def modelCombine(models, f, conf=basicConf, arg=None):
bank = bankManage.Bank()
curve = loss.Loss(conf.StartValue)
sizes = []
for model, weit in models:
sizes.extend(model.conf.getSizes())
phase = wave.Phase(sizes)
tt = 0
vs = []
N = 5000
restBank = 0 #余量窗口
bw1 = 0.6
bw2 = 0.4
lastLen = 0
for line in f:
vs.append(line)
if len(vs) >= N:
phase1 = copy.deepcopy(phase)
curve1 = loss.Loss(curve.now)
bank1 = copy.deepcopy(bank)
tt1 = tt
(phase, curve, bank, tt,
restBank) = modelCombinePhase(models, vs[lastLen:], phase, curve,
bank, tt, False, restBank, conf,
arg)
#models=selectModelCombine(models,vs,phase1,curve1,bank1,tt1,restBank,conf,arg,N)
#print "model",models[0][1],models[1][1]
#del vs[0:30000]
vs = []
lastLen = len(vs)
if len(vs) > 0:
(phase, curve, bank, tt,
restBank) = modelCombinePhase(models, vs[lastLen:], phase, curve,
bank, tt, True, restBank, conf, arg)
print curve
def duralTrust(f, conf=basicConf, arg=None):
bank = bankManage.Bank()
detail = (arg == "detail")
start = conf.StartValue
curve = loss.Loss(start)
tt = 0
phase = wave.Phase(conf.getSizes())
blist = Stack.Queue(conf.MidSize / conf.TSize + 1, [0, 0, 0, 0])
restBank = [0, 0] #余量窗口
minFlow = curve.now
flow = curve.now
for line in f:
tt += 1
lastD, nowD = data.readLine(line, conf)
if nowD == None:
continue
v0 = nowD.lastP
v1 = nowD.p
phase.addV(v0)
def m2(f, conf1=MultiConf(1), conf2=MultiConf(2), arg=None):
detail = (arg == "detail")
bank1 = bankManage.Bank()
bank2 = bankManage.Bank()
start = conf1.StartValue
curve = loss.Loss(start)
tt = 0
phase1 = wave.Phase(conf1.getSizes())
blist1 = Stack.Queue(conf1.MidSize / conf1.TSize + 1, [0, 0, 0, 0])
phase2 = wave.Phase(conf2.getSizes())
blist2 = Stack.Queue(conf2.MidSize / conf2.TSize + 1, [0, 0, 0, 0])
restBank1 = [0, 0] #余量窗口
restBank2 = [0, 0]
minFlow = curve.now
flow = curve.now
vm1 = 0
vm2 = 0
lastD1 = data.Data()
lastD2 = data.Data()
nowD1 = data.Data()
nowD2 = data.Data()
for line in f:
tt += 1
if arg == "Curve":
print "%s%.4f" % (conf1.CurveFix, curve.now / start * 30.0)
if tt < 3: #忽略第一行
continue
lastD1, nowD1 = data.readLine(line, conf1, nowD1, lastD1)
lastD2, nowD2 = data.readLine(line, conf2, nowD2, lastD2)
if nowD1 == None or nowD2 == None:
continue
v01 = nowD1.lastP
v02 = nowD2.lastP
vm1 = v01 * (1.0 - conf1.SlideRate) + conf1.SlideRate * nowD1.p
vm2 = v02 * (1.0 - conf2.SlideRate) + conf2.SlideRate * nowD2.p
phase1.add(v01)
phase2.add(v02)
curve.addTime()
if nowD1.settle:
e, f = bank1.destroy(vm1)
curve.addE(e)
flow += f
restBank1 = [0, vm1]
blist1 = Stack.Queue(conf1.MidSize / conf1.TSize + 1, [0, 0, 0, 0])
if nowD2.settle:
e, f = bank2.destroy(vm2)
curve.addE(e)
flow += f
restBank2 = [0, vm2]
blist2 = Stack.Queue(conf2.MidSize / conf2.TSize + 1, [0, 0, 0, 0])
continue
tn1 = clear(tt, blist1, v01, vm1, conf1, curve, phase1, detail)
tn2 = clear(tt, blist2, v02, vm2, conf2, curve, phase2, detail)
tn1 -= restBank1[0] #与整数操作的差额操作
tn2 -= restBank2[0]
if tt % conf1.TSize == 7 % conf1.TSize:
d1 = direction(phase1, conf1, conf1.Size, detail)
d2 = direction(phase2, conf2, conf2.Size, detail)
br1 = conf1.BankRate
br2 = conf2.BankRate
#if abs(d2) >= abs(d1):
# br2+=br1
# br1=0
if abs(d1) > 0:
n1 = (d1 * curve.now / conf1.MidSize * conf1.TSize * br1 /
v01 * conf1.GangRate / conf1.HandSize)
tn1 += n1
blist1.add([n1, vm1, vm1, tt])
if abs(d2) > 0:
n2 = (d2 * curve.now / conf2.MidSize * conf2.TSize * br2 /
v02 * conf2.GangRate / conf2.HandSize)
tn2 += n2
blist2.add([n2, vm2, vm2, tt])
(tni1, tnv1) = near(tn1)
(tni2, tnv2) = near(tn2)
if abs(tni1) > 0:
(e, f) = bank1.addBank(tni1, vm1, conf1)
curve.addE(e)
flow += f
if abs(tni2) > 0:
e, f = bank2.addBank(tni2, vm2, conf2)
curve.addE(e)
flow += f
if flow < minFlow:
minFlow = flow
restBank1 = [tnv1, vm1]
restBank2 = [tnv2, vm2]
(e, f) = bank1.destroy(vm1)
curve.addE(e)
flow += f
(e, f) = bank2.destroy(vm2)
curve.addE(e)
flow += f
if flow < minFlow:
minFlow = flow
if arg == "Curve":
print "%s%.4f" % (conf1.CurveFix, curve.now / start * 30.0)
print curve
print minFlow
def phase(f, conf=basicConf, arg=None):
bank = bankManage.Bank()
detail = (arg == "detail")
start = conf.StartValue
curve = loss.Loss(start)
tt = 0
tn = 0
phase = wave.Phase(conf.getSizes())
volSize = 30
smallVolSize = 10
volPhase = wave.Phase([smallVolSize, volSize], [10, 100])
#vol2=wave.Phase([smallVolSize,volSize],[10,100])
sum = 0
blist = Stack.Queue(conf.MidSize + 1, [0, 0, 0, 0])
restBank = [0, 0] #余量窗口
minFlow = curve.now
flow = curve.now
lastDay = ""
day = ""
vm = 0
lastV = -1
maxBuyRate = -1
divs = []
divSum = 0
divN = 0
drs = []
drSum = 0
afterWardFac = 0 #滞后因子
myBank = 0
vbn = 0
for line in f:
tt += 1
lastD, nowD = data.readLine(line, conf)
if nowD == None:
continue
v0 = nowD.lastP
if v0 <= 1e-12:
sys.stderr.write(line)
break
v1 = nowD.p
lastV = v0
vol = lastD.vol
if lastD.vol > 0 and nowD.vol - lastD.vol < 5 and nowD.vol - lastD.vol >= 0 and nowD.vol < 3000:
vbn += 1
if vbn > 10:
break
if arg == "Curve":
print "%s%.4f" % (conf.CurveFix, curve.now / start * 30.0)
#phase.add(v1)
divs.append(v1)
if len(divs) >= conf.DivSize:
vopen = divs[-conf.DivSize]
max = divs[-1]
divRate = abs(max - vopen) / vopen
drs.append(divRate)
divSum += abs(max - vopen) / vopen
divN += 1
#print "",conf.MaxLoss,"divSum",divSum,"divN",divN,divSum/divN,"max-vopen",max-vopen,(max-vopen)/vopen,"max",max,"vopen",vopen
divs = []
drSum += divRate
if len(drs) > 100:
drSum -= drs[0]
del drs[0]
#conf.MaxLoss=divSum/divN
#conf.MaxLoss=0.99*divSum/divN+0.01*divRate
#conf.MaxLoss=0.94*divSum/divN+0.05*drSum/len(drs)+0.01*divRate
volPhase.simpleAdd(vol)
phase.add(v1)
#vol2.add(vol)
curve.addTime()
vm = v1
#v0*(1.0-conf.SlideRate)+v1*conf.SlideRate
#print "vm",vm
if nowD.settle:
if detail:
print "destroy: vm", vm, "bank", bank.bank, "price", bank.price, "now", curve.now
myBank = 0
e, f = bank.destroy(vm, conf)
curve.addE(e)
flow += f
if detail:
print "after destroy:bank", bank.bank, "e", e, "flow", flow, "now", curve.now
if abs(e) > 0:
curve.addWin(e / conf.HandSize, conf)
restBank = [0, vm]
blist = Stack.Queue(conf.MidSize / conf.TSize + 1, [0, 0, 0, 0])
continue
bankDiff = myBank - bank.bank
if abs(bankDiff) > 1e-6:
if True:
print "tt", tt, "tn", tn, "myBank", myBank, "bank", bank.bank, "rest", restBank[
0], "bankDiff", bankDiff
#myBank-=checkBank(blist,bankDiff,conf,detail)
clearN = clear(tt, blist, v0, vm, conf, curve, phase, detail)
tn = restBank[0] #-restBank[0] #与整数操作的差额操作
tn += bankDiff
myBank -= bankDiff
tn += clearN
createN = 0
if data.afterInDay(nowD, conf.DayEnd) <= 0 and data.afterInDay(
nowD, conf.DayStart) >= 0:
createN = create(tt, conf, phase, vm, curve, bank, detail)
if createN > 0 and createN < conf.unitLowRate * conf.UnitLimit and bank.bank <= 0:
createN = conf.UnitLimit
if createN < 0 and createN > -conf.unitLowRate * conf.UnitLimit and bank.bank >= 0:
createN = -conf.UnitLimit
#afterWardFac=afterWardFac*(conf.MidSize-1.0)/conf.MidSize+createN/conf.MidSize
#if abs(afterWardFac) > 0.8*abs(createN):
# createN+=0.02*afterWardFac
tryBank = bank.bank + tn
ceilBank = (curve.now * conf.GangRate *
conf.BankRate) / (v0 * conf.HandSize)
if abs(createN) > 0 and abs(createN + tryBank) > ceilBank:
#if random.random() > 0.9:
# print "createN",createN,"tryBank",tryBank,"ceilBank",ceilBank
createN *= (ceilBank - abs(tryBank)) / abs(createN)
tn += createN
if abs(createN) > 0:
blist.add([createN, vm, vm, tt])
#phase.add(v1)
#(tni,tnv)=near(tn)
#tni=int(tn)+clearN
tni = int(tn)
tnv = tn - int(tn) #int(tn)-tn
if tnv > conf.StopLossNearInt and bank.bank + tni < 0:
tni += 1
tnv -= 1.0
if tnv < -conf.StopLossNearInt and bank.bank + tni > 0:
tni -= 1
tnv += 1.0
myBank += tni
#if abs(createN) > 0:
# blist.add([createN,vm,vm,tt])
#if abs(int(tn)) > 0:
# blist.add([int(tn),vm,vm,tt])
nfold = abs(tni * v1 * conf.HandSize) / (curve.now * conf.GangRate)
if maxBuyRate < nfold:
#print "nfold",nfold,"maxBuyRate",maxBuyRate,"curve.now",curve.now
maxBuyRate = nfold
#if nfold > 0.3:
#print "nfold",nfold,"maxBuyRate",maxBuyRate,"curve.now",curve.now
if conf.Stock and (tni + bank.bank) < 0:
tni = -bank.bank
tnv = tn - tni #tni-tn
if abs(tni) > 0:
if tni > 0:
vm = vm * (1.0 + conf.SlideRate / 2500.0)
else:
vm = vm * (1.0 - conf.SlideRate / 2500.0)
bb = bank.bank
bp = bank.price
bf = flow
if random.random() < 1.999: #0.1%失败交易
(e, f) = bank.addBank(tni, vm, conf)
curve.addE(e)
flow += f
if detail:
print "tt:", tt, "bb:", bb, "bp:", bp, "tni:", tni, "vm:", vm, "now:", curve.now, "e:", e, "f:", f, "flow:", flow
else:
print "trade fail: tni", tni
dflow = curve.now - bank.value(conf) / conf.GangRate - flow
if abs(dflow) > 1.0:
print line
print dflow, curve.now, tni, "vm:", vm, "bb:", bb, "bp:", bp, "after:", bank, e, bf, f, flow
break
if flow < minFlow:
minFlow = flow
#浮动
#pass
curve.addTrackE((vm - bank.price) * bank.bank * conf.HandSize)
if arg == "Bank":
#print "%s%.4f"%(conf.CurveFix,tni)
print "%s%.4f" % (conf.CurveFix, flow / curve.now)
if conf.Stock and bank.bank < 0:
print "bank<0", curve.now, bank, tnv
restBank = [tnv, vm]
if detail:
print "destroy: vm", vm, "bank", bank.bank, "price", bank.price, "now", curve.now
if bank.bank > 0:
vm = vm * (1.0 - conf.SlideRate / 2500.0)
else:
vm = vm * (1.0 + conf.SlideRate / 2500.0)
(e, f) = bank.destroy(vm, conf)
curve.addE(e)
flow += f
if detail:
print "after destroy:bank", bank.bank, "e", e, "flow", flow, "now", curve.now
if abs(e) > 0:
curve.addWin(e / conf.HandSize, conf)
return curve
def back(f, conf, guohu=1.0):
phase = wave.Phase([100, conf.LargeSize, conf.Size, conf.MidSize])
li = 0
lsmall = 0
bi = -1
bn = 0
bprice = 0
lastV = -1
lastLow = -1
smallQueue = Stack.Queue(3, init=0)
smallV = 0
navg = 0
flow = 10000.0
state = State()
lastClose5 = False
lastIsBull = False
for line in f:
li += 1
lastD, nowD = data.readLine(line, conf)
if nowD == None:
if bn > 0:
bi = -1
bn = 0
lastV = -1
lastLow = -1
continue
if nowD.open <= 0 or nowD.close <= 0:
if bn > 0:
bi = -1
bn = 0
lastV = -1
lastLow = -1
continue
v = nowD.close
high = nowD.high
if lastV < 0:
lastV = nowD.open
add = (v - lastV) / float(lastV)
if add > 0.11 or add < -0.11:
bn = 0
bi = -1
lastV = -1
continue
rate = (v - nowD.open) / float(nowD.open)
hrate = (high - nowD.open) / float(nowD.open)
hadd = (high - lastV) / float(lastV)
oadd = (nowD.open - lastV) / float(lastV)
avg = phase.avg(conf.MidSize)
mavg = phase.avg(conf.LargeSize)
avg100 = phase.avg(100)
SA = 0.07
#B12
if bn > 0:
#B1,B2,B3,B4
p = nowD.close
#B11,B12,B13,B14,B15
if nowD.open > (1.0 + SA) * lastV:
p = nowD.open
#B5,B6,B7,B8,B9,B10,B11,B12,B13,B14,B15
elif nowD.high > (1.0 + SA) * lastV:
p = (1.0 + SA) * lastV
e = bn * 100 * (p - 0.0013 * p - guohu * 0.6 / 1000 - bprice)
bn = 0
print "%s\t%f\t%s" % (nowD.day, e / flow, str(state))
#curve.addE(e)
bi = -1
#elif bi > 0:
# if nowD.open < 1.06*lastV:
# bprice=nowD.open*(1.0+0.0003)+guohu*0.6/1000
# bn=int(curve.now/(100*bprice))
if high > avg:
navg += 1
else:
navg = 0
#B1,2,3,4,5
#if (hrate > 0.085 or (hadd > 0.085 and hrate > 0.05) )and lsmall >= 1 and nowD.low <= avg and nowD.close > avg:
#B6 增长率:0.790062 最大下降:0.228 @683 增长下降比:3.4653 0.6760年
#if (hrate > 0.07 or (hadd > 0.07 and hrate > 0.05) )and lsmall >= 1 and nowD.low <= avg and nowD.close > avg:
#B7
HR = 0.08 #加oadd < (0.095-HR)防止买不进
#if hrate > HR and oadd < (0.095-HR) and lsmall >= 1 and nowD.low <= avg and nowD.close > avg:
#B8,B9,B10,B11,B12,B13,B14,B15
#HR=0.04
HA = -0.02
#B8
#if hrate > HR and oadd < (0.095-HR) and lsmall >= 1 and lastV <= avg*1.02 and nowD.high > (1+HA)*avg:
#B9
#if hrate > HR and oadd < (0.095-HR) and lsmall >= 1 and lastV <= avg*1.02 and nowD.high > (1+HA)*avg:
state.reset()
#B10,B11,B12,B13,B15
if hrate > HR and oadd < (0.095 -
HR) and lsmall >= 1 and lastV <= avg * 1.02:
#B14
#if hrate > HR and oadd < (0.095-HR) and lsmall >= 1:
state.LastClose5 = lastClose5
state.IsBull = lastIsBull
bi = li
#B1,2,3,4,5,6
p = nowD.close
#B7.1
#HA=0.0
#if hadd > HA: #两个条件要同时满足
# if nowD.open*(1+HR) <= (1.0+HA)*lastV:
# p=(1.0+HA)*lastV
# else:
#sys.stderr.write("high open%.3f!\n"%(nowD.open))
#B7,B10,B11,B12,B13,B14,B15,B16
p = nowD.open * (1 + HR)
#B8,B9
#if p < (1+HA)*avg:
# p=(1+HA)*avg
bprice = p * (1.0 + 0.0003) + guohu * 0.6 / 1000
bn = int(flow / (100 * bprice))
#if add < 0.099 or rate > 0.5:
# bprice=nowD.close*(1.0+0.0003)+guohu*0.6/1000
# bn=int(curve.now/(100*bprice))
phase.simpleAdd(nowD.close)
smallV -= smallQueue.pop()
#B12,B13,B14,B15
lastClose5 = False
lastIsBull = False
if mavg > avg100:
lastIsBull = True
#B1 0.48 0.25
#B1#if add < 0.04 and rate < 0.04 and rate > -0.06 and nowD.low <= avg and nowD.high >= avg:
#B2# 增长率:0.55 最大下降:0.217 mrate:0.6321
#if add < 0.04 and rate < 0.04 and nowD.low <= avg and nowD.high >= avg:
#B3# 0.53 最大下降:0.157 0.6680年 mrate:0.6491
#B4,B5,B6,B7,B8,B9,B10,B11,B12,B13,B14
if add < 0.04 and rate < 0.02 and nowD.low <= avg * 1.02 and nowD.high >= avg * 0.98:
#B15
#if add < 0.04 and rate < 0.02 and nowD.low <= avg*1.03 and nowD.high >= avg*0.97:
#B12,14
#if nowD.open >= avg*0.98 and nowD.close <= avg*1.02 and nowD.low<= avg and nowD.high >= avg:
#B13,B15
if nowD.low <= avg and nowD.high >= avg:
lastClose5 = True
lsmall += 1
smallV += 1
smallQueue.add(1)
else:
lsmall = 0
smallQueue.add(0)
lastV = v
def slideTrade(f, conf=basicConf, arg=None):
conf.dir = 0
d = data.Data()
lastD = data.Data()
tt = 0
askDiv = 0
bidDiv = 0
bank = bankManage.Bank() #仓位管理
detail = (arg == "detail")
start = conf.StartValue #初始资产
curve = loss.Loss(start)
minFlow = curve.now
flow = curve.now
buyPos = -1 #建仓位置
lastLossPos = 0
LSize = conf.LSize
v0 = 0
tni = 0
lastP = -1
lastTT = 0
td = None
conf.LargeSize = 10 * conf.Size
phase = wave.Phase([conf.LargeSize, conf.Size])
for line in f:
tt += 1
if tt < 2:
continue
try:
lastTd, td = data.readTick(line, d, lastD, conf)
except Exception, e:
sys.stderr.write("readTick Fail!\n")
sys.stderr.write(str(e) + "\n")
continue
if td == None:
continue
v0 = td.p
curve.addTime()
phase.simpleAdd(v0)
lavg = phase.avg(conf.LargeSize)
avg = phase.avg(conf.Size)
#if tt > conf.Size+2:
# print avg,lavg
KD = (avg > lavg and askDiv >= conf.base * 4
and askDiv <= conf.base * 16 and bidDiv <= conf.base)
KK = (lavg > avg and askDiv <= conf.base and bidDiv >= conf.base * 4
and bidDiv <= conf.base * 16)
#print tt,lastLossPos,LSize
if abs(bank.bank) < 1e-6: #信号开仓
askDiv = td.ask - td.p
bidDiv = td.p - td.bid
unit = int((curve.now * conf.GangRate * conf.BankRate) /
(v0 * conf.HandSize)) #按v0计算买入手数
if tni <= 0 and KD and tt - lastLossPos > LSize:
tni += unit
buyPos = tt #记录开仓位置
if tni >= 0 and KK and tt - lastLossPos > LSize:
tni = -unit
buyPos = tt
elif abs(tni) < 1e-6:
e1 = 0
if bank.bank > 0:
e1 = v0 - bank.price
else:
e1 = bank.price - v0
if e1 < -(conf.MaxLoss * bank.price) or (bank.bank > 0 and KK) or (
bank.bank < 0 and KD): #止损平仓
tni = -bank.bank
lastLossPos = tt
elif tt - buyPos > conf.MidSize: #到指定周期结束平仓
tni = -bank.bank
if abs(tni) > 0 and lastP < 0:
lastP = v0
lastTT = tt
if lastP > 0:
if tni > 0:
if tt - lastTT < conf.PTIME and (td.ask <= lastP
or v0 < lastP):
(e, f) = bank.addBank(tni, lastP, conf)
curve.addWin(e / conf.HandSize, conf) #计算胜率
curve.addE(e)
tni = 0
lastP = -1
elif tt - lastTT >= conf.PTIME:
#if bank.bank < -0.1:
(e, f) = bank.addBank(tni, td.ask, conf)
curve.addWin(e / conf.HandSize, conf) #计算胜率
curve.addE(e)
tni = 0
lastP = -1
elif tni < 0:
if tt - lastTT < conf.PTIME and (td.bid >= lastP
or v0 > lastP):
(e, f) = bank.addBank(tni, lastP, conf)
curve.addWin(e / conf.HandSize, conf) #计算胜率
curve.addE(e)
tni = 0
lastP = -1
elif tt - lastTT >= conf.PTIME:
#if bank.bank > 0.1:
(e, f) = bank.addBank(tni, td.bid, conf)
curve.addWin(e / conf.HandSize, conf) #计算胜率
curve.addE(e)
tni = 0
lastP = -1
else:
curve.addTrackE(
(v0 - bank.price) * bank.bank * conf.HandSize) #更新资产净值
(e, f) = bank.addBank(tni, vm, conf)
curve.addE(e)
flow += f
if flow < minFlow:
minFlow = flow
restBank = tnv
tt += 1
if destroy:
bank.destroy(vm)
#print curve
#print minFlow
return (phase, curve, bank, tt, restBank)
WK = 5
m2 = [(1.0, 0.0, wave.Phase([WK])), (0.0, 1.0, wave.Phase([WK])),
(0.5, 0.5, wave.Phase([WK])), [0.6, 0.4, wave.Phase([WK])]]
def selectModelCombine(models, vs, phase, curve, bank, tt, restBank, conf, arg,
N):
if len(models) == 2:
MR = N / (100000.0 + N)
bw1 = models[0][1]
bw2 = models[1][1]
m2[-1][0] = bw1
m2[-1][1] = bw2
bmax = -1000000
#(curve.now-baseRate)/(curve.maxTrack+baseRate*0.1)
for w1, w2, wphase in m2:
models[0][1] = w1