def VWAP_sta(qx):
''' vwap 成交量加權平均價策略分析函數
Args:
qx (zwQuantX): zwQuantX數據包
預設參數範例：
qx.staVars=[5,0.01,'2014-01-01','']
'''
stknum = 0
xtim, xcod = qx.xtim, qx.stkCode
#
vwap = zwx.stkGetPrice(qx, 'vwap')
if vwap > 0:
dprice = zwx.stkGetVars(qx, 'close')
kvwap = qx.staVars[1]
xnum = zwx.xusrStkNum(qx, xcod)
dcash = qx.qxUsr['cash']
dval = xnum * dprice
#----
if (dprice > vwap * (1 + kvwap)) and (dval < (dcash * qx.stkKCash)):
stknum = 100
if (dprice < vwap * (1 - kvwap)) and (dval > 0):
stknum = -100
#
if stknum != 0:
#print(xtim,stknum,'xd',xcod,dprice,dcash)
pass
return stknum
def VWAP_sta(qx):
''' vwap 成交量加权平均价策略分析函数
Args:
qx (zwQuantX): zwQuantX数据包
默认参数示例：
qx.staVars=[5,0.01,'2014-01-01','']
'''
stknum=0;
xtim,xcod=qx.xtim,qx.stkCode
#
vwap=zwx.stkGetPrice(qx,'vwap')
if vwap>0:
dprice=zwx.stkGetVars(qx,'close')
kvwap=qx.staVars[1];
xnum=zwx.xusrStkNum(qx,xcod);
dcash=qx.qxUsr['cash'];
dval = xnum * dprice;
#----
if (dprice>vwap*(1+kvwap))and(dval<(dcash*qx.stkKCash)):
stknum=100;
if (dprice<vwap*(1-kvwap))and(dval>0):
stknum=-100;
#
if stknum!=0:
#print(xtim,stknum,'xd',xcod,dprice,dcash)
pass;
return stknum
def VWAP_sta(qx):
''' vwap 成交量加权平均价策略分析函数
Args:
qx (zwQuantX): zwQuantX数据包
默认参数示例：
qx.staVars=[5,0.01,'2014-01-01','']
'''
stknum=0;
xtim,xcod=qx.xtim,qx.stkCode
#
vwap=zwx.stkGetPrice(qx,'vwap')
if vwap>0:
dprice=zwx.stkGetVars(qx,'close')
kvwap=qx.staVars[1];
xnum=zwx.xusrStkNum(qx,xcod);
dcash=qx.qxUsr['cash'];
dval = xnum * dprice;
#----
if (dprice>vwap*(1+kvwap))and(dval<(dcash*qx.stkKCash)):
stknum=100;
if (dprice<vwap*(1-kvwap))and(dval>0):
stknum=-100;
#
if stknum!=0:
#print(xtim,stknum,'xd',xcod,dprice,dcash)
pass;
return stknum
def zwBackTest(qx):
'''
zwQuant，回溯测试主程序
【输入】
qx (zwQuantx): zwQuantx数据包
【输出】
无
'''
# 增加数据源波动率参数
zwx.stkLibSetDVix()
# 计算回溯时间周期，也可以在此，根据nday调整回溯周期长度
# 或者在 qt_init数据初始化时，通过qx.qxTimSet(xtim0,xtim9)，设置回溯周期长度
nday = qx.periodNDay
if qx.debugMod > 0:
xcod = zw.stkLibCode[0]
print(zw.stkLib[xcod].tail())
print('nday', nday)
# nday=3;
fss = 'tmp\\' + qx.prjName + '_' + xcod + '.csv'
zw.stkLib[xcod].to_csv(fss)
# --------------
# 按时间循环，进行回溯测试
for tc in range(nday):
tim5 = qx.DTxtim0 + dt.timedelta(days=tc)
xtim = tim5.strftime('%Y-%m-%d') # print('tc',tc,xtim)
# 每个测试时间点，开始时，清除qx相关参数
qx.qxTim0SetVar(xtim)
# qx.prQxUsr();#qx.xtim=xtim;
xpriceFlag = False
# 有效交易标志Flag
# 按设定的股票代码列表，循环进行回溯测试
for xcod in zw.stkLibCode:
qx.stkCode = xcod
# print('xcod',xcod)
# xdatWrk是当前xcod，=stkLib[xcod]
# xbarWrk是当前时间点的stkLib[xcod]
# 注意,已经包括了，qt_init里面的扩充数据列
qx.xbarWrk, qx.xdatWrk = zwx.xbarGet8TimExt(xcod, qx.xtim)
# print(xcod,'xbar\n',qx.xbarWrk)
if not qx.xbarWrk[qx.priceWrk].empty:
# -----dvix 波动率检查
dvix = zwx.stkGetVars(qx, 'dvix')
# dvixFlag=False;
dvixFlag = zwt.xinEQ(dvix, qx.dvix_k0,
qx.dvix_k9) or (dvix
== 0) or (np.isnan(dvix))
if dvixFlag:
xpriceFlag = True
# 调用回溯子程序，如果是有效交易，设置成功交易标志xtrdFlag
zwBackTest100(qx)
else:
print('@dvix', xcod, xtim, dvix)
pass
# 如果所有股票代码列表循环完毕，成功交易标志为真
# 在当前测试时间点终止，设置有关交易参数
if xpriceFlag:
qx.wrkNDay += 1
qx.qxTim9SetVar(qx.xtim)
def zwBackTest(qx):
'''
zwQuant，回溯测试主程序
【输入】
qx (zwQuantx): zwQuantx数据包
【输出】
无
'''
# 增加数据源波动率参数 # 就是增加一列dvix数据
zwx.stkLibSetDVix()
# 计算回溯时间周期，也可以在此，根据nday调整回溯周期长度
# 或者在 qt_init数据初始化时，通过qx.qxTimSet(xtim0,xtim9)，设置回溯周期长度
nday = qx.periodNDay
if qx.debugMod > 0:
xcod = zw.stkLibCode[0]
print(zw.stkLib[xcod].tail())
print('nday', nday)
fss = 'tmp\\' + qx.prjName + '_' + xcod + '.csv'
zw.stkLib[xcod].to_csv(fss)
# --------------
# 按时间循环，进行回溯测试
for tc in range(nday):
tim5 = qx.DTxtim0 + dt.timedelta(days=tc)
if hasattr(qx,'timFun'):
qx.timFun(qx,tim5) # 运行绑定的关于某个时间点的主函数
xtim = tim5.strftime('%Y-%m-%d') # print('tc',tc,xtim)
# 每个测试时间点，开始时，清除qx相关参数
qx.qxTim0SetVar(xtim) # qx.prQxUsr() #qx.xtim=xtim
xpriceFlag = False # 有效交易标志Flag
# 按设定的股票代码列表，循环进行回溯测试
for xcod in zw.stkLibCode:
qx.stkCode = xcod # print('xcod',xcod)
# xdatWrk是当前xcod，=stkLib[xcod]
# xbarWrk是当前时间点的stkLib[xcod]
# 注意,已经包括了，qt_init里面的扩充数据列
qx.xbarWrk, qx.xdatWrk = zwx.xbarGet8TimExt(xcod, qx.xtim)
# print(xcod,'xbar\n',qx.xbarWrk)
if not qx.xbarWrk[qx.priceWrk].empty:
# -----dvix 波动率检查
dvix = zwx.stkGetVars(qx, 'dvix') # dvixFlag=False
dvixFlag = zwt.xinEQ(dvix, qx.dvix_k0, qx.dvix_k9) or (dvix == 0) or (np.isnan(dvix))
if dvixFlag:
xpriceFlag = True
# 调用回溯子程序，如果是有效交易，设置成功交易标志xtrdFlag
zwBackTest100(qx)
else:
print('@dvix', xcod, xtim, dvix)
pass
# 如果所有股票代码列表循环完毕，成功交易标志为真
# 在当前测试时间点终止，设置有关交易参数
if xpriceFlag:
qx.wrkNDay += 1
qx.qxTim9SetVar(qx.xtim)
# print('')
qx.update_usr_qxLib(qx,qx.qxLib)
def zwBackTest(qx):
'''
zwQuant，回溯測試主程式
【輸入】
qx (zwQuantx): zwQuantx封包
【輸出】
無
'''
# 增加資料來源波動率參數 # 就是增加一列dvix資料
zwx.stkLibSetDVix()
# 計算回溯時間週期，也可以在此，根據nday調整回溯週期長度
# 或者在 qt_init資料初始化時，通過qx.qxTimSet(xtim0,xtim9)，設定回溯週期長度
nday = qx.periodNDay
if qx.debugMod > 0:
xcod = zw.stkLibCode[0]
print(zw.stkLib[xcod].tail())
print('nday', nday)
fss = 'tmp\\' + qx.prjName + '_' + xcod + '.csv'
zw.stkLib[xcod].to_csv(fss)
# --------------
# 按時間迴圈，進行回溯測試
for tc in range(nday):
tim5 = qx.DTxtim0 + dt.timedelta(days=tc)
if hasattr(qx,'timFun'):
qx.timFun(qx,tim5) # 運行綁定的關於某個時間點的主函數
xtim = tim5.strftime('%Y-%m-%d') # print('tc',tc,xtim)
# 每個測試時間點，開始時，清除qx相關參數
qx.qxTim0SetVar(xtim) # qx.prQxUsr() #qx.xtim=xtim
xpriceFlag = False # 有效交易標誌Flag
# 按設定的股票代碼列表，迴圈進行回溯測試
for xcod in zw.stkLibCode:
qx.stkCode = xcod # print('xcod',xcod)
# xdatWrk是當前xcod，=stkLib[xcod]
# xbarWrk是當前時間點的stkLib[xcod]
# 注意,已經包括了，qt_init裡面的擴充資料列
qx.xbarWrk, qx.xdatWrk = zwx.xbarGet8TimExt(xcod, qx.xtim)
# print(xcod,'xbar\n',qx.xbarWrk)
if not qx.xbarWrk[qx.priceWrk].empty:
# -----dvix 波動率檢查
dvix = zwx.stkGetVars(qx, 'dvix') # dvixFlag=False
dvixFlag = zwt.xinEQ(dvix, qx.dvix_k0, qx.dvix_k9) or (dvix == 0) or (np.isnan(dvix))
if dvixFlag:
xpriceFlag = True
# 調用回溯副程式，如果是有效交易，設定成功交易標誌xtrdFlag
zwBackTest100(qx)
else:
print('@dvix', xcod, xtim, dvix)
pass
# 如果所有股票代碼清單迴圈完畢，成功交易標誌為真
# 在當前測試時間點終止，設定有關交易參數
if xpriceFlag:
qx.wrkNDay += 1
qx.qxTim9SetVar(qx.xtim)
# print('')
qx.update_usr_qxLib(qx,qx.qxLib)
def BBANDS_sta(qx):
''' 布林帶策略分析函數
Args:
qx (zwQuantX): zwQuantX數據包
預設參數範例：
qx.staVars=[40,'2014-01-01','']
'''
stknum = 0
xtim, xcod = qx.xtim, qx.stkCode
dup = zwx.stkGetVars(qx, 'boll_up')
dlow = zwx.stkGetVars(qx, 'boll_low')
#print(xtim,stknum,'xd',xcod,dup,dlow)
if dup > 0:
dprice = zwx.stkGetPrice(qx, 'dprice')
kprice = zwx.stkGetPrice(qx, 'kprice')
dnum = zwx.xusrStkNum(qx, xcod)
dcash = qx.qxUsr['cash']
#print(xtim,stknum,dnum,'xd',dcash,dprice,'b,%.2f,%.2f' %(dlow,dup))
if (dnum == 0) and (dprice < dlow):
stknum = int(dcash / dprice * qx.stkKCash)
dsum = stknum * kprice
if qx.debugMod > 0:
print(
xtim, stknum, dnum, '++,%.2f,%.2f,%.2f,$,%.2f,%.2f' %
(dprice, dlow, dup, kprice, dsum))
elif (dnum > 0) and (dprice > dup):
stknum = -1
dsum = dnum * kprice
if qx.debugMod > 0:
print(
xtim, stknum, dnum, '--,%.2f,%.2f,%.2f,$,%.2f,%.2f' %
(dprice, dlow, dup, kprice, dsum))
#
if stknum != 0:
#print(xtim,stknum,'xd',xcod,dprice,dcash)
pass
return stknum
def BBANDS_sta(qx):
''' 布林带策略分析函数
Args:
qx (zwQuantX): zwQuantX数据包
默认参数示例：
qx.staVars=[40,'2014-01-01','']
'''
stknum=0;
xtim,xcod=qx.xtim,qx.stkCode
dup=zwx.stkGetVars(qx,'boll_up')
dlow=zwx.stkGetVars(qx,'boll_low')
#print(xtim,stknum,'xd',xcod,dup,dlow)
if dup>0:
dprice=zwx.stkGetPrice(qx,'dprice')
kprice=zwx.stkGetPrice(qx,'kprice')
dnum=zwx.xusrStkNum(qx,xcod)
dcash=qx.qxUsr['cash'];
#print(xtim,stknum,dnum,'xd',dcash,dprice,'b,%.2f,%.2f' %(dlow,dup))
if (dnum==0)and(dprice<dlow):
stknum = int(dcash /dprice*qx.stkKCash);dsum=stknum*kprice
if qx.debugMod>0:
print(xtim,stknum,dnum,'++,%.2f,%.2f,%.2f,$,%.2f,%.2f' %(dprice,dlow,dup,kprice,dsum))
elif (dnum>0)and(dprice>dup):
stknum = -1;dsum=dnum*kprice
if qx.debugMod>0:
print(xtim,stknum,dnum,'--,%.2f,%.2f,%.2f,$,%.2f,%.2f' %(dprice,dlow,dup,kprice,dsum))
#
if stknum!=0:
#print(xtim,stknum,'xd',xcod,dprice,dcash)
pass;
return stknum
def tur10(qx):
'''
策略说明
Args:
qx (zwQuantX): zwQuantX数据包
'''
stknum=0;
xtim,xcod=qx.xtim,qx.stkCode;
dprice=zwx.stkGetVars(qx,'dprice')
xnum=zwx.xusrStkNum(qx,xcod);
#
ksma='ma_%d' %qx.staVars[1]
dsma=qx.xbarWrk[ksma][0]
#
if (dprice>dsma)and(xnum==0):
stknum=10;
print('buy',xtim,dprice,dsma,xnum);
if (dprice<=dsma)and(xnum>0):
stknum=-1;
print('sell',xtim,dprice,dsma,xnum);
#
return stknum