def _TravlDay(self, start_day, end_day):
"""遍历天， 开始时间， 结束时间"""
start_day = help.MyDate(start_day)
#start_day.Add(3) #否则取昨收盘会失败
end_day = help.MyDate(end_day)
while True:
day = start_day.ToStr()
#print day
self._TravlTick(day)
if start_day.Next() > end_day.GetDate():
break
def _TravlDay(self, start_day, end_day):
"""遍历天， 开始时间， 结束时间"""
#为了只读一次数据库, 先把日线读了
for code in self.codes:
for strategy in self.policys:
#回测前先清除一下上次产生的cache
import strategy.qjjy
strategy.qjjy.Qjjy_accout.DelSerial(code)
start_day = help.MyDate(start_day)
#start_day.Add(3) #否则取昨收盘会失败
end_day = help.MyDate(end_day)
while True:
day = start_day.ToStr()
#print day
self._TravlTick(day)
if start_day.Next() > end_day.GetDate():
break
def Travl(self, start_day='', end_day=''):
"""根据日期来遍历全部股票"""
if 0: start_day = end_day = datetime
if start_day == '':
start_day = help.StrToDate("2011-10-11")
if end_day == '':
#今天
end_day = datetime.date.today()
gupiaos = ISimulator.getGupiaos(self.flag)
account = stock.Account()
#为了减少数据库操作， 还是先取出数据再判断日期
guiders = []
start_day = help.MyDate(start_day)
for gupiao in gupiaos:
if not self.p.filter(gupiao):
guider = stock.Guider(gupiao, start_day.ToStr())
help.myprint("时间策略遍历", guider.code)
guiders.append(guider)
#start_day.Add(60)
while start_day.Next() < end_day:
day = start_day.ToStr()
help.myprint(day)
for guider in guiders:
#看当前日期是否存在
if guider.DateToIndex(start_day.d) == -1:
continue
new_guider = copy.deepcopy(guider)
if 0: new_guider = stock.Guider
new_guider.resize(start_day.d)
fenshi = stock.Fenshi(guider.code, day)
fenshi.mean()
for order in fenshi.orders:
if 0: order = stock.Order
new_fenshi = copy.deepcopy(fenshi)
new_fenshi.resize(order.date)
#help.myprint(order.date, order.price)
self.p.OnTick(new_guider, new_fenshi, account)
account.myprint()
return account
def ExePolicy(self, code):
code = agl.unicode_to_utf8(code)
live_data = LiveData()
df_hisdat = live_data.getHisdat(code)
df_fenshi = live_data.getFenshi(code)
df_five_hisdat = live_data.getFiveMinHisdat(code)
if agl.IsNone(df_five_hisdat):
#print code ,'没有5分钟'
return
if len(df_fenshi) == 0:
return
if len(df_five_hisdat) < 30:
return
price = float(agl.FloatToStr(float(df_fenshi.tail(1)['p'])))
yclose = df_hisdat.ix[df_hisdat.index[-1]]['c']
zhangfu = stock.ZhangFu(price, yclose)
rsi = stock.RSI(df_five_hisdat['c'])
#ui.DrawClosesAndVolumes(pl, df_five_hisdat['c'], rsi)
upper, middle, lower = stock.TDX_BOLL(df_five_hisdat['c'])
#ui.DrawTs(pl, df_five_hisdat['c'],mid=middle, high=upper, low=lower)
highs, lows, closes = df_five_hisdat['h'], df_five_hisdat[
'l'], df_five_hisdat['c']
#atr = stock.ATR(highs, lows, closes)
adx = stock.TDX_ADX(highs, lows, closes)
closes = np.array(df_hisdat['c'])
if help.MyDate(agl.datetime_to_date(df_hisdat.index[-1])).d < \
help.MyDate(agl.CurDay()).d:
closes = agl.array_insert(closes, len(closes), price)
four = stock.FOUR(closes)
#print code, four[-1]
self._dict_four[code] = four[-1]
#return
#ui.DrawClosesAndVolumes(pl, df_five_hisdat['c'], adx)
boll_up = (price - upper[-1]) / upper[-1]
boll_mid = (price - middle[-1]) / middle[-1]
boll_down = (lower[-1] - price) / lower[-1]
boll_width = upper[-1] - lower[-1]
if abs(zhangfu) > 0.098 or boll_width < 0.01:
return
if code == '300033':
codename = stock.GetCodeName(code)
s = 'rsi = %d %s %s' % (rsi[-1], codename, str(price))
print s
if (rsi[-1] > 65 or rsi[-1] < 35) and adx[-1] > 60:
codename = stock.GetCodeName(code)
s = '%s %s' % (codename, str(price))
sign = False
#if code in ['300033','510050']:
#sign = True
#if adx[-1] > 55:
#s += ' ADX=%d'%(adx[-1])
#sign = True
if boll_up > -0.003:
s += ' 越过布林上轨'
#sign = True
if abs(boll_mid) < 0.003:
s += ' 布林中轨'
#sign = True
if boll_down > -0.003:
s += ' 越过布林下轨'
sign = True
if four[-1] > 0.1:
sign = False
#sign = False
if sign:
#ui.DrawTs(pl, df_five_hisdat['c'],mid=middle, high=upper, low=lower)
sInfo = self.calcInfo(code, price, zhangfu)
help.myprint(s, sInfo)
help.myprint(
'[%s,%s] %.3f,%.3f,%.3f,%.2f, four=%.2f, adx=%.2f' %
(code, stock.GetCodeName(code), boll_up, boll_mid,
boll_down, boll_width, four[-1], adx[-1]))
self.NotifyAutoxdShow(code)
self.Speak(s)
