def __init__(self):
super().__init__()
self.log = Logging().logger
self.log.debug("Kiwoom() class Start")
self.bot = telegramBot()
self.bot.send(text="키움 자동화 매매 프로그램이 시작되었습니다.")
self.realType = RealType()
self.account = Account()
self.screen = Screen()
self.stock = Stock()
self.loop = Eventloop()
self.operation_status = '3'
self.jusikchegul = False
self.date = str(date.today().year) + str(
date.today().month).zfill(2) + str(date.today().day).zfill(2)
self.get_ocx_instance() # OCX 방식을 파이썬에 사용할 수 있게 변환해 주는 함수
self.event_slots() # 키움과 연결하기 위한 시그널 / 슬롯 모음
self.real_event_slot()
self.signal_login_commConnect() # 로그인 요청 함수
self.get_account_info()
self.get_stock_info()
QTest.qWait(1000)
self.running()
print("MAIN CODE IS END")
def week_period_strategy(code, time_freq, start_date, end_date):
"""
一种最简单的选股策略：周一卖，周四买
要考虑休市等出现连续买入或者连续卖出信号的问题，做了信号整合
"""
data = st.get_single_price(code, time_freq, start_date, end_date)
# 新建周期字段
data['weekday'] = data.index.weekday
# 周四买入
data['buy_signal'] = np.where((data['weekday'] == 3), 1, 0)
# 周一卖出
data['sell_signal'] = np.where((data['weekday'] == 0), -1, 0)
# 整合信号
data = compose_signal(data)
# 计算收益率
data = calculate_prof_pct(data)
# 计算累计收益
data = calculate_cum_prof(data)
return data
#!/usr/bin/env python # -*- encoding: utf-8 -*- ''' @File : comp_sharpe_ratio.py @Contact : [email protected] @License : (C)Copyright 2017-2018, Liugroup-NLPR-CASIA @Modify Time @Author @Version @Desciption ------------ ----------- -------- ----------- 2021/4/1 13:55 shaolei.zuo 1.0 None ''' import data.Stock as st import strategy.base as stb import pandas as pd import matplotlib.pyplot as plt sharpes = [] # 获取3只股票的数据：比亚迪、宁德时代、隆基 codes = ['002594.XSHE', '300750.XSHE', '601012.XSHG'] for code in codes: data = st.get_single_price(code, 'daily', '2018-10-01', '2021-01-01') sharpe = stb.calculate_sharp(data) sharpes.append([code, sharpe[1]]) # 可视化3只股票 sharpes = pd.DataFrame(sharpes, columns=['code', 'sharpe']).set_index('code') sharpes.plot.bar() plt.xticks(rotation=30) plt.show()
@File : stock.py @Contact : [email protected] @License : (C)Copyright 2017-2018, Liugroup-NLPR-CASIA @Modify Time @Author @Version @Desciption ------------ ----------- -------- ----------- 2021/3/31 10:09 shaolei.zuo 1.0 None ''' import data.Stock as st import pandas as pd #code = '000001.XSHE' # # 调用一只股票行情数据 # data = st.get_single_price(code=code, # time_freq='daily', # start_date='2021-01-01', # end_date='2021-02-01') # # # 存入csv # st.export_data(data=data,filename=code, type='price') # # # 从csv 获取数据 # data = st.get_csv_data(code=code, type='price') # print(data) # 实时更新 # 存储 st.init_db() # 每日更新 #st.update_daily_price(code, 'price')
ifrefuse = p_value < 0.05
# 打印
print('t_value: ', t)
print('p_value: ', p_value)
print('是否拒绝H0: 收益均值 = 0：', ifrefuse)
return t, p
if __name__ == '__main__':
# 股票列表
stocks= ['000001.XSHE', '000858.XSHE', '002594.XSHE']
for code in stocks:
print(code)
# 循环获取数据
df = st.get_single_price(code, 'daily', '2016-12-01', '2021-01-01')
df = ma.ma_strategy(df)
# 策略的单次收益率
returns = df['profit_pct']
# print(returns)
# # 绘制分布图用于观察
# returns.hist(returns, bins=30)
# plt.show()
# 对多个股票进行计算、测试
ttest(returns)
#!/usr/bin/env python # -*- encoding: utf-8 -*- ''' @File : stock.py @Contact : [email protected] @License : (C)Copyright 2017-2018, Liugroup-NLPR-CASIA @Modify Time @Author @Version @Desciption ------------ ----------- -------- ----------- 2021/3/31 13:20 shaolei.zuo 1.0 None ''' import data.Stock as st # 本地读数据 data = st.get_csv_price('000002.XSHE', '2020-01-01', '2020-02-01') print(data) # # 获取平安银行的行情数据（日K） # data = st.get_single_price('000001.XSHE', 'daily', '2020-01-01', '2020-01-28') # # # 计算涨跌幅，验证准确性 # data= st.calculate_change_pct(data) # # # 获取周K # data = st.transfer_price_freq(data, 'w') # # # 计算涨跌幅，验证准确性 # data= st.calculate_change_pct(data) # print(data)
class Kiwoom(QAxWidget):
def __init__(self):
super().__init__()
self.log = Logging().logger
self.log.debug("Kiwoom() class Start")
self.bot = telegramBot()
self.bot.send(text="키움 자동화 매매 프로그램이 시작되었습니다.")
self.realType = RealType()
self.account = Account()
self.screen = Screen()
self.stock = Stock()
self.loop = Eventloop()
self.operation_status = '3'
self.jusikchegul = False
self.date = str(date.today().year) + str(
date.today().month).zfill(2) + str(date.today().day).zfill(2)
self.get_ocx_instance() # OCX 방식을 파이썬에 사용할 수 있게 변환해 주는 함수
self.event_slots() # 키움과 연결하기 위한 시그널 / 슬롯 모음
self.real_event_slot()
self.signal_login_commConnect() # 로그인 요청 함수
self.get_account_info()
self.get_stock_info()
QTest.qWait(1000)
self.running()
print("MAIN CODE IS END")
def running(self):
if self.operation_status == '3': # 장 시작
# while datetime.now().hour <= 9 and datetime.now().minute < 30:
# pass
Time.hour = datetime.now().hour
Time.minute = datetime.now().minute
self.get_jongmok()
# while True:
# if datetime.now().hour == Time.hour + 1 and datetime.now().minute == 30:
# self.get_jongmok()
# self.log.debug('종목을 리뉴얼 했습니다')
# else:
# if self.operation_status != '3':
# break
elif self.operation_status == '2':
self.log.debug('동시호가에 진입했습니다.')
# 동시호가
elif self.operation_status == '4' or self.operation_status == '8': # 4 정규 장 마감 / # 8 장후 시간외 거래
self.log.debug('장이 마감되었습니다.')
self.bot.send("장이 마감되었습니다.")
self.dynamicCall("SetRealReg(QString, QString, QString, QString)",
self.screen.open, '005930',
self.realType.REALTYPE['장시작시간']['장운영구분'], "0")
elif self.operation_status == '0':
while self.operation_status == '0':
pass
# ------------------ 기본 함수 ------------------
def get_ocx_instance(self):
self.setControl("KHOPENAPI.KHOpenAPICtrl.1")
def event_slots(self):
self.OnEventConnect.connect(self.login_slot)
self.OnReceiveTrData.connect(self.trdata_slot)
self.OnReceiveMsg.connect(self.msg_slot)
def real_event_slot(self):
self.OnReceiveRealData.connect(self.realdata_slot) # 실시간 이벤트 연결
self.OnReceiveChejanData.connect(self.chejan_slot)
def realdata_slot(self, sCode, sRealType, sRealData):
if sRealType == '주식체결':
if self.jusikchegul is True:
if sCode in self.stock.jongmok:
self.real_jusikchegul(sCode, sRealType, sRealData)
else:
self.dynamicCall("SetRealRemove(QString, QString)", "ALL",
sCode)
elif sRealType == '장시작시간':
self.real_operating_status(sCode, sRealType, sRealData)
def get_name(self, code):
return self.dynamicCall("GetMasterCodeName(QString)", code).strip()
def signal_login_commConnect(self):
self.dynamicCall("CommConnect()")
self.loop.login.exec_()
def login_slot(self, err_code): # err_code : Int
if err_code == 0:
self.log.debug("키움 Open API 접속 완료")
self.loop.login.exit()
def trdata_slot(self, sCrNo, sRQName, sTrCode, sRecordName, sPrevNext):
print("TRDATA : %s" % sRQName)
if sRQName == "예수금상세현황요청":
self.tr_get_account_info(sRQName, sTrCode)
elif sRQName == "계좌평가잔고내역요청":
self.tr_get_stock_info(sRQName, sTrCode, sPrevNext)
elif sRQName == '전일대비등락률상위요청':
self.tr_request_higher_rate_code(sTrCode, sRQName)
elif sRQName == '주식분봉차트조회요청':
self.tr_min_chart(sTrCode, sRQName)
elif sRQName == '매수':
pass
elif sRQName == '매도':
pass
def msg_slot(self, sCrNo, sRQName, sTrCode, msg):
self.log.debug("[Screen : %s] %s %s %s" %
(sCrNo, sRQName, sTrCode, msg))
def chejan_slot(self, sGubun, nItemCnt, sFidList):
if int(sGubun) == 0:
price = self.dynamicCall(
"GetChejanData(int)",
self.realType.REALTYPE['주문체결']['체결가']).strip()
if price == '':
return
sCode = self.dynamicCall(
"GetChejanData(int)",
self.realType.REALTYPE['주문체결']['종목코드']).strip()[1:]
name = self.dynamicCall(
"GetChejanData(int)",
self.realType.REALTYPE['주문체결']['종목명']).strip()
quantity = self.dynamicCall(
"GetChejanData(int)",
self.realType.REALTYPE['주문체결']['체결량']).strip()
status = self.dynamicCall(
"GetChejanData(int)",
self.realType.REALTYPE['주문체결']['매도수구분']).strip()
if status == '2': # 매수
self.account.stock_dict[sCode] = {
'종목명': name,
'보유수량': int(quantity),
'체결가': price
}
msg = "[매수]" + name + " 체결가 : " + price + " 수량 : " + quantity
self.bot.send(msg)
self.log.debug(msg)
elif status == '1': # 매도
# earn = (int(price) - int(self.account.stock_dict[code]['체결가']) * 1.015 - int(price) * 0.315) * int(quantity)
msg = "[매도]" + name + " 체결가 : " + price + " 수량 : " + quantity
if sCode in self.account.stock_dict:
msg += " 매수 금액 : " + self.account.stock_dict[sCode]['체결가']
if sCode in self.account.stock_dict:
self.account.stock_dict[sCode]['보유수량'] -= int(quantity)
if self.account.stock_dict[sCode]['보유수량'] <= 0:
self.account.stock_dict.pop(sCode)
self.bot.send(msg)
self.log.debug(msg)
def buy_stock(self,
sCode,
nQty,
ex_time,
nPrice=0,
sOrderNum=""): # sOrderNum 매수정정 때 쓰임
self.loop.sem_buy[sCode].acquire()
if sCode in self.account.stock_dict or self.stock.min_chart[sCode].loc[
ex_time,
'매수'] is True or self.stock.min_chart[sCode].loc[ex_time,
'매도'] is True:
self.loop.sem_buy[sCode].release()
return
if sCode not in self.account.stock_dict:
status = self.dynamicCall(
"SendOrder(QString, QString, QString, int, QString, int, int, QString, QString)",
[
"매수", self.screen.buy_sell, self.account.account_num, 1,
sCode, nQty, nPrice, '00', sOrderNum
])
# 03 시장가 / 00 지정가
if status == 0:
self.log.debug("[매수]" + sCode + "주문이 접수되었습니다.")
self.account.stock_dict[sCode] = {}
for i in range(3):
self.stock.min_chart[sCode].loc[
Time.get_modified_time(ex_time, minutes=i),
'매수'] = True # 매수로 인한 3분동안 매수/매도 금지
elif status == -308:
self.log.debug("%s 매수 중에 에러가 발생했습니다. 사유 : 1초에 5회이상 매도/수 시도" %
sCode)
else:
self.log.debug("%s 구매중에 에러가 발생했습니다." % sCode)
self.loop.sem_buy[sCode].release()
def sell_stock(self, sCode, time, nPrice=0, sOrderNum=""):
self.loop.sem_sell[sCode].acquire()
if self.stock.min_chart[sCode].loc[time][
'매수'] is True or self.stock.min_chart[sCode].loc[time][
'매도'] is True:
self.loop.sem_sell[sCode].release()
return
if sCode in self.account.stock_dict:
if '보유수량' in self.account.stock_dict[sCode]:
status = self.dynamicCall(
"SendOrder(QString, QString, QString, int, QString, int, int, QString, QString)",
[
"매도", self.screen.buy_sell, self.account.account_num,
2, sCode, self.account.stock_dict[sCode]['보유수량'],
nPrice, '03', sOrderNum
])
# 03 : 시장가 / 00 : 지정가
if status == 0:
self.log.debug("[매도]" + sCode + "주문이 접수되었습니다.")
self.stock.min_chart[sCode].loc[time]['매도'] = True
if sCode in self.stock.old_code and sCode not in self.stock.new_code:
self.dynamicCall("SetRealRemove(QString, QString",
"ALL", sCode)
elif status == -308:
self.log.debug(
"[%s] 매도 중에 에러가 발생했습니다. 사유 : 1초에 5회이상 매도/수 시도" %
(sCode))
else:
self.log.debug(
"%s[%s] 매도중에 알 수 없는 에러가 발생했습니다. ErrorCode %d" %
(self.account.stock_dict[sCode]['종목명'], sCode, status))
self.loop.sem_sell[sCode].release()
# ------------------ TR 함수 ------------------
def tr_get_account_info(self, sRQName, sTrCode):
self.account.deposit = int(
self.dynamicCall("GetCommData(QString, QString, int, QString)",
sTrCode, sRQName, 0, "예수금"))
self.account.money_can_buy = int(
self.dynamicCall("GetCommData(QString, QString, int, QString)",
sTrCode, sRQName, 0, "d+2출금가능금액"))
self.loop.account_info.exit()
def tr_get_stock_info(self, sRQName, sTrCode, sPrevNext="0"):
self.account.profit_money = int(
self.dynamicCall("GetCommData(QString, QString, int, QString)",
sTrCode, sRQName, 0, "총평가손익금액"))
self.account.profit_rate = float(
self.dynamicCall("GetCommData(QString, QString, int, QString)",
sTrCode, sRQName, 0, "총수익률(%)"))
self.account.money_stock = int(
self.dynamicCall("GetCommData(QString, QString, int, QString)",
sTrCode, sRQName, 0, "총평가금액"))
rows = self.dynamicCall("GetRepeatCnt(QString, QString)", sTrCode,
sRQName)
if rows == 0:
self.log.debug("No Stock!")
for i in range(rows):
code = self.dynamicCall(
"GetCommData(QString, QString, int, QString)", sTrCode,
sRQName, i, "종목번호").strip()[1:]
if code in self.account.stock_dict:
continue
name = self.dynamicCall(
"GetCommData(QString, QString, int, QString)", sTrCode,
sRQName, i, "종목명")
price = self.dynamicCall(
"GetCommData(QString, QString, int, QString)", sTrCode,
sRQName, i, "매입가").strip()
stock_quantity = self.dynamicCall(
"GetCommData(QString, QString, int, QString)", sTrCode,
sRQName, i, "보유수량")
profit = self.dynamicCall(
"GetCommData(QString, QString, int, QString)", sTrCode,
sRQName, i, "평가손익")
earn_rate = self.dynamicCall(
"GetCommData(QString, QString, int, QString)", sTrCode,
sRQName, i, "수익률(%)")
self.account.stock_dict[code] = {}
self.account.stock_dict[code].update({"종목명": name.strip()})
self.account.stock_dict[code].update({'체결가': price})
self.account.stock_dict[code].update(
{"보유수량": int(stock_quantity.strip())})
self.account.stock_dict[code].update({"평가손익": int(profit.strip())})
self.account.stock_dict[code].update(
{"수익률(%)": float(earn_rate.strip())})
self.log.debug(self.account.stock_dict[code])
if sPrevNext == "2":
self.get_stock_info(sPrevNext="2")
else:
self.loop.account_info.exit()
def tr_request_higher_rate_code(self, sTrCode, sRQName):
self.log.debug("전일대비등략률상위요청[TR]")
for i in range(10):
sCode = self.dynamicCall(
"GetCommData(QString, QString, int, QString)", sTrCode,
sRQName, i, "종목코드").strip()
name = self.dynamicCall(
"GetCommData(QString, QString, int, QString)", sTrCode,
sRQName, i, "종목명").strip()
if name.__contains__('ETN') or name.__contains__(
'KODEX') or name.__contains__('TIGER'):
continue
self.stock.new_code.append(sCode)
for sCode in set(self.stock.new_code) - set(self.stock.old_code):
self.stock.min_chart[sCode] = self.stock.get_pd()
self.loop.sem_buy[sCode] = threading.Semaphore(1)
self.loop.sem_sell[sCode] = threading.Semaphore(1)
self.stock.jongmok = list(
set(self.stock.new_code + self.stock.old_code))
self.loop.jongmok.exit()
def tr_min_chart(self, sTrCode, sRQName):
code = self.dynamicCall("GetCommData(QString, QString, int, QString)",
sTrCode, sRQName, 0, "종목코드").strip()
# rows = self.dynamicCall("GetRepeatCnt(QString, QString)", sTrCode, sRQName) # 900
for i in range(29, -1, -1):
time = self.dynamicCall(
"GetCommData(QString, QString, int, QString)", sTrCode,
sRQName, i, "체결시간").strip()
if time[0:8] != self.date:
continue
now_price = self.dynamicCall(
"GetCommData(QString, QString, int, QString)", sTrCode,
sRQName, i, "현재가").strip()[1:] # 종가
self.stock.min_chart[code].loc[
time[8:12]] = self.stock.get_pd_new_iterrow(
now_price=int(now_price))
self.loop.min_chart.exit()
# ------------------ Real 함수 ------------------
def real_operating_status(self, sCode, sRealType, sRealData):
self.operation_status = self.dynamicCall(
"GetCommRealData(QString, int)", sCode,
self.realType.REALTYPE[sRealType]['장운영구분']).strip()
self.log.debug("장 운영 구분 : " + self.operation_status)
if self.operation_status == '3': # 정규장 시작
self.bot.send("정규장이 시작되었습니다")
self.log.debug("정규장이 시작되었습니다.")
elif self.operation_status == '4': # 정규장 종료
self.close_market()
elif self.operation_status == '8': # 장시간외 거래 시작
pass
elif self.operation_status == '2': # 장 마감 10분전 마다 1분씩 / 동시호가 진
pass
def real_jusikchegul(self, sCode, sRealType, sRealData):
print(sCode)
ex_time = self.dynamicCall(
"GetCommRealData(QString, int)", sCode,
self.realType.REALTYPE[sRealType]
['체결시간'])[:4] # 시 분 ex_time = Execution Time
price = int(
self.dynamicCall("GetCommRealData(QString, int)", sCode,
self.realType.REALTYPE[sRealType]['현재가'])[1:])
if len(self.stock.min_chart[sCode].index) >= 30: # nan이 아닌게 30개 이상
self.stock.min_chart[sCode].loc[ex_time, '현재가'] = price
self.stock.min_chart[sCode].loc[
ex_time,
'5이평'] = self.stock.min_chart[sCode]['현재가'][-5:].mean()
self.stock.min_chart[sCode].loc[
ex_time,
'10이평'] = self.stock.min_chart[sCode]['현재가'][-10:].mean()
self.stock.min_chart[sCode].loc[
ex_time,
'20이평'] = self.stock.min_chart[sCode]['현재가'][-20:].mean()
self.stock.min_chart[sCode].loc[
ex_time,
'30이평'] = self.stock.min_chart[sCode]['현재가'][-30:].mean()
if sCode in self.account.stock_dict:
self.have_to_sell(sCode, ex_time, price)
else:
self.have_to_buy(sCode, ex_time, price)
# ------------------ 기본 사용자 함수 ------------------
def get_account_info(self):
account_list = self.dynamicCall("GetLoginInfo(QString)", "ACCNO")
self.account.account_num = account_list.split(';')[0]
print("계좌번호 %s" % self.account.account_num)
self.dynamicCall("SetInputValue(QString, QString)", "계좌번호",
self.account.account_num)
self.dynamicCall("SetInputValue(QString, QString)", "비밀번호", "0000")
self.dynamicCall("SetInputValue(QString, QString)", "비밀번호입력매체구분", "00")
self.dynamicCall("SetInputValue(QString, QString)", "조회구분", "1")
self.dynamicCall("CommRqData(QString, QString, int, QString)",
"예수금상세현황요청", "opw00001", "0", self.screen.my_info)
while self.loop.account_info.isRunning():
pass
self.loop.account_info.exec_()
def get_stock_info(self, sPrevNext="0"):
self.dynamicCall("SetInputValue(QString, QString)", "계좌번호",
self.account.account_num)
self.dynamicCall("SetInputValue(QString, QString)", "비밀번호", "0000")
self.dynamicCall("SetInputValue(QString, QString)", "비밀번호입력매체구분", "00")
self.dynamicCall("SetInputValue(QString, QString)", "조회구분", "1")
while self.loop.account_info.isRunning():
pass
self.dynamicCall("CommRqData(QString, QString, int, QString)",
"계좌평가잔고내역요청", "opw00018", sPrevNext,
self.screen.my_info)
self.loop.account_info.exec_()
def get_jongmok(self):
self.jusikchegul = False
self.request_higher_rate_code()
self.dynamicCall("DisconnectRealData(QString)", self.screen.jongmok)
for sCode in self.stock.jongmok:
self.min_chart(sCode)
self.dynamicCall("DisconnectRealData(QString)",
self.screen.min_chart)
QTest.qWait(1000)
self.dynamicCall("DisconnectRealData(QString)", self.screen.jongmok)
self.dynamicCall("DisconnectRealData(QString)", self.screen.min_chart)
self.dynamicCall("SetRealRemove(QString, QString", "ALL", "ALL")
QTest.qWait(2000)
self.log.debug(self.stock.jongmok)
for sCode in self.stock.jongmok:
self.dynamicCall("SetRealReg(QString, QString, QString, QString)",
[
self.screen.jusikchegul, sCode,
self.realType.REALTYPE['주식체결']['현재가'], "1"
])
self.jusikchegul = True
def request_higher_rate_code(self):
self.dynamicCall("SetInputValue(QString, QString)", "시장구분", "000")
self.dynamicCall("SetInputValue(QString, QString)", "정렬구분", "1")
self.dynamicCall("SetInputValue(QString, QString)", "거래량조건", "0000")
self.dynamicCall("SetInputValue(QString, QString)", "종목조건", "4")
self.dynamicCall("SetInputValue(QString, QString)", "신용조건", "0")
self.dynamicCall("SetInputValue(QString, QString)", "상하한포함",
"0") # 상하한가 불포함
self.dynamicCall("SetInputValue(QString, QString)", "가격조건", "0")
self.dynamicCall("SetInputValue(QString, QString)", "거래대금조건", "0")
self.dynamicCall("CommRqData(QString, QString, int, QString)",
"전일대비등락률상위요청", "opt10027", "0", self.screen.jongmok)
self.loop.jongmok.exec_()
def min_chart(self, code):
self.dynamicCall("SetInputValue(QString, QString", "종목코드", code)
self.dynamicCall("SetInputValue(QString, QString", "틱범위", "1")
self.dynamicCall("SetInputValue(QString, QString", "수정주가구분", "0")
self.dynamicCall("CommRqData(QString, QString, int, QString)",
"주식분봉차트조회요청", "opt10080", "0", self.screen.min_chart)
while self.loop.min_chart.isRunning():
pass
self.loop.min_chart.exec_()
def close_market(self):
for sCode in self.stock.min_chart:
if not os.path.exists('./stock_data/' + self.date):
os.makedirs('./stock_data/' + self.date)
self.stock.min_chart[sCode].to_csv('./stock_data/' + self.date +
'/' + sCode + '|' +
self.get_name(sCode) + '.csv',
encoding='utf-8-sig')
self.dynamicCall("SetRealRemove(QString, QString", "ALL", sCode)
self.log.debug("정규장이 마감되었습니다. 데이터를 저장합니다.")
self.bot.send("정규장이 마감되었습니다.")
# TODO 함수 만들기
# ------------------ 매수 / 매도 조건 함수 ------------------
def have_to_sell(self, sCode, ex_time, price):
if self.stock.min_chart[sCode].loc[Time.get_modified_time(time=ex_time, minutes=-2), '5이평'] > self.stock.min_chart[sCode].loc[Time.get_modified_time(time=ex_time, minutes=-1), '5이평'] or \
self.stock.min_chart[sCode].loc[ex_time, '현재가'] < self.stock.min_chart[sCode].loc[ex_time, '20이평']:
self.sell_stock(sCode, ex_time)
def have_to_buy(self, sCode, ex_time, price):
if self.stock.min_chart[sCode].loc[ex_time, '5이평'] > self.stock.min_chart[sCode].loc[ex_time, '20이평'] and \
self.stock.min_chart[sCode].loc[Time.get_modified_time(ex_time, minutes=-1), '20이평'] > self.stock.min_chart[sCode].loc[Time.get_modified_time(ex_time, minutes=-1), '5이평']:
self.buy_stock(sCode, 10, ex_time, price)
data['sell_signal'] = np.where((data['weekday'] == 0), -1, 0)
# 整合信号
data = compose_signal(data)
# 计算收益率
data = calculate_prof_pct(data)
# 计算累计收益
data = calculate_cum_prof(data)
return data
if __name__ == '__main__':
# data = week_period_strategy('000001.XSHE', 'daily', None, datetime.datetime.today() )
# print(data)
# data['cum_profit'].plot()
# plt.show()
# # 最大回撤
# df = st.get_single_price('000001.XSHE', 'daily', '2006-01-01', datetime.datetime.today())
# df = calculate_max_drawdown(df)
# print(df)
# df[['daily_dd', 'max_dd']].plot()
# plt.show()
# 夏普比率
df = st.get_single_price('000001.XSHE', 'daily', '2006-01-01',
'2021-01-01')
sharp = calculate_sharp(df)
print(sharp)
data = strat.compose_signal(data)
# 删除多余
data.drop(labels=['buy_signal', 'sell_signal'], axis=1)
# 计算单次收益
data= strat.calculate_prof_pct(data)
# 计算累计收益
data = strat.calculate_cum_prof(data)
return data
if __name__ == '__main__':
# 目标股票代码
stocks = st.get_stock_list_all()
stock_list = list(stocks[stocks['display_name'].str.contains('银行')].index)
print(len(stock_list))
exit()
# 容器
# 目标收盘价以及PE指标
for code in stock_list[:1]:
print(code)
dfprice = st.get_single_price(code, 'daily', '2018-01-02', '2018-01-10')
for date in dfprice.index:
cc = st.get_single_valuation(code, date, statDate=None)
dfprice.loc[date, 'pb_ratio'] = cc.pb_ratio[0]
dfprice.loc[date, 'market_cap'] = cc.market_cap[0]