def find_rsi_top(cls, df):
"""
从DataFrame的指定开始和结束位置查询平仓信号
:param df:
:return:
"""
# 计算需要的指标
BaseIndicator.rely_on_indicator(df, ['rsi6'])
# 查询做多信号为1的记录（创建副本）
long_signal = df[df[lps.get_signal_key()] == 1].copy()
# 避免两个做多信号相隔太近
base_index = -1
for item in long_signal.iterrows():
if base_index == -1:
base_index = item[0]
continue
curr_index = item[0]
# n个K线内不产生交易信号
if curr_index - base_index <= 5:
long_signal.drop(labels=[curr_index], axis=0, inplace=True)
else:
base_index = curr_index
# 遍历做多信号，逐个生成后续的平仓信号
for item in long_signal.iterrows():
index = item[0]
cls.one_rsi_top(df, index)
def boll_upward_through(cls, df):
"""
布林带上穿下轨
:param df:
:return:
"""
# 计算需要的指标
BaseIndicator.rely_on_indicator(df, ['boll_upper'])
boll_conf = (df['close'] > df['boll_upper']) & (df['close'].shift(1) < df['boll_upper'].shift(1))
df.loc[boll_conf, cls._signal_key] = cls._signal
return True
def macd_upward_through(cls, df):
"""
macd线上穿越0轴，由负变正
:param df: 依赖值: dif, dea, macd_bar
:return:
"""
# 计算需要的指标
BaseIndicator.rely_on_indicator(df, ['dif', 'dea', 'macd_bar'])
macd_conf = (df['macd_bar'] > 0) & (df['macd_bar'].shift(1) < 0) & (df['dea'].shift(1) < 0)
dif_conf = (df['dif'] > df['dea']) & (df['dif'].shift(1) < df['dea'].shift(1))
df.loc[macd_conf & dif_conf, cls._signal_key] = cls._signal
return True
def long_top_line(cls, df):
"""
上影线
:param df: 依赖值: macd_bar, ma60, close, rsi6
:return:
"""
# 计算需要的指标
BaseIndicator.rely_on_indicator(df, ['ma60', 'rsi6'])
# 收盘价处于MA60均线上方
close_conf = df['close'] > df['ma60']
# rsi6 超卖
rsi_conf = df['rsi6'] > cls._rsi_upper_limit
df.loc[close_conf & rsi_conf, cls._signal_key] = cls._signal
return True
def lower_rsi_next(cls, df):
"""
rsi低点
:param df: 依赖值: rsi6, macd_bar
:return:
"""
# 计算需要的指标
BaseIndicator.rely_on_indicator(df, ['rsi6'])
# 前一条rsi指标低于rsi_lower_limit，rsi6指标高于前一条rsi指标
rsi_conf = (df['rsi6'].shift(1) < cls._rsi_lower_limit) & (df['rsi6'] > df['rsi6'].shift(1))
# macd柱线
# macd_conf = df['macd_bar'] > cls._min_macd_overlap
# df.loc[rsi_conf & macd_conf, cls._signal_key] = cls._signal
df.loc[rsi_conf, cls._signal_key] = cls._signal
return True
def macd_multi_bar(cls, df, before_number=3):
"""
macd多柱线一致减弱后突然增强
:param df: 依赖值: macd_bar, ma60, close
:param before_number: 需要判断前面的n个柱线
:return:
"""
# 计算需要的指标
BaseIndicator.rely_on_indicator(df, ['macd_bar', 'ma60'])
# macd柱线小于0，并且大于前面的柱线；收盘价小于MA60均线
macd_conf = (df['macd_bar'] < 0) & (df['macd_bar'] > df['macd_bar'].shift(1)) & (df['close'] < df['ma60'])
if before_number > 0:
for index in range(before_number):
# 判断前面的柱线
macd_conf = macd_conf & (df['macd_bar'].shift(index + 1) < cls._macd_start_max)
df.loc[macd_conf, cls._signal_key] = cls._signal
return True
def macd_multi_bar(cls, df, inc_num=3):
"""
macd多柱线向上增强后减弱
:param df: 依赖值: macd_bar
:param inc_num:
:return:
"""
# 计算需要的指标
BaseIndicator.rely_on_indicator(df, ['macd_bar'])
if inc_num <= 0:
return False
low_conf = df['macd_bar'] < df['macd_bar'].shift(1)
inc_conf = False
for index in range(inc_num):
inc_conf = inc_conf & (df['macd_bar'].shift(index + 1) >
df['macd_bar'].shift(index + 2))
df.loc[low_conf & inc_conf, cls._signal_key] = cls._signal
return True
def macd_overlap(cls, df):
"""
dif、dea在接近0轴的下方粘合
rsi小于下限值
:param df: 依赖值: dif, dea, rsi6
:return:
"""
# 计算需要的指标
BaseIndicator.rely_on_indicator(df, ['dif', 'dea', 'macd_bar'])
# 判断dif、dea粘合
dif_conf = (df['dif'] < cls._max_macd_overlap) & (df['dif'] > cls._min_macd_overlap)
dea_conf = (df['dea'] < cls._max_macd_overlap) & (df['dea'] > cls._min_macd_overlap)
# 判断rsi小于下限值
rsi_conf = (df['rsi6'] < cls._rsi_lower_limit) | \
(df['rsi6'].shift(1) < cls._rsi_lower_limit) | \
(df['rsi6'].shift(2) < cls._rsi_lower_limit)
df.loc[dif_conf & dea_conf & rsi_conf, cls._signal_key] = cls._signal
return True