def rotate( dbcur, secs, max_hold , start_day , end_day ):
md_his_data = fetch_md_his_for_faster_horse2( dbcur, secs)
make_indices_by_MA_delta( dbcur, secs, md_his_data, 0, 0 )
bt,trans_num = sim_rotate( md_his_data, max_hold , start_day, end_day)
suffix = ""
if "" != start_day:
suffix = ".%s_%s" % (start_day, end_day)
plotter.generate_htm_chart_for_faster_horse2( secs, bt , suffix)
first_entry = bt[0]
last_entry = bt[len(bt) - 1 ]
#net_value = math.exp( last_entry [ len(secs) +1] )
net_value = last_entry [ len(secs) +1] / INITIAL_BALANCE
legs = []
for i,sec in enumerate(secs):
#print "%s " % str(sec)
legs.append( math.exp( last_entry [ i + 1] - first_entry[ i + 1] ))
#net_value = 0
#print "以上fh2\n"
return ( net_value , len(bt) , trans_num, legs )
def faster_horse2( dbcur, secs, MA_Size1, switch_threshold , start_day , end_day ):
md_his_data = fetch_md_his_for_faster_horse2( dbcur, secs)
#make_indices_by_last_delta( dbcur, secs, md_his_data )
make_indices_by_MA_delta( dbcur, secs, md_his_data, MA_Size1, 0 )
#pp = pprint.PrettyPrinter(indent=4)
#pp.pprint(md_his_data)
#bt,trans_num = sim_faster_horse2( md_his_data, start_day, end_day)
bt,trans_num = sim_faster_horse3( md_his_data, switch_threshold , start_day, end_day)
suffix = ""
if "" != start_day:
suffix = ".%s_%s" % (start_day, end_day)
plotter.generate_htm_chart_for_faster_horse2( secs, bt , suffix)
first_entry = bt[0]
last_entry = bt[len(bt) - 1 ]
net_value = math.exp( last_entry [ len(secs) +1] )
legs = []
for i,sec in enumerate(secs):
#print "%s " % str(sec)
legs.append( math.exp( last_entry [ i + 1] - first_entry[ i + 1] ))
#net_value = 0
#print "以上fh2\n"
return ( net_value , len(bt) , trans_num, legs )
def sh50_buy_worst_ma(engine, start_day, end_day, max_hold, howlong, base_code,
base_name): # N日相对均线最遭
#从DB抓日线数据
conn = engine.connect()
# 获取日线数据
# 返回数组
# T_day1, {证券1:证券1的行情, 证券2:证券2的行情, ... }
# T_day2, {证券1:证券1的行情, 证券2:证券2的行情, ... }
# T_day3, {证券1:证券1的行情, 证券2:证券2的行情, ... }
# ...
# 其中‘行情’ 是 [收盘价，前日收盘，涨幅， 涨停标志，停牌标志]
his_md = db_operator.db_fetch_dailyline(conn, start_day)
# 在日线数据中，扩充加入指标数据
# 返回时，数组md_his_data扩充为
# T_day1, {证券1:证券1的行情, 证券2:证券2的行情, ... }, {证券1:证券1的行情, 证券2:证券2的行情, ... }
# T_day2, {证券1:证券1的行情, 证券2:证券2的行情, ... }, {证券1:证券1的行情, 证券2:证券2的行情, ... }
# T_day3, {证券1:证券1的行情, 证券2:证券2的行情, ... }, {证券1:证券1的行情, 证券2:证券2的行情, ... }
# ...
# ‘指标’ 是 [可买标志，均线偏离度， 均线]
make_indices_by_MA_delta(conn, his_md, howlong)
result, trans_num, trans_cost = sim_rotate_buy_worst(
his_md, max_hold, howlong, base_code, start_day, end_day)
# Output: 2-D array , 交易数， 交易成本
# 日期 基准收盘价 策略净值 交易次数 换仓详细
# ...
#
#util.bp( result)
#准备画图
#chart_head = ['日期', '50指数', 'MA10' ]
#chart_data=[]
#for entry in his_md:
# row = [ entry[0], entry[1][FH_BASE_CODE][0] , entry[2][FH_BASE_CODE][2] ]
# chart_data.append(row)
#plotter.simple_generate_line_chart( chart_head, chart_data)
base_info = data_struct.SecurityInfo()
base_info.code = base_code
base_info.name = base_name
secs = [base_info]
suffix = ".from_%s" % start_day
plotter.generate_htm_chart_for_faster_horse2(secs, result, suffix)
#show summary
t_day_num = len(result)
base_delta = result[t_day_num - 1][1] / result[0][1]
policy_delta = result[t_day_num - 1][2] / result[0][2]
print "%d日最糟, %s ~ %s, %d个交易日，交易%d笔，交易成本%f，基准表现%f，策略表现%f" % (
howlong, result[0][0], result[t_day_num - 1][0], t_day_num, trans_num,
trans_cost, base_delta, policy_delta)
def bt_brk_pb_policy(engine, start_day, end_day,max_hold, threshold ):
#从DB抓日线数据
conn = engine.connect()
# 获取日线数据
# 返回数组
# T_day1, {证券1:证券1的行情, 证券2:证券2的行情, ... }
# T_day2, {证券1:证券1的行情, 证券2:证券2的行情, ... }
# T_day3, {证券1:证券1的行情, 证券2:证券2的行情, ... }
# ...
# 其中‘行情’ 是 [收盘价，前日收盘，涨幅， 涨停标志，停牌标志, PB, 换手]
his_md = db_operator. db_fetch_dailyline_w_valuation(conn, threshold )
# 在日线数据中，扩充加入指标数据
# 返回时，数组md_his_data扩充为
# T_day1, {证券1:证券1的行情, 证券2:证券2的行情, ... }, {证券1:证券1的指标, 证券2:证券2的指标, ... }
# T_day2, {证券1:证券1的行情, 证券2:证券2的行情, ... }, {证券1:证券1的指标, 证券2:证券2的指标, ... }
# T_day3, {证券1:证券1的行情, 证券2:证券2的行情, ... }, {证券1:证券1的指标, 证券2:证券2的指标, ... }
# ...
# ‘指标’ 是 [可买标志，PB偏离度, PB, N日PB平均，N日PB标准差]
make_indices_by_pb_standard_deviation( conn, his_md , threshold)
result, trans_num, trans_cost = sim_brk_pb_policy( conn,his_md, max_hold , BRK_INDEX, start_day, end_day )
# Output: 2-D array , 交易数， 交易成本
# 日期 基准收盘价 策略净值 交易次数 换仓详细
# ...
#
#util.bp( result)
#准备画图
#chart_head = ['日期', '50指数', 'MA10' ]
#chart_data=[]
#for entry in his_md:
# row = [ entry[0], entry[1][FH_BASE_CODE][0] , entry[2][FH_BASE_CODE][2] ]
# chart_data.append(row)
#plotter.simple_generate_line_chart( chart_head, chart_data)
base_info = data_struct.SecurityInfo()
base_info.code = BRK_INDEX
base_info.name = BRK_INDEX_NAME
secs = [ base_info ]
suffix = ".from_%s" % start_day
plotter.generate_htm_chart_for_faster_horse2( secs, result , suffix)
#show summary
t_day_num = len(result)
base_delta = result[ t_day_num - 1][1] / result[ 0][1]
policy_delta = result[ t_day_num - 1][2] / result[ 0][2]
print "券商PB策略(%d日), %s ~ %s, %d个交易日，交易%d笔，交易成本%f，基准表现%f，策略表现%f" % (
threshold
, result[0][0], result[ t_day_num - 1][0], t_day_num
, trans_num, trans_cost
, base_delta, policy_delta
)
def fh50_until_now(engine, start_year):
now = datetime.now()
#从DB抓日线数据
start_day = "%d-01-01" % start_year
conn = engine.connect()
# 获取日线数据
# 返回数组
# T_day1, {证券1:证券1的行情, 证券2:证券2的行情, ... }
# T_day2, {证券1:证券1的行情, 证券2:证券2的行情, ... }
# T_day3, {证券1:证券1的行情, 证券2:证券2的行情, ... }
# ...
# 其中‘行情’ 是 [收盘价，前日收盘，涨幅， 涨停标志，停牌标志]
his_md = db_operator.db_fetch_dailyline(conn, start_day)
# 在日线数据中，扩充加入指标数据
# 返回时，数组md_his_data扩充为
# T_day1, {证券1:证券1的行情, 证券2:证券2的行情, ... }, {证券1:证券1的行情, 证券2:证券2的行情, ... }
# T_day2, {证券1:证券1的行情, 证券2:证券2的行情, ... }, {证券1:证券1的行情, 证券2:证券2的行情, ... }
# T_day3, {证券1:证券1的行情, 证券2:证券2的行情, ... }, {证券1:证券1的行情, 证券2:证券2的行情, ... }
# ...
# ‘指标’ 是 [可买标志，三日累计涨幅]
make_indices_by_delta(conn, his_md)
#util.bp_as_json( his_md)
#util.bp( his_md)
result, trans_num, trans_cost = sim_rotate(his_md, 3, FH_BASE_CODE,
start_day, end_day)
# Output: 2-D array , 交易数， 交易成本
# 日期 基准收盘价 策略净值 交易次数 换仓详细
# ...
#
#util.bp( result)
#准备画图
base_info = data_struct.SecurityInfo()
base_info.code = FH_BASE_CODE
base_info.name = FH_BASE_NAME
secs = [base_info]
suffix = ".from_%d" % start_year
plotter.generate_htm_chart_for_faster_horse2(secs, result, suffix)
#show summary
t_day_num = len(result)
base_delta = result[t_day_num - 1][1] / result[0][1]
policy_delta = result[t_day_num - 1][2] / result[0][2]
print "%s ~ %s, %d个交易日，交易%d笔，交易成本%f，基准表现%f，策略表现%f" % (
result[0][0], result[t_day_num - 1][0], t_day_num, trans_num,
trans_cost, base_delta, policy_delta)