def sample_932(show=True):
"""
9.3.2 参数进行排列组合
:return:
"""
from abupy import ABuGridHelper
sell_factors_product = ABuGridHelper.gen_factor_grid(
ABuGridHelper.K_GEN_FACTOR_PARAMS_SELL,
[sell_atr_nstop_factor_grid, sell_atr_pre_factor_grid, sell_atr_close_factor_grid])
if show:
print('卖出因子参数共有{}种组合方式'.format(len(sell_factors_product)))
print('卖出因子组合0形式为{}'.format(sell_factors_product[0]))
buy_bk_factor_grid1 = {
'class': [AbuFactorBuyBreak],
'xd': [42]
}
buy_bk_factor_grid2 = {
'class': [AbuFactorBuyBreak],
'xd': [60]
}
buy_factors_product = ABuGridHelper.gen_factor_grid(
ABuGridHelper.K_GEN_FACTOR_PARAMS_BUY, [buy_bk_factor_grid1, buy_bk_factor_grid2])
if show:
print('买入因子参数共有{}种组合方式'.format(len(buy_factors_product)))
print('买入因子组合形式为{}'.format(buy_factors_product))
return sell_factors_product, buy_factors_product
def sample_932(show=True):
"""
9.3.2 参数进行排列组合
:return:
"""
from abupy import ABuGridHelper
sell_factors_product = ABuGridHelper.gen_factor_grid(
ABuGridHelper.K_GEN_FACTOR_PARAMS_SELL, [
sell_atr_nstop_factor_grid, sell_atr_pre_factor_grid,
sell_atr_close_factor_grid
])
if show:
print('卖出因子参数共有{}种组合方式'.format(len(sell_factors_product)))
print('卖出因子组合0形式为{}'.format(sell_factors_product[0]))
buy_bk_factor_grid1 = {'class': [AbuFactorBuyBreak], 'xd': [42]}
buy_bk_factor_grid2 = {'class': [AbuFactorBuyBreak], 'xd': [60]}
buy_factors_product = ABuGridHelper.gen_factor_grid(
ABuGridHelper.K_GEN_FACTOR_PARAMS_BUY,
[buy_bk_factor_grid1, buy_bk_factor_grid2])
if show:
print('买入因子参数共有{}种组合方式'.format(len(buy_factors_product)))
print('买入因子组合形式为{}'.format(buy_factors_product))
return sell_factors_product, buy_factors_product
targetUpAng = np.arange(200,310,1000)
targetDownAng = np.arange(-30,-20,3000)
skip_days_value = [0]
xd_value_range = np.arange(200,201,1)
stopWinSellPriceRate = [0.08]
stopLoseSellPriceRate = [-0.08]
waveMax = [8]
waveMin = [-8]
startDate='2019-05-09'
endDate='2020-03-06'
jiJinWave_grid = {'class': [AbujiJinWave], 'jiJinWaveAble':jiJinWaveAble,'windowBuy':windowBuy,'windowSell':windowSell,
'poly':poly,'xd':xd_value_range,'skip_days_value':skip_days_value,'pears_value':pears_value,
'targetUpAng':targetUpAng,'targetDownAng':targetDownAng,
'stopWinSellPriceRate':stopWinSellPriceRate,'stopLoseSellPriceRate':stopLoseSellPriceRate,'waveMax':waveMax,'waveMin':waveMin}
buy_factors_product = ABuGridHelper.gen_factor_grid(ABuGridHelper.K_GEN_FACTOR_PARAMS_BUY,[jiJinWave_grid])
# abupy.slippage.sbm.g_max_down_rate = 0.03
for buy_factors_product_item in buy_factors_product:
# buy_factors_product_item[0]['slippage'] = AbuSlippageBuyMinMax #指定买入滑点类
buy_factors_product_item[0]['slippage'] = AbuSlippageBuyOpen #指定买入滑点类
print('买入因子参数共有{}种组合方式'.format(len(buy_factors_product)))
#----------------------------卖出因子-----------------------------
sell_n_range = windowBuy
# sell_n_range = np.arange(1,2,1) # #设定买入后只持有天数，默认1
is_sell_today = True #设定买入n天后，当天还是隔天卖出。默认False。
# sell_atr_nstop_factor_grid = {'class':[AbuFactorSellNDay],'sell_n':sell_n_range}
sell_atr_nstop_factor_grid = {'class':[AbuFactorSellJiJinWave]}
# sell_atr_nstop_factor_grid = {'class':[AbuFactorSellMinMax]}
close_atr_range = np.arange(1.0, 4.0, 0.5)
pre_atr_range = np.arange(1.0, 3.5, 0.5)
sell_atr_pre_factor_grid = {
'class': [AbuFactorPreAtrNStop],
'pre_atr_n': pre_atr_range
}
sell_atr_close_factor_grid = {
'class': [AbuFactorCloseAtrNStop],
'close_atr_n': close_atr_range
}
sell_factors_product = ABuGridHelper.gen_factor_grid(
ABuGridHelper.K_GEN_FACTOR_PARAMS_SELL, [
sell_atr_nstop_factor_grid, sell_atr_pre_factor_grid,
sell_atr_close_factor_grid
],
need_empty_sell=True)
buy_bk_factor_grid1 = {'class': [AbuFactorBuyBreak], 'xd': [42]}
buy_bk_factor_grid2 = {'class': [AbuFactorBuyBreak], 'xd': [60]}
buy_factors_product = ABuGridHelper.gen_factor_grid(
ABuGridHelper.K_GEN_FACTOR_PARAMS_BUY,
[buy_bk_factor_grid1, buy_bk_factor_grid2])
read_cash = 100000
choice_symbols = ['usAAPL', 'usTSLA', 'usTQQQ']
grid_search = GridSearch(read_cash,
choice_symbols,