def algo_running_worker(args, parameter):
strategy_module = module_loader.load_module_from_file(args.strategy)
stock_data_provider = module_loader.load_module_from_file(args.stock_data_provider)
create_strategy = module_loader.load_module_func(strategy_module, 'create_strategy')
strategy = create_strategy(args)
learn_context = None
if args.load_optimized_parameter or args.use_default_parameter:
learn_context = LearnContext()
learn_context.add_feature(RsiFeature())
learn_context.add_feature(MacdFeature())
strategy.learn_context = learn_context
runner = algo_runner.AlgoRunner(stock_data_provider, args.capital_base, args)
symbols = args.stock_ids
start_date = args.optimize_range[0]
end_date = args.optimize_range[1]
def tmp_analyze_func(context=None, results=None):
pass
strategy.current_parameter = parameter
logging.info('running strategy:%s', strategy)
try:
perf_data = runner.run(strategy,
symbols,
start_date=start_date,
end_date=end_date,
analyze_func=tmp_analyze_func)
return (parameter, perf_data, learn_context.get_learning_data() if learn_context is not None else None)
except:
logging.exception('running strategy:%s failed', strategy)
return (parameter, None, None)
def __init__(
self,
stock_ids,
start_date=None,
end_date=None,
do_normalize_data=False,
column='close',
stock_data_provider_name='stock_data_provider.cn_a.vip_dataset',
**kwargs):
self.stock_data_provider_ = module_loader.load_module_from_file(
stock_data_provider_name)
self.load_data_ = module_loader.load_module_func(
self.stock_data_provider_, 'load_stock_data')
self.all_loaded_data_ = self.load_data_(stock_ids, do_normalize_data)
self.stock_ids_ = stock_ids
self.start_date_ = start_date
self.end_date_ = end_date
self.do_normalize_data_ = do_normalize_data
self.data_ = data = filter_dataframe(
create_dataframe(self.all_loaded_data_, column), self.start_date_,
self.end_date_)
if len(data.columns) > 1:
raise ValueError('must be single stock, but get:%s' % stock_ids)
values = data[data.columns[0]].values
params = {
"prominence": (.618, None),
"threshold": None,
"distance": 5,
}
params.update(kwargs)
self.peak_index_, _ = find_peaks(values, **params)
self.trough_index_, _ = find_peaks(-values, **params)
import bt
import matplotlib.pyplot as plt
from scipy.signal import find_peaks, medfilt, wiener, hilbert
import talib
try:
from . import module_loader
except:
import module_loader
sys.dont_write_bytecode = True
stock_data_provider = module_loader.load_module_from_file(
'stock_data_provider.cn_a.vip_dataset')
load_data = module_loader.load_module_func(stock_data_provider,
'load_stock_data')
data = load_data('600369')
data2 = load_data('600732')
print(data.data_frame.head())
def __create_pd_panel(all_data, name='close'):
trading_data = {}
for data in all_data:
trading_data[data.stock_id] = data.data_frame[name]
panel = pd.DataFrame(data=trading_data)
def wfa_runner_main():
args = parse_arguments()
if args.debug is None:
args.debug = 0
if args.debug > 0:
logging.getLogger('').setLevel(logging.DEBUG)
else:
logging.getLogger('').setLevel(logging.INFO)
logging.debug('debug level:{}'.format(args.debug))
logging.debug('stock_ids:{}'.format(args.stock_ids))
logging.debug('data_range:{}'.format(args.data_range))
logging.debug('optimize_range:{}'.format(args.optimize_range))
logging.debug('wfa_size:{}'.format(args.wfa_size))
logging.debug('wfa range:{}'.format([args.optimize_range[1], args.optimize_range[1] + args.wfa_size]))
logging.debug('strategy:{}'.format(args.strategy))
logging.debug('object_function:{}'.format(args.object_function))
logging.debug('data_provider:{}'.format(args.stock_data_provider))
validate_args(args)
if args.load_optimized_parameter or args.use_default_parameter:
args.no_pool = True
strategy_module = module_loader.load_module_from_file(args.strategy)
object_function_module = module_loader.load_module_from_file(args.object_function)
stock_data_provider = module_loader.load_module_from_file(args.stock_data_provider)
create_strategy = module_loader.load_module_func(strategy_module, 'create_strategy')
strategy = create_strategy(args)
analyzer = Analyzer(object_function_module)
runner = algo_runner.AlgoRunner(stock_data_provider, args.capital_base, args)
runner.ensure_stock_data(args.stock_ids)
pool = mp.Pool(mp.cpu_count())
parameter_set = strategy.parameter_set()
if args.load_optimized_parameter:
value = __load_optimized_parameter(args.stock_ids,
strategy)
if value is None:
value = strategy.get_default_parameter()
if value is None:
logging.error('unable find optmized parameter')
return
parameter_set = list([value])
if args.use_default_parameter:
value = strategy.get_default_parameter()
if value is None:
logging.error('unable find default parameter')
return
parameter_set = list([value])
if args.no_pool:
for parameter in parameter_set:
analyzer.analyze([algo_running_worker(args, parameter)])
else:
pool.starmap_async(algo_running_worker,
list((args, parameter) for parameter in parameter_set),
callback=analyzer.analyze,
error_callback=lambda x:logging.error('starmap async failed:%s', x))
pool.close()
pool.join()
if analyzer.best_results_ is None:
logging.error('non parameter of strategy:[%s] is suitable for the stock:%s', strategy, args.stock_ids)
return
_, perf_stats = analyzer.best_results_
logging.info('Best results:%s', perf_stats)
strategy.current_parameter = analyzer.parameter_
logging.info('optimized strategy:%s', strategy)
if not args.load_optimized_parameter:
__save_optimized_parameter(args.stock_ids, strategy, perf_stats)
if analyzer.learn_data_ is not None:
logging.info('learn data:%s', analyzer.learn_data_)
if args.learn_data_file:
with open(args.learn_data_file, 'a+') as f:
analyzer.learn_data_.to_csv(f)
if args.skip_wfa:
return
# do wfa analyze
wfa_begin = args.optimize_range[1]
wfa_end = wfa_begin + args.wfa_size
while True:
logging.info('running wfa on out of sample data:%s=>%s', wfa_begin, wfa_end)
try:
runner.run(strategy,
args.stock_ids,
start_date=wfa_begin,
end_date=wfa_end,
analyze_func=None)
except:
logging.exception('failed running wfa on out of sample data:%s=>%s', wfa_begin, wfa_end)
wfa_begin = wfa_end
wfa_end = wfa_begin + args.wfa_size
if wfa_begin >= args.data_range[1]:
break
if wfa_end > args.data_range[1]:
wfa_end = args.data_range[1]
logging.info('next wfa:%s=>%s', wfa_begin, wfa_end)