def stock_analyze(basic, kdata, policy_args):
### 基本条件选取
get_index = include_analyze(basic, kdata, policy_args)
if get_index is None:
logger.debug("include_analyze() return None")
return None
else:
[pick_index, take_index] = get_index
### 排它条件过滤
if exclude_analyze(basic, kdata, pick_index, take_index, policy_args):
logger.debug("exclude_analyze() return True")
return None
### 构造结果
result = {}
result[dogen.RST_COL_CODE] = basic.name # 股票代码
result[dogen.RST_COL_NAME] = basic[dogen.NAME] # 证券简写
result[dogen.RST_COL_INDUSTRY] = basic[dogen.INDUSTRY]
result[dogen.RST_COL_TAKE_TRADE] = kdata.index[take_index] # 命中交易日
result[dogen.RST_COL_LAST_CLOSE] = kdata.iloc[0][dogen.P_CLOSE] # 最后一日收盘价
result[dogen.RST_COL_OUTSTANDING] = round(kdata.iloc[0][dogen.P_CLOSE] * basic[dogen.OUTSTANDING], 2) # 流通市值
result[dogen.RST_COL_INC_HL] = dogen.get_highlimit_trades(kdata, eIdx=pick_index+22).size
result[dogen.RST_COL_SCORE] = score_analyze(basic, kdata, pick_index, take_index, policy_args)
result[dogen.RST_COL_MATCH_TIME] = dogen.datetime_now() # 选中时间
result[dogen.RST_COL_INDEX] = '%s_%s' % (basic.name, kdata.index[take_index]) # 唯一标识，用于持久化去重
return result
def include_analyze(basic, kdata, policy_args):
### 策略参数处理
hl_valid = __parse_policy_args(policy_args, HL_VALID)
take_valid = __parse_policy_args(policy_args, TAKE_VALID)
### 特征一
index = dogen.get_highlimit_trades(kdata, eIdx=hl_valid+1)
if index.size == 0:
logger.debug("Don't match highlimit trades")
return None
else:
pick_trade = index[0]
### 若最后一天涨停忽略
pick_index = kdata.index.get_loc(pick_trade)
if pick_index == 0:
logger.debug("Fallback didn't occur")
return None
pass
if kdata.iloc[pick_index-1][dogen.R_CLOSE] > 0 or kdata.iloc[pick_index-1][dogen.VOLUME] < kdata.iloc[pick_index][dogen.VOLUME]:
### 涨停后缩量下跌
list_index = trade_analyze1(basic, kdata, pick_index, policy_args)
else:
### 涨停后首日放量下跌
list_index = trade_analyze2(basic, kdata, pick_index, policy_args)
if list_index is not None:
[pick_index, take_index] = list_index
if take_index is None or take_index > take_valid:
logger.debug("Don't match valid fallback trade")
return None
pass
return list_index
def exclude_analyze(basic, kdata, pick_index, take_index, policy_args):
max_rclose = __parse_policy_args(policy_args, MAX_RCLOSE)
min_ramp = __parse_policy_args(policy_args, MIN_RAMP)
max_rise = __parse_policy_args(policy_args, MAX_RISE)
max_pclose = __parse_policy_args(policy_args, MAX_PCLOSE)
outstanding = __parse_policy_args(policy_args, OUTSTANDING)
### 净资产为负数的
if basic[dogen.BVPS] < 0.1:
logger.debug("Invalid bvps")
return True
### 特征三
if kdata.iloc[take_index][dogen.P_CLOSE] > max_pclose:
logger.debug("Too high close price at %s" % kdata.index[take_index])
return True
if kdata.iloc[take_index][dogen.P_CLOSE] * basic[dogen.OUTSTANDING] > outstanding:
logger.debug("Too large outstanding at %s" % kdata.index[take_index])
return True
### 特征四
rise_range = dogen.get_last_rise_range(kdata, max_rise, max_fall=max_rise/2, eIdx=22)
if rise_range is not None:
[min_index, max_index, inc_close, get_lhigh, tmp_index] = rise_range
if max_rise < dogen.caculate_incr_percentage(kdata.iloc[take_index][dogen.P_CLOSE], kdata.iloc[min_index][dogen.P_CLOSE]):
logger.debug("Too large rise-range")
return True
pass
### 特征五
tdata = kdata[0:5]
if tdata[tdata[dogen.R_CLOSE]>0].index.size <= tdata.index.size/2:
logger.debug("Don't contain enough up trades in last week")
return True
if dogen.get_highlimit_trades(tdata).size > 0:
logger.debug("There is hl trade in last week")
return True
### 特征六
for temp_index in range(pick_index, -1, -1):
### 下跌
if kdata.iloc[temp_index][dogen.R_CLOSE] >= 0 or kdata.iloc[temp_index+1][dogen.R_CLOSE] <= 0:
continue
if kdata.iloc[temp_index][dogen.VOLUME] <= kdata.iloc[temp_index+1][dogen.VOLUME]:
continue
### 放量下跌之后未被上涨突破
maxi_index = dogen.get_last_column_max(kdata, dogen.P_CLOSE, eIdx=temp_index)
if maxi_index is None or kdata.iloc[temp_index][dogen.P_OPEN] > kdata.iloc[maxi_index][dogen.P_CLOSE]:
logger.debug("Invalid fall-trade at %s" % kdata.index[temp_index])
return True
pass
return False
def include_analyze(basic, kdata, policy_args):
### 策略参数处理
mini_hl = __parse_policy_args(policy_args, MINI_HL)
hl_valid = __parse_policy_args(policy_args, HL_VALID)
take_valid = __parse_policy_args(policy_args, TAKE_VALID)
### 特征一
index = dogen.get_highlimit_trades(kdata, eIdx=hl_valid + 1)
if index.size == 0:
logger.debug("Don't match highlimit trades")
return None
else:
pick_trade = index[0]
pick_index = kdata.index.get_loc(pick_trade)
pick_close = kdata.iloc[pick_index][dogen.P_CLOSE]
mini_index = pick_index + 1
if mini_index < kdata.index.size:
mini_close = kdata.iloc[pick_index + 1][dogen.P_CLOSE]
else:
mini_close = 0
if pick_index < mini_hl:
logger.debug("Invalid hl-trade at %s" % pick_trade)
return None
### 特征二
take_index = None
if pick_index < 5 and pick_index >= 3:
if dogen.caculate_incr_percentage(
kdata.iloc[0][dogen.P_CLOSE],
kdata.iloc[pick_index][dogen.P_CLOSE]) > 5:
logger.debug("Invalid trade at %s" % kdata.index[0])
return None
tdata = kdata[0:pick_index]
tdata = tdata[tdata[dogen.P_CLOSE] < pick_close]
if tdata.index.size > 0:
logger.debug("Invalid trade at %s" % tdata.index[0])
return None
take_index = 0
else:
heap_rises = 0
for temp_index in range(pick_index - 1, -1, -1):
temp_close = kdata.iloc[temp_index][dogen.R_CLOSE]
if temp_close < 0:
heap_rises = 0
else:
heap_rises += temp_close
if heap_rises >= 5:
take_index = temp_index
if temp_close >= 3 and kdata.iloc[temp_index][
dogen.P_CLOSE] > kdata.iloc[temp_index][dogen.P_OPEN]:
take_index = temp_index
pass
if take_index is not None:
### take_index之后缩量下跌(限一个交易日)，也符合策略
if take_index == 1\
and kdata.iloc[take_index-1][dogen.R_CLOSE] < 0\
and kdata.iloc[take_index-1][dogen.VOLUME] < kdata.iloc[take_index][dogen.VOLUME]:
take_index -= 1
### 最近收盘价比take_index(不能取更新后值)高更新
elif take_index <= 3\
and kdata.iloc[0][dogen.R_CLOSE] > 0\
and kdata.iloc[0][dogen.P_CLOSE] > kdata.iloc[0][dogen.P_OPEN]\
and kdata.iloc[0][dogen.P_CLOSE] >= kdata.iloc[take_index][dogen.P_CLOSE]:
take_index = 0
pass
pass
if take_index is None or take_index > take_valid:
logger.debug("Don't match valid take trade")
return None
return [pick_index, take_index]