def IntradayFryWin(symbolinfo, rawdata, paraSet):
setname = paraSet['Setname']
MACD_S = paraSet['MACD_S']
MACD_L = paraSet['MACD_L']
MACD_M = paraSet['MACD_M']
MA_N = paraSet['MA_N']
# print setname
rawdata['Unnamed: 0'] = range(rawdata.shape[0])
#beginindex = rawdata.ix[0, 'Unnamed: 0']
# 计算MACD
macd = MA.calMACD(rawdata['close'], MACD_S, MACD_L, MACD_M)
rawdata['DIF'] = macd[0]
rawdata['DEA'] = macd[1]
rawdata['MA'] = MA.calEMA(rawdata['close'], MA_N)
# 计算MACD的金叉和死叉
rawdata['MACD_True'], rawdata['MACD_Cross'] = MA.dfCross(rawdata, 'DIF', 'DEA')
# ================================ 找出买卖点================================================
# 1.先找出SAR金叉的买卖点
# 2.找到结合判决条件的买点
# 3.从MA买点中滤出真实买卖点
# 取出金叉点
goldcrosslist = pd.DataFrame({'goldcrosstime': rawdata.loc[rawdata['MACD_Cross'] == 1, 'strtime']})
goldcrosslist['goldcrossutc'] = rawdata.loc[rawdata['MACD_Cross'] == 1, 'utc_time']
goldcrosslist['goldcrossindex'] = rawdata.loc[rawdata['MACD_Cross'] == 1, 'Unnamed: 0']
goldcrosslist['goldcrossprice'] = rawdata.loc[rawdata['MACD_Cross'] == 1, 'close']
# 取出死叉点
deathcrosslist = pd.DataFrame({'deathcrosstime': rawdata.loc[rawdata['MACD_Cross'] == -1, 'strtime']})
deathcrosslist['deathcrossutc'] = rawdata.loc[rawdata['MACD_Cross'] == -1, 'utc_time']
deathcrosslist['deathcrossindex'] = rawdata.loc[rawdata['MACD_Cross'] == -1, 'Unnamed: 0']
deathcrosslist['deathcrossprice'] = rawdata.loc[rawdata['MACD_Cross'] == -1, 'close']
goldcrosslist = goldcrosslist.reset_index(drop=True)
deathcrosslist = deathcrosslist.reset_index(drop=True)
# 生成多仓序列（金叉在前，死叉在后）
if goldcrosslist.ix[0, 'goldcrossindex'] < deathcrosslist.ix[0, 'deathcrossindex']:
longcrosslist = pd.concat([goldcrosslist, deathcrosslist], axis=1)
else: # 如果第一个死叉的序号在金叉前，则要将死叉往上移1格
longcrosslist = pd.concat([goldcrosslist, deathcrosslist.shift(-1).fillna(0)], axis=1)
longcrosslist = longcrosslist.set_index(pd.Index(longcrosslist['goldcrossindex']), drop=True)
# 生成空仓序列（死叉在前，金叉在后）
if deathcrosslist.ix[0, 'deathcrossindex'] < goldcrosslist.ix[0, 'goldcrossindex']:
shortcrosslist = pd.concat([deathcrosslist, goldcrosslist], axis=1)
else: # 如果第一个金叉的序号在死叉前，则要将金叉往上移1格
shortcrosslist = pd.concat([deathcrosslist, goldcrosslist.shift(-1).fillna(0)], axis=1)
shortcrosslist = shortcrosslist.set_index(pd.Index(shortcrosslist['deathcrossindex']), drop=True)
# 取出开多序号和开空序号
openlongindex = rawdata.loc[
(rawdata['MACD_Cross'] == 1) & (rawdata['close'] > rawdata['MA']) & (rawdata['ATR'] > 6)].index
openshortindex = rawdata.loc[
(rawdata['MACD_Cross'] == -1) & (rawdata['close'] < rawdata['MA']) & (rawdata['ATR'] > 6)].index
# 从多仓序列中取出开多序号的内容，即为开多操作
longopr = longcrosslist.loc[openlongindex]
longopr['tradetype'] = 1
longopr.rename(columns={'goldcrosstime': 'opentime',
'goldcrossutc': 'openutc',
'goldcrossindex': 'openindex',
'goldcrossprice': 'openprice',
'deathcrosstime': 'closetime',
'deathcrossutc': 'closeutc',
'deathcrossindex': 'closeindex',
'deathcrossprice': 'closeprice'}, inplace=True)
# 从空仓序列中取出开空序号的内容，即为开空操作
shortopr = shortcrosslist.loc[openshortindex]
shortopr['tradetype'] = -1
shortopr.rename(columns={'deathcrosstime': 'opentime',
'deathcrossutc': 'openutc',
'deathcrossindex': 'openindex',
'deathcrossprice': 'openprice',
'goldcrosstime': 'closetime',
'goldcrossutc': 'closeutc',
'goldcrossindex': 'closeindex',
'goldcrossprice': 'closeprice'}, inplace=True)
# 结果分析
result = pd.concat([longopr, shortopr])
result = result.sort_index()
result = result.reset_index(drop=True)
# result.drop(result.shape[0] - 1, inplace=True)
result = result.dropna()
# 去掉跨合约的操作
# 使用单合约，不用再去掉跨合约
# result = removeContractSwap(result, contractswaplist)
slip = symbolinfo.getSlip()
result['ret'] = ((result['closeprice'] - result['openprice']) * result['tradetype']) - slip
result['ret_r'] = result['ret'] / result['openprice']
results = {}
'''
# 使用单合约，策略核心内不再计算结果
if calcResult:
result['commission_fee'], result['per earn'], result['own cash'], result['hands'] = RS.calcResult(result,
symbolinfo,
initialCash,
positionRatio)
endcash = result['own cash'].iloc[-1]
Annual = RS.annual_return(result)
Sharpe = RS.sharpe_ratio(result)
DrawBack = RS.max_drawback(result)[0]
SR = RS.success_rate(result)
max_single_loss_rate = abs(result['ret_r'].min())
results = {
'Setname':setname,
'opentimes': result.shape[0],
'end_cash': endcash,
'SR': SR,
'Annual': Annual,
'Sharpe': Sharpe,
'DrawBack': DrawBack,
'max_single_loss_rate': max_single_loss_rate
}
closeopr = result.loc[:, 'closetime':'tradetype']
return result, rawdata, closeopr, results
'''
return result
def HullRsiTunnelWin(symbolinfo, rawdata, para_set):
setname = para_set['Setname']
para_n1 = para_set['N1']
para_m1 = para_set['M1']
para_m2 = para_set['M2']
para_n = para_set['N']
para_tunnel_n = para_set['Tunnel_N']
#para_rsi1_up = para_set['RSI1_UP']
#para_rsi1_down = para_set['RSI1_DOWN']
# print setname
"""
LC := REF(CLOSE,1);
BACKGROUNDSTYLE(1);
RSI1:SMA(MAX(CLOSE-LC,0),N1,1)/SMA(ABS(CLOSE-LC),N1,1)*100;
RMA1:EMA(RSI1,M1);
RMA2:EMA(RMA1,M2);
RSINEW:=RMA1-RMA2;
X:= 2*EMA2(RSINEW,ROUND(N/2,0))-EMA2(RSINEW,N);
HURSI:10*EMA2(X,ROUND(SQRT(N),0)),COLORSTICK;
"""
rsi1 = pd.Series(RSI.rsi(rawdata['close'], para_n1))
rsi_ema1 = MA.calEMA(rsi1, para_m1)
rsi_ema2 = MA.calEMA(rsi_ema1, para_m2)
rsi_new = rsi_ema1 - rsi_ema2
hull_rsi = MA.hull_ma(rsi_new, para_n)
#rawdata['RSI1'] = rsi1
rawdata['RSI_EMA1'] = rsi_ema1
#rawdata['RSI_EMA2'] = rsi_ema2
#rawdata['RSI_NEW'] = rsi_new
rawdata['HullRsi'] = hull_rsi
rawdata['TOP_EMA'] = MA.calEMA(rawdata['high'], para_tunnel_n)
rawdata['BOTTOM_EMA'] = MA.calEMA(rawdata['low'], para_tunnel_n)
rawdata['zero'] = 0
rawdata['Unnamed: 0'] = range(rawdata.shape[0])
# 计算M金叉和死叉
rawdata['HullRsi_True'], rawdata['HullRsi_Cross'] = MA.dfCross(
rawdata, 'HullRsi', 'zero')
# ================================ 找出买卖点================================================
# 1.先找出SAR金叉的买卖点
# 2.找到结合判决条件的买点
# 3.从MA买点中滤出真实买卖点
# 取出金叉点
goldcrosslist = pd.DataFrame({
'goldcrosstime':
rawdata.loc[rawdata['HullRsi_Cross'] == 1, 'strtime']
})
goldcrosslist['goldcrossutc'] = rawdata.loc[rawdata['HullRsi_Cross'] == 1,
'utc_time']
goldcrosslist['goldcrossindex'] = rawdata.loc[rawdata['HullRsi_Cross'] ==
1, 'Unnamed: 0']
goldcrosslist['goldcrossprice'] = rawdata.loc[rawdata['HullRsi_Cross'] ==
1, 'close']
goldcrosslist['goldcrossrsi'] = rawdata.loc[rawdata['HullRsi_Cross'] == 1,
'RSI_EMA1']
# 取出死叉点
deathcrosslist = pd.DataFrame({
'deathcrosstime':
rawdata.loc[rawdata['HullRsi_Cross'] == -1, 'strtime']
})
deathcrosslist['deathcrossutc'] = rawdata.loc[rawdata['HullRsi_Cross'] ==
-1, 'utc_time']
deathcrosslist['deathcrossindex'] = rawdata.loc[rawdata['HullRsi_Cross'] ==
-1, 'Unnamed: 0']
deathcrosslist['deathcrossprice'] = rawdata.loc[rawdata['HullRsi_Cross'] ==
-1, 'close']
deathcrosslist['deathcrossrsi'] = rawdata.loc[rawdata['HullRsi_Cross'] ==
-1, 'RSI_EMA1']
goldcrosslist = goldcrosslist.reset_index(drop=True)
deathcrosslist = deathcrosslist.reset_index(drop=True)
# 生成多仓序列（金叉在前，死叉在后）
if goldcrosslist.ix[0, 'goldcrossindex'] < deathcrosslist.ix[
0, 'deathcrossindex']:
longcrosslist = pd.concat([goldcrosslist, deathcrosslist], axis=1)
else: # 如果第一个死叉的序号在金叉前，则要将死叉往上移1格
longcrosslist = pd.concat(
[goldcrosslist, deathcrosslist.shift(-1)], axis=1)
longcrosslist = longcrosslist.set_index(pd.Index(
longcrosslist['goldcrossindex']),
drop=True)
# 生成空仓序列（死叉在前，金叉在后）
if deathcrosslist.ix[0, 'deathcrossindex'] < goldcrosslist.ix[
0, 'goldcrossindex']:
shortcrosslist = pd.concat([deathcrosslist, goldcrosslist], axis=1)
else: # 如果第一个金叉的序号在死叉前，则要将金叉往上移1格
shortcrosslist = pd.concat(
[deathcrosslist, goldcrosslist.shift(-1)], axis=1)
shortcrosslist = shortcrosslist.set_index(pd.Index(
shortcrosslist['deathcrossindex']),
drop=True)
# 取出开多序号和开空序号
#openlongindex = rawdata.loc[
# (rawdata['HullRsi_Cross'] == 1) & (rawdata['RSI_EMA1'] < para_rsi1_up)].index
#openshortindex = rawdata.loc[
# (rawdata['HullRsi_Cross'] == -1) & (rawdata['RSI_EMA1'] > para_rsi1_down)].index
openlongindex = rawdata.loc[(rawdata['HullRsi_Cross'] == 1) &
(rawdata['close'] > rawdata['TOP_EMA'])].index
openshortindex = rawdata.loc[(rawdata['HullRsi_Cross'] == -1) & (
rawdata['close'] < rawdata['BOTTOM_EMA'])].index
# 从多仓序列中取出开多序号的内容，即为开多操作
longopr = longcrosslist.loc[openlongindex]
longopr['tradetype'] = 1
longopr.rename(columns={
'goldcrosstime': 'opentime',
'goldcrossutc': 'openutc',
'goldcrossindex': 'openindex',
'goldcrossprice': 'openprice',
'goldcrossrsi': 'open_rsi',
'deathcrosstime': 'closetime',
'deathcrossutc': 'closeutc',
'deathcrossindex': 'closeindex',
'deathcrossprice': 'closeprice',
'deathcrossrsi': 'close_rsi'
},
inplace=True)
# 从空仓序列中取出开空序号的内容，即为开空操作
shortopr = shortcrosslist.loc[openshortindex]
shortopr['tradetype'] = -1
shortopr.rename(columns={
'deathcrosstime': 'opentime',
'deathcrossutc': 'openutc',
'deathcrossindex': 'openindex',
'deathcrossprice': 'openprice',
'deathcrossrsi': 'open_rsi',
'goldcrosstime': 'closetime',
'goldcrossutc': 'closeutc',
'goldcrossindex': 'closeindex',
'goldcrossprice': 'closeprice',
'goldcrossrsi': 'close_rsi'
},
inplace=True)
# 结果分析
result = pd.concat([longopr, shortopr])
result = result.sort_index()
result = result.reset_index(drop=True)
# result.drop(result.shape[0] - 1, inplace=True)
result = result.dropna()
# 去掉跨合约的操作
# 使用单合约，不用再去掉跨合约
# result = removeContractSwap(result, contractswaplist)
#rawdata.to_csv('%s_rawdata.csv' % setname)
slip = symbolinfo.getSlip()
result['ret'] = ((result['closeprice'] - result['openprice']) *
result['tradetype']) - slip
result['ret_r'] = result['ret'] / result['openprice']
return result
