def insert_index_value(testType, startDate, endDate, accounts):
code = db_config._index[testType]
indexDatas = data_api.KData()
indexDatas.fileDir = db_config.config_path
if indexDatas.init_data(code, index=True, fromDB=True,
end=endDate) == False:
print('error')
return
current_date = datetime.datetime.strptime(str(startDate), "%Y-%m-%d")
while current_date.strftime('%Y-%m-%d') <= endDate:
dateStr = current_date.strftime('%Y-%m-%d')
startIndex = indexDatas.get_index_of_date(dateStr)
if startIndex >= 0:
initValue = indexDatas.close(startIndex)
lastValue = initValue
break
current_date += datetime.timedelta(days=1)
for account in accounts:
if account.current_date < current_date.strftime('%Y-%m-%d'):
account.index_price = 0
else:
index = indexDatas.get_index_of_date(account.current_date)
if index >= 0:
account.index_price = indexDatas.close(
index) * 10000000 / initValue
lastValue = indexDatas.close(index)
else:
account.index_price = lastValue * 10000000 / initValue
def simulate_all_once(codes, N):
#对每个进行仿真运算
accounts = []
sts = simu_stat.statistics()
for code in codes:
datas = data_api.KData()
datas.fileDir = db_config.config_path
if datas.init_data(code,
fromDB=False,
start='2012-01-01',
end='2017-01-01') == False:
#print('init code error')
continue
#print(datetime.datetime.now())
doncainSTG = donchain_strategy.Strategy(N, 20, True)
percentSTG = percent_strategy.Strategy(0.8)
timeSTG = time_strategy.Strategy(60)
randomSTG = random_strategy.Strategy(0.8)
randomSTG1 = random_strategy.Strategy(0)
mvSTG = mv_strategy.Strategy(N, 0.05, 0.05)
STG = test_strategy.Strategy([doncainSTG],
[doncainSTG, percentSTG, timeSTG])
account = simulate(datas, STG, Trade.Trade)
accounts.append(account)
sts.acc(account.statistics)
print("%s,%0.2f,%0.2f,%0.2f" %
(code, account.cash, account.statistics.mfeToMae, sts.mfeToMae))
#统计
print("%4d--> succ %0.2f,profit %0.2f,mfe/mae %0.2f" %
(N, sts.succRatio, sts.profit * 100 /
(sts.accountNum * config.config.cash), sts.mfeToMae))
obj = json.loads(jsonString)
return Strategy.init_from_ast(obj)
@staticmethod
def create_strategy(params):
stgName = params[0]
if stgName == 'random':
return random_strategy.Strategy(params[1])
elif stgName == 'donchain':
return donchain_strategy.Strategy(params[1], params[2])
else:
raise (Exception('not surportted strategy'))
#real run
if __name__ == "__main__":
exitSTG = Strategy.init_from_json(_test_json)
datas = data_api.KData()
datas.init_data('300017')
s = Strategy(exitSTG, donchain_strategy.Strategy(50, 20))
account = simulate(datas, s, Trade.Trade)
sts = simu_stat.statistics()
sts.acc(account.statistics)
print("%4d--> succ %0.2f,profit %0.2f,mfe/mae %0.2f" %
(0, sts.succRatio, sts.profit * 100 /
(sts.accountNum * config.config.cash), sts.mfeToMae))
def real_main(indexDatas, table, startDate, endDate, typeStr):
current_date = datetime.datetime.strptime(str(startDate), "%Y-%m-%d")
end_date = datetime.datetime.strptime(str(endDate), "%Y-%m-%d")
while current_date <= end_date:
dateStr = current_date.strftime('%Y-%m-%d')
weekday = current_date.strftime("%w")
current_date += datetime.timedelta(days=1)
if weekday == '0' or weekday == '6':
print('weekday %s' % dateStr)
continue
yestoday = get_latest_trade_day_from_db(table)
if indexDatas.get_index_of_date(dateStr) < 0:
continue
if yestoday == None:
account = Account.MarketDayStat()
account.cash = 10000000
else:
jsonData = get_account_from_db(yestoday, table)
tmpAccount = json.loads(jsonData)
account = Account.MarketDayStat()
for name, value in vars(account).items():
exec('account.%s = tmpAccount["%s"]' % (name, name))
mySTG = my_strategy.Strategy(35)
testStg = test_strategy.Strategy([mySTG], [mySTG])
pool = movement_pool.StockPool(5, 60, asc=True)
poolOut = movement_pool.StockPool(1, 20, asc=False)
min_start = max(pool.min_start(), poolOut.min_start())
min_start = max(min_start, testStg.min_start())
if True:
#if dateStr == startDate:
cc = Code()
codes = cc.getAllCodes()
#获取数据
dataApiList = {}
for code in codes:
if code[:1] == typeStr or False:
datas = data_api.KData()
datas.fileDir = db_config.config_path
fromDB = True
datas.init_data(code,
fromDB=fromDB,
end=dateStr,
Num=min_start + 2)
dataApiList[code] = datas
#print(datetime.datetime.now())
#test
dailyAccount = concurrent_simulate.concurrent_simulate(
dataApiList, testStg, pool, poolOut, dateStr, dateStr, account)
index_value = 10000000
if yestoday != None:
start0 = get_start_trade_day_from_db(table)
index_value *= get_index_value(indexDatas, start0, dateStr)
dailyAccount[-1].index_price = index_value
save_account_to_db(dailyAccount[-1], dateStr, table)
print('finish')
return dailyAccount[-1]
startDate = '2017-01-03'
endDate = '2017-03-18'
real_main(indexDatas, table, startDate, endDate, typeStr)
#real run
if __name__ == "__main__":
#start0 = get_start_trade_day_from_db('random_3')
#print(get_index_value('399006', start0, '2017-02-14'))
#exit()
accounts = []
for i in range(3):
code = db_config._index[i]
indexDatas = data_api.KData()
indexDatas.fileDir = db_config.config_path
indexDatas.init_data(code, index=True, fromDB=True)
TEST = False
if TEST:
test(indexDatas, db_config._type[i])
else:
table = 'random_' + db_config._type[i]
today = datetime.datetime.now().strftime('%Y-%m-%d')
startDate = today
endDate = today
accounts.append(
real_main(indexDatas, table, startDate, endDate,
db_config._type[i]))
