def onCollectTrace(self, bar: BarData) -> CollectData:
self.indicator.update_bar(bar)
self.lasted3Bar[:-1] = self.lasted3Bar[1:]
self.lasted3BarKdj[:-1] = self.lasted3BarKdj[1:]
k, d, j = self.indicator.kdj(fast_period=9, slow_period=3)
self.lasted3Bar[-1] = bar
self.lasted3BarKdj[-1] = [k, d, j]
if self.indicator.count >= 20:
from earnmi.chart.KPattern import KPattern
kPatternValue = KPattern.encode2KAgo1(self.indicator)
if not kPatternValue is None:
_kdj_mask = self.kdjEncoder.mask()
kPatternValue = kPatternValue * _kdj_mask * _kdj_mask + self.kdjEncoder.encode(
k) * _kdj_mask + self.kdjEncoder.encode(d)
dimen = Dimension(type=TYPE_2KAGO1, value=kPatternValue)
collectData = CollectData(dimen=dimen)
collectData.occurBars.append(self.lasted3Bar[-2])
collectData.occurBars.append(self.lasted3Bar[-1])
collectData.occurKdj.append(self.lasted3BarKdj[-2])
collectData.occurKdj.append(self.lasted3BarKdj[-1])
return collectData
return None
def onCollectTrace(self, bar: BarData) -> CollectData:
self.indicator.update_bar(bar)
self.lasted3Bar[:-1] = self.lasted3Bar[1:]
self.lasted3BarKdj[:-1] = self.lasted3BarKdj[1:]
k, d, j = self.indicator.kdj(fast_period=9, slow_period=3)
self.lasted3Bar[-1] = bar
self.lasted3BarKdj[-1] = [k, d, j]
timeKey = utils.to_start_date(bar.datetime)
if self.mDateOccurCountMap.get(timeKey) is None:
self.mDateOccurCountMap[timeKey] = 0
if self.indicator.count >= 30:
aroon_down, aroon_up = self.indicator.aroon(n=14, array=False)
from earnmi.chart.KPattern import KPattern
if aroon_up < aroon_down or aroon_up < 50:
return None
kPatternValue = KPattern.encode2KAgo1(self.indicator)
if not kPatternValue is None:
self.mDateOccurCountMap[timeKey] += 1
_kdj_mask = self.kdjEncoder.mask()
kPatternValue = kPatternValue * _kdj_mask * _kdj_mask + self.kdjEncoder.encode(
k) * _kdj_mask + self.kdjEncoder.encode(d)
dimen = Dimension(type=TYPE_2KAGO1, value=kPatternValue)
collectData = CollectData(dimen=dimen)
collectData.occurBars.append(self.lasted3Bar[-2])
collectData.occurBars.append(self.lasted3Bar[-1])
collectData.occurKdj.append(self.lasted3BarKdj[-2])
collectData.occurKdj.append(self.lasted3BarKdj[-1])
return collectData
return None
def collect(self, bar: BarData) -> TraceData:
self.indicator.update_bar(bar)
kPatternValue = KPattern.encode2KAgo1(self.indicator)
if not kPatternValue is None and self.indicator.count > 20:
self.collect_k_count += 1
traceData = Skip1_Predict2_TraceData(kPatternValue, bar)
traceData.code = bar.symbol
return traceData
return None
def checkIfTrace(self, newBar: BarData) -> TraceIn3DayItem:
self.indicator.update_bar(newBar)
kEncodeValue = KPattern.encode2KAgo1(self.indicator)
if kEncodeValue is None:
return None
if self.collectKPatternOnly and self.kPattersMap.get(
kEncodeValue) is None:
return None
return TraceIn3DayItem(kEncodeValue, newBar)
def findKPatternThatIn3Day(first_day_pct: float = 3, targe_pct=3):
sw = SWImpl()
lists = sw.getSW2List()
start = datetime(2014, 5, 1)
end = datetime(2020, 8, 17)
dataSet = {}
total_count = 0
for code in lists:
# for code in lists:
barList = sw.getSW2Daily(code, start, end)
indicator = Indicator(40)
traceItems: ['TraceIn3DayItem'] = []
for bar in barList:
###跟踪数据
toDeleteList = []
for traceItem in traceItems:
traceItem.onTraceBar(bar)
if traceItem.isFinished():
toDeleteList.append(traceItem)
if traceItem.isWanted():
###归纳到统计里面
dataItem: CountItem = dataSet.get(traceItem.kPattern)
if dataItem is None:
dataItem = CountItem()
dataSet[traceItem.kPattern] = dataItem
pct = traceItem.current_sell_pct
total_count += 1
dataItem.count_total += 1
dataItem.pct_total += pct
if traceItem.isSuccess():
dataItem.count_earn += 1
dataItem.pct_earn += pct
pass
for traceItem in toDeleteList:
traceItems.remove(traceItem)
indicator.update_bar(bar)
kEncodeValue = KPattern.encode2KAgo1(indicator)
if kEncodeValue is None:
continue
traceItem = TraceIn3DayItem(kEncodeValue, bar)
traceItems.append(traceItem)
##打印当前形态
occur_count = 0
print(f"总共分析{total_count}个形态，识别出{len(dataSet)}个形态，有意义的形态有：")
max_succ_rate = 0
min_succ_rate = 100
ret_list = []
for key, dataItem in dataSet.items():
success_rate = 100 * dataItem.count_earn / dataItem.count_total
if dataItem.count_total < 300:
continue
if success_rate < 40:
continue
ret_list.append(key)
if dataItem.count_earn > 0:
earn_pct = dataItem.pct_earn / dataItem.count_earn
else:
earn_pct = 0
avg_pct = dataItem.pct_total / dataItem.count_total
occur_count += dataItem.count_total
occur_rate = 100 * dataItem.count_total / total_count
max_succ_rate = max(success_rate, max_succ_rate)
min_succ_rate = min(success_rate, min_succ_rate)
print(
f"{key}： total={dataItem.count_total},suc=%.2f%%,occur_rate=%.2f%%,earn_pct:%.2f%%,avg_pct:%.2f%%)"
% (success_rate, occur_rate, earn_pct, avg_pct))
total_occur_rate = 100 * occur_count / total_count
print(f"总共：occur_rate=%.2f%%, min_succ_rate=%.2f%%, max_succ_rate=%.2f%%" %
(total_occur_rate, min_succ_rate, max_succ_rate))
print(f"{ret_list}")
def printKPatterMoreDetail(kPatters=[
535, 359, 1239, 1415, 1072, 712, 1412, 1240, 1413, 888, 2823, 706, 1414,
1064
]):
from vnpy.trader.constant import Exchange
from vnpy.trader.constant import Interval
sw = SWImpl()
lists = sw.getSW2List()
start = datetime(2014, 5, 1)
end = datetime(2020, 8, 17)
pct_split = [-7, -5, -3, -1.5, -0.5, 0.5, 1.5, 3, 5, 7]
#pct_split = [-7, -5, -3, -1.0, 0, 1, 3, 5, 7]
pct_split = [2]
pctEncoder = FloatEncoder(pct_split)
kPattersMap = {}
for value in kPatters:
kPattersMap[value] = True
class InnerData(object):
kValue: int ##
sell_disbute = np.zeros(pctEncoder.mask()) ##卖方力量分布情况
buy_disbute = np.zeros(pctEncoder.mask()) #买方力量分布情况
pass
dataSet = {}
occurDayMap = {}
allTrayDay = 1
for code in lists:
# for code in lists:
barList = sw.getSW2Daily(code, start, end)
indicator = Indicator(40)
traceItems: ['TraceIn3DayItem'] = []
allTrayDay = max(allTrayDay, len(barList))
for bar in barList:
###跟踪数据
toDeleteList = []
for traceItem in traceItems:
traceItem.onTraceBar(bar)
if traceItem.isFinished():
toDeleteList.append(traceItem)
if traceItem.isWanted():
occurBar = traceItem.firstBar
dayKey = occurBar.datetime.year * 13 * 35 + occurBar.datetime.month * 13 + occurBar.datetime.day
occurDayMap[dayKey] = True
###归纳到统计里面
innerData: InnerData = dataSet.get(traceItem.kPattern)
if innerData is None:
innerData = InnerData()
innerData.kValue = traceItem.kPattern
dataSet[traceItem.kPattern] = innerData
sell_pct = traceItem.current_sell_pct
buy_pct = traceItem.current_buy_pct
innerData.buy_disbute[pctEncoder.encode(buy_pct)] += 1
innerData.sell_disbute[pctEncoder.encode(
sell_pct)] += 1
pass
for traceItem in toDeleteList:
traceItems.remove(traceItem)
indicator.update_bar(bar)
kEncodeValue = KPattern.encode2KAgo1(indicator)
if kEncodeValue is None or kPattersMap.get(kEncodeValue) is None:
continue
traceItem = TraceIn3DayItem(kEncodeValue, bar)
traceItems.append(traceItem)
print(f"所有交易日中，有意义的k线形态出现占比：%.2f%%" %
(100 * len(occurDayMap) / allTrayDay))
for kValue, dataItem in dataSet.items():
total_count1 = 0
total_count2 = 0
for cnt in dataItem.sell_disbute:
total_count1 += cnt
for cnt in dataItem.buy_disbute:
total_count2 += cnt
assert total_count1 == total_count2
assert total_count1 > 0
print(f"\n\nk:%6d, " % (kValue))
print(f" 卖方价格分布：")
for encode in range(0, len(dataItem.sell_disbute)):
occurtRate = 100 * dataItem.sell_disbute[encode] / total_count1
print(f" {pctEncoder.descriptEncdoe(encode)}：%.2f%%" %
(occurtRate))
print(f" 买方价格分布：")
for encode in range(0, len(dataItem.buy_disbute)):
occurtRate = 100 * dataItem.buy_disbute[encode] / total_count1
print(f" {pctEncoder.descriptEncdoe(encode)}：%.2f%%" %
(occurtRate))
pass