add example

.gitignore

@@ -38,5 +38,4 @@ howtrader/log/*
 main_window.spec
 *.json
 *.db
-examples/howtrader/*
-strategies
+examples/howtrader/*

docs/howtrader文档说明.md

@@ -6,4 +6,8 @@
 
 2. [如何在linux上运行howtrader](./如何在linux上运行howtrader.md)
 
-3. [如何添加自定义策略](./如何添加自定义策略.md)
+3. [如何添加自定义策略](./如何添加自定义策略.md)
+
+4. [策略重启时如何获取策略保存中的数据](./策略重启时如何获取策略保存中的数据.md)
+
+5. [如何对接tradingview等三方交易信号](./如何对接tradingview等三方交易信号.md)

examples/backtest_demo.py

@@ -2,6 +2,7 @@
 from howtrader.trader.object import Interval
 from datetime import datetime
 from strategies.atr_rsi_strategy import AtrRsiStrategy  # 要导入你回测的策略，你自己开发的。
+from strategies.atr_rsi_15min_strategy import AtrRsi15MinStrategy
 
 engine = BacktestingEngine()
 engine.set_parameters(
@@ -16,8 +17,8 @@
     capital=1000000,
 )
 
-engine.add_strategy(AtrRsiStrategy, {})
-
+# engine.add_strategy(AtrRsiStrategy, {})
+engine.add_strategy(AtrRsi15MinStrategy, {})
 
 engine.load_data()
 engine.run_backtesting()

examples/strategies/atr_rsi_15min_strategy.py

@@ -0,0 +1,146 @@
+from howtrader.app.cta_strategy import (
+    CtaTemplate,
+    StopOrder
+)
+
+from howtrader.trader.object import TickData, BarData, TradeData, OrderData
+from howtrader.trader.utility import BarGenerator, ArrayManager
+from decimal import Decimal
+
+
+class AtrRsi15MinStrategy(CtaTemplate):
+    """"""
+
+    author = "51bitquant"
+
+    atr_length = 22
+    atr_ma_length = 10
+    rsi_length = 5
+    rsi_entry = 16
+    trailing_percent = 0.8
+    fixed_size = 1
+
+    atr_value = 0
+    atr_ma = 0
+    rsi_value = 0
+    rsi_buy = 0
+    rsi_sell = 0
+    intra_trade_high = 0
+    intra_trade_low = 0
+
+    parameters = [
+        "atr_length",
+        "atr_ma_length",
+        "rsi_length",
+        "rsi_entry",
+        "trailing_percent",
+        "fixed_size"
+    ]
+    variables = [
+        "atr_value",
+        "atr_ma",
+        "rsi_value",
+        "rsi_buy",
+        "rsi_sell",
+        "intra_trade_high",
+        "intra_trade_low"
+    ]
+
+    def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
+        """"""
+        super().__init__(cta_engine, strategy_name, vt_symbol, setting)
+        self.bg = BarGenerator(self.on_bar, 15, self.on_15min_bar)
+        self.am = ArrayManager()
+
+    def on_init(self):
+        """
+        Callback when strategy is inited.
+        """
+        self.write_log("策略初始化")
+
+        self.rsi_buy = 50 + self.rsi_entry
+        self.rsi_sell = 50 - self.rsi_entry
+
+        self.load_bar(10)
+
+    def on_start(self):
+        """
+        Callback when strategy is started.
+        """
+        self.write_log("策略启动")
+
+    def on_stop(self):
+        """
+        Callback when strategy is stopped.
+        """
+        self.write_log("策略停止")
+
+    def on_tick(self, tick: TickData):
+        """
+        Callback of new tick data update.
+        """
+        self.bg.update_tick(tick)
+
+    def on_bar(self, bar: BarData):
+        """
+        Callback of new bar data update.
+        """
+        self.bg.update_bar(bar)
+
+    def on_15min_bar(self, bar: BarData):
+        self.cancel_all()
+
+        am = self.am
+        am.update_bar(bar)
+        if not am.inited:
+            return
+
+        atr_array = am.atr(self.atr_length, array=True)
+        self.atr_value = atr_array[-1]
+        self.atr_ma = atr_array[-self.atr_ma_length:].mean()
+        self.rsi_value = am.rsi(self.rsi_length)
+
+        if self.pos == 0:
+            self.intra_trade_high = bar.high_price
+            self.intra_trade_low = bar.low_price
+
+            if self.atr_value > self.atr_ma:
+                if self.rsi_value > self.rsi_buy:
+                    price = bar.close_price * 1.01
+                    self.buy(Decimal(price), Decimal(self.fixed_size))
+                elif self.rsi_value < self.rsi_sell:
+                    price = bar.close_price * 0.99
+                    self.short(Decimal(price), Decimal(self.fixed_size))
+
+        elif self.pos > 0:
+            self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
+            self.intra_trade_low = bar.low_price
+            long_stop = self.intra_trade_high * (1 - self.trailing_percent / 100)
+            self.sell(Decimal(long_stop), Decimal(abs(self.pos)), stop=True)
+
+        elif self.pos < 0:
+            self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
+            self.intra_trade_high = bar.high_price
+
+            short_stop = self.intra_trade_low * (1 + self.trailing_percent / 100)
+            self.cover(Decimal(short_stop), Decimal(abs(self.pos)), stop=True)
+
+        self.put_event()
+
+    def on_order(self, order: OrderData):
+        """
+        Callback of new order data update.
+        """
+        pass
+
+    def on_trade(self, trade: TradeData):
+        """
+        Callback of new trade data update.
+        """
+        self.put_event()
+
+    def on_stop_order(self, stop_order: StopOrder):
+        """
+        Callback of stop order update.
+        """
+        pass