def follow_seller(stock,buy_signal,xstop=25,ret=50,**kwargs):
'''
如果价格小于最近5日高点5%，则卖出
xstop为根据买入价的止损
ret为从高点向下的回退值
'''
t = stock.transaction
#从顶下落处理,前5天的收盘/开盘的高者和今天的开盘的高者 回落ret之后
#hhret = gmax(rollx(tmax(gmax(t[OPEN],t[CLOSE]),5),1),t[OPEN])* (1000-ret)/1000
hhret = gmax(rollx(tmax(t[HIGH],5),1),t[OPEN])* (1000-ret)/1000
#hhret = rollx(tmax(t[HIGH],5),1) * (1000-ret)/1000
sdl = t[LOW] < hhret
#止损处理2.5%
stop_price = extend2next(rollx(stock.buyprice,1) * (1000-xstop)/1000)
stopl = t[LOW] < stop_price
cut_price = gmin(gmax(hhret,stop_price),t[HIGH]) #首先，止损线和退回线高者先被触及，同时，穿越时可能跳低，所以找与t[HIGH]的低点
cut_signal = gor(sdl,stopl)
cut_signal = select([t[VOLUME]>0],[cut_signal]) #默认为0，即未交易的日子卖出信号不能发出，否则会合并到下一交易日
bs = gand(buy_signal,cut_signal)
rbs = rollx(bs)
sell_signal = select([bs],[0],default=cut_signal) + rbs #如果当日冲销，则后推一日，但如果前一日也是当日，则信号被屏蔽
stock.sellprice = select([cut_signal],[cut_price],default=t[OPEN])
#止损和退回用cut_price, 当日卖出信号平移用开盘价，停牌平移用开盘价
return cut_signal
def utr(sopen,sclose,shigh,slow):
''' 上升波幅
根据最高价-sopen和最高价-rollx(sclose)的大者
'''
sho = shigh - sopen
shc = shigh - rollx(sclose)
return gmax(sho,shc) #必然>=0
def utr(sopen, sclose, shigh, slow):
''' 上升波幅
根据最高价-sopen和最高价-rollx(sclose)的大者
'''
sho = shigh - sopen
shc = shigh - rollx(sclose)
return gmax(sho, shc) #必然>=0
def dtr(sopen,sclose,shigh,slow):
'''
下跌波幅
根据sopen-最低价和rollx(sclose)-最低价的大者
'''
slo = sopen - slow
slc = rollx(sclose) - slow
return gmax(slo,slc) #必然>=0
def tr(sclose,shigh,slow):
''' 真实波幅
'''
sclose = rollx(sclose)
shl = np.abs(shigh - slow)
shc = np.abs(shigh - sclose)
slc = np.abs(slow - sclose)
return gmax(shl,shc,slc)
def dtr(sopen, sclose, shigh, slow):
'''
下跌波幅
根据sopen-最低价和rollx(sclose)-最低价的大者
'''
slo = sopen - slow
slc = rollx(sclose) - slow
return gmax(slo, slc) #必然>=0
def tr(sclose, shigh, slow):
''' 真实波幅
'''
sclose = rollx(sclose)
shl = np.abs(shigh - slow)
shc = np.abs(shigh - sclose)
slc = np.abs(slow - sclose)
return gmax(shl, shc, slc)
def follow_seller(stock, buy_signal, xstop=25, ret=50, **kwargs):
'''
如果价格小于最近5日高点5%，则卖出
xstop为根据买入价的止损
ret为从高点向下的回退值
'''
t = stock.transaction
#从顶下落处理,前5天的收盘/开盘的高者和今天的开盘的高者 回落ret之后
#hhret = gmax(rollx(tmax(gmax(t[OPEN],t[CLOSE]),5),1),t[OPEN])* (1000-ret)/1000
hhret = gmax(rollx(tmax(t[HIGH], 5), 1), t[OPEN]) * (1000 - ret) / 1000
#hhret = rollx(tmax(t[HIGH],5),1) * (1000-ret)/1000
sdl = t[LOW] < hhret
#止损处理2.5%
stop_price = extend2next(rollx(stock.buyprice, 1) * (1000 - xstop) / 1000)
stopl = t[LOW] < stop_price
cut_price = gmin(gmax(hhret, stop_price),
t[HIGH]) #首先，止损线和退回线高者先被触及，同时，穿越时可能跳低，所以找与t[HIGH]的低点
cut_signal = gor(sdl, stopl)
cut_signal = select([t[VOLUME] > 0],
[cut_signal]) #默认为0，即未交易的日子卖出信号不能发出，否则会合并到下一交易日
bs = gand(buy_signal, cut_signal)
rbs = rollx(bs)
sell_signal = select(
[bs], [0], default=cut_signal) + rbs #如果当日冲销，则后推一日，但如果前一日也是当日，则信号被屏蔽
stock.sellprice = select([cut_signal], [cut_price], default=t[OPEN])
#止损和退回用cut_price, 当日卖出信号平移用开盘价，停牌平移用开盘价
return cut_signal
def up_seller(stock, buy_signal, xstop=25, ret=50, **kwargs):
'''
如果买入日为阴线，则开盘卖出
如果价格小于最近5日高点5%，则卖出
xstop为根据买入价的止损
ret为从高点向下的回退值
'''
t = stock.transaction
#阴线处理
sol = rollx(gand(buy_signal, t[CLOSE] < t[OPEN]), 1)
#从顶下落处理,前5天的收盘/开盘的高者和今天的开盘的高者 回落ret之后
#hhret = gmax(rollx(tmax(gmax(t[OPEN],t[CLOSE]),5),1),t[OPEN])* (1000-ret)/1000
hhret = gmax(rollx(tmax(t[HIGH], 5), 1), t[OPEN]) * (1000 - ret) / 1000
sdl = t[LOW] < hhret
#止损处理2.5%
stop_price = extend2next(rollx(stock.buyprice, 1) * (1000 - xstop) /
1000) #要求buyprice只有在buyer日才有数据,否则extend2next无意义
stopl = t[LOW] < stop_price
cut_price = gmin(gmax(hhret, stop_price),
t[HIGH]) #首先，止损线和退回线高者先被触及，同时，穿越时可能跳低，所以找与t[HIGH]的低点
cut_signal = gor(sdl, stopl)
cut_signal = select([t[VOLUME] > 0],
[cut_signal]) #默认为0，即未交易的日子卖出信号不能发出，否则会合并到下一交易日
ssignal = gor(sol, cut_signal)
stock.sellprice = select([cut_signal], [cut_price], default=t[OPEN])
#止损和退回用cut_price, 阴线出局和停牌平移都用开盘价
return ssignal
def up_seller(stock,buy_signal,xstop=25,ret=50,**kwargs):
'''
如果买入日为阴线，则开盘卖出
如果价格小于最近5日高点5%，则卖出
xstop为根据买入价的止损
ret为从高点向下的回退值
'''
t = stock.transaction
#阴线处理
sol = rollx(gand(buy_signal,t[CLOSE] < t[OPEN]),1)
#从顶下落处理,前5天的收盘/开盘的高者和今天的开盘的高者 回落ret之后
#hhret = gmax(rollx(tmax(gmax(t[OPEN],t[CLOSE]),5),1),t[OPEN])* (1000-ret)/1000
hhret = gmax(rollx(tmax(t[HIGH],5),1),t[OPEN])* (1000-ret)/1000
sdl = t[LOW] < hhret
#止损处理2.5%
stop_price = extend2next(rollx(stock.buyprice,1) * (1000-xstop)/1000) #要求buyprice只有在buyer日才有数据,否则extend2next无意义
stopl = t[LOW] < stop_price
cut_price = gmin(gmax(hhret,stop_price),t[HIGH]) #首先，止损线和退回线高者先被触及，同时，穿越时可能跳低，所以找与t[HIGH]的低点
cut_signal = gor(sdl,stopl)
cut_signal = select([t[VOLUME]>0],[cut_signal]) #默认为0，即未交易的日子卖出信号不能发出，否则会合并到下一交易日
ssignal = gor(sol,cut_signal)
stock.sellprice = select([cut_signal],[cut_price],default=t[OPEN])
#止损和退回用cut_price, 阴线出局和停牌平移都用开盘价
return ssignal
