def lwr(shigh,slow,sclose,n=9,m=3):
lowv = tmin(slow,n)
highv = tmax(shigh,n)
rsv = (highv-sclose)*100 / (highv-lowv)
lwr1 = sma(rsv,m,1)
lwr2 = sma(lwr1,m,1)
return lwr1,lwr2
def lwr(shigh, slow, sclose, n=9, m=3):
lowv = tmin(slow, n)
highv = tmax(shigh, n)
rsv = (highv - sclose) * 100 / (highv - lowv)
lwr1 = sma(rsv, m, 1)
lwr2 = sma(lwr1, m, 1)
return lwr1, lwr2
def skdj(shigh,slow,sclose,n=9,m=3):
lowv = tmin(slow,n)
highv = tmax(shigh,n)
rsv = cexpma((sclose-lowv)*100/(highv-lowv),m)
k = cexpma(rsv,m)
d = ma(k,m)
return k,d
def follow_seller(stock,buy_signal,xstop=25,ret=50,**kwargs):
'''
如果价格小于最近5日高点5%，则卖出
xstop为根据买入价的止损
ret为从高点向下的回退值
'''
t = stock.transaction
#从顶下落处理,前5天的收盘/开盘的高者和今天的开盘的高者 回落ret之后
#hhret = gmax(rollx(tmax(gmax(t[OPEN],t[CLOSE]),5),1),t[OPEN])* (1000-ret)/1000
hhret = gmax(rollx(tmax(t[HIGH],5),1),t[OPEN])* (1000-ret)/1000
#hhret = rollx(tmax(t[HIGH],5),1) * (1000-ret)/1000
sdl = t[LOW] < hhret
#止损处理2.5%
stop_price = extend2next(rollx(stock.buyprice,1) * (1000-xstop)/1000)
stopl = t[LOW] < stop_price
cut_price = gmin(gmax(hhret,stop_price),t[HIGH]) #首先，止损线和退回线高者先被触及，同时，穿越时可能跳低，所以找与t[HIGH]的低点
cut_signal = gor(sdl,stopl)
cut_signal = select([t[VOLUME]>0],[cut_signal]) #默认为0，即未交易的日子卖出信号不能发出，否则会合并到下一交易日
bs = gand(buy_signal,cut_signal)
rbs = rollx(bs)
sell_signal = select([bs],[0],default=cut_signal) + rbs #如果当日冲销，则后推一日，但如果前一日也是当日，则信号被屏蔽
stock.sellprice = select([cut_signal],[cut_price],default=t[OPEN])
#止损和退回用cut_price, 当日卖出信号平移用开盘价，停牌平移用开盘价
return cut_signal
def skdj(shigh, slow, sclose, n=9, m=3):
lowv = tmin(slow, n)
highv = tmax(shigh, n)
rsv = cexpma((sclose - lowv) * 100 / (highv - lowv), m)
k = cexpma(rsv, m)
d = ma(k, m)
return k, d
def wms(tclose,thigh,tlow,length):
''' 威廉指标
可单独使用，同时也被kdj用到
'''
assert len(tclose) == len(thigh) and len(tclose) == len(tlow)
lmax = tmax(thigh,length)
lmin = tmin(tlow,length)
rev = np.zeros_like(tclose)
for i in xrange(len(tclose)):
cmax,cmin = lmax[i],lmin[i]
rev[i] = BASE if cmax==cmin else (tclose[i]-cmin) * BASE/(cmax-cmin)
return rev
def wms(tclose, thigh, tlow, length):
''' 威廉指标
可单独使用，同时也被kdj用到
'''
assert len(tclose) == len(thigh) and len(tclose) == len(tlow)
lmax = tmax(thigh, length)
lmin = tmin(tlow, length)
rev = np.zeros_like(tclose)
for i in xrange(len(tclose)):
cmax, cmin = lmax[i], lmin[i]
rev[i] = BASE if cmax == cmin else (tclose[i] - cmin) * BASE / (cmax -
cmin)
return rev
def mm_ratio(sclose,shigh,slow,satr,covered=1):
''' 计算标准化的最大有利变动(MFE)/最大不利变动(MAE)
即以当日为基准，计算covered内AMFE=(最大值-当日值)/atr和(当日值-最小值)/atr
用于优势率e_ratio的计算：
所有信号的CMFE之和/所有信号的CMAE之和 (信号次数被约掉)
应当用这种方式，而不是单独计算CMFE/CMAE然后求平均
比如一次是2/1,另一次是1/2，如果单独求比例然后平均，则e_ratio=(2+0.5)/2=1.25
而先求平均再除,则是 (2+1)/(1+2) = 1
显然后者是正常情形
这是一个future函数, 正因为有左移的原因,所以最后covered的数据是失准的,需要处理掉,失灭为准
'''
m_max = rollx(tmax(sclose,covered),-covered) #未来数据左移
m_min = rollx(tmin(sclose,covered),-covered) #未来数据左移
#print m_min,tmin(sclose,covered)
amfe = (m_max - sclose) * BASE / satr #可能出现m_max[i] < sclose[i]的情况，如当日之后的covered内sclose一直下行
amae = (sclose - m_min) * BASE / satr #可能出现m_min[i] > sclose[i]的情况，如当日之后的covered内sclose一直上行
amfe[-covered:] = amae[-covered:] = 0
#print amfe.tolist(),amae.tolist()
return amfe,amae
def fupf(stock):
'''
本次上叉比上次上叉的位置高，同时价格也高
'''
t = stock.transaction
linelog('%s:%s' % (fupf.__name__,stock.code))
pdiff,pdea = cmacd(stock.hour)
upcross2 = gand(cross(pdea,pdiff)>0,strend(pdiff)>0)
dsub = rsub(pdea,upcross2)
#csub = rsub(stock.hour,upcross2)
#ssub = rsub(rollx(strend(pdea)),upcross2) #上叉前一天的strend(pdea)
vz = tmax(np.abs(pdiff),60) / 5 #pdiff不能超过0线太高
hsignal = gand(dsub>0,pdiff<vz)
xatr = stock.atr * BASE / t[CLOSE]
mxatr = ma(xatr,13)
xr = gand(xatr<50,xatr<mxatr)#,strend(xatr-mxatr)<0)
nd = bnot(gand(stock.ma1<stock.ma2,stock.ma2<stock.ma3))
rt = gand(stock.ref.t3)
vma_s = ma(t[VOLUME],13)
vma_l = ma(t[VOLUME],30)
vfilter = vma_s < vma_l * 3/4
gr = gand(stock.g20<3000,stock.g20>stock.g60,stock.g60>stock.g120)
signal = gand(hour2day(hsignal),strend(stock.diff)>0,xr,rt,nd,vfilter,gr)
return signal
def fupf(stock):
'''
本次上叉比上次上叉的位置高，同时价格也高
'''
t = stock.transaction
linelog('%s:%s' % (fupf.__name__, stock.code))
pdiff, pdea = cmacd(stock.hour)
upcross2 = gand(cross(pdea, pdiff) > 0, strend(pdiff) > 0)
dsub = rsub(pdea, upcross2)
#csub = rsub(stock.hour,upcross2)
#ssub = rsub(rollx(strend(pdea)),upcross2) #上叉前一天的strend(pdea)
vz = tmax(np.abs(pdiff), 60) / 5 #pdiff不能超过0线太高
hsignal = gand(dsub > 0, pdiff < vz)
xatr = stock.atr * BASE / t[CLOSE]
mxatr = ma(xatr, 13)
xr = gand(xatr < 50, xatr < mxatr) #,strend(xatr-mxatr)<0)
nd = bnot(gand(stock.ma1 < stock.ma2, stock.ma2 < stock.ma3))
rt = gand(stock.ref.t3)
vma_s = ma(t[VOLUME], 13)
vma_l = ma(t[VOLUME], 30)
vfilter = vma_s < vma_l * 3 / 4
gr = gand(stock.g20 < 3000, stock.g20 > stock.g60, stock.g60 > stock.g120)
signal = gand(hour2day(hsignal),
strend(stock.diff) > 0, xr, rt, nd, vfilter, gr)
return signal
def mm_ratio(sclose, shigh, slow, satr, covered=1):
''' 计算标准化的最大有利变动(MFE)/最大不利变动(MAE)
即以当日为基准，计算covered内AMFE=(最大值-当日值)/atr和(当日值-最小值)/atr
用于优势率e_ratio的计算：
所有信号的CMFE之和/所有信号的CMAE之和 (信号次数被约掉)
应当用这种方式，而不是单独计算CMFE/CMAE然后求平均
比如一次是2/1,另一次是1/2，如果单独求比例然后平均，则e_ratio=(2+0.5)/2=1.25
而先求平均再除,则是 (2+1)/(1+2) = 1
显然后者是正常情形
这是一个future函数, 正因为有左移的原因,所以最后covered的数据是失准的,需要处理掉,失灭为准
'''
m_max = rollx(tmax(sclose, covered), -covered) #未来数据左移
m_min = rollx(tmin(sclose, covered), -covered) #未来数据左移
#print m_min,tmin(sclose,covered)
amfe = (
m_max - sclose
) * BASE / satr #可能出现m_max[i] < sclose[i]的情况，如当日之后的covered内sclose一直下行
amae = (
sclose - m_min
) * BASE / satr #可能出现m_min[i] > sclose[i]的情况，如当日之后的covered内sclose一直上行
amfe[-covered:] = amae[-covered:] = 0
#print amfe.tolist(),amae.tolist()
return amfe, amae
def follow_seller(stock, buy_signal, xstop=25, ret=50, **kwargs):
'''
如果价格小于最近5日高点5%，则卖出
xstop为根据买入价的止损
ret为从高点向下的回退值
'''
t = stock.transaction
#从顶下落处理,前5天的收盘/开盘的高者和今天的开盘的高者 回落ret之后
#hhret = gmax(rollx(tmax(gmax(t[OPEN],t[CLOSE]),5),1),t[OPEN])* (1000-ret)/1000
hhret = gmax(rollx(tmax(t[HIGH], 5), 1), t[OPEN]) * (1000 - ret) / 1000
#hhret = rollx(tmax(t[HIGH],5),1) * (1000-ret)/1000
sdl = t[LOW] < hhret
#止损处理2.5%
stop_price = extend2next(rollx(stock.buyprice, 1) * (1000 - xstop) / 1000)
stopl = t[LOW] < stop_price
cut_price = gmin(gmax(hhret, stop_price),
t[HIGH]) #首先，止损线和退回线高者先被触及，同时，穿越时可能跳低，所以找与t[HIGH]的低点
cut_signal = gor(sdl, stopl)
cut_signal = select([t[VOLUME] > 0],
[cut_signal]) #默认为0，即未交易的日子卖出信号不能发出，否则会合并到下一交易日
bs = gand(buy_signal, cut_signal)
rbs = rollx(bs)
sell_signal = select(
[bs], [0], default=cut_signal) + rbs #如果当日冲销，则后推一日，但如果前一日也是当日，则信号被屏蔽
stock.sellprice = select([cut_signal], [cut_price], default=t[OPEN])
#止损和退回用cut_price, 当日卖出信号平移用开盘价，停牌平移用开盘价
return cut_signal
def up_seller(stock, buy_signal, xstop=25, ret=50, **kwargs):
'''
如果买入日为阴线，则开盘卖出
如果价格小于最近5日高点5%，则卖出
xstop为根据买入价的止损
ret为从高点向下的回退值
'''
t = stock.transaction
#阴线处理
sol = rollx(gand(buy_signal, t[CLOSE] < t[OPEN]), 1)
#从顶下落处理,前5天的收盘/开盘的高者和今天的开盘的高者 回落ret之后
#hhret = gmax(rollx(tmax(gmax(t[OPEN],t[CLOSE]),5),1),t[OPEN])* (1000-ret)/1000
hhret = gmax(rollx(tmax(t[HIGH], 5), 1), t[OPEN]) * (1000 - ret) / 1000
sdl = t[LOW] < hhret
#止损处理2.5%
stop_price = extend2next(rollx(stock.buyprice, 1) * (1000 - xstop) /
1000) #要求buyprice只有在buyer日才有数据,否则extend2next无意义
stopl = t[LOW] < stop_price
cut_price = gmin(gmax(hhret, stop_price),
t[HIGH]) #首先，止损线和退回线高者先被触及，同时，穿越时可能跳低，所以找与t[HIGH]的低点
cut_signal = gor(sdl, stopl)
cut_signal = select([t[VOLUME] > 0],
[cut_signal]) #默认为0，即未交易的日子卖出信号不能发出，否则会合并到下一交易日
ssignal = gor(sol, cut_signal)
stock.sellprice = select([cut_signal], [cut_price], default=t[OPEN])
#止损和退回用cut_price, 阴线出局和停牌平移都用开盘价
return ssignal
def up_seller(stock,buy_signal,xstop=25,ret=50,**kwargs):
'''
如果买入日为阴线，则开盘卖出
如果价格小于最近5日高点5%，则卖出
xstop为根据买入价的止损
ret为从高点向下的回退值
'''
t = stock.transaction
#阴线处理
sol = rollx(gand(buy_signal,t[CLOSE] < t[OPEN]),1)
#从顶下落处理,前5天的收盘/开盘的高者和今天的开盘的高者 回落ret之后
#hhret = gmax(rollx(tmax(gmax(t[OPEN],t[CLOSE]),5),1),t[OPEN])* (1000-ret)/1000
hhret = gmax(rollx(tmax(t[HIGH],5),1),t[OPEN])* (1000-ret)/1000
sdl = t[LOW] < hhret
#止损处理2.5%
stop_price = extend2next(rollx(stock.buyprice,1) * (1000-xstop)/1000) #要求buyprice只有在buyer日才有数据,否则extend2next无意义
stopl = t[LOW] < stop_price
cut_price = gmin(gmax(hhret,stop_price),t[HIGH]) #首先，止损线和退回线高者先被触及，同时，穿越时可能跳低，所以找与t[HIGH]的低点
cut_signal = gor(sdl,stopl)
cut_signal = select([t[VOLUME]>0],[cut_signal]) #默认为0，即未交易的日子卖出信号不能发出，否则会合并到下一交易日
ssignal = gor(sol,cut_signal)
stock.sellprice = select([cut_signal],[cut_price],default=t[OPEN])
#止损和退回用cut_price, 阴线出局和停牌平移都用开盘价
return ssignal
