def getmultiStlMonthParameter(strategyName, sltlist, symbolinfo, K_MIN,
parasetlist, folderpath, startmonth, endmonth):
colslist = mtf.getColumnsName(True)
resultfilesuffix = ' result_multiSLT.csv'
# 先生成参数列表
allSltSetList = [] # 这是一个二维的参数列表，每一个元素是一个止损目标的参数dic列表
for slt in sltlist:
sltset = []
for t in slt['paralist']:
sltset.append({'name': slt['name'], 'sltValue': t})
allSltSetList.append(sltset)
finalSltSetList = [] # 二维数据，每个一元素是一个多个止损目标的参数dic组合
for sltpara in allSltSetList[0]:
finalSltSetList.append([sltpara])
for i in range(1, len(allSltSetList)):
tempset = allSltSetList[i]
newset = []
for o in finalSltSetList:
for t in tempset:
newset.append(o + [t])
finalSltSetList = newset
for sltset in finalSltSetList:
newfolder = ''
for sltp in sltset:
newfolder += (sltp['name'] + '_%.3f' % (sltp['sltValue']))
rawdatapath = folderpath + newfolder + '\\'
df = mtf.getMonthParameter(strategyName, startmonth, endmonth,
symbolinfo, K_MIN, parasetlist, rawdatapath,
colslist, resultfilesuffix)
filenamehead = ("%s%s_%s_%d_%s_parameter_%s" %
(rawdatapath, strategyName, symbolinfo.domain_symbol,
K_MIN, endmonth, newfolder))
df.to_csv(filenamehead + '.csv')
def getfrslMonthParameter(strategyName,frsl_dic_list,symbolinfo, K_MIN, parasetlist, folderpath, startmonth, endmonth):
colslist = mtf.getColumnsName(True)
resultfilesuffix = 'resultFRSL_by_tick.csv'
for frsl_dic in frsl_dic_list:
rawdatapath = folderpath + "FixRateStopLoss%s\\" % frsl_dic['para_name']
df = mtf.getMonthParameter(strategyName, startmonth, endmonth, symbolinfo, K_MIN, parasetlist, rawdatapath,colslist, resultfilesuffix)
filenamehead = ("%s%s_%s_%d_%s_parameter_frsl_%s" % (rawdatapath, strategyName,symbolinfo.domain_symbol, K_MIN, endmonth, frsl_dic['para_name']))
df.to_csv(filenamehead + '.csv')
def getownlMonthParameter(strategyName,ownlset,symbolinfo, K_MIN, parasetlist, folderpath, startmonth, endmonth):
colslist = mtf.getColumnsName(True)
resultfilesuffix = ' resultOWNL_by_tick.csv'
for ownlTarget in ownlset:
rawdatapath = folderpath + "OnceWinNoLoss%s\\" % ownlTarget['para_name']
df = mtf.getMonthParameter(strategyName, startmonth, endmonth, symbolinfo, K_MIN, parasetlist, rawdatapath,colslist, resultfilesuffix)
filenamehead = ("%s%s_%s_%d_%s_parameter_ownl_%s" % (rawdatapath, strategyName,symbolinfo.domain_symbol, K_MIN, endmonth,ownlTarget['para_name']))
df.to_csv(filenamehead + '.csv')
def getDslMonthParameter(strategyName,dslset,symbolinfo, K_MIN, parasetlist, folderpath, startmonth, endmonth):
colslist = mtf.getColumnsName(True)
resultfilesuffix = ' resultDSL_by_tick.csv'
for dslTarget in dslset:
rawdatapath = folderpath + "DynamicStopLoss%s\\" % dslTarget['para_name']
df = mtf.getMonthParameter(strategyName, startmonth, endmonth, symbolinfo, K_MIN, parasetlist, rawdatapath,colslist, resultfilesuffix)
filenamehead = ("%s%s_%s_%d_%s_parameter_dsl_%s" % (rawdatapath,strategyName, symbolinfo.domain_symbol, K_MIN, endmonth,dslTarget['para_name']))
df.to_csv(filenamehead + '.csv')
def getdsl_ownlMonthParameter(strategyName,dsl_ownl_list,symbolinfo, K_MIN, parasetlist, folderpath, startmonth, endmonth):
colslist = mtf.getColumnsName(True)
resultfilesuffix = ' result_dsl_ownl.csv'
for dsl_ownl in dsl_ownl_list:
newfolder = ("dsl_%.3f_ownl_%.3f\\" % (dsl_ownl[0], dsl_ownl[1]))
rawdatapath = folderpath + newfolder # ！！正常:'\\'，双止损：填上'\\+双止损目标文件夹\\'
df = mtf.getMonthParameter(strategyName, startmonth, endmonth, symbolinfo, K_MIN, parasetlist, rawdatapath,colslist, resultfilesuffix)
filenamehead = ("%s%s_%s_%d_%s_parameter_dsl_%.3f_ownl_%.3f" % (rawdatapath,strategyName,symbolinfo.domain_symbol, K_MIN, endmonth,dsl_ownl[0], dsl_ownl[1]))
df.to_csv(filenamehead + '.csv')
ownlStep)
sltlist.append({'name': 'ownl', 'paralist': winSwitchList})
if frsl:
frslStep = Parameter.frslStep_forward
fixRateList = np.arange(Parameter.frslTargetStart_forward,
Parameter.frslTragetEnd_forward, frslStep)
sltlist.append({'name': 'frsl', 'paralist': fixRateList})
getmultiStlMonthParameter(strategyName, sltlist, symbolinfo, K_MIN,
parasetlist, folderpath, startmonth,
newmonth)
else:
if commonForward:
colslist = mtf.getColumnsName(False)
resultfilesuffix = ' result.csv'
df = mtf.getMonthParameter(strategyName, startmonth, newmonth,
symbolinfo, K_MIN, parasetlist,
foldername, colslist, resultfilesuffix)
filenamehead = (
"%s_%s_%d_%s_parameter_common" %
(strategyName, symbolinfo.domain_symbol, K_MIN, newmonth))
df.to_csv(filenamehead + '.csv')
if dsl:
dslStep = Parameter.dslStep_forward
stoplossList = np.arange(Parameter.dslTargetStart_forward,
Parameter.dslTargetEnd_forward, dslStep)
getDslMonthParameter(strategyName, stoplossList, symbolinfo, K_MIN,
parasetlist, folderpath, startmonth, newmonth)
if ownl:
ownlStep = Parameter.ownlStep_forward
winSwitchList = np.arange(Parameter.ownlTargetStart_forward,