rschLib.analyzeTradeTags(trades, result['rBad30'], result['idxBad30'],
'亏损前30%交易', strategy_name, dtes, name, offStart)
#get tag names
tnames, idxOverLapTagList = rschLib.analyzeTradeTags(trades, r,
list(range(len(trades))),
'所有交易', strategy_name,
dtes, name, offStart)
#draw pnl and tag pnl
importlib.reload(rschLib)
[dtesByTrade, pnlByTrade] = rschLib.getPnl(dtes,
tkrs,
name,
trades,
inTime,
otTime,
dayOff,
timeAsFloat,
toDatabase='yes',
strategy_name=strategy_name)
[dtesPnlAggr, pnlAggr,
numTrades] = rschLib.aggregatePnlAndDtes(dtesByTrade, pnlByTrade)
rschLib.drawPNL(dtesPnlAggr, pnlAggr, dtes, strategy_name, toDatabase='yes')
for i in range(len(tnames)):
tagName = tnames[i]
[dtesWithTag, pnlWithTag,
n] = rschLib.aggregatePnlAndDtes(dtesByTrade[idxOverLapTagList[i]],
pnlByTrade[idxOverLapTagList[i]])
rschLib.drawPNL(dtesWithTag,
pnlWithTag,
dtes,
'盈利前30%交易', strategy_name, dtes, name, offStart)
rschLib.analyzeTradeTags(trades, result['rBad10'], result['idxBad10'],
'亏损前10%交易', strategy_name, dtes, name, offStart)
rschLib.analyzeTradeTags(trades, result['rBad20'], result['idxBad20'],
'亏损前20%交易', strategy_name, dtes, name, offStart)
rschLib.analyzeTradeTags(trades, result['rBad30'], result['idxBad30'],
'亏损前30%交易', strategy_name, dtes, name, offStart)
# In[8]:
importlib.reload(rschLib)
[dtesPnl, pnl, numTrades] = rschLib.getPnl(dtes,
tkrs,
name,
trades,
inTime,
otTime,
dayOff,
timeAsFloat,
toDatabase='yes')
# In[ ]:
importlib.reload(rschLib)
rschLib.pnlVsNumtrades(pnl, numTrades)
# In[ ]:
# In[ ]:
# In[ ]:
def analyzeStrategy(strategy_name, offStart, dtes, name, tkrs):
timeAsFloat, timeLabels, maxM, dayOff = rschLib.getTimeLabels(maxD)
trades, tradesUsed, Po, r = rschLib.getTradesWithPklCache(
strategy_name, name, tkrs, dtes, maxD, maxM)
# get trade samples by good/bad trades
tradeArea = [inTime, otTime]
result = rschLib.getTradeAnalysisSampleGroups(r, tradeArea)
# draw price change
rschLib.drawPriceChange(r,
strategy_name,
timeLabels=timeLabels,
tp=tradeArea)
rschLib.drawPriceChange(result['rGood10'],
strategy_name,
timeLabels=timeLabels,
title='盈利前10%交易',
tp=tradeArea)
rschLib.drawPriceChange(result['rGood20'],
strategy_name,
timeLabels=timeLabels,
title='盈利前20%交易',
tp=tradeArea)
rschLib.drawPriceChange(result['rGood30'],
strategy_name,
timeLabels=timeLabels,
title='盈利前30%交易',
tp=tradeArea)
rschLib.drawPriceChange(result['rBad10'],
strategy_name,
timeLabels=timeLabels,
title='亏损前10%交易',
tp=tradeArea)
rschLib.drawPriceChange(result['rBad20'],
strategy_name,
timeLabels=timeLabels,
title='亏损前20%交易',
tp=tradeArea)
rschLib.drawPriceChange(result['rBad30'],
strategy_name,
timeLabels=timeLabels,
title='亏损前30%交易',
tp=tradeArea)
# analyze tags
#rschLib.analyzeTradeTags(tradesUsed, result['rGood10'], result['idxGood10'], '盈利前10%交易',strategy_name, dtes, tkrs, offStart)
#rschLib.analyzeTradeTags(tradesUsed, result['rGood20'], result['idxGood20'], '盈利前20%交易',strategy_name, dtes, tkrs, offStart)
#rschLib.analyzeTradeTags(tradesUsed, result['rGood30'], result['idxGood30'], '盈利前30%交易',strategy_name, dtes, tkrs, offStart)
#rschLib.analyzeTradeTags(tradesUsed, result['rBad10'], result['idxBad10'], '亏损前10%交易',strategy_name, dtes, tkrs, offStart)
#rschLib.analyzeTradeTags(tradesUsed, result['rBad20'], result['idxBad20'], '亏损前20%交易',strategy_name, dtes, tkrs, offStart)
#rschLib.analyzeTradeTags(tradesUsed, result['rBad30'], result['idxBad30'], '亏损前30%交易',strategy_name, dtes, tkrs, offStart)
#get tag names
tnames, tagNamesEn, t2 = rschLib.getTagNames()
idxOverLapTagList = rschLib.analyzeTradeTags(tradesUsed, r,
list(range(len(tradesUsed))),
'所有交易', strategy_name, dtes,
tkrs, offStart)
#draw pnl and tag pnl
importlib.reload(rschLib)
[dtesByTrade, pnlByTrade] = rschLib.getPnl(dtes,
tkrs,
name,
tradesUsed,
inTime,
otTime,
dayOff,
timeAsFloat,
toDatabase='yes',
strategy_name=strategy_name)
[dtesPnlAggr, pnlAggr,
numTrades] = rschLib.aggregatePnlAndDtes(dtesByTrade, pnlByTrade)
rschLib.drawPNL(dtesPnlAggr,
pnlAggr,
dtes,
strategy_name,
toDatabase='yes')
for i in range(len(tnames)):
tagName = tnames[i]
[dtesWithTag, pnlWithTag,
n] = rschLib.aggregatePnlAndDtes(dtesByTrade[idxOverLapTagList[i]],
pnlByTrade[idxOverLapTagList[i]])
rschLib.drawPNL(dtesWithTag,
pnlWithTag,
dtes,
strategy_name,
toDatabase='yes',
dateStart=dtesPnlAggr[0],
pnlType=tagName)
rschLib.drawPNL(dtesWithTag,
pnlWithTag,
dtes,
strategy_name + '+' + tagNamesEn[i],
toDatabase='yes',
dateStart=dtesPnlAggr[0],
pnlType='pnl')
#analysis of number of trades vs performance
importlib.reload(rschLib)
rschLib.pnlVsNumtrades(pnlAggr, numTrades, strategy_name, toDatabase='yes')
rschLib.saveOffStart(strategy_name, offStart)