def init_factors(self, security_type, exchanges, codes, the_timestamp, start_timestamp, end_timestamp):
factor = CrossMaFactor(security_type=security_type, exchanges=exchanges, codes=codes,
the_timestamp=the_timestamp, start_timestamp=start_timestamp,
end_timestamp=end_timestamp)
factor.run()
self.must_factors = [factor]
def init_factors(self, security_type, exchanges, codes, the_timestamp,
start_timestamp, end_timestamp):
ma_factor = CrossMaFactor(security_type=security_type,
exchanges=exchanges,
codes=codes,
the_timestamp=the_timestamp,
start_timestamp=start_timestamp,
end_timestamp=end_timestamp,
provider=self.provider,
level=self.level)
ma_factor.run()
self.must_factors = [ma_factor]
def init_selectors(self, entity_ids, entity_type, exchanges, codes, start_timestamp, end_timestamp):
myselector = TargetSelector(entity_ids=entity_ids, entity_type=entity_type, exchanges=exchanges,
codes=codes, start_timestamp=start_timestamp, end_timestamp=end_timestamp,
provider='joinquant')
myselector.add_filter_factor(
CrossMaFactor(entity_ids=entity_ids, entity_type=entity_type, exchanges=exchanges,
codes=codes, start_timestamp=start_timestamp, end_timestamp=end_timestamp))
self.selectors.append(myselector)
def init_selectors(self, entity_ids, entity_type, exchanges, codes, start_timestamp, end_timestamp):
myselector = TargetSelector(entity_ids=entity_ids, entity_type=entity_type, exchanges=exchanges,
codes=codes, start_timestamp=start_timestamp, end_timestamp=end_timestamp,
provider='ccxt', level=IntervalLevel.LEVEL_1MIN)
myselector.add_filter_factor(
CrossMaFactor(entity_ids=entity_ids, entity_type=entity_type, exchanges=exchanges,
codes=codes, start_timestamp=start_timestamp, end_timestamp=end_timestamp, provider='ccxt',
level=IntervalLevel.LEVEL_1MIN))
self.selectors.append(myselector)
def init_selectors(self, security_list, security_type, exchanges, codes, start_timestamp, end_timestamp):
myselector = TargetSelector(security_list=security_list, security_type=security_type, exchanges=exchanges,
codes=codes, start_timestamp=start_timestamp, end_timestamp=end_timestamp,
provider='ccxt', level=TradingLevel.LEVEL_1MIN)
myselector.add_filter_factor(
CrossMaFactor(security_list=security_list, security_type=security_type, exchanges=exchanges,
codes=codes, start_timestamp=start_timestamp, end_timestamp=end_timestamp, provider='ccxt',
level=TradingLevel.LEVEL_1MIN))
self.selectors.append(myselector)
def init_selectors(self, security_list, security_type, exchanges, codes,
start_timestamp, end_timestamp):
myselector = TargetSelector(security_list=security_list,
security_type=security_type,
exchanges=exchanges,
codes=codes,
start_timestamp=start_timestamp,
end_timestamp=end_timestamp)
myselector.add_filter_factor(
CrossMaFactor(security_list=security_list,
security_type=security_type,
exchanges=exchanges,
codes=codes,
start_timestamp=start_timestamp,
end_timestamp=end_timestamp))
self.selectors.append(myselector)
def init_selectors(self, security_list, security_type, exchanges, codes,
start_timestamp, end_timestamp):
my_selector = TargetSelector(security_list=security_list,
security_type=security_type,
exchanges=exchanges,
codes=codes,
start_timestamp=start_timestamp,
end_timestamp=end_timestamp)
# add the factors
my_selector \
.add_filter_factor(CrossMaFactor(security_list=security_list,
security_type=security_type,
exchanges=exchanges,
codes=codes,
start_timestamp=start_timestamp,
end_timestamp=end_timestamp,
level=TradingLevel.LEVEL_1DAY))
self.selectors.append(my_selector)
def test_cross_ma_selector():
security_list = ['stock_sz_000338']
security_type = 'stock'
start_timestamp = '2018-01-01'
end_timestamp = '2019-06-30'
my_selector = TargetSelector(security_list=security_list,
security_type=security_type,
start_timestamp=start_timestamp,
end_timestamp=end_timestamp)
# add the factors
my_selector \
.add_filter_factor(CrossMaFactor(security_list=security_list,
security_type=security_type,
start_timestamp=start_timestamp,
end_timestamp=end_timestamp,
level=TradingLevel.LEVEL_1DAY))
my_selector.run()
print(my_selector.open_long_df)
print(my_selector.open_short_df)
assert 'stock_sz_000338' in my_selector.get_open_short_targets('2018-01-29')
def test_cross_ma_selector():
entity_ids = ['stock_sz_000338']
entity_type = 'stock'
start_timestamp = '2018-01-01'
end_timestamp = '2019-06-30'
my_selector = TargetSelector(entity_ids=entity_ids,
entity_type=entity_type,
start_timestamp=start_timestamp,
end_timestamp=end_timestamp)
# add the factors
my_selector \
.add_filter_factor(CrossMaFactor(entity_ids=entity_ids,
entity_type=entity_type,
start_timestamp=start_timestamp,
end_timestamp=end_timestamp,
level=IntervalLevel.LEVEL_1DAY))
my_selector.run()
print(my_selector.open_long_df)
print(my_selector.open_short_df)
assert 'stock_sz_000338' in my_selector.get_open_short_targets(
'2018-01-29')
def test_cross_ma():
factor = CrossMaFactor(entity_type='stock',
codes=['000338'],
start_timestamp='2019-01-01',
end_timestamp='2019-06-10',
level=IntervalLevel.LEVEL_1DAY,
provider='joinquant',
short_window=5,
long_window=10)
print(factor.get_factor_df().tail())
print(factor.get_result_df().tail())
score = factor.get_result_df()['score']
assert score[('stock_sz_000338', '2019-06-03')] == True
assert score[('stock_sz_000338', '2019-06-04')] == True
assert score[('stock_sz_000338', '2019-06-05')] == False
assert score[('stock_sz_000338', '2019-06-06')] == False
assert score[('stock_sz_000338', '2019-06-10')] == False
factor.move_on()
score = factor.get_result_df()['score']
assert score[('stock_sz_000338', '2019-06-17')] == True
def test_cross_ma():
factor = CrossMaFactor(security_type=SecurityType.stock,
codes=['000338'],
start_timestamp='2019-01-01',
end_timestamp='2019-06-10',
level=TradingLevel.LEVEL_1DAY,
provider=Provider.JOINQUANT,
short_window=5,
long_window=10)
print(factor.get_depth_df().tail())
print(factor.get_result_df().tail())
score = factor.get_result_df()['score']
assert score[('stock_sz_000338', '2019-06-03')] == True
assert score[('stock_sz_000338', '2019-06-04')] == True
assert score[('stock_sz_000338', '2019-06-05')] == False
assert score[('stock_sz_000338', '2019-06-06')] == False
assert score[('stock_sz_000338', '2019-06-10')] == False
factor.move_on()
score = factor.get_result_df()['score']
assert score[('stock_sz_000338', '2019-06-17')] == True