def if_buy(self, context):
data = context.db.select_data_by_number(context.asset_code, 70,
context.date)
ohlc = OHLCVD(data)
ohlc.add_ma(60)
ohlc.add_ma(10)
data_frame = ohlc.get_dataframe()
ma60_value = data_frame.ma60.values[-1]
low = data_frame.low.values[-1]
price = data_frame.close.values[-1]
# print 'ma60 value:', ma60_value
# print "current price :", price
rate = (ma60_value - low)/ma60_value
# self.logger.info("ma60 value :" + str(ma60_value) + " current price "+
# str(price)+" rate is :" + str(rate))
# print "this is the rate of the ma60 minus low", rate
if (ma60_value - low) / ma60_value >= 0.1:
order = context.account.create_buy_order(name=context.asset_code,
price=price,
context=context
)
if order.number > 0:
return order
else:
self.logger.info("can not create order")
return None
return None
def if_buy(self, context):
data = context.db.select_data_by_number(context.asset_code, 70,
context.date)
ohlc = OHLCVD(data)
ohlc.add_ma(60)
ohlc.add_ma(10)
data_frame = ohlc.get_dataframe()
ma60_value = data_frame.ma60.values[-1]
low = data_frame.low.values[-1]
price = data_frame.close.values[-1]
# print 'ma60 value:', ma60_value
# print "current price :", price
rate = (ma60_value - low) / ma60_value
# self.logger.info("ma60 value :" + str(ma60_value) + " current price "+
# str(price)+" rate is :" + str(rate))
# print "this is the rate of the ma60 minus low", rate
if (ma60_value - low) / ma60_value >= 0.1:
order = context.account.create_buy_order(name=context.asset_code,
price=price,
context=context)
if order.number > 0:
return order
else:
self.logger.info("can not create order")
return None
return None
def test_ohlc_add_all_feature(self):
data = pd.read_csv('d:/stock/new-data/SH600741.TXT', sep='\t')
ohlc = OHLCVD(data.values)
ohlc.add_all_ta_feature()
data = ohlc.get_dataframe()
result = data.replace(np.nan, -1.0).replace(np.inf, -2.0).replace(-np.inf, -3.0)
sql_line = '''insert into stock_with_feature values('sh600741', '%s', %s )'''%(result.values[1, 0],
','.join([str(x) for x in result.values[1, 1:]]), )
print sql_line
db = MySQLUtils('root', '1988', 'stock', 'stock_with_feature')
db.execute_sql(sql_line)
self.assertEqual(ohlc.data.shape[1], 149)
def test_ohlc_add_all_feature(self):
data = pd.read_csv('d:/stock/new-data/SH600741.TXT', sep='\t')
ohlc = OHLCVD(data.values)
ohlc.add_all_ta_feature()
data = ohlc.get_dataframe()
result = data.replace(np.nan,
-1.0).replace(np.inf,
-2.0).replace(-np.inf, -3.0)
sql_line = '''insert into stock_with_feature values('sh600741', '%s', %s )''' % (
result.values[1, 0],
','.join([str(x) for x in result.values[1, 1:]]),
)
print sql_line
db = MySQLUtils('root', '1988', 'stock', 'stock_with_feature')
db.execute_sql(sql_line)
self.assertEqual(ohlc.data.shape[1], 149)
def if_buy(self, context):
data = context.db.select_data_by_number(context.asset_code, 1,
context.date)
ohlc = OHLCVD(data)
data = ohlc.get_dataframe()
low_value = data.low.values[-1]
if data.open.values[-1] > data.close.values[-1]:
min_value = data.close.values[-1]
else:
min_value = data.open.values[-1]
if (min_value - low_value) / data.close.values[-1] > 0.05:
order = context.account.create_buy_order(context.asset_code,
price=data.close.values[-1],
context=context)
if order is not None and order.number > 0:
return order
else:
self.logger.info("can not create order")
return None
return None
def if_buy(self, context):
data = context.db.select_data_by_number(context.asset_code, 1,
context.date)
ohlc = OHLCVD(data)
data = ohlc.get_dataframe()
low_value = data.low.values[-1]
if data.open.values[-1] > data.close.values[-1]:
min_value = data.close.values[-1]
else:
min_value = data.open.values[-1]
if (min_value - low_value) / data.close.values[-1] > 0.05:
order = context.account.create_buy_order(
context.asset_code,
price=data.close.values[-1],
context=context)
if order is not None and order.number > 0:
return order
else:
self.logger.info("can not create order")
return None
return None
def prepare_data(db, stock_list, begin, end):
results = []
labels = []
for stock in stock_list:
tmp_result = db.get_array(stock, begin=begin, end=end)
print stock
if tmp_result.shape[0] > 100:
ohlc = OHLCVD(data=tmp_result)
ohlc.add_macd()
ohlc.add_fall_days(5)
ohlc.add_raise_day(5)
ohlc.add_raise_day(3)
ohlc.add_ma(60)
# ohlc.add_rsi_feature()
ohlc.add_jump_empty_down()
ohlc.normalize()
results.append(ohlc.data)
label = ohlc.future_return(5)
labels.append(label)
print len(results)
print len(labels)
return results
# ohlc.add_rsi_feature()
ohlc.add_jump_empty_down()
ohlc.normalize()
results.append(ohlc.data)
label = ohlc.future_return(5)
labels.append(label)
print len(results)
print len(labels)
return results
if __name__ == '__main__':
db = MySQLUtils('root', '1988', 'stock', 'stock_with_feature')
import pandas as pd
data = pd.read_csv('d:/stock/new-data/sh600741.txt', sep='\t')
result = OHLCVD(data.values)
result.add_all_ta_feature()
result = result.data_frame.replace(np.nan, -1.0).replace(np.inf, -2.0).replace(-np.inf, -3.0)
db_name = "stock_with_feature"
db.create_feature_db(db_name)
db.insert_feature_data(db_name, result.values, 'sh600741')
# result = db.get_array('sh600741', begin='2007-10-10', end='2015-12-12')
# ohlc = OHLCVD(data=result)
# ohlc.add_macd()
# ohlc.add_fall_days(5)
# ohlc.add_raise_day(5)
# ohlc.add_raise_day(3)
# ohlc.add_ma(60)
# ohlc.add_jump_empty_down()
# ohlc.normalize()
#
# coding=utf-8
__author__ = 'squall'
import numpy as np
from backtest.utils.mysql import MySQLUtils
from data.ohlc import OHLCVD
if __name__ == '__main__':
db = MySQLUtils('root', '1988', 'stock', 'stock')
result = db.get_array('sh600741', begin='2007-10-10', end='2015-12-12')
ohlc = OHLCVD(data=result)
print result
print ohlc.get_dataframe()
ohlc.add_macd()
ohlc.add_ma(60)
print ohlc.get_array().shape
print ohlc.get_dataframe()
vol_values = ohlc.data_frame.volume.values
kernel = np.ones(20)*0.05
result = np.convolve(kernel, vol_values, mode='valid')
# plt.plot(result)
# plt.show()
def get_ohlc(self, id, begin=None, end=None):
result = self.select_data(id, begin=begin, end=end)
result = OHLCVD(result)
return result
def test_something(self):
db = MySQLUtils('root', '1988', 'test', 'stock')
data = db.get_array('sh600741', begin='2015-01-01', end='2016-01-01')
ohlc = OHLCVD(data)
ohlc.add_macd()
ohlc.add_ma(10)
ohlc.add_rsi_feature()
ohlc.add_raise_day(5)
ohlc.add_raise_day(10)
ohlc.add_recent_down_v_turn()
data = ohlc.get_array()
print data.shape[1]
def prepare_data(db, stock_list, begin, end):
results = []
labels = []
for stock in stock_list:
tmp_result = db.get_array(stock, begin=begin, end=end)
print stock
if tmp_result.shape[0] > 100:
ohlc = OHLCVD(data=tmp_result)
ohlc.add_macd()
ohlc.add_fall_days(5)
ohlc.add_raise_day(5)
ohlc.add_raise_day(3)
ohlc.add_ma(60)
# ohlc.add_rsi_feature()
ohlc.add_jump_empty_down()
ohlc.normalize()
results.append(ohlc.data)
label = ohlc.future_return(5)
labels.append(label)
print len(results)
print len(labels)
return results
# ohlc.add_rsi_feature()
ohlc.add_jump_empty_down()
ohlc.normalize()
results.append(ohlc.data)
label = ohlc.future_return(5)
labels.append(label)
print len(results)
print len(labels)
return results
if __name__ == '__main__':
db = MySQLUtils('root', '1988', 'stock', 'stock_with_feature')
import pandas as pd
data = pd.read_csv('d:/stock/new-data/sh600741.txt', sep='\t')
result = OHLCVD(data.values)
result.add_all_ta_feature()
result = result.data_frame.replace(np.nan, -1.0).replace(np.inf,
-2.0).replace(
-np.inf, -3.0)
db_name = "stock_with_feature"
db.create_feature_db(db_name)
db.insert_feature_data(db_name, result.values, 'sh600741')
# result = db.get_array('sh600741', begin='2007-10-10', end='2015-12-12')
# ohlc = OHLCVD(data=result)
# ohlc.add_macd()
# ohlc.add_fall_days(5)
# ohlc.add_raise_day(5)
# ohlc.add_raise_day(3)
# ohlc.add_ma(60)
# ohlc.add_jump_empty_down()