海龜模型 改成WH8 [文華財經]
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咨詢內容：
?請教老師，可否幫忙改成WH8格式？示范中的和這個不一樣。
import?talib?as?taimport?numpy?as?npfrom?EsSeries?import?NumericSeriesimport?EsTalib
g_params['axPositionNum'??=?99??g_params['topPoint'???????=?30???g_params['inPoint'????????=?50??g_params['loatStopStart'??=?40???g_params['loatStopPoint'??=?10???
p1=?7????????p?=?3?????????p2?=?50???????RiskRatio?=?10???ATRLength?=?20?*p1?boLength?=?20?*p1?fsLength?=?55?*p1??teLength?=?10?*p1??LPTF?=?True????PreEP?=?0???????AvgTR?=?1???????
SendOrderThisBar?=?False????PreBreakoutFailure?=?False??
myEntryPrice?=?0myExitPrice?=?0DonchianHi?=?0DonchianLo?=?0fsDonchianHi?=?0fsDonchianLo?=?0ExitHighestPrice?=?0ExitLowestPrice?=?0
ContractId?=?'HFE|F|RB|2010'br/>def?initialize(context):????global?ContractId????SetBarInterval(ContractId,?''?1,?5000)????SetActual()
def?handle_data(context):????global?ContractId
????????bars?=?HisBarsInfo()????barLen?=?len(bars)????if?barLen?<?10:????????return
def?condict():????a?=?(0.090000?<?Time(ContractId,?Enum_Period_Min(),?1)?<?0.240000)????return?a
???def?initialize(context):?????SetOrderWay(2)?
def?TrueRange(barsinfo:list):????if?len(barsinfo)?<=?0:????????return?None,?None,?None
????ths?=?[]????tls?=?[]????trs?=?[]????hs?=?[]????ls?=?[]
????for?i,?p?in?enumerate(barsinfo):????????high?=?barsinfo[i]["HighPrice"]????????low?=?barsinfo[i]["LowPrice"]????????hs.append(high)????????ls.append(low)
????????if?i?==?0:????????????th?=?high????????????tl?=?low????????else:????????????pclose?=?barsinfo[i-1]["LastPrice"]????????????th?=?high?if?high?>=?pclose?else?pclose????????????tl?=?low??if?low??<=?pclose?else?pclose
????????tr?=?th?-?tl????????ths.append(th)????????tls.append(tl)????????trs.append(tr)
????return?np.array(hs),?np.array(ls),?np.array(trs)
def?XAverage(prices:np.array,?length):????fac?=?2.0/(length+1)????xa?=?1
????if?len(prices)?<?length:????????return?xa????
????for?i,?p?in?enumerate(prices):????????if?i?==?0:????????????xa?=?p????????else:????????????xa?=?xa?+?fac?*?(p?-?xa)????????return?xa
def?handle_data(context):????global?RiskRatio,?ATRLength,?boLength????global?teLength,?fsLength,?LPTF????global?PreEP,?AvgTR,?SendOrderThisBar????global?PreBreakoutFailure,?ContractId????global?myEntryPrice,?myExitPrice????global?ExitHighestPrice,?ExitLowestPrice????global?DonchianHi,?DonchianLo???????global?fsDonchianHi,?fsDonchianLo
????if?BarStatus()?==?0:????????PreEP?=?np.nan????????PreBreakoutFailure?=?False
????MinPoint?=?PriceTick()????
????barsinfo?=?HisBarsInfo()
????bslen?=?len(barsinfo)
????if?bslen?<?fsLength:????????return
????op?=?barsinfo[-1]["OpeningPrice"]
????highs,?lows,?trs?=?TrueRange(barsinfo)????????high??=?highs[-1]????low???=?lows[-1]????phigh?=?high?if?len(highs)?<=?1?else?highs[-2]????plow??=?low??if?len(lows)??<=?1?else?lows[-2]
????N?=?AvgTR????AvgTR?=?XAverage(trs,?ATRLength)
???????TotalEquity?=?Available()?+?Margin()????TurtleUnits?=?(TotalEquity*RiskRatio/100)/(N*ContractUnit(ContractId))????TurtleUnits?=?int(TurtleUnits)????maxUnites?=?int(Available()/(high*ContractUnit(ContractId)))????TurtleUnits?=?min(maxUnites?,?TurtleUnits)????LogInfo("avl:%f,?mar:%f,?conu:%f,?tu:%f,?N:%f,?mp:%f,?cidx:%d,?bslen:%d\n"?\????????%(Available(),?Margin(),?ContractUnit(ContractId),?TurtleUnits,?N,?MinPoint,?CurrentBar(),?bslen))
????DonchianHi???=?ta.MAX(highs[:-1],?timeperiod=boLength)[-1]????DonchianLo???=?ta.MIN(lows[:-1],??timeperiod=boLength)[-1]????fsDonchianHi?=?ta.MAX(highs[:-1],?timeperiod=fsLength)[-1]????fsDonchianLo?=?ta.MIN(lows[:-1],??timeperiod=fsLength)[-1]????ExitHighestPrice?=?ta.MAX(highs[:-1],?timeperiod=teLength)[-1]????ExitLowestPrice?=?ta.MIN(lows[:-1],??timeperiod=teLength)[-1]
????LogInfo("mpos:%d,?bpos:%d,?spos:%d\n"?%(MarketPosition(),?BuyPosition(),?SellPosition()))????LogInfo("low:%f,high:%f,dh:%f,dl:%f,fdh:%f,fdl:%f,ehp:%f,elp:%f,pep:%f,n:%f\n"?%(low,?high,?DonchianHi,?\????????DonchianLo,?fsDonchianHi,?fsDonchianLo,?ExitHighestPrice,?ExitLowestPrice,PreEP,N))
???????if?MarketPosition()?==?0?and?((not?LPTF)?or?PreBreakoutFailure)?and?condict():????????if?Close()[-1]?>?DonchianHi?+?p*PriceTick()?and?Open()[-1]-Open()[-2]?<?200*PriceTick()?and?Close()[-1]?>?Open()[-1]?and?TurtleUnits?>=?1?and?Close()[-1]?-?Open()[-1]?<?p2*PriceTick()?and?Close()[-1]?>?max(Close()[-2]?,?Open()[-2])?:????????????myEntryPrice?=?min(high,?DonchianHi?+?MinPoint)????????????myEntryPrice?=?max(op,?myEntryPrice)????????????PreEP?=?myEntryPrice????????????Buy(TurtleUnits,?Close()[-1]+1*PriceTick())????????????SendOrderThisBar?=?True????????????PreBreakoutFailure?=?False
????????if?Close()[-1]?<?DonchianLo?-?p*PriceTick()?and?Open()[-2]-Open()[-1]<200*PriceTick()?and?Close()[-1]?<?Open()[-1]?and?TurtleUnits?>=?1?and?Open()[-1]?-?Close()[-1]?<?p2*PriceTick()?and?Close()[-1]?<?min(Close()[-2]?,?Open()[-2])?:????????????#?????????????myEntryPrice?=?max(low,?DonchianLo?-?MinPoint)????????????#?????????????myEntryPrice?=?min(op,?myEntryPrice)????????????PreEP?=?myEntryPrice????????????SellShort(TurtleUnits,?Close()[-1]-1*PriceTick())????????????SendOrderThisBar?=?True????????????PreBreakoutFailure?=?False
????#?????if?MarketPosition()?==?0?and?condict():????????if?Close()[-1]?>?fsDonchianHi?+?p*PriceTick()?and?Open()[-1]-Open()[-2]<100*PriceTick()?and?Close()[-1]?>?Open()[-1]?and?TurtleUnits?>=?1?and?Close()[-1]?-?Open()[-1]?<?p2*PriceTick()?and?Close()[-1]?>?max(Close()[-2]?,?Open()[-2])?:????????????#?????????????myEntryPrice?=?min(high,?fsDonchianHi?+?MinPoint)????????????#?????????????myEntryPrice?=?max(op,?myEntryPrice)????????????PreEP?=?myEntryPrice????????????Buy(TurtleUnits,?Close()[-1])????????????SendOrderThisBar?=?True????????????PreBreakoutFailure?=?False
????????if?Close()[-1]?<?fsDonchianLo?-?p*PriceTick()?and?Open()[-2]-Open()[-1]<100*PriceTick()?and?Close()[-1]?<?Open()[-1]?and?TurtleUnits?>=?1?and?Open()[-1]?-?Close()[-1]?<?p2*PriceTick()?and?Close()[-1]?<?min(Close()[-2]?,?Open()[-2]):????????????#?????????????myEntryPrice?=?max(low,?fsDonchianLo?-?MinPoint)????????????#?????????????myEntryPrice?=?min(op,?myEntryPrice)????????????PreEP?=?myEntryPrice????????????SellShort(TurtleUnits,?Close()[-1])????????????SendOrderThisBar?=?True????????????PreBreakoutFailure?=?False
????#?????if?MarketPosition()?==?1?and?condict():????????if?Close()[-1]??<?ExitLowestPrice?:????????????myExitPrice?=?max(low,?ExitLowestPrice?-?MinPoint)????????????myExitPrice?=?min(op,?myExitPrice)????????????#?全平多倉????????????bpos?=?BuyPosition()????????????if?bpos?>?0:????????????????Sell(bpos,?Close()[-1]-1*PriceTick()?)????????else:????????????if?PreEP?!=?np.nan?and?TurtleUnits?>=?1?and?BuyPosition()?<=?400?and?Close()[-1]?-?Open()[-1]?<?p2*PriceTick()?and?Close()[-1]?>?max(Close()[-2]?,?Open()[-2])?:????????????????if??Close()[-1]?>=?PreEP?+?0.5*N?and?Close()[-1]?>?Open()[-1]?:????????????????????myEntryPrice?=?high????????????????????PreEP?=?myEntryPrice????????????????????Buy(TurtleUnits,?Close()[-1])????????????????????SendOrderThisBar?=?True????????????if?PreEP?!=?np.nan?and?BuyPosition()?>=?400?and?Close()[-1]?-?Open()[-1]?<?p2*PriceTick()?and?Close()[-1]?>?max(Close()[-2]?,?Open()[-2]):????????????????if??Close()[-1]?>=?PreEP?+?0.5*N?and?Close()[-1]?>?Open()[-1]?:????????????????????myEntryPrice?=?high????????????????????PreEP?=?myEntryPrice????????????????????Buy(int(TurtleUnits/3),?Close()[-1])????????????????????SendOrderThisBar?=?True
????????????#?????????????if?(Close()[-1]??<=?(PreEP?-?2*N)?-?p*PriceTick()?or?Close()[-1]?<?Open()[-1])?and?SendOrderThisBar?==?False:????????????????myExitPrice?=?PreEP?-?2*N????????????????#?????????????????bpos?=?BuyPosition()????????????????if?bpos?>?0:????????????????????Sell(bpos,?Close()[-1]-1*PriceTick()?)????????????????PreBreakoutFailure?=?True????#?????elif?MarketPosition()?==?-1?and?condict():????????#????????#?????????if?Close()[-1]?>?ExitHighestPrice??:????????????myExitPrice?=?min(high,?ExitHighestPrice?+?MinPoint)????????????#?????????????myExitPrice?=?max(op,?myExitPrice)????????????#?????????????spos?=?SellPosition()????????????if?spos?>?0:????????????????BuyToCover(spos,?Close()[-1]?+1*PriceTick())????????else:????????????if?PreEP?!=?np.nan?and?TurtleUnits?>=?1?and?SellPosition()?<=?1500?and?Open()[-1]?-?Close()[-1]?<?p2*PriceTick()?and?Close()[-1]?<?min(Low()[-2]?,?Low()[-3]?,?Low()[-4],?Low()[-5],?Low()[-6],?Low()[-7]?,?Low()[-8],?Low()[-9],?Low()[-10]?):????????????????if??Close()[-1]?<=?PreEP?-?0.5*N?and?Close()[-1]?<?Open()[-1]:????????????????????myEntryPrice?=?low????????????????????PreEP?=?myEntryPrice????????????????????SellShort(TurtleUnits,?Close()[-1])????????????????????SendOrderThisBar?=?True????????????if?PreEP?!=?np.nan?and?SellPosition()?>?1500?and?Open()[-1]?-?Close()[-1]?<?p2*PriceTick()?and?Close()[-1]?<?min(Low()[-2]?,?Low()[-3]?,?Low()[-4],?Low()[-5],?Low()[-6],?Low()[-7]?,?Low()[-8],?Low()[-9],?Low()[-10]):????????????????if??Close()[-1]?<=?PreEP?-?0.5*N?and?Close()[-1]?<?Open()[-1]:????????????????????myEntryPrice?=?low????????????????????PreEP?=?myEntryPrice????????????????????SellShort(int(TurtleUnits/2),?Close()[-1])????????????????????SendOrderThisBar?=?True
????????????#?????????????if?(Close()[-1]?>=?(PreEP?+?2*N)?+?p*PriceTick())?and?SendOrderThisBar?==?False:????????????????myExitPrice?=?PreEP?+?2*N????????????????#?????????????????spos?=?SellPosition()????????????????if?spos?>?0:????????????????????BuyToCover(spos,?Close()[-1]+1*PriceTick()?)????????????????PreBreakoutFailure?=?True
????#?????if?SellPosition()?>=?1800?and?condict():????????BuyToCover(SellPosition(),?Close()[-1]+1*PriceTick())????if?SellPosition()?>=?1800?and?condict():????????Sell(SellPosition(),?Close()[-1]-1*PriceTick())???????????#?止損????SetStopPoint(g_params['topPoint')????#?止贏????SetWinPoint(g_params['inPoint')????#?浮動止損????SetFloatStopPoint(g_params['loatStopStart',?g_params['loatStopPoint')
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?來源:程序化99
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