# -*- coding: utf-8 -*-
"""
author: zengbin93
email: zeng_bin8888@163.com
create_dt: 2022/5/6 13:24
describe: 提供一些策略的编写案例
以 trader_ 开头的是择时交易策略案例
"""
import os
import time
import shutil
import pandas as pd
from tqdm import tqdm
from copy import deepcopy
from abc import ABC, abstractmethod
from loguru import logger
from czsc import signals
from czsc.objects import RawBar, List, Operate, Signal, Factor, Event, Position
from collections import OrderedDict
from czsc.traders.base import CzscTrader, get_signals_by_conf
from czsc.traders.sig_parse import get_signals_freqs, get_signals_config
from czsc.utils import x_round, freqs_sorted, BarGenerator, dill_dump
[docs]class CzscStrategyBase(ABC):
"""
择时交易策略的要素：
1. 交易品种以及该品种对应的参数
2. K线周期列表
3. 交易信号参数配置
4. 持仓策略列表
"""
def __init__(self, **kwargs):
self.kwargs = kwargs
self.signals_module_name = kwargs.get('signals_module_name', 'czsc.signals')
@property
def symbol(self):
"""交易标的"""
return self.kwargs['symbol']
@property
def unique_signals(self):
"""所有持仓策略中的交易信号列表"""
sig_seq = []
for pos in self.positions:
sig_seq.extend(pos.unique_signals)
return list(set(sig_seq))
@property
def signals_config(self):
"""交易信号参数配置"""
return get_signals_config(self.unique_signals, self.signals_module_name)
@property
def freqs(self):
"""K线周期列表"""
return get_signals_freqs(self.unique_signals)
@property
def sorted_freqs(self):
"""排好序的 K 线周期列表"""
return freqs_sorted(self.freqs)
@property
def base_freq(self):
"""基础 K 线周期"""
return self.sorted_freqs[0]
[docs] @abstractmethod
def positions(self) -> List[Position]:
"""持仓策略列表"""
raise NotImplementedError
[docs] def init_bar_generator(self, bars: List[RawBar], **kwargs):
"""使用策略定义初始化一个 BarGenerator 对象
:param bars: 基础周期K线
:param kwargs:
bg 已经初始化好的BarGenerator对象，如果传入了bg，则忽略sdt和n参数
sdt 初始化开始日期
n 初始化最小K线数量
:return:
"""
base_freq = str(bars[0].freq.value)
bg: BarGenerator = kwargs.get('bg', None)
if base_freq in self.sorted_freqs:
freqs = self.sorted_freqs[1:]
else:
freqs = self.sorted_freqs
if bg is None:
sdt = pd.to_datetime(kwargs.get('sdt', '20200101'))
n = int(kwargs.get('n', 500))
bg = BarGenerator(base_freq, freqs=freqs)
# 拆分基础周期K线，sdt 之前的用来初始化BarGenerator，随后的K线是 trader 初始化区间
bars_init = [x for x in bars if x.dt <= sdt]
if len(bars_init) > n:
bars1 = bars_init
bars2 = [x for x in bars if x.dt > sdt]
else:
bars1 = bars[:n]
bars2 = bars[n:]
for bar in bars1:
bg.update(bar)
return bg, bars2
else:
assert bg.base_freq == bars[-1].freq.value, "BarGenerator 的基础周期和 bars 的基础周期不一致"
bars2 = [x for x in bars if x.dt > bg.end_dt]
return bg, bars2
[docs] def init_trader(self, bars: List[RawBar], **kwargs) -> CzscTrader:
"""使用策略定义初始化一个 CzscTrader 对象
**注意：** 这里会将所有持仓策略在 sdt 之后的交易信号计算出来并缓存在持仓策略实例内部，所以初始化的过程本身也是回测的过程。
:param bars: 基础周期K线
:param kwargs:
bg 已经初始化好的BarGenerator对象，如果传入了bg，则忽略sdt和n参数
sdt 初始化开始日期
n 初始化最小K线数量
:return: 完成策略初始化后的 CzscTrader 对象
"""
bg, bars2 = self.init_bar_generator(bars, **kwargs)
trader = CzscTrader(bg=bg, positions=deepcopy(self.positions),
signals_config=deepcopy(self.signals_config), **kwargs)
for bar in bars2:
trader.on_bar(bar)
return trader
[docs] def backtest(self, bars: List[RawBar], **kwargs) -> CzscTrader:
trader = self.init_trader(bars, **kwargs)
return trader
[docs] def dummy(self, sigs: List[dict], **kwargs) -> CzscTrader:
"""使用信号缓存进行策略回测
:param sigs: 信号缓存，一般指 generate_czsc_signals 函数计算的结果缓存
:return: 完成策略回测后的 CzscTrader 对象
"""
sleep_time = kwargs.get('sleep_time', 0)
sleep_step = kwargs.get('sleep_step', 1000)
trader = CzscTrader(positions=deepcopy(self.positions))
for i, sig in tqdm(enumerate(sigs), desc=f"回测 {self.symbol} {self.sorted_freqs}"):
trader.on_sig(sig)
if i % sleep_step == 0:
time.sleep(sleep_time)
return trader
[docs] def replay(self, bars: List[RawBar], res_path, **kwargs):
"""交易策略交易过程回放
:param bars: 基础周期K线
:param res_path: 结果目录
:param kwargs:
bg 已经初始化好的BarGenerator对象，如果传入了bg，则忽略sdt和n参数
sdt 初始化开始日期
n 初始化最小K线数量
:return:
"""
if kwargs.get('refresh', False):
shutil.rmtree(res_path, ignore_errors=True)
exist_ok = kwargs.get("exist_ok", False)
if os.path.exists(res_path) and not exist_ok:
logger.warning(f"结果文件夹存在且不允许覆盖：{res_path}，如需执行，请先删除文件夹")
return
os.makedirs(res_path, exist_ok=exist_ok)
bg, bars2 = self.init_bar_generator(bars, **kwargs)
trader = CzscTrader(bg=bg, positions=deepcopy(self.positions),
signals_config=deepcopy(self.signals_config), **kwargs)
for position in trader.positions:
pos_path = os.path.join(res_path, position.name)
os.makedirs(pos_path, exist_ok=exist_ok)
for bar in bars2:
trader.on_bar(bar)
for position in trader.positions:
pos_path = os.path.join(res_path, position.name)
if position.operates and position.operates[-1]['dt'] == bar.dt:
op = position.operates[-1]
_dt = op['dt'].strftime('%Y%m%d#%H%M')
file_name = f"{op['op'].value}_{_dt}_{op['bid']}_{x_round(op['price'], 2)}_{op['op_desc']}.html"
file_html = os.path.join(pos_path, file_name)
trader.take_snapshot(file_html)
logger.info(f'{file_html}')
file_trader = os.path.join(res_path, "trader.ct")
try:
dill_dump(trader, file_trader)
logger.info(f"交易对象保存到：{file_trader}")
except Exception as e:
logger.error(f"交易对象保存失败：{e}；通常的原因是交易对象中包含了不支持序列化的对象，比如函数")
return trader
[docs]class CzscStrategyExample2(CzscStrategyBase):
"""仅传入Positions就完成策略创建"""
def __init__(self, **kwargs):
super().__init__(**kwargs)
@property
def positions(self):
return [self.create_pos_a(), Position.load(self.create_pos_b())]
[docs] def create_pos_a(self):
opens = [
Event(name='开多', operate=Operate.LO, factors=[
Factor(name="15分钟向下笔停顿", signals_all=[
Signal("15分钟_D0停顿分型_BE辅助V230106_看多_强_任意_0"),
])
]),
Event(name='开空', operate=Operate.SO, factors=[
Factor(name="15分钟向上笔停顿", signals_all=[
Signal("15分钟_D0停顿分型_BE辅助V230106_看空_强_任意_0"),
])
]),
]
pos = Position(name="15分钟笔停顿", symbol=self.symbol, opens=opens, exits=None,
interval=0, timeout=20, stop_loss=100, T0=True)
return pos
[docs] def create_pos_b(self):
"""从 json文件 / dict 中加载 Position"""
return {'symbol': self.symbol,
'name': '15分钟笔停顿B',
'opens': [{'name': '开多',
'operate': '开多',
'signals_all': [],
'signals_any': [],
'signals_not': [],
'factors': [{'name': '15分钟向下笔停顿',
'signals_all': ['15分钟_D0停顿分型_BE辅助V230106_看多_强_任意_0'],
'signals_any': [],
'signals_not': []}]},
{'name': '开空',
'operate': '开空',
'signals_all': [],
'signals_any': [],
'signals_not': [],
'factors': [{'name': '15分钟向上笔停顿',
'signals_all': ['15分钟_D0停顿分型_BE辅助V230106_看空_强_任意_0'],
'signals_any': [],
'signals_not': []}]}],
'exits': [],
'interval': 0,
'timeout': 20,
'stop_loss': 100,
'T0': True}