def run_trade_logic(self, symbol_info, raw_data, para_dic):
MS = para_dic['MS']
MM = para_dic['MM']
ML = para_dic['ML']
raw_data['Unnamed: 0'] = range(raw_data.shape[0])
beginindex = raw_data.ix[0, 'Unnamed: 0']
raw_data['MA_Short'] = MA.calMA(raw_data['close'], MS)
raw_data['MA_Mid'] = MA.calMA(raw_data['close'], MM)
raw_data['MA_Long'] = MA.calMA(raw_data['close'], ML)
raw_data['MA_True'], raw_data['MA_Cross'] = dfCross(
raw_data, 'MA_Short', 'MA_Mid')
raw_data['next_strtime'] = raw_data['strtime'].shift(-1).fillna(
method='ffill')
raw_data['next_open'] = raw_data['open'].shift(-1).fillna(
method='ffill')
raw_data['next_utc'] = raw_data['utc_time'].shift(-1).fillna(
method='ffill')
goldcrosslist = pd.DataFrame({
'goldcrosstime':
raw_data.loc[raw_data['MA_Cross'] == 1, 'next_strtime']
})
goldcrosslist['goldcrossutc'] = raw_data.loc[raw_data['MA_Cross'] == 1,
'next_utc']
goldcrosslist['goldcrossindex'] = raw_data.loc[
raw_data['MA_Cross'] == 1, 'Unnamed: 0'] - beginindex
goldcrosslist['goldcrossprice'] = raw_data.loc[raw_data['MA_Cross'] ==
1, 'next_open']
# 取出死叉点
deathcrosslist = pd.DataFrame({
'deathcrosstime':
raw_data.loc[raw_data['MA_Cross'] == -1, 'next_strtime']
})
deathcrosslist['deathcrossutc'] = raw_data.loc[raw_data['MA_Cross'] ==
-1, 'next_utc']
deathcrosslist['deathcrossindex'] = raw_data.loc[
raw_data['MA_Cross'] == -1, 'Unnamed: 0'] - beginindex
deathcrosslist['deathcrossprice'] = raw_data.loc[
raw_data['MA_Cross'] == -1, 'next_open']
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 = raw_data.loc[
(raw_data['MA_Cross'] == 1)
& (raw_data['MA_Short'] >= raw_data['MA_Long']) &
(raw_data['MA_Mid'] >= raw_data['MA_Long'])].index
openshortindex = raw_data.loc[
(raw_data['MA_Cross'] == -1)
& (raw_data['MA_Short'] <= raw_data['MA_Long']) &
(raw_data['MA_Mid'] <= raw_data['MA_Long'])].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()
slip = symbol_info.getSlip()
result['ret'] = ((result['closeprice'] - result['openprice']) *
result['tradetype']) - slip
result['ret_r'] = result['ret'] / result['openprice']
return result
def run_trade_logic(self, symbol_info, raw_data, para_dic):
setname = para_dic['Setname']
para_n1 = para_dic['N1']
para_m1 = para_dic['M1']
para_m2 = para_dic['M2']
para_n = para_dic['N']
para_ema_n = para_dic['MaN']
"""
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(raw_data['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)
# raw_data['RSI1'] = rsi1
raw_data['RSI_EMA1'] = rsi_ema1
# raw_data['RSI_EMA2'] = rsi_ema2
# raw_data['RSI_NEW'] = rsi_new
raw_data['HullRsi'] = hull_rsi
raw_data['EMA'] = MA.calEMA(raw_data['close'], para_ema_n)
raw_data['zero'] = 0
raw_data['Unnamed: 0'] = range(raw_data.shape[0])
# 计算M金叉和死叉
raw_data['HullRsi_True'], raw_data['HullRsi_Cross'] = dfCross(
raw_data, 'HullRsi', 'zero')
raw_data['next_strtime'] = raw_data['strtime'].shift(-1).fillna(
method='ffill')
raw_data['next_open'] = raw_data['open'].shift(-1).fillna(
method='ffill')
raw_data['next_utc'] = raw_data['utc_time'].shift(-1).fillna(
method='ffill')
#raw_data['next_index'] = raw_data['Unnamed: 0'].shift(-1).fillna(method='ffill')
# ================================ 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':
raw_data.loc[raw_data['HullRsi_Cross'] == 1, 'next_strtime']
})
goldcrosslist['goldcrossutc'] = raw_data.loc[
raw_data['HullRsi_Cross'] == 1, 'next_utc']
goldcrosslist['goldcrossindex'] = raw_data.loc[
raw_data['HullRsi_Cross'] == 1, 'Unnamed: 0']
goldcrosslist['goldcrossprice'] = raw_data.loc[
raw_data['HullRsi_Cross'] == 1, 'next_open']
#goldcrosslist['goldcrossrsi'] = raw_data.loc[raw_data['HullRsi_Cross'] == 1, 'RSI_EMA1']
# 取出死叉点
deathcrosslist = pd.DataFrame({
'deathcrosstime':
raw_data.loc[raw_data['HullRsi_Cross'] == -1, 'next_strtime']
})
deathcrosslist['deathcrossutc'] = raw_data.loc[
raw_data['HullRsi_Cross'] == -1, 'next_utc']
deathcrosslist['deathcrossindex'] = raw_data.loc[
raw_data['HullRsi_Cross'] == -1, 'Unnamed: 0']
deathcrosslist['deathcrossprice'] = raw_data.loc[
raw_data['HullRsi_Cross'] == -1, 'next_open']
#deathcrosslist['deathcrossrsi'] = raw_data.loc[raw_data['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 = raw_data.loc[
# (raw_data['HullRsi_Cross'] == 1) & (raw_data['RSI_EMA1'] < para_rsi1_up)].index
# openshortindex = raw_data.loc[
# (raw_data['HullRsi_Cross'] == -1) & (raw_data['RSI_EMA1'] > para_rsi1_down)].index
openlongindex = raw_data.loc[(raw_data['HullRsi_Cross'] == 1) & (
raw_data['close'] > raw_data['EMA'])].index
openshortindex = raw_data.loc[(raw_data['HullRsi_Cross'] == -1) & (
raw_data['close'] < raw_data['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'
},
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'
},
inplace=True)
# 结果分析
result = pd.concat([longopr, shortopr])
result = result.sort_index()
result = result.reset_index(drop=True)
result = result.dropna()
slip = symbol_info.getSlip()
result['ret'] = ((result['closeprice'] - result['openprice']) *
result['tradetype']) - slip
result['ret_r'] = result['ret'] / result['openprice']
return result
def run_trade_logic(self, symbol_info, raw_data, para_dic):
MACD_S = para_dic['MS']
MACD_L = para_dic['ML']
MACD_M = para_dic['MM']
MA_N = para_dic['MA']
# print setname
raw_data['Unnamed: 0'] = range(raw_data.shape[0])
# 计算MACD
macd = MA.calMACD(raw_data['close'], MACD_S, MACD_L, MACD_M) # 普通MACD
#macd = MACD.hull_macd(raw_data['close'], MACD_S, MACD_L, MACD_M) # hull_macd
raw_data['DIF'] = macd[0]
raw_data['DEA'] = macd[1]
raw_data['MA'] = MA.calEMA(raw_data['close'], MA_N)
# raw_data['MA'] = MA.hull_ma(raw_data['close'], MA_N)
raw_data['next_strtime'] = raw_data['strtime'].shift(-1).fillna(
method='ffill')
raw_data['next_open'] = raw_data['open'].shift(-1).fillna(
method='ffill')
raw_data['next_utc'] = raw_data['utc_time'].shift(-1).fillna(
method='ffill')
# 计算MACD的金叉和死叉
raw_data['MACD_True'], raw_data['MACD_Cross'] = dfCross(
raw_data, 'DIF', 'DEA')
# ================================ 找出买卖点================================================
goldcrosslist = pd.DataFrame({
'goldcrosstime':
raw_data.loc[raw_data['MACD_Cross'] == 1, 'next_strtime']
})
goldcrosslist['goldcrossutc'] = raw_data.loc[raw_data['MACD_Cross'] ==
1, 'next_utc']
goldcrosslist['goldcrossindex'] = raw_data.loc[
raw_data['MACD_Cross'] == 1, 'Unnamed: 0']
goldcrosslist['goldcrossprice'] = raw_data.loc[
raw_data['MACD_Cross'] == 1, 'next_open']
# 取出死叉点
deathcrosslist = pd.DataFrame({
'deathcrosstime':
raw_data.loc[raw_data['MACD_Cross'] == -1, 'next_strtime']
})
deathcrosslist['deathcrossutc'] = raw_data.loc[
raw_data['MACD_Cross'] == -1, 'next_utc']
deathcrosslist['deathcrossindex'] = raw_data.loc[
raw_data['MACD_Cross'] == -1, 'Unnamed: 0']
deathcrosslist['deathcrossprice'] = raw_data.loc[
raw_data['MACD_Cross'] == -1, 'next_open']
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 = raw_data.loc[(raw_data['MACD_Cross'] == 1) & (
raw_data['close'] > raw_data['MA'])].index
openshortindex = raw_data.loc[(raw_data['MACD_Cross'] == -1) & (
raw_data['close'] < raw_data['MA'])].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 = result.dropna()
slip = symbol_info.getSlip()
result['ret'] = ((result['closeprice'] - result['openprice']) *
result['tradetype']) - slip
result['ret_r'] = result['ret'] / result['openprice']
return result
def run_trade_logic(self, symbol_info, raw_data, para_dic):
para_n1 = para_dic['N1']
para_m1 = para_dic['M1']
para_m2 = para_dic['M2']
para_n = para_dic['N']
para_tunnel_n = para_dic['TN']
rsi1 = pd.Series(RSI.rsi(raw_data['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)
raw_data['RSI_EMA1'] = rsi_ema1
raw_data['HullRsi'] = hull_rsi
raw_data['TOP_EMA'] = MA.calEMA(raw_data['high'], para_tunnel_n)
raw_data['BOTTOM_EMA'] = MA.calEMA(raw_data['low'], para_tunnel_n)
raw_data['zero'] = 0
raw_data['Unnamed: 0'] = range(raw_data.shape[0])
# 计算M金叉和死叉
raw_data['HullRsi_True'], raw_data['HullRsi_Cross'] = dfCross(raw_data, 'HullRsi', 'zero')
raw_data['next_strtime'] = raw_data['strtime'].shift(-1).fillna(method='ffill')
raw_data['next_open'] = raw_data['open'].shift(-1).fillna(method='ffill')
raw_data['next_utc'] = raw_data['utc_time'].shift(-1).fillna(method='ffill')
# ================================ 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': raw_data.loc[raw_data['HullRsi_Cross'] == 1, 'next_strtime']})
goldcrosslist['goldcrossutc'] = raw_data.loc[raw_data['HullRsi_Cross'] == 1, 'next_utc']
goldcrosslist['goldcrossindex'] = raw_data.loc[raw_data['HullRsi_Cross'] == 1, 'Unnamed: 0']
goldcrosslist['goldcrossprice'] = raw_data.loc[raw_data['HullRsi_Cross'] == 1, 'next_open']
#goldcrosslist['goldcrossrsi'] = raw_data.loc[raw_data['HullRsi_Cross'] == 1, 'RSI_EMA1']
# 取出死叉点
deathcrosslist = pd.DataFrame({'deathcrosstime': raw_data.loc[raw_data['HullRsi_Cross'] == -1, 'next_strtime']})
deathcrosslist['deathcrossutc'] = raw_data.loc[raw_data['HullRsi_Cross'] == -1, 'next_utc']
deathcrosslist['deathcrossindex'] = raw_data.loc[raw_data['HullRsi_Cross'] == -1, 'Unnamed: 0']
deathcrosslist['deathcrossprice'] = raw_data.loc[raw_data['HullRsi_Cross'] == -1, 'next_open']
#deathcrosslist['deathcrossrsi'] = raw_data.loc[raw_data['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 = raw_data.loc[
# (raw_data['HullRsi_Cross'] == 1) & (raw_data['RSI_EMA1'] < para_rsi1_up)].index
# openshortindex = raw_data.loc[
# (raw_data['HullRsi_Cross'] == -1) & (raw_data['RSI_EMA1'] > para_rsi1_down)].index
openlongindex = raw_data.loc[(raw_data['HullRsi_Cross'] == 1) & (raw_data['close'] > raw_data['TOP_EMA'])].index
openshortindex = raw_data.loc[(raw_data['HullRsi_Cross'] == -1) & (raw_data['close'] < raw_data['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'}, 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'}, inplace=True)
# 结果分析
result = pd.concat([longopr, shortopr])
result = result.sort_index()
result = result.reset_index(drop=True)
result = result.dropna()
slip = symbol_info.getSlip()
result['ret'] = ((result['closeprice'] - result['openprice']) * result['tradetype']) - slip
result['ret_r'] = result['ret'] / result['openprice']
return result