(IStrategy):
['enter_short', 'enter_tag']] = (1, 'short_signal_chan') ['enter_short', 'enter_tag']] = (1, 'short_signal_chan')
return dataframe return dataframe
def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
state_str = 'resample_{}_state'.format(self.get_ticker_indicator()*self.time5) state_str = 'resample_{}_state'.format(self.get_ticker_indicator()*self.time30)
fx_str = 'resample_{}_fx'.format(self.get_ticker_indicator()*self.time5) fx_str = 'resample_{}_fx'.format(self.get_ticker_indicator()*self.time30)
chanpy_state_str = 'resample_{}_chanpy_state'.format(self.get_ticker_indicator()*self.time5)
shift_time = self.time30
dataframe.loc[ dataframe.loc[
( (
#(dataframe['state']== "30") #(dataframe['state']== "30")
(dataframe[state_str].shift(self.time5) > 1.0) & (dataframe[state_str].shift(shift_time) > 1.0) &
(dataframe[fx_str].shift(self.time5) == 1) (dataframe[fx_str].shift(shift_time) == 1) &
(dataframe[chanpy_state_str].shift(shift_time) == -1)
#(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time30)] == "10") & #(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time30)] == "10") &
#(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time60)] == "10") #(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time60)] == "10")
), ),
@@ -209,8 +217,9 @@ class ChanLun_BTC_30(IStrategy):
dataframe.loc[ dataframe.loc[
( (
#(dataframe['state']== "30") #(dataframe['state']== "30")
(dataframe[state_str].shift(self.time5) > 1.0) & (dataframe[state_str].shift(shift_time) > 1.0) &
(dataframe[fx_str].shift(self.time5) == -1) (dataframe[fx_str].shift(shift_time) == -1) &
(dataframe[chanpy_state_str].shift(shift_time) == 1)
#(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time30)] == "10") & #(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time30)] == "10") &
#(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time60)] == "10") #(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time60)] == "10")
), ),