def log(self, content):
if len(self.dict_data) > 0:
content = self.dict_data['date'] + '----' + str(
self.dict_data['close']) + '----' + content
Base.txt_write(self.symbol, content)
self.log_content = content
print(content)
def __init__(self):
self.symbol = ''
self.coin = ''
self.param = {}
self.dict_data = {}
self.list_wg_trade = []
self.dict_acc = {}
self.dict_record = {}
#遍历参数
list_symbol = ['ltc', 'eth', 'eth', 'eos']
list_interval = [2, 1, 3]
list_paper_shun = [0.05, 0.1, 0.025]
list_paper_ni = [0.05, 0.025]
list_profit_close = [1, 2]
list_profit_close_all = [1, 2, 3]
index_path = 0
for i1 in range(len(list_symbol)):
for i2 in range(len(list_interval)):
for i3 in range(len(list_paper_shun)):
for i4 in range(len(list_paper_ni)):
for i5 in range(len(list_profit_close)):
for i6 in range(len(list_profit_close_all)):
param = {
'symbol': list_symbol[i1], # 单边网格格数
'lattice_num': 50, # 单边网格格数
'interval': list_interval[i2], # 间隔占均线的比例
'paper_shun':
list_paper_shun[i3], # 顺势网格相对对冲张数
'paper_ni': list_paper_ni[i4], # 逆势网格张数
'profit_close':
list_profit_close[i5], # 震荡止盈,1就是百分之一1
'profit_close_all':
list_profit_close_all[i6], # 整体止盈
}
#创建目录
index_path += 1
self.path = './result/' + str(index_path)
if not os.path.exists(self.path):
os.makedirs(self.path)
Base.txt_write(
'./result/' + 'index',
str(self.path) + '--------' + str(param))
self.main(date_start='2018-09-16 12:00',
date_end='2019-10-15 12:00',
param=param)
def main(self, date_start, date_end, param=None):
if param is None:
param = {}
return
# 初始化容器
self.coin = str(param['symbol']).lower()[0:3]
self.symbol = param['symbol']
self.param = param
self.param['contract_size'] = Base.get_contract_size(self.coin)
self.list_wg_trade = []
self.dict_acc = {
'money': 10000,
'margin_balance': 0,
'fund_start': 0,
'price_start': 0,
'lun_price_start': 0,
'lun_timestamp_start': 0,
'lun_margin_balance_start': 0,
'lun_fund_start': 0,
}
self.dict_record = {
'timestamp': 0,
'list_margin_balance': [],
'list_rate_kline': [],
'list_rate_profit': [],
'list_fund': [],
'list_money': [],
'list_rate_paper_duo': [],
'list_rate_paper_kong': [],
'list_rate_paper': [],
}
Base.txt_remove(self.symbol + '.txt')
self.log('进入策略main函数,准备容器完成,param=' + str(param))
self.log('dict_acc=' + str(self.dict_acc))
# 遍历数据
path = os.path.abspath(
os.getcwd()) + '/klineok/' + self.coin + '1m1dok.csv'
df_1m = pd.read_csv(path, index_col=0).reset_index()
for i in range(len(df_1m)):
timestamp = int(df_1m.loc[i, 'timestamp'])
if Base.date_to_timestamp(
date_start) < timestamp < Base.date_to_timestamp(date_end):
close = float(df_1m.loc[i, 'close'])
high = float(df_1m.loc[i, 'high'])
low = float(df_1m.loc[i, 'low'])
atr = float(df_1m.loc[i, 'atr'])
self.dict_data = {
'date': df_1m.loc[i, 'date'],
'timestamp': timestamp,
'open': float(df_1m.loc[i, 'open']),
'high': high,
'low': low,
'close': close,
'day_date': df_1m.loc[i, 'day_date'],
'ma60': float(df_1m.loc[i, 'ma60']),
'ma91': float(df_1m.loc[i, 'ma91']),
'atr': atr,
}
# 判断是否首次遍历
if self.dict_acc['price_start'] == 0:
self.dict_acc['price_start'] = close
self.dict_acc['fund_start'] = self.dict_acc['money']
continue
# 判断买币
if self.dict_acc['margin_balance'] == 0 and self.dict_acc[
'money'] == self.dict_acc['fund_start']:
self.trade_coin(close,
round(self.dict_acc['money'] / close, 4),
True)
continue
# 判断创建网格
if len(self.list_wg_trade) <= 1:
self.creat_wg_trade(close, self.dict_data['ma91'])
continue
# 合约交易
self.trade_contract(high, low, close,
self.param['contract_size'])
# 记录日志
self.record(close)
elif timestamp > Base.date_to_timestamp(date_end):
break
elif len(self.dict_record['list_rate_profit']) > 0:
if self.dict_record['list_rate_profit'][-1] < -30:
Base.txt_write(
'./result/' + 'index',
'err' + str(self.dict_record['list_rate_profit'][-1]))
break
# 绘图
Base.txt_write(
'./result/' + 'index',
'通过,最大回撤' + str(min(self.dict_record['list_rate_profit'])))
Base.chart('margin_balance',
self.dict_record['list_margin_balance'],
path=self.path)
Base.chart('rate_kline_rate_profit',
self.dict_record['list_rate_kline'],
self.dict_record['list_rate_profit'],
path=self.path)
Base.chart('fund_money',
self.dict_record['list_fund'],
self.dict_record['list_money'],
path=self.path)
Base.chart('paper_duo_paper_kong_paper',
self.dict_record['list_rate_paper_duo'],
self.dict_record['list_rate_paper_kong'],
self.dict_record['list_rate_paper'],
path=self.path)
Base.wg_csv('final', int(self.dict_data['timestamp']),
self.list_wg_trade, self.path)
def log(self, content):
content = self.date + '---------' + content
print(content)
Base.txt_write(self.coinname + '.txt', content)