def test06(self):
'''测试ExpectedIndex数学期望方差指标'''
futurecommodity.setDataDirAfterVerified()
theKLineList = futurecommodity.getContractKLineList("AP1901", True)
futurelogger.log(theKLineList)
fiMacd = futureindex.ExpectedIndex(26)
futurelogger.log(fiMacd.cal(theKLineList))
def test05(self):
'''测试macd指标'''
futurecommodity.setDataDirAfterVerified()
theKLineList = futurecommodity.getContractKLineList("AP1901", True)
futurelogger.log(theKLineList)
fiMacd = futureindex.MacdIndex(12, 26, 9)
futurelogger.log(fiMacd.cal(theKLineList))
def testName(self):
theKLineList = futurecommodity.getContractKLineList("AP1901")
#scs = futurestrategy.SimpleChannelCloseStrategy(20)
mcs = futurestrategy.MaChannelStrategy(3, 18)
signalList = mcs.signal(theKLineList)
combineList = futureindex.combineIndexLists(
[theKLineList.getTimeList(), signalList])
futurelogger.log(combineList)
def test04(self):
'''测试rsi指标'''
futurecommodity.setDataDirAfterVerified()
theKLineList = futurecommodity.getContractKLineList("AP1901", True)
futurelogger.log(theKLineList)
fiRsi6 = futureindex.RsiIndex(6)
futurelogger.log(fiRsi6.cal(theKLineList))
fiRsi12 = futureindex.RsiIndex(3)
futurelogger.log(fiRsi12.cal(theKLineList))
fiRsi24 = futureindex.RsiIndex(24)
futurelogger.log(fiRsi24.cal(theKLineList))
def test03(self):
kList = futurecommodity.getContractKLineList("AP1901")
theDate01 = datetime.datetime.strptime('2018-09-16', "%Y-%m-%d")
theDate02 = datetime.datetime.strptime('2018-09-21', "%Y-%m-%d")
sub01 = kList.getSubscript(theDate01)
sub02 = kList.getSubscript(theDate02)
if sub01 is None:
print("sub01 is None")
else:
print("sub01 time:" + kList.getKLine(sub01).timeString())
if sub02 is None:
print("sub02 is None")
else:
print("sub02 time:" + kList.getKLine(sub02).timeString())
def trade(self):
'''根据指定的时间、品种、交易策略，返回生成的交易记录字典'''
transactionDict = {}
for theCommodityCode in self.__commodityCodeList:
theTransList = []
dateList = futuretools.getDaysList(self.beginDate, self.endDate)
contractName = futurecommodity.getMainContractName(
theCommodityCode, dateList[0])
if contractName is None:
#如果在dateList[0]时没有一个主力合约，那么就要往后找到一个有主力合约的日子
for theDate in dateList:
contractName = futurecommodity.getMainContractName(
theCommodityCode, theDate)
if contractName is not None:
break
if contractName is None:
transactionDict[theCommodityCode] = []
continue
dateList = futuretools.getDaysList(theDate, self.endDate)
theKLineList = futurecommodity.getContractKLineList(contractName)
self.__strategy.prepareIndexList(theKLineList)
transaction = None
for theDate in dateList:
if (transaction is None) and (contractName != futurecommodity.
getMainContractName(theCommodityCode, theDate)):
#如果主力合约换掉了，那么要重新刷新信号量
contractNameNext = futurecommodity.getMainContractName(
theCommodityCode, theDate)
if contractNameNext is None:
continue
contractName = contractNameNext
theKLineList = futurecommodity.getContractKLineList(contractName)
self.__strategy.prepareIndexList(theKLineList)
sub = theKLineList.getSubscript(theDate)
if sub is None:
continue
else:
lastSub = sub
isHaveToCloseTrans = self.__isHaveToCloseTrans(theDate, contractName,
theKLineList.getKLine(sub).close(), transaction)
if (transaction is not None) and (isHaveToCloseTrans[0]):
#如果因交易设置原因必须平仓则平仓
if self.__isAbleToTrade(False, transaction.getDirection(), theKLineList, sub):
transaction.close(theDate, theKLineList.getKLine(sub).close(),
isHaveToCloseTrans[1])
theTransList.append(transaction)
transaction = None
if (contractName != futurecommodity.getMainContractName(
theCommodityCode, theDate)) and (transaction is None):
#如果主力合约换掉了，那么要重新刷新信号量
contractName = futurecommodity.getMainContractName(
theCommodityCode, theDate)
theKLineList = futurecommodity.getContractKLineList(contractName)
self.__strategy.prepareIndexList(theKLineList)
sub = theKLineList.getSubscript(theDate)
if sub is None:
continue
else:
lastSub = sub
if transaction is None:
#如果当前没有仓位
if self.__isContractNearExpire(contractName, theDate)[0]:
continue
tradeSignal = self.__strategy.signal(theKLineList, sub, transaction)
if tradeSignal.isLong() or tradeSignal.isShort():
if self.__isAbleToTrade(True, tradeSignal.getOpenDirection(), theKLineList, sub):
transaction = Transaction(contractName, theDate,
theKLineList.getKLine(sub).close(), tradeSignal)
elif transaction.isLong():
#如果当前是多头
tradeSignal = self.__strategy.signal(theKLineList, sub, transaction)
if tradeSignal.isShort():
if self.__isAbleToTrade(False, DIRECTION_LONG, theKLineList, sub):
transaction.close(theDate, theKLineList.getKLine(sub).close(),
"空头信号，平多仓")
theTransList.append(transaction)
if self.__isContractNearExpire(contractName, theDate
)[0] is False:
transaction = Transaction(contractName, theDate,
theKLineList.getKLine(sub).close(), tradeSignal)
elif tradeSignal.isPingduo():
if self.__isAbleToTrade(False, DIRECTION_LONG, theKLineList, sub):
transaction.close(theDate, theKLineList.getKLine(sub).close(),
"平多信号，平多仓")
theTransList.append(transaction)
transaction = None
else:
#如果当前是空头
tradeSignal = self.__strategy.signal(theKLineList, sub, transaction)
if tradeSignal.isLong():
if self.__isAbleToTrade(False, DIRECTION_SHORT, theKLineList, sub):
transaction.close(theDate, theKLineList.getKLine(sub).close(),
"多头信号，平空仓")
theTransList.append(transaction)
if self.__isContractNearExpire(contractName, theDate
)[0] is False:
transaction = Transaction(contractName, theDate,
theKLineList.getKLine(sub).close(), tradeSignal)
elif tradeSignal.isPingkong():
if self.__isAbleToTrade(False, DIRECTION_SHORT, theKLineList, sub):
transaction.close(theDate, theKLineList.getKLine(sub).close(),
"平空信号，平空仓")
theTransList.append(transaction)
transaction = None
if transaction is not None:
transaction.close(theKLineList.getKLine(
lastSub).time(), theKLineList.getKLine(
lastSub).close(),"已到交易时段的最后一天，平仓了结")
theTransList.append(transaction)
transactionDict[theCommodityCode] = theTransList
return transactionDict