def calculateDailyMV(currHoldSet, capitalEntity, dailyQuote, tradingDate,
stockHoldDailyList, initialMV):
usableCach = capitalEntity.get_usable_cash()
dailyMV = 0
for innerCode in currHoldSet:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(
dailyQuote, tradingDate, innerCode)
stockHoldEntity = currHoldSet[innerCode]
vol = stockHoldEntity.vol
# print('innerCode:' + str(innerCode))
closePrice = dailyQuoteRow["ClosePrice"]
mv = vol * closePrice
dailyMV += mv
#stockHoldEntity.setClosePrice(closePrice)
#stockHoldEntity.setMV(mv)
cost = stockHoldEntity.cost
profit = (closePrice - cost) * vol
holdDict = {
'tradingDate': tradingDate,
'innerCode': innerCode,
'vol': vol,
'buyPrice': stockHoldEntity.buyPrice,
'cost': cost,
'closePrice': closePrice,
'mv': mv,
'profit': profit,
'profitPCT': NumUtil.get_round(profit / initialMV * 100, 5)
}
stockHoldDailyList.append(holdDict)
#print('dailyMV:' + str(dailyMV))
#print('usableCach:' + str(usableCach))
dailyMV = dailyMV + usableCach
return dailyMV
def calculate_daily_mv(currHoldSet, capitalEntity, dailyQuote, tradingDay, stockHoldDailyList, initialCash):
usableCash = capitalEntity.get_usable_cash()
stockMV = 0
for innerCode in currHoldSet:
#try:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(dailyQuote, tradingDay, innerCode)
#except:
#缺少数据,取最近一个交易日的数据
#dailyQuoteRow = SourceDataDao.selectByPrevTradingDay(dailyQuote, tradingDay, innerCode)
#print('calculateDailyMV '+DateUtil.datetime2Str(tradingDay)+' '+str(innerCode))
stockHoldEntity = currHoldSet[innerCode]
#vol = stockHoldEntity.vol
# print('innerCode:' + str(innerCode))
closePrice = BackTestHelper.get_close_price(dailyQuoteRow)
#mv = vol * closePrice
#收盘市值
closeMV = BackTestHelper.get_sell_mv(stockHoldEntity.lastTradePrice, stockHoldEntity.lastTradeMV, closePrice) #stockHoldEntity.buyPrice, stockHoldEntity.buyMV
#
stockHoldEntity.set_close_price(closePrice)
stockHoldEntity.set_close_mv(closeMV)
#每日市值
stockMV += closeMV
#该股收益(已扣佣金)(仅用于查看) TODO(部分卖出时的算法)
profit = (closeMV - stockHoldEntity.lastTradeMV) * (1 - StockConst.BUY_COMMISSION / 100)
holdDict = {'tradingDay': tradingDay,
'innerCode': innerCode,
'lastTradePrice': stockHoldEntity.lastTradePrice,
'lastTradeMV': stockHoldEntity.lastTradeMV,
'cost': stockHoldEntity.cost,
'closePrice': closePrice,
'closeMV': closeMV,
'profit': profit,
'openDate': stockHoldEntity.openDate,
'profitPCT': NumUtil.get_round(profit / initialCash * 100, 5),
'changeDate': stockHoldEntity.changeDate
}
stockHoldDailyList.append(holdDict)
#print('dailyMV:' + str(dailyMV))
#print('usableCash:' + str(usableCash))
#总资产=股票市值+现金
totalAsset = stockMV + usableCash
capitalEntity.set_total_asset(totalAsset)
#股票市值
capitalEntity.set_stock_mv(stockMV)
def calculateDailyMV(currHoldSet, capitalEntity, dailyQuote, tradingDate,
stockHoldDailyList, initialMV):
usableCach = capitalEntity.get_usable_cash()
dailyMV = 0
for innerCode in currHoldSet:
#try:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(
dailyQuote, tradingDate, innerCode)
#except:
#缺少数据,取最近一个交易日的数据
#dailyQuoteRow = SourceDataDao.selectByPrevTradingDay(dailyQuote, tradingDate, innerCode)
#print('calculateDailyMV '+DateUtil.datetime2Str(tradingDate)+' '+str(innerCode))
stockHoldEntity = currHoldSet[innerCode]
#vol = stockHoldEntity.vol
# print('innerCode:' + str(innerCode))
closePrice = BackTestHelper.get_close_price(dailyQuoteRow)
#mv = vol * closePrice
#收盘市值
closeMV = BackTestHelper.get_sell_mv(stockHoldEntity.buyPrice,
stockHoldEntity.buyMV, closePrice)
#每日市值
dailyMV += closeMV
#该股收益(已扣佣金)(仅用于查看)
profit = (closeMV - stockHoldEntity.buyMV) * (
1 - StockConst.BUY_COMMISSION / 100)
holdDict = {
'tradingDate': tradingDate,
'innerCode': innerCode,
'buyPrice': stockHoldEntity.buyPrice,
'buyMV': stockHoldEntity.buyMV,
'cost': stockHoldEntity.cost,
'closePrice': closePrice,
'closeMV': closeMV,
'profit': profit,
'openDate': stockHoldEntity.openDate,
'profitPCT': NumUtil.get_round(profit / initialMV * 100, 5)
}
stockHoldDailyList.append(holdDict)
#print('dailyMV:' + str(dailyMV))
#print('usableCach:' + str(usableCach))
dailyMV = dailyMV + usableCach
return dailyMV
def get_max_drop(net_value_list_param):
net_value_list = net_value_list_param.copy()
net_value_list.insert(1, 'hightestNetValue', Series())
net_value_list.insert(2, 'drop', Series())
hightest = 0
#算出历史最高,和当日相对于历史最高的回撤
for index, row in net_value_list.iterrows():
#print(row['netValue'])
if row['netValue'] > hightest:
hightest = row['netValue']
net_value_list.ix[index, ['hightestNetValue']] = hightest
net_value_list.ix[index, ['drop']] = NumUtil.get_change_pct(
hightest, row['netValue'], 2) * -1
#最大回撤
max_drop = net_value_list['drop'].max()
# 最大回撤
max_drop_rows = net_value_list.loc[(net_value_list['drop'] == max_drop)]
# 最大回撤发生日
max_drop_end_date = DateUtil.datetime2_str(
max_drop_rows.index[0]) #& (netValueList.index > maxDropStartDate)
hightest_net_value = max_drop_rows.ix[0, ['hightestNetValue']][
0] #['hightestNetValue']
#print('maxDropEndDate:'+str(maxDropEndDate))
#print('hightestNetValue:' + str(hightestNetValue))
# 最大回撤开始日
# 找到净值最高的记录 且 离开回撤发生日最近
hightest_rows = net_value_list.loc[(
net_value_list['netValue'] == hightest_net_value
)] # & (DateUtil.datetime2Str(netValueList.index) <= maxDropEndDate)
hightest_rows = hightest_rows.sort_index(ascending=False)
max_drop_start_date = DateUtil.datetime2_str(hightest_rows.index[0])
#print('maxDropStartDate:' + str(maxDropStartDate))
max_drop_dict = {
'maxDrop': NumUtil.get_round(max_drop, 2),
'maxDropStartDate': max_drop_start_date,
'maxDropEndDate': max_drop_end_date
}
return max_drop_dict
def reduce_usable_cash(self, a_cach):
self.usable_cach -= a_cach
self.usable_cach = NumUtil.get_round(self.usable_cach,
StockConst.USABLE_CASH_SCALE)
def increase_usable_cash(self, a_cach):
self.usable_cach += a_cach
self.usable_cach = NumUtil.get_round(self.usable_cach,
StockConst.USABLE_CASH_SCALE)
def handleBuyList(tradingDate, buyList, dailyQuote, usableVol, stockHoldDF,
stockTradeList, currHoldSet, actualBuyList, cannotBuyList,
capitalEntity):
usableCach = capitalEntity.get_usable_cash()
if usableCach == 0:
return 0
#if usableVol == 0:
#return 0
if len(buyList) == 0:
return 0
turnover = usableCach / len(buyList)
#print('vol:'+vol)
partChangePCT = 0
for innerCode in buyList:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(
dailyQuote, tradingDate, innerCode)
#print('innerCode:'+str(innerCode))
#print(dailyQuoteRow)
turnoverValue = dailyQuoteRow["TurnoverValue"]
turnoverVolume = dailyQuoteRow["TurnoverVolume"]
buyFlg = dailyQuoteRow[StockConst.BUY_FLG]
#可买
if buyFlg != -1:
actualBuyList.append(innerCode)
#平均买入价（没有算佣金）
buyPrice = turnoverValue / turnoverVolume
#成本价（算佣金）
cost = buyPrice * (1 + StockConst.BUY_COMMISSION / 100)
#仓位（股）
vol = NumUtil.get_round(turnover / cost, StockConst.VOL_SCALE)
#佣金（元）
commission = BackTestHelper.get_buy_commission(
turnover, StockConst.BUY_COMMISSION / 100)
#更新可用金额(减少)
capitalEntity.reduce_usable_cash(turnover)
#changePCT = NumUtil.getChangePCT(cost, closePrice, 2)
#realChangePCT = (changePCT - StockConst.buyCommission) * vol / 100.0
#partChangePCT = partChangePCT + realChangePCT
#
#stockHold = StockHoldEntity.StockHoldEntity(tradingDate,innerCode,vol)
#stockTrade = StockTradeEntity.StockTradeEntity(tradingDate, innerCode, 1, vol, cost, '', '')
stockTradeDict = {
'tradingDate': tradingDate,
'innerCode': innerCode,
'type': 1,
'vol': vol,
'price': buyPrice,
'turnover': turnover,
'commission': commission
}
stockTradeList.append(stockTradeDict)
#插入表
#stockHoldDF.setdefault(innerCode,stockHold)
#当前持仓
stockHoldEntity = StockHoldEntity.StockHoldEntity(
innerCode, vol, buyPrice, cost,
DateUtil.datetime2_str(tradingDate)) #tradingDate,
currHoldSet.setdefault(innerCode, stockHoldEntity) #vol
"""
if (DateUtil.datetime2Str(tradingDate) == '2014-12-08') | (DateUtil.datetime2Str(tradingDate) == '2014-12-09'):
print('-----handleBuyList-----')
print(DateUtil.datetime2Str(tradingDate))
print(innerCode)
print(vol)
print(buyPrice)
print(cost)
print(turnoverValue)
print(dailyQuoteRow)
print('----------')
"""
else:
cannotBuyList.append(innerCode)