def sample_821_2():
"""
8.2.1_2 ABuPickStockExecute
:return:
"""
stock_pickers = [{
'class': AbuPickRegressAngMinMax,
'threshold_ang_min': 0.0,
'threshold_ang_max': 10.0,
'reversed': False
}]
choice_symbols = [
'usNOAH', 'usSFUN', 'usBIDU', 'usAAPL', 'usGOOG', 'usTSLA', 'usWUBA',
'usVIPS'
]
benchmark = AbuBenchmark()
capital = AbuCapital(1000000, benchmark)
kl_pd_manager = AbuKLManager(benchmark, capital)
print(
'ABuPickStockExecute.do_pick_stock_work:\n',
ABuPickStockExecute.do_pick_stock_work(choice_symbols, benchmark,
capital, stock_pickers))
kl_pd_sfun = kl_pd_manager.get_pick_stock_kl_pd('usSFUN')
print('sfun 选股周期内角度={}'.format(
round(ABuRegUtil.calc_regress_deg(kl_pd_sfun.close), 3)))
def sample_821_1():
"""
8.2.1_1 选股使用示例
:return:
"""
# 选股条件threshold_ang_min=0.0, 即要求股票走势为向上上升趋势
stock_pickers = [{'class': AbuPickRegressAngMinMax,
'threshold_ang_min': 0.0, 'reversed': False}]
# 从这几个股票里进行选股，只是为了演示方便
# 一般的选股都会是数量比较多的情况比如全市场股票
choice_symbols = ['usNOAH', 'usSFUN', 'usBIDU', 'usAAPL', 'usGOOG',
'usTSLA', 'usWUBA', 'usVIPS']
benchmark = AbuBenchmark()
capital = AbuCapital(1000000, benchmark)
kl_pd_manager = AbuKLManager(benchmark, capital)
stock_pick = AbuPickStockWorker(capital, benchmark, kl_pd_manager,
choice_symbols=choice_symbols,
stock_pickers=stock_pickers)
stock_pick.fit()
# 打印最后的选股结果
print('stock_pick.choice_symbols:', stock_pick.choice_symbols)
# 从kl_pd_manager缓存中获取选股走势数据，注意get_pick_stock_kl_pd为选股数据，get_pick_time_kl_pd为择时
kl_pd_noah = kl_pd_manager.get_pick_stock_kl_pd('usNOAH')
# 绘制并计算角度
deg = ABuRegUtil.calc_regress_deg(kl_pd_noah.close)
print('noah 选股周期内角度={}'.format(round(deg, 3)))
def sample_711():
"""
7.1.1 趋势跟踪和均值回复的周期重叠性
:return:
"""
sns.set_context(rc={'figure.figsize': (14, 7)})
sns.regplot(x=np.arange(0, kl_pd.shape[0]), y=kl_pd.CLOSE.values, marker='+')
plt.show()
from abupy import ABuRegUtil
deg = ABuRegUtil.calc_regress_deg(kl_pd.CLOSE.values)
plt.show()
print('趋势角度:' + str(deg))
start = 0
# 前1/4的数据
end = int(kl_pd.shape[0] / 4)
# 将x也使用arange切割
x = np.arange(start, end)
# y根据start，end进行切片
y = kl_pd.CLOSE.values[start:end]
sns.regplot(x=x, y=y, marker='+')
plt.show()
start = int(kl_pd.shape[0] / 4)
# 向前推1/4单位个时间
end = start + int(kl_pd.shape[0] / 4)
sns.regplot(x=np.arange(start, end), y=kl_pd.CLOSE.values[start:end],
marker='+')
plt.show()
def sample_821_2():
"""
8.2.1_2 ABuPickStockExecute
:return:
"""
stock_pickers = [{
'class': AbuPickRegressAngMinMax,
'threshold_ang_min': 0.0,
'threshold_ang_max': 10.0,
'reversed': False
}]
choice_symbols = [
'601398', '601988', '601939', '603993', '600999', '300059', '600900',
'601328', '601288', '600887', '600029', '000002'
]
benchmark = AbuBenchmark()
capital = AbuCapital(1000000, benchmark)
kl_pd_manager = AbuKLManager(benchmark, capital)
print(
'ABuPickStockExecute.do_pick_stock_work:\n',
ABuPickStockExecute.do_pick_stock_work(choice_symbols, benchmark,
capital, stock_pickers))
kl_pd_sfun = kl_pd_manager.get_pick_stock_kl_pd('601398')
print('sfun 选股周期内角度={}'.format(
round(ABuRegUtil.calc_regress_deg(kl_pd_sfun.close), 3)))
def sample_711():
"""
7.1.1 趋势跟踪和均值回复的周期重叠性
:return:
"""
sns.set_context(rc={'figure.figsize': (14, 7)})
sns.regplot(x=np.arange(0, kl_pd.shape[0]), y=kl_pd.close.values, marker='+')
plt.show()
from abupy import ABuRegUtil
deg = ABuRegUtil.calc_regress_deg(kl_pd.close.values)
plt.show()
print('趋势角度:' + str(deg))
start = 0
# 前1/4的数据
end = int(kl_pd.shape[0] / 4)
# 将x也使用arange切割
x = np.arange(start, end)
# y根据start，end进行切片
y = kl_pd.close.values[start:end]
sns.regplot(x=x, y=y, marker='+')
plt.show()
start = int(kl_pd.shape[0] / 4)
# 向前推1/4单位个时间
end = start + int(kl_pd.shape[0] / 4)
sns.regplot(x=np.arange(start, end), y=kl_pd.close.values[start:end],
marker='+')
plt.show()
def fit_pick(self, kl_pd, target_symbol):
"""开始根据自定义拟合角度边际参数进行选股"""
# 计算走势角度
ang = ABuRegUtil.calc_regress_deg(kl_pd.close, show=False)
# 根据参数进行角度条件判断
if self.threshold_ang_min < ang < self.threshold_ang_max:
return True
return False
def trendSingle(stock):
"""
calculate the trend of given data length, if you need latest month then you can pass like pdDataFrame[-20:-1]
"""
from abupy import ABuRegUtil
return stock, ABuRegUtil.calc_regress_deg(
alldata[alldata.code == stock].reset_index(drop=True).close.values,
show=False)
def sample_12():
from abupy import ABuRegUtil
# kl_pd = ABuSymbolPd.make_kl_df('601398', start='2015-03-01', end='2015-04-01', parallel=False, n_folds=1)
kl_pd = ABuSymbolPd.make_kl_df('601398',
start='2011-03-01',
parallel=False,
n_folds=1)
deg = ABuRegUtil.calc_regress_deg(kl_pd.close.values, show=False)
print('趋势角度:' + str(deg))
pd = calc_wave_std(kl_pd, show=False)
print(pd)
print(pd.high)
print(pd.low)
print(pd.close)
def sample_821_2():
"""
8.2.1_2 ABuPickStockExecute
:return:
"""
stock_pickers = [{'class': AbuPickRegressAngMinMax,
'threshold_ang_min': 0.0, 'threshold_ang_max': 10.0,
'reversed': False}]
choice_symbols = ['usNOAH', 'usSFUN', 'usBIDU', 'usAAPL', 'usGOOG',
'usTSLA', 'usWUBA', 'usVIPS']
benchmark = AbuBenchmark()
capital = AbuCapital(1000000, benchmark)
kl_pd_manager = AbuKLManager(benchmark, capital)
print('ABuPickStockExecute.do_pick_stock_work:\n', ABuPickStockExecute.do_pick_stock_work(choice_symbols, benchmark,
capital, stock_pickers))
kl_pd_sfun = kl_pd_manager.get_pick_stock_kl_pd('usSFUN')
print('sfun 选股周期内角度={}'.format(round(ABuRegUtil.calc_regress_deg(kl_pd_sfun.close), 3)))
def calAngle(df):
"""
trend angle based on provided dataframe
"""
return ABuRegUtil.calc_regress_deg(df.close.values,show=False)
# 开始执行
benchmark = AbuBenchmark()
capital = AbuCapital(1000000, benchmark)
kl_pd_manager = AbuKLManager(benchmark, capital)
stock_pick = AbuPickStockWorker(capital,
benchmark,
kl_pd_manager,
choice_symbols=choice_symbols,
stock_pickers=stock_pickers)
stock_pick.fit()
print(stock_pick.choice_symbols)
# 绘图
kl_pd_SFUN = kl_pd_manager.get_pick_stock_kl_pd('usNOAH')
deg = ABuRegUtil.calc_regress_deg(kl_pd_SFUN.close)
print(deg)
# 上面使用worker的操作太麻烦，下面可以直接使用executer
stock_pickers = [{
'class': AbuPickRegressAngMinMax,
'threshold_ang_min': 0.0,
'threshold_ang_max': 10.0,
'reversed': False
}]
result = ABuPickStockExecute.do_pick_stock_work(choice_symbols, benchmark,
capital, stock_pickers)
print(result)
'''
2)
同样，上面是采用了一种选股因子，那么，当我采用多种选股因子时会怎样呢？
from abupy import ABuRegUtil,EMarketTargetType
abupy.env.enable_example_env_ipython()
abupy.env.g_market_target = EMarketTargetType.E_MARKET_TARGET_CN
# 选股条件threshold_ang_min=0.0, 即要求股票走势为向上上升趋势
stock_pickers = [{'class': AbuPickRegressAngMinMax,
'threshold_ang_min': 0.0, 'reversed': False}]
# 从这几个股票里进行选股，只是为了演示方便
# 一般的选股都会是数量比较多的情况比如全市场股票
choice_symbols = ['usNOAH', 'usSFUN', 'usBIDU', 'usAAPL', 'usGOOG',
'usTSLA', 'usWUBA', 'usVIPS']
benchmark = AbuBenchmark()
capital = AbuCapital(1000000, benchmark)
kl_pd_manger = AbuKLManager(benchmark, capital)
stock_pick = AbuPickStockWorker(capital, benchmark, kl_pd_manger,
choice_symbols=choice_symbols,
stock_pickers=stock_pickers)
stock_pick.fit()
# 打印最后的选股结果
print(stock_pick.choice_symbols)
# 从kl_pd_manger缓存中获取选股走势数据，
# 注意get_pick_stock_kl_pd()为选股数据，get_pick_time_kl_pd()为择时
kl_pd_noah = kl_pd_manger.get_pick_stock_kl_pd('usNOAH')
# 绘制并计算角度
deg = ABuRegUtil.calc_regress_deg(kl_pd_noah.close)
print('noah 选股周期内角度={}'.format(round(deg, 3)))
from abupy import AbuPickStockWorker;
stock_pick = AbuPickStockWorker(capital, benchmark, kl_pd_manager, choice_symbols = list(symbols.keys()), stock_pickers = stock_pickers);
stock_pick.fit();
print('candidates:', list(symbols.keys()));
print('picked:', stock_pick.choice_symbols);
'''
# simple way
from abupy import ABuPickStockExecute
from abupy import ABuRegUtil
picked_stocks = ABuPickStockExecute.do_pick_stock_work(
list(symbols.keys()), benchmark, capital, stock_pickers)
print('candidates:', list(symbols.keys()))
for stock in picked_stocks:
kl = kl_pd_manager.get_pick_stock_kl_pd(stock)
print('stock name: ' + stock + ' degree: {}'.format(
round(ABuRegUtil.calc_regress_deg(kl.close), 3)))
# 2) pick stocks with multiple processes
from abupy import AbuPickStockMaster
picked_stocks = AbuPickStockMaster.do_pick_stock_with_process(
capital, benchmark, stock_pickers, list(symbols.keys()))
print(picked_stocks)
# 3) pick stocks with multiple processes and threads
picked_stocks = AbuPickStockMaster.do_pick_stock_with_process_mix_thread(
capital,
benchmark,
stock_pickers,
list(symbols.keys()),
n_process=8,
n_thread=3)
print(picked_stocks)
industry_data = industry_data[~industry_data.name.str.contains('ST')]
industry_data2 = industry_data['code'][industry_data.c_name == '公路桥梁'] #过滤
# industry_data2 = industry_data['code']
choice_symbols2 = industry_data2.values
choice_symbols = choice_symbols2
# choice_symbols = ['000895']
benchmark = AbuBenchmark(n_folds=1, start=None, end=None)
kl_pd = benchmark.kl_pd
pd_len = kl_pd.shape[0]
kl_pd = kl_pd[kl_pd.key > pd_len - 16][kl_pd.key < pd_len - 11]
plt.plot(kl_pd.index, kl_pd.close)
plt.show()
ang = ABuRegUtil.calc_regress_deg(kl_pd.close, show=True)
print('test OK')
# factor_dict = {'class': AbuPickRegressAngMinMax,
# 'xd': self.xd.value,
# 'reversed': self.reversed.value,
# 'threshold_ang_min': ang_min,
# 'threshold_ang_max': ang_max}
#
# factor_desc_key = u'角度选股最大:{}最小:{},周期:{},反转:{}'.format(
# ang_max, ang_min, self.xd.value, self.reversed.value)
# abu_result_tuple,kl_pd_manager = abu.run_loop_back(read_cash,buy_factors,sell_factors,stock_pickers,choice_symbols=choice_symbols,n_folds = 1)
# store_abu_result_out_put(abu_result_tuple)