KDJ Stock Strategy with Adjustable Entry and Exit Risk Controls
Article Strategy library · Author: Myquant
Summary
This document presents a stock trading strategy implemented with a market data and trading framework. It loads a stock pool and strategy settings, prepares adjusted historical high, low, and close data, and maintains rolling price histories for indicator calculations. The configuration includes KDJ-related periods and thresholds, along with optional fixed and trailing profit or loss controls. The visible code also tracks positions and entry-period price extremes for managing exits.
The source is incomplete: the central bar-processing logic is truncated, so the precise entry conditions, indicator calculations, and full order behavior cannot be established from the supplied text. It gives no backtest results or performance evidence. The framework configuration supports playback and live modes, but the excerpt does not specify a tested universe, evaluation period, or transaction cost assumptions. Treat it as an implementation outline rather than a fully documented or validated trading system.
Key ideas
- The strategy prepares rolling adjusted daily high, low, and close series for stock symbols.
- Its configuration includes KDJ parameters and optional fixed or trailing stop controls.
- Position entry extremes and holding duration are tracked to support exit management.
- The truncated bar logic prevents confirmation of the exact signals or complete trading rules.
- No performance results are provided, so effectiveness cannot be assessed from this document.
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Full text
# KDJ_STOCK
# KDJ_STOCK
## Source (Apache-2.0)
```python
#!/usr/bin/env python
# encoding: utf-8
import sys
import logging
import logging.config
import configparser
import csv
import numpy as np
import datetime
import talib
import arrow
from gmsdk import *
EPS = 1e-6
INIT_LOW_PRICE = 10000000
INIT_HIGH_PRICE = -1
INIT_CLOSE_PRICE = 0
class KDJ_STOCK(StrategyBase):
cls_config = None
cls_user_name = None
cls_password = None
cls_mode = None
cls_td_addr = None
cls_strategy_id = None
cls_subscribe_symbols = None
cls_stock_pool = []
cls_backtest_start = None
cls_backtest_end = None
cls_initial_cash = 1000000
cls_transaction_ratio = 1
cls_commission_ratio = 0.0
cls_slippage_ratio = 0.0
cls_price_type = 1
cls_bench_symbol = None
def __init__(self, *args, **kwargs):
super(KDJ_STOCK, self).__init__(*args, **kwargs)
self.cur_date = None
self.dict_price = {}
self.dict_open_close_signal = {}
self.dict_entry_high_low = {}
self.dict_last_factor = {}
self.dict_open_cum_days = {}
@classmethod
def read_ini(cls, ini_name):
"""
功能：读取策略配置文件
"""
cls.cls_config = configparser.ConfigParser()
cls.cls_config.read(ini_name)
@classmethod
def get_strategy_conf(cls):
"""
功能：读取策略配置文件strategy段落的值
"""
if cls.cls_config is None:
return
cls.cls_user_name = cls.cls_config.get('strategy', 'username')
cls.cls_password = cls.cls_config.get('strategy', 'password')
cls.cls_strategy_id = cls.cls_config.get('strategy', 'strategy_id')
cls.cls_subscribe_symbols = cls.cls_config.get('strategy', 'subscribe_symbols')
cls.cls_mode = cls.cls_config.getint('strategy', 'mode')
cls.cls_td_addr = cls.cls_config.get('strategy', 'td_addr')
if len(cls.cls_subscribe_symbols) <= 0:
cls.get_subscribe_stock()
else:
subscribe_ls = cls.cls_subscribe_symbols.split(',')
for data in subscribe_ls:
index1 = data.find('.')
index2 = data.find('.', index1 + 1, -1)
cls.cls_stock_pool.append(data[:index2])
return
@classmethod
def get_backtest_conf(cls):
"""
功能：读取策略配置文件backtest段落的值
"""
if cls.cls_config is None:
return
cls.cls_backtest_start = cls.cls_config.get('backtest', 'start_time')
cls.cls_backtest_end = cls.cls_config.get('backtest', 'end_time')
cls.cls_initial_cash = cls.cls_config.getfloat('backtest', 'initial_cash')
cls.cls_transaction_ratio = cls.cls_config.getfloat('backtest', 'transaction_ratio')
cls.cls_commission_ratio = cls.cls_config.getfloat('backtest', 'commission_ratio')
cls.cls_slippage_ratio = cls.cls_config.getfloat('backtest', 'slippage_ratio')
cls.cls_price_type = cls.cls_config.getint('backtest', 'price_type')
cls.cls_bench_symbol = cls.cls_config.get('backtest', 'bench_symbol')
return
@classmethod
def get_stock_pool(cls, csv_file):
"""
功能：获取股票池中的代码
"""
csvfile = open(csv_file, 'r')
reader = csv.reader(csvfile)
for line in reader:
cls.cls_stock_pool.append(line[0])
return
@classmethod
def get_subscribe_stock(cls):
"""
功能：获取订阅代码
"""
cls.get_stock_pool('stock_pool.csv')
bar_type = cls.cls_config.getint('para', 'bar_type')
if 86400 == bar_type:
bar_type_str = '.bar.' + 'daily'
else:
bar_type_str = '.bar.' + '%d' % cls.cls_config.getint('para', 'bar_type')
cls.cls_subscribe_symbols = ','.join(data + bar_type_str for data in cls.cls_stock_pool)
return
def utc_strtime(self, utc_time):
"""
功能：utc转字符串时间
"""
str_time = '%s' % arrow.get(utc_time).to('local')
str_time.replace('T', ' ')
str_time = str_time.replace('T', ' ')
return str_time[:19]
def get_para_conf(self):
"""
功能：读取策略配置文件para(自定义参数)段落的值
"""
if self.cls_config is None:
return
self.fastk_period = self.cls_config.getint('para', 'fastk_period')
self.slowk_period = self.cls_config.getint('para', 'slowk_period')
self.slowk_matype = self.cls_config.getint('para', 'slowk_matype')
self.slowd_period = self.cls_config.getint('para', 'slowd_period')
self.slowd_matype = self.cls_config.getint('para', 'slowd_matype')
self.slowk_bid = self.cls_config.getint('para', 'slowk_bid')
self.slowk_sell = self.cls_config.getint('para', 'slowk_sell')
self.slowd_bid = self.cls_config.getint('para', 'slowd_bid')
self.slowd_sell = self.cls_config.getint('para', 'slowd_sell')
self.hist_size = self.cls_config.getint('para', 'hist_size')
self.open_vol = self.cls_config.getint('para', 'open_vol')
self.open_max_days = self.cls_config.getint('para', 'open_max_days')
self.is_fixation_stop = self.cls_config.getint('para', 'is_fixation_stop')
self.is_movement_stop = self.cls_config.getint('para', 'is_movement_stop')
self.stop_fixation_profit = self.cls_config.getfloat('para', 'stop_fixation_profit')
self.stop_fixation_loss = self.cls_config.getfloat('para', 'stop_fixation_loss')
self.stop_movement_profit = self.cls_config.getfloat('para', 'stop_movement_profit')
return
def init_strategy(self):
"""
功能：策略启动初始化操作
"""
if self.cls_mode == gm.MD_MODE_PLAYBACK:
self.cur_date = self.cls_backtest_start
self.end_date = self.cls_backtest_end
else:
self.cur_date = datetime.date.today().strftime('%Y-%m-%d') + ' 08:00:00'
self.end_date = datetime.date.today().strftime('%Y-%m-%d') + ' 16:00:00'
self.dict_open_close_signal = {}
self.dict_entry_high_low = {}
self.get_last_factor()
self.init_data()
self.init_entry_high_low()
return
def init_data(self):
"""
功能：获取订阅代码的初始化数据
"""
for ticker in self.cls_stock_pool:
# 初始化开仓操作信号字典
self.dict_open_close_signal.setdefault(ticker, False)
daily_bars = self.get_last_n_dailybars(ticker, self.hist_size - 1, self.cur_date)
if len(daily_bars) <= 0:
continue
end_daily_bars = self.get_last_n_dailybars(ticker, 1, self.end_date)
if len(end_daily_bars) <= 0:
continue
if ticker not in self.dict_last_factor:
continue
end_adj_factor = self.dict_last_factor[ticker]
high_ls = [data.high * data.adj_factor / end_adj_factor for data in daily_bars]
high_ls.reverse()
low_ls = [data.low * data.adj_factor / end_adj_factor for data in daily_bars]
low_ls.reverse()
cp_ls = [data.close * data.adj_factor / end_adj_factor for data in daily_bars]
cp_ls.reverse()
# 留出一个空位存储当天的一笔数据
high_ls.append(INIT_HIGH_PRICE)
high = np.asarray(high_ls, dtype=np.float)
low_ls.append(INIT_LOW_PRICE)
low = np.asarray(low_ls, dtype=np.float)
cp_ls.append(INIT_CLOSE_PRICE)
close = np.asarray(cp_ls, dtype=np.float)
# 存储历史的high low close
self.dict_price.setdefault(ticker, [high, low, close])
# end = time.clock()
# logging.info('init_data cost time: %f s' % (end - start))
def init_data_newday(self):
"""
功能：新的一天初始化数据
"""
# 新的一天，去掉第一笔数据,并留出一个空位存储当天的一笔数据
for key in self.dict_price:
if len(self.dict_price[key][0]) >= self.hist_size and self.dict_price[key][0][-1] > INIT_HIGH_PRICE:
self.dict_price[key][0] = np.append(self.dict_price[key][0][1:], INIT_HIGH_PRICE)
elif len(self.dict_price[key][0]) < self.hist_size and self.dict_price[key][0][-1] > INIT_HIGH_PRICE:
# 未取足指标所需全部历史数据时回测过程中补充数据
self.dict_price[key][0] = np.append(self.dict_price[key][0][:], INIT_HIGH_PRICE)
if len(self.dict_price[key][1]) >= self.hist_size and self.dict_price[key][1][-1] < INIT_LOW_PRICE:
self.dict_price[key][1] = np.append(self.dict_price[key][1][1:], INIT_LOW_PRICE)
elif len(self.dict_price[key][1]) < self.hist_size and self.dict_price[key][1][-1] < INIT_LOW_PRICE:
self.dict_price[key][1] = np.append(self.dict_price[key][1][:], INIT_LOW_PRICE)
if len(self.dict_price[key][2]) >= self.hist_size and abs(
self.dict_price[key][2][-1] - INIT_CLOSE_PRICE) > EPS:
self.dict_price[key][2] = np.append(self.dict_price[key][2][1:], INIT_CLOSE_PRICE)
elif len(self.dict_price[key][2]) < self.hist_size and abs(
self.dict_price[key][2][-1] - INIT_CLOSE_PRICE) > EPS:
self.dict_price[key][2] = np.append(self.dict_price[key][2][:], INIT_CLOSE_PRICE)
# 初始化开仓操作信号字典
for key in self.dict_open_close_signal:
self.dict_open_close_signal[key] = False
# 开仓后到当前的交易日天数
keys = list(self.dict_open_cum_days.keys())
for key in keys:
if self.dict_open_cum_days[key] >= self.open_max_days:
del self.dict_open_cum_days[key]
else:
self.dict_open_cum_days[key] += 1
def get_last_factor(self):
"""
功能：获取指定日期最新的复权因子
"""
for ticker in self.cls_stock_pool:
daily_bars = self.get_last_n_dailybars(ticker, 1, self.end_date)
if daily_bars is not None and len(daily_bars) > 0:
self.dict_last_factor.setdefault(ticker, daily_bars[0].adj_factor)
def init_entry_high_low(self):
"""
功能：获取进场后的最高价和最低价,仿真或实盘交易启动时加载
"""
pos_list = self.get_positions()
high_list = []
low_list = []
for pos in pos_list:
symbol = pos.exchange + '.' + pos.sec_id
init_time = self.utc_strtime(pos.init_time)
cur_time = datetime.datetime.now().strftime('%Y-%m-%d %H:%M:%S')
daily_bars = self.get_dailybars(symbol, init_time, cur_time)
high_list = [bar.high for bar in daily_bars]
low_list = [bar.low for bar in daily_bars]
if len(high_list) > 0:
highest = np.max(high_list)
else:
highest = pos.vwap
if len(low_list) > 0:
lowest = np.min(low_list)
else:
lowest = pos.vwap
self.dict_entry_high_low.setdefault(symbol, [highest, lowest])
def on_bar(self, bar):
if self.cls_mode == gm.MD_MODE_PLAYBACK:
if bar.strtime[0:10] != self.cur_date[0:10]:
self.cur_date = bar.strtime[0:10] + ' 08:00:00'
# 新的交易日
self.init_data_newday()
symbol = bar.exchange + '.' + bar.sec_id
self.movement_stop_profit_loss(bar)
self.fixation_stop_profit_loss(bar)
pos = self.get_position(bar.exchange, bar.sec_id, OrderSide_Bid)
# 补充当天价格
if symbol in self.dict_price:
if self.dict_price[symbol][0][-1] < bar.high:
self.dict_price[symbol][0][-1] = bar.high
if self.dict_price[symbol][1][-1] > bar.low:
self.dict_price[symbol][1][-1] = bar.low
self.dict_price[symbol][2][-1] = bar.close
if self.dict_open_close_signal[symbol] is False:
# 当天未有对该代码开、平仓
if symbol in self.dict_price:
slowk, slowd = talib.STOCH(high=self.dict_price[symbol][0],
low=self.dict_price[symbol][1],
close=self.dict_price[symbol][2],
fastk_period=self.fastk_period,
slowk_period=self.slowk_period,
slowk_matype=self.slowk_matype,
slowd_period=self.slowd_period,
slowd_matype=self.slowd_matype)
if pos is None and symbol not in self.dict_open_cum_days \
and (slowk[-1] < self.slowk_bid or slowd[-1] < self.slowd_bid):
# 有开仓机会则设置已开仓的交易天数
self.dict_open_cum_days[symbol] = 0
cash = self.get_cash()
cur_open_vol = self.open_vol
if cash.available / bar.close > self.open_vol:
cur_open_vol = self.open_vol
else:
cur_open_vol = int(cash.available / bar.close / 100) * 100
if cur_open_vol == 0:
print('no available cash to buy, available cash: %.2f' % cash.available)
else:
self.open_long(bar.exchange, bar.sec_id, bar.close, cur_open_vol)
self.dict_open_close_signal[symbol] = True
logging.info('open long, symbol:%s, time:%s, price:%.2f' % (symbol, bar.strtime, bar.close))
elif pos is not None and (slowk[-1] > self.slowk_sell or slowd[-1] > self.slowd_sell):
vol = pos.volume - pos.volume_today
if vol > 0:
self.close_long(bar.exchange, bar.sec_id, bar.close, vol)
self.dict_open_close_signal[symbol] = True
logging.info('close long, symbol:%s, time:%s, price:%.2f' % (symbol, bar.strtime, bar.close))
def on_order_filled(self, order):
symbol = order.exchange + '.' + order.sec_id
if order.position_effect == PositionEffect_CloseYesterday \
and order.side == OrderSide_Bid:
pos = self.get_position(order.exchange, order.sec_id, order.side)
if pos is None and self.is_movement_stop == 1:
self.dict_entry_high_low.pop(symbol)
def fixation_stop_profit_loss(self, bar):
"""
功能：固定止盈、止损,盈利或亏损超过了设置的比率则执行止盈、止损
"""
if self.is_fixation_stop == 0:
return
symbol = bar.exchange + '.' + bar.sec_id
pos = self.get_position(bar.exchange, bar.sec_id, OrderSide_Bid)
if pos is not None:
if pos.fpnl > 0 and pos.fpnl / pos.cost >= self.stop_fixation_profit:
self.close_long(bar.exchange, bar.sec_id, 0, pos.volume - pos.volume_today)
self.dict_open_close_signal[symbol] = True
logging.info(
'fixnation stop profit: close long, symbol:%s, time:%s, price:%.2f, vwap: %s, volume:%s' % (symbol,
bar.strtime,
bar.close,
pos.vwap,
pos.volume))
elif pos.fpnl < 0 and pos.fpnl / pos.cost <= -1 * self.stop_fixation_loss:
self.close_long(bar.exchange, bar.sec_id, 0, pos.volume - pos.volume_today)
self.dict_open_close_signal[symbol] = True
logging.info(
'fixnation stop loss: close long, symbol:%s, time:%s, price:%.2f, vwap:%s, volume:%s' % (symbol,
bar.strtime,
bar.close,
pos.vwap,
pos.volume))
def movement_stop_profit_loss(self, bar):
"""
功能：移动止盈, 移动止盈止损按进场后的最高价乘以设置的比率与当前价格相比，
并且盈利比率达到设定的盈亏比率时，执行止盈
"""
if self.is_movement_stop == 0:
return
entry_high = None
entry_low = None
pos = self.get_position(bar.exchange, bar.sec_id, OrderSide_Bid)
symbol = bar.exchange + '.' + bar.sec_id
is_stop_profit = True
if pos is not None and pos.volume > 0:
if symbol in self.dict_entry_high_low:
if self.dict_entry_high_low[symbol][0] < bar.close:
self.dict_entry_high_low[symbol][0] = bar.close
is_stop_profit = False
if self.dict_entry_high_low[symbol][1] > bar.close:
self.dict_entry_high_low[symbol][1] = bar.close
[entry_high, entry_low] = self.dict_entry_high_low[symbol]
else:
self.dict_entry_high_low.setdefault(symbol, [bar.close, bar.close])
[entry_high, entry_low] = self.dict_entry_high_low[symbol]
is_stop_profit = False
if is_stop_profit:
# 移动止盈
if bar.close <= (
1 - self.stop_movement_profit) * entry_high and pos.fpnl / pos.cost >= self.stop_fixation_profit:
if pos.volume - pos.volume_today > 0:
self.close_long(bar.exchange, bar.sec_id, 0, pos.volume - pos.volume_today)
self.dict_open_close_signal[symbol] = True
logging.info(
'movement stop profit: close long, symbol:%s, time:%s, price:%.2f, vwap:%.2f, volume:%s' % (
symbol, bar.strtime, bar.close, pos.vwap, pos.volume))
# 止损
if pos.fpnl < 0 and pos.fpnl / pos.cost <= -1 * self.stop_fixation_loss:
self.close_long(bar.exchange, bar.sec_id, 0, pos.volume - pos.volume_today)
self.dict_open_close_signal[symbol] = True
logging.info(
'movement stop loss: close long, symbol:%s, time:%s, price:%.2f, vwap:%.2f, volume:%s' % (symbol,
bar.strtime,
bar.close,
pos.vwap,
pos.volume))
if __name__ == '__main__':
print(get_version())
logging.config.fileConfig('kdj_stock.ini')
KDJ_STOCK.read_ini('kdj_stock.ini')
KDJ_STOCK.get_strategy_conf()
kdj_stock = KDJ_STOCK(username=KDJ_STOCK.cls_user_name,
password=KDJ_STOCK.cls_password,
strategy_id=KDJ_STOCK.cls_strategy_id,
subscribe_symbols=KDJ_STOCK.cls_subscribe_symbols,
mode=KDJ_STOCK.cls_mode,
td_addr=KDJ_STOCK.cls_td_addr)
if KDJ_STOCK.cls_mode == gm.MD_MODE_PLAYBACK:
KDJ_STOCK.get_backtest_conf()
ret = kdj_stock.backtest_config(start_time=KDJ_STOCK.cls_backtest_start,
end_time=KDJ_STOCK.cls_backtest_end,
initial_cash=KDJ_STOCK.cls_initial_cash,
transaction_ratio=KDJ_STOCK.cls_transaction_ratio,
commission_ratio=KDJ_STOCK.cls_commission_ratio,
slippage_ratio=KDJ_STOCK.cls_slippage_ratio,
price_type=KDJ_STOCK.cls_price_type,
bench_symbol=KDJ_STOCK.cls_bench_symbol)
kdj_stock.get_para_conf()
kdj_stock.init_strategy()
ret = kdj_stock.run()
print('run result %s' % ret)
```Shown in full with attribution under the source's licence. Licence: Apache-2.0
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.