def exclude_analyze(basic, kdata, pick_index, take_index, policy_args):
""" 根据日线做排除性校验
"""
max_rise = __parse_policy_args(policy_args, MAX_RISE)
max_pclose = __parse_policy_args(policy_args, MAX_PCLOSE)
outstanding = __parse_policy_args(policy_args, OUTSTANDING)
### 净资产为负数的
if basic[dogen.BVPS] < 0:
logger.debug("Invalid bvps")
return True
### 特征三
if kdata.iloc[take_index][dogen.P_CLOSE] > max_pclose:
logger.debug("Too high close price at %s" % kdata.index[take_index])
return True
if kdata.iloc[take_index][dogen.P_CLOSE] * basic[dogen.OUTSTANDING] > outstanding:
logger.debug("Too large outstanding at %s" % kdata.index[take_index])
return True
### 特征四
rise_range = dogen.get_last_rise_range(kdata, max_rise, max_fall=max_rise/2, eIdx=22)
if rise_range is not None:
[min_index, max_index, inc_close, get_lhigh, tmp_index] = rise_range
if max_rise < dogen.caculate_incr_percentage(kdata.iloc[take_index][dogen.P_CLOSE], kdata.iloc[min_index][dogen.P_CLOSE]):
logger.debug("Too large rise-range")
return True
pass
### 特征五
if kdata.iloc[take_index][dogen.MA5] < kdata.iloc[take_index+1][dogen.MA5] and kdata.iloc[take_index][dogen.MA20] < kdata.iloc[take_index+1][dogen.MA20]:
logger.debug("Invalid MA5&MA20 at %s" % kdata.index[take_index])
return True
return False
def exclude_analyze(basic, kdata, pick_index, take_index, policy_args):
max_rclose = __parse_policy_args(policy_args, MAX_RCLOSE)
min_ramp = __parse_policy_args(policy_args, MIN_RAMP)
max_rise = __parse_policy_args(policy_args, MAX_RISE)
max_pclose = __parse_policy_args(policy_args, MAX_PCLOSE)
outstanding = __parse_policy_args(policy_args, OUTSTANDING)
### 净资产为负数的
if basic[dogen.BVPS] < 0.1:
logger.debug("Invalid bvps")
return True
### 特征三
if kdata.iloc[take_index][dogen.P_CLOSE] > max_pclose:
logger.debug("Too high close price at %s" % kdata.index[take_index])
return True
if kdata.iloc[take_index][dogen.P_CLOSE] * basic[dogen.OUTSTANDING] > outstanding:
logger.debug("Too large outstanding at %s" % kdata.index[take_index])
return True
### 特征四
rise_range = dogen.get_last_rise_range(kdata, max_rise, max_fall=max_rise/2, eIdx=22)
if rise_range is not None:
[min_index, max_index, inc_close, get_lhigh, tmp_index] = rise_range
if max_rise < dogen.caculate_incr_percentage(kdata.iloc[take_index][dogen.P_CLOSE], kdata.iloc[min_index][dogen.P_CLOSE]):
logger.debug("Too large rise-range")
return True
pass
### 特征五
tdata = kdata[0:5]
if tdata[tdata[dogen.R_CLOSE]>0].index.size <= tdata.index.size/2:
logger.debug("Don't contain enough up trades in last week")
return True
if dogen.get_highlimit_trades(tdata).size > 0:
logger.debug("There is hl trade in last week")
return True
### 特征六
for temp_index in range(pick_index, -1, -1):
### 下跌
if kdata.iloc[temp_index][dogen.R_CLOSE] >= 0 or kdata.iloc[temp_index+1][dogen.R_CLOSE] <= 0:
continue
if kdata.iloc[temp_index][dogen.VOLUME] <= kdata.iloc[temp_index+1][dogen.VOLUME]:
continue
### 放量下跌之后未被上涨突破
maxi_index = dogen.get_last_column_max(kdata, dogen.P_CLOSE, eIdx=temp_index)
if maxi_index is None or kdata.iloc[temp_index][dogen.P_OPEN] > kdata.iloc[maxi_index][dogen.P_CLOSE]:
logger.debug("Invalid fall-trade at %s" % kdata.index[temp_index])
return True
pass
return False
def include_analyze(basic, kdata, policy_args):
### 策略参数处理
mini_hl = __parse_policy_args(policy_args, MINI_HL)
hl_valid = __parse_policy_args(policy_args, HL_VALID)
take_valid = __parse_policy_args(policy_args, TAKE_VALID)
### 特征一
heap_trade = 0
if kdata.index.size < hl_valid:
hl_valid = kdata.index.size
for temp_index in range(0, hl_valid):
if kdata.iloc[temp_index][dogen.P_CLOSE] < kdata.iloc[temp_index][
dogen.L_HIGH]:
continue
if kdata.iloc[temp_index +
1][dogen.P_CLOSE] < kdata.iloc[temp_index +
1][dogen.L_HIGH]:
continue
pick_index = temp_index
heap_trade += 1
if heap_trade != 1:
logger.debug("Don't include valid serial hl-trade")
return None
if pick_index != 0:
low_index = dogen.get_last_column_min(kdata,
dogen.P_CLOSE,
eIdx=pick_index)
if kdata.iloc[low_index][dogen.P_CLOSE] > kdata.iloc[pick_index][
dogen.P_CLOSE]:
logger.debug("Don't include valid fallback trade")
return None
take_index = None
for temp_index in range(low_index, -1, -1):
temp_close = dogen.caculate_incr_percentage(
kdata.iloc[temp_index][dogen.P_CLOSE],
kdata.iloc[pick_index][dogen.P_CLOSE])
if temp_close < -3:
continue
elif temp_close > 7:
break
take_index = temp_index
else:
### 两连板
take_index = pick_index
if take_index is None or take_index > take_valid:
logger.debug("Don't match valid take trade")
return None
return [pick_index, take_index]
def exclude_analyze(basic, kdata, pick_index, take_index, fall_range,
policy_args):
pick_start = __parse_policy_args(policy_args, PICK_START)
max_take2low = __parse_policy_args(policy_args, MAX_TAKE2LOW)
max_pclose = __parse_policy_args(policy_args, MAX_PCLOSE)
outstanding = __parse_policy_args(policy_args, OUTSTANDING)
[high_index, pick_index, dec_close, get_llow, tmpId] = fall_range
### 净资产为负数的
if basic[dogen.BVPS] < 0:
logger.debug("Invalid bvps")
return True
### 特征三
if kdata.iloc[take_index][dogen.P_CLOSE] > max_pclose:
logger.debug("Too high close price at %s" % kdata.index[take_index])
return True
if kdata.iloc[take_index][dogen.P_CLOSE] * basic[
dogen.OUTSTANDING] > outstanding:
logger.debug("Too large outstanding at %s" % kdata.index[take_index])
return True
### 特征四
temp_index = dogen.get_last_column_max(kdata,
dogen.P_CLOSE,
eIdx=pick_index)
if dogen.caculate_incr_percentage(
kdata.iloc[temp_index][dogen.P_CLOSE],
kdata.iloc[pick_index][dogen.P_CLOSE]) > max_take2low:
logger.debug("Too high close at %s" % kdata.index[temp_index])
return True
### 特征五
if pick_index + 1 >= pick_start:
macd = dogen.forecast_macd(kdata[dogen.MACD])
if kdata.iloc[0][dogen.MACD] < -0.1 and macd < -0.1:
logger.debug("Invalid MACD at %s" % kdata.index[0])
return True
pass
return False
def trade_analyze2(basic, kdata, pick_index, policy_args):
min_falls = __parse_policy_args(policy_args, MIN_FALLS)
### 特征二
if dogen.caculate_incr_percentage(kdata.iloc[pick_index-1][dogen.P_OPEN], kdata.iloc[pick_index][dogen.P_CLOSE]) > 5:
logger.debug("Too high open price at %s" % kdata.index[pick_index-1])
return None
take_index = None
max_pclose = kdata.iloc[pick_index][dogen.P_CLOSE]*(1-min_falls*0.01)
if kdata.iloc[pick_index-1][dogen.P_CLOSE] <= max_pclose:
take_index = pick_index-1
for temp_index in range(pick_index-2, -1, -1):
if kdata.iloc[temp_index][dogen.R_CLOSE] > 0 or kdata.iloc[temp_index][dogen.VOLUME] > kdata.iloc[temp_index+1][dogen.VOLUME]:
if take_index is not None:
take_index = temp_index
break
elif kdata.iloc[temp_index][dogen.P_CLOSE] <= max_pclose:
take_index = temp_index
pass
return [pick_index, take_index]
def trade_analyze1(basic, kdata, pick_index, policy_args):
volume_scale = __parse_policy_args(policy_args, VOLUME_SCALE)
min_falls = __parse_policy_args(policy_args, MIN_FALLS)
### 取最低回调价
if (pick_index+1) >= kdata.index.size:
min_pclose = 0
else:
min_pclose = kdata.iloc[pick_index+1][dogen.P_CLOSE]
### 特征二
if kdata.iloc[pick_index-1][dogen.R_CLOSE] > 0:
pick_index -= 1
if pick_index == 0:
logger.debug("Fallback didn't occur")
return None
if (kdata.iloc[pick_index+1][dogen.VOLUME] * volume_scale) > kdata.iloc[pick_index][dogen.VOLUME]:
logger.debug("Too small volume at " + kdata.index[pick_index])
return None
if dogen.caculate_incr_percentage(kdata.iloc[pick_index][dogen.P_CLOSE], kdata.iloc[pick_index][dogen.P_OPEN]) <= -5:
logger.debug("Invalid open&close at %s" % kdata.index[pick_index])
return None
pass
take_index = None
max_pclose = kdata.iloc[pick_index][dogen.P_CLOSE]*(1-min_falls*0.01)
for temp_index in range(pick_index-1, -1, -1):
if kdata.iloc[temp_index][dogen.P_CLOSE] < min_pclose:
logger.debug("Get invalid fall trade at %s" % kdata.index[temp_index])
return None
if kdata.iloc[temp_index][dogen.R_CLOSE] > 0 or kdata.iloc[temp_index][dogen.VOLUME] > kdata.iloc[temp_index+1][dogen.VOLUME]:
if take_index is not None:
take_index = temp_index
break
elif kdata.iloc[temp_index][dogen.P_CLOSE] <= max_pclose:
take_index = temp_index
pass
return [pick_index, take_index]
def exclude_analyze(basic, kdata, pick_index, take_index, policy_args):
""" 根据日线做排除性校验
"""
max_rise = __parse_policy_args(policy_args, MAX_RISE)
max_take2low = __parse_policy_args(policy_args, MAX_TAKE2LOW)
min_falls = __parse_policy_args(policy_args, MIN_FALLS)
max_rclose = __parse_policy_args(policy_args, MAX_RCLOSE)
min_ramp = __parse_policy_args(policy_args, MIN_RAMP)
min_polyf2 = __parse_policy_args(policy_args, MIN_POLYF2)
max_pclose = __parse_policy_args(policy_args, MAX_PCLOSE)
outstanding = __parse_policy_args(policy_args, OUTSTANDING)
### 取回调最低价
mini_index = dogen.get_last_column_min(kdata,
dogen.P_CLOSE,
sIdx=take_index,
eIdx=pick_index)
### 净资产为负数的
if basic[dogen.BVPS] < 0:
logger.debug("Invalid bvps")
return True
### 特征三
if kdata.iloc[take_index][dogen.P_CLOSE] > max_pclose:
logger.debug("Too high close price at %s" % kdata.index[take_index])
return True
if kdata.iloc[take_index][dogen.P_CLOSE] * basic[
dogen.OUTSTANDING] > outstanding:
logger.debug("Too large outstanding at %s" % kdata.index[take_index])
return True
### 特征四
rise_range = dogen.get_last_rise_range(kdata,
max_rise,
max_fall=max_rise / 2,
eIdx=22)
if rise_range is not None:
[min_index, max_index, inc_close, get_lhigh, tmp_index] = rise_range
if max_rise < dogen.caculate_incr_percentage(
kdata.iloc[take_index][dogen.P_CLOSE],
kdata.iloc[min_index][dogen.P_CLOSE]):
logger.debug("Too large rise-range")
return True
pass
### 特征五
if pick_index >= 5:
high_index = pick_index
if kdata.iloc[pick_index - 1][dogen.R_CLOSE] > 0:
high_index = pick_index - 1
if dogen.caculate_incr_percentage(
kdata.iloc[take_index][dogen.P_CLOSE],
kdata.iloc[high_index][dogen.P_CLOSE]) < -min_falls:
logger.debug("Too low P-CLOSE at take-trade %s" %
kdata.index[take_index])
return True
if kdata.iloc[take_index][dogen.MA5] < kdata.iloc[take_index +
1][dogen.MA5]:
logger.debug("Invalid MA20 at %s" % kdata.index[take_index])
return True
if kdata.iloc[take_index][dogen.MA20] < kdata.iloc[take_index +
1][dogen.MA20]:
logger.debug("Invalid MA20 at %s" % kdata.index[take_index])
return True
if kdata.iloc[take_index][
dogen.VOLUME] > kdata.iloc[take_index + 1][dogen.VOLUME] * 1.1:
h2l = dogen.caculate_incr_percentage(
kdata.iloc[take_index][dogen.P_HIGH],
kdata.iloc[take_index][dogen.P_LOW])
c2l = dogen.caculate_incr_percentage(
kdata.iloc[take_index][dogen.P_CLOSE],
kdata.iloc[take_index][dogen.P_LOW])
if c2l * 2 < h2l:
logger.debug("Get up shadow at %s" % kdata.index[take_index])
return True
pass
pass
### 特征七
if pick_index >= 5:
for temp_index in range(mini_index - 1, -1, -1):
### 下跌
if kdata.iloc[temp_index][dogen.R_CLOSE] >= 0 or kdata.iloc[
temp_index + 1][dogen.R_CLOSE] <= 0:
continue
if kdata.iloc[temp_index][dogen.VOLUME] <= kdata.iloc[
temp_index + 1][dogen.VOLUME]:
continue
### 放量下跌之后未被上涨突破
maxi_index = dogen.get_last_column_max(kdata,
dogen.P_CLOSE,
eIdx=temp_index)
if maxi_index is None or kdata.iloc[temp_index][
dogen.P_OPEN] > kdata.iloc[maxi_index][dogen.P_CLOSE]:
logger.debug("Invalid fall-trade at %s" %
kdata.index[temp_index])
return True
pass
pass
### 特征八
if pick_index >= 5:
tdata = kdata[0:mini_index]
if tdata[tdata[dogen.R_AMP] >= min_ramp].index.size <= 0:
logger.debug(
"Don't include trade with 5 percentage R-AMP since %s" %
kdata.index[mini_index])
return True
for temp_index in range(mini_index, 0, -1):
hl_price = dogen.caculate_l_high(
kdata.iloc[temp_index][dogen.P_CLOSE])
tdata = kdata[temp_index - 4:temp_index - 1]
if tdata[tdata[dogen.P_CLOSE] >= hl_price].index.size > 0:
logger.debug("Too large heap-close from %s to %s" %
(tdata.index[-1], tdata.index[0]))
return True
pass
pass
return False
def include_analyze(basic, kdata, policy_args):
### 策略参数处理
mini_hl = __parse_policy_args(policy_args, MINI_HL)
hl_valid = __parse_policy_args(policy_args, HL_VALID)
take_valid = __parse_policy_args(policy_args, TAKE_VALID)
### 特征一
index = dogen.get_highlimit_trades(kdata, eIdx=hl_valid + 1)
if index.size == 0:
logger.debug("Don't match highlimit trades")
return None
else:
pick_trade = index[0]
pick_index = kdata.index.get_loc(pick_trade)
pick_close = kdata.iloc[pick_index][dogen.P_CLOSE]
mini_index = pick_index + 1
if mini_index < kdata.index.size:
mini_close = kdata.iloc[pick_index + 1][dogen.P_CLOSE]
else:
mini_close = 0
if pick_index < mini_hl:
logger.debug("Invalid hl-trade at %s" % pick_trade)
return None
### 特征二
take_index = None
if pick_index < 5 and pick_index >= 3:
if dogen.caculate_incr_percentage(
kdata.iloc[0][dogen.P_CLOSE],
kdata.iloc[pick_index][dogen.P_CLOSE]) > 5:
logger.debug("Invalid trade at %s" % kdata.index[0])
return None
tdata = kdata[0:pick_index]
tdata = tdata[tdata[dogen.P_CLOSE] < pick_close]
if tdata.index.size > 0:
logger.debug("Invalid trade at %s" % tdata.index[0])
return None
take_index = 0
else:
heap_rises = 0
for temp_index in range(pick_index - 1, -1, -1):
temp_close = kdata.iloc[temp_index][dogen.R_CLOSE]
if temp_close < 0:
heap_rises = 0
else:
heap_rises += temp_close
if heap_rises >= 5:
take_index = temp_index
if temp_close >= 3 and kdata.iloc[temp_index][
dogen.P_CLOSE] > kdata.iloc[temp_index][dogen.P_OPEN]:
take_index = temp_index
pass
if take_index is not None:
### take_index之后缩量下跌(限一个交易日)，也符合策略
if take_index == 1\
and kdata.iloc[take_index-1][dogen.R_CLOSE] < 0\
and kdata.iloc[take_index-1][dogen.VOLUME] < kdata.iloc[take_index][dogen.VOLUME]:
take_index -= 1
### 最近收盘价比take_index(不能取更新后值)高更新
elif take_index <= 3\
and kdata.iloc[0][dogen.R_CLOSE] > 0\
and kdata.iloc[0][dogen.P_CLOSE] > kdata.iloc[0][dogen.P_OPEN]\
and kdata.iloc[0][dogen.P_CLOSE] >= kdata.iloc[take_index][dogen.P_CLOSE]:
take_index = 0
pass
pass
if take_index is None or take_index > take_valid:
logger.debug("Don't match valid take trade")
return None
return [pick_index, take_index]
def __statistics_analyze(db, basic, kdata, save_result, args):
""" 统计单只股票上涨区间
参数说明：
basic - 股票基本信息
kdata - 股票交易数据
mini_rise - 区间最小涨幅
mini_hl - 区间最少涨停板数
"""
### 参数处理
mini_rise = __parse_policy_args(args, MINI_RISE)
mini_hl = __parse_policy_args(args, MINI_HL)
### 循环检查
tmpId = 0
match = []
while True:
rise_range = dogen.get_last_rise_range(kdata, mini_rise, max_fall=round(mini_rise/2, 2), sIdx=tmpId)
if rise_range is None:
break
else:
[min_index, max_index, inc_close, get_hl, tmpId] = rise_range
### 忽略不符合连板要求的区间
outstanding = None
max_hl_serial = 0
tmp_hl_serial = 0
for temp_index in range(min_index, max_index-1, -1):
if kdata.iloc[temp_index][dogen.P_CLOSE] < kdata.iloc[temp_index][dogen.L_HIGH]:
tmp_hl_serial = 0
continue
tmp_hl_serial += 1
if tmp_hl_serial > max_hl_serial:
max_hl_serial = tmp_hl_serial
if tmp_hl_serial > 2 and outstanding is None:
outstanding = round(kdata.iloc[temp_index][dogen.P_CLOSE] * basic[dogen.OUTSTANDING], 2)
pass
if max_hl_serial < mini_hl:
continue
### 保存区间结果
result = {}
result[dogen.RST_COL_CODE] = basic.name
result[dogen.RST_COL_NAME] = basic[dogen.NAME] # 证券简写
result[dogen.RST_COL_INDUSTRY] = basic[dogen.INDUSTRY]
result[dogen.RST_COL_START] = kdata.index[min_index]
result[dogen.RST_COL_END] = kdata.index[max_index]
result[dogen.RST_COL_START_CLOSE] = kdata.iloc[min_index][dogen.P_CLOSE] # 起始收盘价
result[dogen.RST_COL_LAST_CLOSE] = kdata.iloc[max_index][dogen.P_CLOSE] # 最高收盘价
result[dogen.RST_COL_RISE_RATE] = dogen.caculate_incr_percentage(result[dogen.RST_COL_LAST_CLOSE], result[dogen.RST_COL_START_CLOSE])
result[dogen.RST_COL_INC_HL] = get_hl
result[dogen.RST_COL_OUTSTANDING] = outstanding # 流通市值
result[dogen.RST_COL_MATCH_TIME] = dogen.datetime_now() # 选中时间
result[dogen.RST_COL_INDEX] = '%s_%s' % (basic.name, kdata.index[min_index])
match.append(result)
### 保存结果
if save_result:
rdata = db.lookup_statistics_largerise_range(cond={dogen.RST_COL_CODE:basic.name}, descending_by=dogen.RST_COL_START)
if rdata is None or len(rdata)<=0:
db.insert_statistics_largerise_range([result], key_name=dogen.RST_COL_INDEX)
continue
rlast = rdata[0]
if rlast[dogen.RST_COL_END] < result[dogen.RST_COL_START]:
db.insert_statistics_largerise_range([result], key_name=dogen.RST_COL_INDEX)
continue
### 重叠合并
tdata = kdata[(kdata.index > rlast[dogen.RST_COL_END])&(kdata.index <= result[dogen.RST_COL_END])]
rlast[dogen.RST_COL_INC_HL] = rlast[dogen.RST_COL_INC_HL] + tdata[tdata[dogen.P_CLOSE]>=tdata[dogen.L_HIGH]].index.size
rlast[dogen.RST_COL_END] = result[dogen.RST_COL_END]
rlast[dogen.RST_COL_LAST_CLOSE] = result[dogen.RST_COL_LAST_CLOSE]
rlast[dogen.RST_COL_RISE_RATE] = dogen.caculate_incr_percentage(rlast[dogen.RST_COL_LAST_CLOSE], rlast[dogen.RST_COL_START_CLOSE])
rlast[dogen.RST_COL_MATCH_TIME] = result[dogen.RST_COL_MATCH_TIME]
db.insert_statistics_largerise_range([rlast], key_name=dogen.RST_COL_INDEX)
return match
def include_analyze(basic, kdata, policy_args):
"""
"""
### 参数解析
take_valid = __parse_policy_args(policy_args, TAKE_VALID)
pick_valid = __parse_policy_args(policy_args, PICK_VALID)
min_rise = __parse_policy_args(policy_args, MIN_RISE)
min_fallen = __parse_policy_args(policy_args, MIN_FALLEN)
### 预处理
if kdata.iloc[0][dogen.MA5] > kdata.iloc[0][dogen.MA20]:
logger.debug("Invalid MA5&MA20 at %s" % kdata.index[0])
return None
### 特征一
fall_range = dogen.get_last_fall_range(kdata,
min_fallen,
max_rise=min_rise)
if fall_range is None:
logger.debug("Don't get valid fall-range")
return None
else:
[high_index, pick_index, dec_close, get_llow, tmpId] = fall_range
for temp_index in range(high_index, -1, -1):
if kdata.iloc[temp_index][dogen.MA5] > kdata.iloc[temp_index][
dogen.MA20]:
continue
break
rise_range = dogen.get_last_rise_range(kdata,
min_rise,
max_fall=min_fallen,
sIdx=high_index)
if rise_range is None:
logger.debug("Don't get valid rise-range")
return None
else:
[from_index, max_index, inc_close, get_lhigh, tmpId] = rise_range
if max_index != high_index:
logger.debug("Invalid rise-range from %s to %s" %
(kdata.index[from_index], kdata.index[max_index]))
return None
if kdata.iloc[pick_index][dogen.P_CLOSE] < kdata.iloc[from_index][
dogen.P_CLOSE]:
logger.debug("Invalid pick-trade at %s" % kdata.index[pick_index])
return None
pass
### 特征二
heap_rises = 0
take_index = None
if pick_index + 1 < pick_valid:
for temp_index in range(pick_index - 1, -1, -1):
if kdata.iloc[temp_index][dogen.P_CLOSE] >= dogen.caculate_l_high(
kdata.iloc[pick_index][dogen.P_CLOSE]):
take_index = temp_index
pass
pass
else:
if dogen.caculate_incr_percentage(kdata.iloc[0][dogen.P_CLOSE],
kdata.iloc[0][dogen.MA5]) < 3:
for temp_index in range(pick_index, -1, -1):
if kdata.iloc[temp_index][dogen.R_CLOSE] > 0 and kdata.iloc[
temp_index][dogen.R_AMP] >= 5:
if take_index is None or take_index > temp_index:
take_index = temp_index
pass
pass
pass
for temp_index in range(pick_index, -1, -1):
temp_close = kdata.iloc[temp_index][dogen.R_CLOSE]
if temp_close < 0:
heap_rises = 0
else:
heap_rises += temp_close
if kdata.iloc[temp_index][dogen.P_CLOSE] < kdata.iloc[temp_index][
dogen.P_OPEN]:
continue
if heap_rises >= 5:
if take_index is None or take_index > temp_index:
take_index = temp_index
pass
if temp_close >= 3 and kdata.iloc[temp_index][
dogen.P_CLOSE] > kdata.iloc[temp_index][dogen.P_OPEN]:
if take_index is None or take_index > temp_index:
take_index = temp_index
pass
pass
### MACD点校验
temp_index = 0
if (kdata.iloc[temp_index][dogen.MACD] >= 0.01) and (
dogen.forecast_macd(kdata[temp_index:-1][dogen.MACD]) <= 0.01):
if take_index is None or take_index > temp_index:
take_index = temp_index
pass
if take_index is not None:
### take_index之后缩量下跌(限一个交易日)，也符合策略
if take_index == 1\
and kdata.iloc[take_index-1][dogen.R_CLOSE] < 0\
and kdata.iloc[take_index-1][dogen.VOLUME] < kdata.iloc[take_index][dogen.VOLUME]:
take_index -= 1
### 最近收盘价比take_index(不能取更新后值)高更新
elif take_index <= 3\
and kdata.iloc[0][dogen.R_CLOSE] > 0\
and kdata.iloc[0][dogen.P_CLOSE] > kdata.iloc[0][dogen.P_OPEN]\
and kdata.iloc[0][dogen.P_CLOSE] >= kdata.iloc[take_index][dogen.P_CLOSE]:
take_index = 0
pass
pass
if take_index is None or take_index > take_valid:
logger.debug("Don't get valid take-trade since %s" %
kdata.index[pick_index])
return None
return [pick_index, take_index, rise_range]
