def main(ifcode, period_short, period_long):
rs = []
total = 0
pos_num = 0
nag_num = 0
date_list = ifcode_day_map(ifcode)
for day in date_list:
df = get_data(ifcode, day)
#df = point_prosess_v2(_df, 30)
df['ema_short'] = Indicator.ewma_metric(period_short, df[['price']],
'price')
df['ema_long'] = Indicator.ewma_metric(period_long, df[['price']],
'price')
sig_infos = SellSignal.compare_ema(df, period_short, offset=5)
profit_infos = SellSignal.profit_infos(sig_infos)
profit_all = 0
trans_num = (len(profit_infos) + 1) / 2
for item in profit_infos:
if item['gain'] != '-':
profit_all += int(item['gain'])
rs.append({day: profit_all, 'trans_num': trans_num})
total += profit_all
if profit_all >= 0:
pos_num += 1
elif profit_all < 0:
nag_num += 1
pprint(rs)
print '%s total: %s' % (ifcode, total)
print '%s profit rate: %.2f' % (ifcode, pos_num * 1.0 / nag_num)
def save_df(df_list, ifcode, today, period_short, period_long):
df = pd.DataFrame(df_list, columns=['time_index', 'price', 'volume'])
price = list(df['price'])
df['ema_short'] = Indicator.ema_metric(period_short, price)
df['ema_long'] = Indicator.ema_metric(period_long, price)
#macd
macd_df = point_prosess_v3(df, 8)
macd_df['ma_short'] = Indicator.ewma_metric(12, macd_df[['price']], 'price', False)
macd_df['ma_long'] = Indicator.ewma_metric(26, macd_df[['price']], 'price', False)
macd_df['macd_dif'] = macd_df['ma_short'] - macd_df['ma_long']
macd_dif = list(macd_df['macd_dif'])
macd_df['macd_dem'] = Indicator.ewma_metric(9, macd_df[['macd_dif']], 'macd_dif')
_macd_file = '%s/%s_%s_macd' % (validate_df_dir, ifcode, today)
macd_df.to_csv(_macd_file, index=False)
sig_infos = PushSellSignal.compare_sig(macd_df, 'macd_dif', 'macd_dem', 16)
profit_infos = PushSellSignal.profit_infos(sig_infos)
print '*******macd******'
print profit_infos
print len(profit_infos)
_file = '%s/%s_%s' % (validate_df_dir, ifcode, today)
df.to_csv(_file, index=False)
sig_infos = PushSellSignal.compare_sig(df, 'ema_short', 'ema_long')
profit_infos = PushSellSignal.profit_infos(sig_infos)
print '*******ema*******'
print profit_infos
print len(profit_infos)
def macd_df(_df, period_short, period_long, period_dif=9):
df = point_prosess_v2(_df, 59)
df['ma_short'] = Indicator.ewma_metric(period_short, df[['price']],
'price')
df['ma_long'] = Indicator.ewma_metric(period_long, df[['price']], 'price')
df['macd_dif'] = df['ma_short'] - df['ma_long']
df['macd_dem'] = Indicator.ewma_metric(period_dif, df[['macd_dif']],
'macd_dif')
return df
def macd_df(cls, date, ifcode, period_short, period_long, period_dif,
pre_point, pre_time):
data = BacktestData.get_macd_data_by_ifcode(date, ifcode, pre_time)
if not data:
return pd.DataFrame()
_df = pd.DataFrame(data, columns=['time_index', 'price', 'volume'])
df = point_prosess_v3(_df, pre_point)
#df = point_prosess_v2(_df, pre_point)
df['ma_short'] = Indicator.ewma_metric(period_short, df[['price']],
'price', False)
df['ma_long'] = Indicator.ewma_metric(period_long, df[['price']],
'price', False)
df['macd_dif'] = df['ma_short'] - df['ma_long']
df['macd_dem'] = Indicator.ewma_metric(period_dif, df[['macd_dif']],
'macd_dif', True)
return df
def push_signal(df_list,
code,
ifcode,
today,
period_short=12,
period_long=26,
period_dif=9):
df = pd.DataFrame(df_list, columns=['time_index', 'price', 'volume'])
#macd
macd_df = point_prosess_v3(df, 8)
macd_df['ma_short'] = Indicator.ewma_metric(period_short,
macd_df[['price']], 'price',
False)
macd_df['ma_long'] = Indicator.ewma_metric(period_long, macd_df[['price']],
'price', False)
macd_df['macd_dif'] = macd_df['ma_short'] - macd_df['ma_long']
macd_df['macd_dem'] = Indicator.ewma_metric(period_dif,
macd_df[['macd_dif']],
'macd_dif')
sig_infos = PushSellSignal.compare_sig(macd_df, 'macd_dif', 'macd_dem', 14)
profit_infos = PushSellSignal.profit_infos(sig_infos)
trans_session = get_trans_session(ifcode, today)
if is_push(profit_infos, ifcode, today):
if len(profit_infos) == 1:
print 'init message~!'
time_str = datetime.now().strftime('%Y-%m-%d %H:%M:%S')
info_dict = profit_infos[0]
theevent = info_dict.get('event', '')
is_success = 'failed'
r = 'init info'
#添加交易接口
if theevent == '卖出信号':
r = trans_short_start(trans_session, code, ifcode.upper())
if 'error_info' not in r:
is_success = '交易成功'
elif theevent == '买入信号':
r = trans_long_start(trans_session, code, ifcode.upper())
if 'error_info' not in r:
is_success = '交易成功'
tip = 'macd 策略: \n%s, 交易价格: %s; 时间: %s; %s' % (info_dict.get(
'event', ''), info_dict.get('price', 0), time_str, is_success)
push_sig(tip, r)
elif len(profit_infos) >= 2:
print 'push message~!'
time_str = datetime.now().strftime('%Y-%m-%d %H:%M:%S')
info_dict_1 = profit_infos[-2]
info_dict_2 = profit_infos[-1]
_p = info_dict_2.get('price', 0)
trading_fee = cal_fee(_p)
_g = info_dict_1.get('gain', 0)
gain = _g - trading_fee
theevent = info_dict_2.get('event', '')
is_success = 'failed'
r = 'init info'
#添加交易接口
if theevent == '卖出信号':
r1 = trans_short_close(trans_session, code, ifcode.upper())
r2 = trans_short_start(trans_session, code, ifcode.upper())
r = r1 + r2
if ('error_info' not in r1 and 'error_info' not in r2) or (
'error_no":"30' in r1 and 'error_info' not in r2):
is_success = '交易成功'
elif theevent == '买入信号':
r1 = trans_long_close(trans_session, code, ifcode.upper())
r2 = trans_long_start(trans_session, code, ifcode.upper())
r = r1 + r2
if ('error_info' not in r1 and 'error_info' not in r2) or (
'error_no":"30' in r1 and 'error_info' not in r2):
is_success = '交易成功'
elif theevent == '收盘平仓':
_event = profit_infos[-3]
if _event.get('event', '') == '买入信号':
r = trans_short_close(trans_session, code, ifcode.upper())
if 'error_info' not in r:
is_success = '交易成功'
elif _event.get('event', '') == '卖出信号':
r = trans_long_close(trans_session, code, ifcode.upper())
if 'error_info' not in r:
is_success = '交易成功'
tip = 'macd 策略: \n%s, 盈利: %s, 实际盈利: %s, 交易费用: %s; \n%s, 交易价格: %s; 时间: %s; %s' % (
info_dict_1.get('event', ''), _g, gain, trading_fee,
info_dict_2.get('event', ''), _p, time_str, is_success)
push_sig(tip, r)