def show_macd():
"""
MACD交易策略
:return:
"""
CBClose = get_CBClose()
DIF = ma.ewma_cal(CBClose, 12, 2 / (1 + 12)) - ma.ewma_cal(CBClose, 26, 2 / (1 + 26))
print(DIF.tail(n=3))
DEA = ma.ewma_cal(DIF, 9, 2 / (1 + 9))
print(DEA.tail())
MACD = DIF - DEA
print("MACD tail")
print(MACD.tail(n=3))
# plt.subplot(211)
# plt.plot(DIF['2015'], label='DIF', color='k')
# plt.plot(DEA['2015'], label='DEA', color='b', linestyle='dashed')
# plt.title("信号线DIF与DEA")
# plt.legend()
# plt.subplot(212)
# plt.bar(left=MACD['2015'].index, height=MACD['2015'], label='MACD', color='r')
# plt.legend()
macddata = pd.DataFrame()
macddata['DIF'] = DIF['2015']
macddata['DEA'] = DEA['2015']
macddata['MACD'] = MACD['2015']
import candle
ChinaBank = pd.read_csv(r"./data/ChinaBank.csv")
candle.candleLinePlots(
ChinaBank['2015'],
candleTitle='中国银行2015年日K线图',
splitFigures=True,
Data=macddata,
ylabel='MACD'
)
def show_ewma():
Close = get_tsingtao_close()
Ema5 = ma.ewma_cal(Close, 5, 0.2)
print(Ema5.head())
print(Ema5.tail())
plt.plot(Close[4:], label="Close", color="k")
plt.plot(Ema5[4:], label="Ema5", color="g", linestyle="-.")
plt.title("青岛啤酒收盘价指数移动平均线")
plt.ylim(35, 50)
plt.legend()
def trade_macd():
"""
根据macd产生信号交易
:return:
"""
CBClose = get_CBClose()
DIF = ma.ewma_cal(CBClose, 12, 2 / (1 + 12)) - ma.ewma_cal(CBClose, 26, 2 / (1 + 26))
DEA = ma.ewma_cal(DIF, 9, 2 / (1 + 9))
macdSignal = pd.Series(0, index=DIF.index[1:])
for i in range(1, len(DIF)):
if all([DIF[i] > DEA[i] > 0.0, DIF[i - 1] < DEA[i - 1]]):
macdSignal[i] = 1
elif all([DIF[i] < DEA[i] < 0.0, DIF[i - 1] > DEA[i - 1]]):
macdSignal[i] = -1
print(macdSignal.tail())
macdTrade = macdSignal.shift(1)
CBRet = CBClose / CBClose.shift(1) - 1
macdRet = (CBRet * macdTrade).dropna()
macdWinRate = len(macdRet[macdRet > 0]) / len(macdRet[macdRet != 0])
print(macdWinRate)
def show_chinabank():
CBClose = get_CBClose()
print(CBClose.describe())
Close15 = CBClose["2015"]
Sma10 = ma.sma_cal(Close15, 10)
print(Sma10.tail())
weight = np.array(range(1, 11)) / sum(range(1, 11))
Wma10 = ma.wma_cal(Close15, weight)
print(Wma10.tail(n=3))
expo = 2 / (len(Close15) + 1)
Ema10 = ma.ewma_cal(Close15, 10, expo)
print(Ema10.tail(n=3))
plt.rcParams["font.sans-serif"] = ["SimHei"]
plt.plot(Close15[10:], label="Close", color="k")
plt.plot(Sma10[10:], label="Sma10", color="r", linestyle="dashed")
plt.plot(Wma10[10:], label="Wma10", color="b", linestyle=":")
plt.plot(Ema10[10:], label="Ema10", color="G", linestyle="-.")
plt.title("中国银行价格均线")
plt.ylim(3.5, 5.5)
plt.legend()
plt.show()
def trade_multi():
cb_close = get_CBClose()
cb_sma10 = ma.sma_cal(cb_close, 10)
SmaSignal = pd.Series(0, cb_close.index)
for i in range(10, len(cb_close)):
if all([cb_close[i] > cb_sma10[i], cb_close[i - 1] < cb_sma10[i - 1]]):
SmaSignal[i] = 1
elif all([cb_close[i] < cb_sma10[i], cb_close[i - 1] > cb_sma10[i - 1]]):
SmaSignal[i] = -1
Ssma5 = ma.sma_cal(cb_close, 5)
Lsma30 = ma.sma_cal(cb_close, 30)
SLSignal = pd.Series(0, index=Lsma30.index)
for i in range(1, len(Lsma30)):
if all([Ssma5[i] > Lsma30[i], Ssma5[i - 1] < Lsma30[i - 1]]):
SLSignal[i] = 1
elif all([Ssma5[i] < Lsma30[i], Ssma5[i - 1] > Lsma30[i - 1]]):
SLSignal[i] = -1
DIF = ma.ewma_cal(cb_close, 12, 2 / (1 + 12)) - ma.ewma_cal(cb_close, 26, 2 / (1 + 26))
DEA = ma.ewma_cal(DIF, 9, 2 / (1 + 9))
macdSignal = pd.Series(0, index=DIF.index[1:])
for i in range(1, len(DIF)):
if all([DIF[i] > DEA[i] > 0.0, DIF[i - 1] < DEA[i - 1]]):
macdSignal[i] = 1
elif all([DIF[i] < DEA[i] < 0.0, DIF[i - 1] > DEA[i - 1]]):
macdSignal[i] = -1
AllSignal = SmaSignal + SLSignal + macdSignal
for i in AllSignal.index:
if AllSignal[i] > 1:
AllSignal[i] = 1
elif AllSignal[i] < -1:
AllSignal[i] = -1
else:
AllSignal[i] = 0
print(AllSignal[AllSignal == 1])
print(AllSignal[AllSignal == -1])
tradSig = AllSignal.shift(1).dropna()
cb_close = cb_close[-len(tradSig):]
asset = pd.Series(0.0, index=cb_close.index)
cash = pd.Series(0.0, index=cb_close.index)
share = pd.Series(0, index=cb_close.index)
entry = 3
cash[:entry] = 20000
while entry < len(cb_close):
cash[entry] = cash[entry - 1]
if all([cb_close[entry - 1] >= cb_close[entry - 2],
cb_close[entry - 2] >= cb_close[entry - 3],
AllSignal[entry - 1] != -1]):
share[entry] = 1000
cash[entry] = cash[entry] - 1000 * cb_close[entry]
break
entry += 1
i = entry + 1
while i < len(tradSig):
cash[i] = cash[i - 1]
share[i] = share[i - 1]
flag = 1
if tradSig[i] == 1:
share[i] = share[i] + 3000
cash[i] = cash[i] - 3000 * cb_close[i]
if all([tradSig[i] == -1, share[i] > 0]):
share[i] = share[i] - 1000
cash[i] = cash[i] + 1000 * cb_close[i]
i += 1
plt.subplot(411)
plt.title("2014-2015年上:中国银行均线交易账户")
plt.plot(cb_close, color='b')
plt.ylabel("Pricce")
plt.subplot(412)
plt.plot(share, color='b')
plt.ylabel("Share")
plt.ylim(0, max(share) + 1000)
plt.subplot(413)
plt.plot(asset, label="asset", color='r')
plt.ylabel("Asset")
plt.ylim(min(asset) - 5000, max(asset) + 5000)
plt.subplot(414)
plt.plot(cash, label="cash", color='g')
plt.ylabel("Cash")
plt.ylim(0, max(cash) + 5000)
TradeReturn = (asset[-1] - 20000) / 20000
print(TradeReturn)
plt.show()