def attack2c(stock):#
''' 跳空高开并且全日收盘未补缺口，且收盘大于开盘，并收于相对高位
'''
linelog('%s:%s' % (attack2.__name__,stock.code))
t = stock.transaction
last = rollx(t[CLOSE],1) #CLOSE?
tk = gand(t[OPEN] > last*102/100,t[LOW]>last)
down = t[HIGH]-t[CLOSE] < (t[CLOSE]-t[OPEN])*2/3
ol = t[CLOSE] > t[OPEN]
cup = gand(tk,down,ol)
#三线理顺
#tt = rollx(gand(stock.t4,stock.t5),1)
fm = rollx(gand(stock.diff < stock.dea))
g = rollx(gand(stock.g20>stock.g60,stock.g60>stock.g120))
smarket = gand(stock.ref.t2,stock.ref.t1,stock.ref.t0)
signal = gand(cup,t[VOLUME]>0,g)#smarket)#,rama) #,rama #,tt,peak)#,fmacd,xmacd) #rama
dsignal = decover(signal,3)
#stock.buyprice = select([dsignal>0],[t[HIGH]]) #涨停价
#stock.buyprice = select([dsignal>0],[stock.open2]) #第二小时开盘
#print signal
return dsignal
def attack2c(stock): #
''' 跳空高开并且全日收盘未补缺口，且收盘大于开盘，并收于相对高位
'''
linelog('%s:%s' % (attack2.__name__, stock.code))
t = stock.transaction
last = rollx(t[CLOSE], 1) #CLOSE?
tk = gand(t[OPEN] > last * 102 / 100, t[LOW] > last)
down = t[HIGH] - t[CLOSE] < (t[CLOSE] - t[OPEN]) * 2 / 3
ol = t[CLOSE] > t[OPEN]
cup = gand(tk, down, ol)
#三线理顺
#tt = rollx(gand(stock.t4,stock.t5),1)
fm = rollx(gand(stock.diff < stock.dea))
g = rollx(gand(stock.g20 > stock.g60, stock.g60 > stock.g120))
smarket = gand(stock.ref.t2, stock.ref.t1, stock.ref.t0)
signal = gand(cup, t[VOLUME] > 0,
g) #smarket)#,rama) #,rama #,tt,peak)#,fmacd,xmacd) #rama
dsignal = decover(signal, 3)
#stock.buyprice = select([dsignal>0],[t[HIGH]]) #涨停价
#stock.buyprice = select([dsignal>0],[stock.open2]) #第二小时开盘
#print signal
return dsignal
def hmxru(stock):
''' 成交量分配后的macd,采用supdown
vfilter = svma < vma * 2/3
评估:总盈亏值=4813,交易次数=14 期望值=5444
总盈亏率(1/1000)=4813,平均盈亏率(1/1000)=343,盈利交易率(1/1000)=928
平均持仓时间=50,持仓效率(1/1000000)=6860
赢利次数=13,赢利总值=4876
亏损次数=1,亏损总值=63
平盘次数=0
vfilter = gand(svma<vma*2/3,t[VOLUME]<=vma*2/3)
评估:总盈亏值=3810,交易次数=8 期望值=1000
总盈亏率(1/1000)=3810,平均盈亏率(1/1000)=476,盈利交易率(1/1000)=1000
平均持仓时间=65,持仓效率(1/1000000)=7323
赢利次数=8,赢利总值=3810
亏损次数=0,亏损总值=0
平盘次数=0
'''
t = stock.transaction
mxc = stock.xru
vma = ma(t[VOLUME],30)
svma = ma(t[VOLUME],3)
vfilter = gand(svma<vma*2/3,t[VOLUME]<=vma*2/3)
#vfilter = gand(svma<vma*2/3)
xatr = stock.atr * BASE / t[CLOSE]
ma0 = ma(t[CLOSE],3)
ndown = bnot(gand(t[CLOSE]<ma0,ma0<stock.ma1,stock.ma1<stock.ma2))
s = stock
sv = greater(msum(t[VOLUME] > 0,120),100) #确保新股上市前100天无信号
signal = gand(mxc,stock.above,vfilter,strend(stock.ma4)>0,stock.t5,xatr>=60,stock.magic,stock.ma1<stock.ma2,stock.ma1>stock.ma3,ndown)
linelog(stock.code)
return signal
def fup60b(stock):
'''
60分钟从负数上来的有失败上叉先导的第一次成功上叉
'''
t = stock.transaction
linelog('%s:%s' % (fup60.__name__,stock.code))
hzero = cached_zeros(len(stock.hour))
pdiff,pdea = cmacd(stock.hour)
cross0 = cross(hzero,pdiff)
udcross = cross(pdea,pdiff)
#失败上叉：最近5个周期内被下叉信号抵消，或者最近5个周期内出现第二个上叉信号(导致msum仍然>0)
fcross = gand(udcross>0,gor(rollx(msum(udcross,5),-5)==0,rollx(msum(udcross>0,5),-5)>1))
ucross = gand(udcross>0,pdiff>0,bnot(fcross))
xsum1 = rsum(ucross,cross0) #此时，第一个cross>0和第二个之间的位置被填满1
xsum = rsum(xsum1,cross0) #此时，只有第一个发生位为1
signal = gand(equals(xsum,1),pdiff>0)
return hour2day(signal)
def hmacd2(stock):
''' 无大用
'''
t = stock.transaction
linelog(stock.code)
vma = ma(t[VOLUME],30)
svma = ma(t[VOLUME],3)
vfilter = gand(svma<vma*2/3)
#vfilter = gand(svma<vma*3/4,t[VOLUME]<vma)
#vfilter = gand(svma<vma*3/5,t[VOLUME]>0,t[VOLUME]>vma*1/2)#,t[VOLUME]<vma*3/2) #2/3
xatr = stock.atr * BASE / t[CLOSE]
cf = (t[OPEN]-t[LOW] + t[HIGH]-t[CLOSE])*1000 / (t[HIGH]-t[LOW]) #向下的动力
mcf = ma(cf,7)
#ma3 = ma(t[CLOSE],3)
#ma7 = ma(t[CLOSE],7)
#c37 = gand(cross(ma7,ma3)>0,strend(ma3)>0)
#sc = sfollow(stock.hdev,c37,3)
ss = gand(msum(stock.hup,5)>1,stock.hup) #5日内的第二次上叉
s=stock
#signal = gand(stock.hdev,stock.t5,vfilter,mcf>1000,stock.g5<stock.g60,s.g20 >= s.g60,s.g60 >= s.g120,s.g120 >= s.g250,s.g20<=8000)
#magic = gand(s.g20 >= s.g60,s.g60 <= s.g120,s.g120 <= s.g250)#,s.g20<=8000)
magic = gand(s.g5>s.g60,s.g20 >= s.g60,s.g60 <= s.g120,s.g20<=8000)
signal = gand(ss,stock.t5,stock.t4,vfilter,mcf<900,xatr>60,magic)
return signal
def hdev(stock):
'''
2005-2009无法找到好的策略
'''
t = stock.transaction
linelog(stock.code)
vma = ma(t[VOLUME],30)
svma = ma(t[VOLUME],3)
vfilter = gand(svma<vma*3/5)
#vfilter = gand(svma<vma*3/5,t[VOLUME]>0,t[VOLUME]>vma*1/2)#,t[VOLUME]<vma*3/2) #2/3
xatr = stock.atr * BASE / t[CLOSE]
cf = (t[OPEN]-t[LOW] + t[HIGH]-t[CLOSE])*1000 / (t[HIGH]-t[LOW]) #向下的动力
mcf = ma(cf,7)
ma3 = ma(t[CLOSE],3)
ma7 = ma(t[CLOSE],7)
c37 = gand(cross(ma7,ma3)>0,strend(ma3)>0)
sc = sfollow(stock.hdev,c37,3)
s=stock
#signal = gand(stock.hdev,stock.t5,vfilter,mcf>1000,stock.g5<stock.g60,s.g20 >= s.g60,s.g60 >= s.g120,s.g120 >= s.g250,s.g20<=8000)
magic = gand(stock.g5<stock.g20,s.g20 >= s.g60,s.g60 >= s.g120,s.g120 >= s.g250,s.g20<=8000,s.g20>=3000)
signal = gand(sc,stock.t5,strend(stock.ma4)>0,vfilter,mcf<900)
return signal
def mxru3(stock):
''' 成交量分配后的macd,采用supdown3
sfollow = 15
评估:总盈亏值=5596,交易次数=21 期望值=5782
总盈亏率(1/1000)=5596,平均盈亏率(1/1000)=266,盈利交易率(1/1000)=904
平均持仓时间=46,持仓效率(1/1000000)=5782
赢利次数=19,赢利总值=5689
亏损次数=2,亏损总值=93
平盘次数=0
sfollow = 30
评估:总盈亏值=7176,交易次数=27 期望值=6973
总盈亏率(1/1000)=7176,平均盈亏率(1/1000)=265,盈利交易率(1/1000)=888
平均持仓时间=46,持仓效率(1/1000000)=5760
赢利次数=24,赢利总值=7292
亏损次数=3,亏损总值=116
平盘次数=0
'''
t = stock.transaction
mdiff,mdea = macd_ruv3(t[OPEN],t[CLOSE],t[HIGH],t[LOW],t[VOLUME])
mxc = cross(mdea,mdiff) > 0
vma = ma(t[VOLUME],30)
svma = ma(t[VOLUME],3)
#vfilter = gand(svma<vma*7/8,svma>vma/2,t[VOLUME]<=vma,t[CLOSE]>stock.ma1,cf)
vfilter = gand(svma<vma*2/3,t[VOLUME]<=vma*4/3)
xatr = stock.atr * BASE / t[CLOSE]
signal = gand(mxc)
linelog(stock.code)
signal = sfollow(signal,stock.hup,30)
return gand(signal,vfilter,stock.magic,strend(stock.ma4)>0,stock.t5,xatr>=50,t[CLOSE]>stock.ma3)
def up_in_day(stock, xup=200): #xup为涨停次日的开盘涨幅，万分位表示
''' 次日开盘小于x%则不追，追进次日开盘小于2%则卖出,收盘未涨停也卖出
需要屏蔽一字涨停的情况
my_pricer = (lambda s : s.buyprice,lambda s : s.sellprice)
myMediator=nmediator_factory(trade_strategy=B0S0_N,pricer = my_pricer)
200/-25,-50
评估:总盈亏值=-10690,交易次数=1194 期望值=-237
总盈亏率(1/1000)=-10690,平均盈亏率(1/1000)=-9,盈利交易率(1/1000)=268
平均持仓时间=1,持仓效率(1/1000000)=-9000
赢利次数=321,赢利总值=22580
亏损次数=862,亏损总值=33270
平盘次数=11
最后发现，第一小时涨停的，第二天追击的风险最大，第二小时涨停的最好,但也都是负的
'''
linelog('%s:%s' % (up_in_day.__name__, stock.code))
t = stock.transaction
climit = xfollow(limitup1(t[CLOSE]), t[VOLUME])
#yup = rollx(gand(stock.slup1,climit),1) #昨日开盘前两小时涨停并且收盘封住
yup = rollx(climit, 1)
pre = rollx(t[CLOSE], 1)
tup = np.sign(t[OPEN] * 10000 / pre >= xup + 10000) #今日开盘大于xup
tx = np.sign(t[LOW] * 10000 / pre <= 10990) #非一字涨停，追
#tv = xfollow(t[VOLUME].copy(),t[VOLUME]) #不能更改t[VOLUME]本身
#xmacd = rollx((stock.diff-stock.dea) * 1000 / stock.ma3 > 10,1)
#fmacd = rollx(stock.diff > stock.dea,1)
#tdea = strend(stock.dea) < 30
#u30 = rollx(t[CLOSE]>stock.ma3,1)
#fma = rollx(gand(stock.ma1 > stock.ma2),1)#,stock.ma2>stock.ma4,stock.ma3>stock.ma4),1)
#lol = rollx( t[OPEN] * 97 < t[LOW]*100,1) #昨日涨停，但反向震荡不超过3%
#tlimit = tv / 6 < rollx(tv,1) #量不能超过前日6倍，越等于开盘量小于前日1/3?
#tt = rollx(gand(stock.t5,stock.t4,stock.t3,strend(ma(t[CLOSE],250))>0),1) #以昨日趋势为准
tt = gand(stock.t5, stock.t4,
strend(ma(t[CLOSE], 250)) > 0) #不采用跳点法，可能这是一个敏感位置
#mg5 = ma(stock.g5,5)
#xcross = gand(cross(mg5,stock.g5)>0,strend(stock.g5)>0)
#g = rollx(gand(stock.g60>9000,stock.g20>9000,xcross),1)
#涨停需要领袖群雄10天
#hh10 = tmax(t[HIGH],10)
#peak = pre > rollx(hh10,2)
ama = fama(t[CLOSE])
rama = rollx(ama * 1000 / rollx(ama) > 995) #-284, p=342
signal = gand(yup, tup, tx, t[VOLUME] > 0,
tt) #,rama) #,tt,peak)#,fmacd,xmacd) #rama
dsignal = decover(signal, 3)
stock.buyprice = select([dsignal > 0], [t[OPEN]])
#print signal
return dsignal
def fup60b(stock):
'''
60分钟从负数上来的有失败上叉先导的第一次成功上叉
'''
t = stock.transaction
linelog('%s:%s' % (fup60.__name__, stock.code))
hzero = cached_zeros(len(stock.hour))
pdiff, pdea = cmacd(stock.hour)
cross0 = cross(hzero, pdiff)
udcross = cross(pdea, pdiff)
#失败上叉：最近5个周期内被下叉信号抵消，或者最近5个周期内出现第二个上叉信号(导致msum仍然>0)
fcross = gand(
udcross > 0,
gor(
rollx(msum(udcross, 5), -5) == 0,
rollx(msum(udcross > 0, 5), -5) > 1))
ucross = gand(udcross > 0, pdiff > 0, bnot(fcross))
xsum1 = rsum(ucross, cross0) #此时，第一个cross>0和第二个之间的位置被填满1
xsum = rsum(xsum1, cross0) #此时，只有第一个发生位为1
signal = gand(equals(xsum, 1), pdiff > 0)
return hour2day(signal)
def tsvama2sbv(stock,fast,slow,follow=7):
''' svama慢线下叉快线，follow日后再上叉回来
添加vfilter
'''
t = stock.transaction
svap,v2i = stock.svap_ma_67_2
ma_svapfast = ma(svap,fast)
ma_svapslow = ma(svap,slow)
trend_ma_svapfast = strend(ma_svapfast)
trend_ma_svapslow = strend(ma_svapslow)
cross_down = band(cross(ma_svapslow,ma_svapfast)<0,trend_ma_svapfast<0)
cross_up = band(cross(ma_svapslow,ma_svapfast)>0,trend_ma_svapfast>0)
sdown = transform(cross_down,v2i,len(t[VOLUME]))
sup = transform(cross_up,v2i,len(t[VOLUME]))
sync_down_up = sfollow(sdown,sup,follow)
linelog('%s:%s' % (tsvama2sbv.__name__,stock.code))
vma_s = ma(t[VOLUME],13)
vma_l = ma(t[VOLUME],30)
vfilter = vma_s < vma_l
ss = gand(bnot(sfollow(sync_down_up,stock.hup,10)),sfollow(sync_down_up,stock.hup,20))
return gand(ss,stock.above,stock.t5,stock.magic,vfilter)
def _calc(self, tmaker, sdata, dates, begin=0, **kwargs):
trades = []
ibegin = dates.searchsorted(begin)
for s in sdata.values():
try: #捕捉某些异常，如未划入任何板块的股票在计算板块相关信号时会出错
self.prepare(s, **kwargs)
sbuy = self.buy_signal_maker(s)
sbuy[:
ibegin] = 0 #去掉之前的信号，便于mm的对tbegin的一致性，而trade因为已经自身处理了时段，无此处也无影响
ssell = self.sell_signal_maker(
s, self.trade_strategy.bshift(sbuy))
#logger.debug('sbuy:%s',sbuy.tolist())
#sbuy,ssell = smooth2(s.transaction[VOLUME],sbuy,ssell) #这个处理被划入limit_adjust
trades.extend(
self.trade_maker(tmaker,
dates,
s,
sbuy,
ssell,
begin=begin))
self.finishing(s, sbuy, ssell)
except Exception, inst:
#print u'mediator _calc %s except : %s' % (s.code,inst)
linelog(u'mediator _calc %s except : %s' % (s.code, inst))
logger.exception(u'%s calc error : %s', s.code, inst)
def up_in_day(stock,xup=200):#xup为涨停次日的开盘涨幅，万分位表示
''' 次日开盘小于x%则不追，追进次日开盘小于2%则卖出,收盘未涨停也卖出
需要屏蔽一字涨停的情况
my_pricer = (lambda s : s.buyprice,lambda s : s.sellprice)
myMediator=nmediator_factory(trade_strategy=B0S0_N,pricer = my_pricer)
200/-25,-50
评估:总盈亏值=-10690,交易次数=1194 期望值=-237
总盈亏率(1/1000)=-10690,平均盈亏率(1/1000)=-9,盈利交易率(1/1000)=268
平均持仓时间=1,持仓效率(1/1000000)=-9000
赢利次数=321,赢利总值=22580
亏损次数=862,亏损总值=33270
平盘次数=11
最后发现，第一小时涨停的，第二天追击的风险最大，第二小时涨停的最好,但也都是负的
'''
linelog('%s:%s' % (up_in_day.__name__,stock.code))
t = stock.transaction
climit = xfollow(limitup1(t[CLOSE]),t[VOLUME])
#yup = rollx(gand(stock.slup1,climit),1) #昨日开盘前两小时涨停并且收盘封住
yup = rollx(climit,1)
pre = rollx(t[CLOSE],1)
tup = np.sign(t[OPEN] * 10000 / pre >= xup + 10000) #今日开盘大于xup
tx = np.sign(t[LOW] * 10000 / pre <= 10990) #非一字涨停，追
#tv = xfollow(t[VOLUME].copy(),t[VOLUME]) #不能更改t[VOLUME]本身
#xmacd = rollx((stock.diff-stock.dea) * 1000 / stock.ma3 > 10,1)
#fmacd = rollx(stock.diff > stock.dea,1)
#tdea = strend(stock.dea) < 30
#u30 = rollx(t[CLOSE]>stock.ma3,1)
#fma = rollx(gand(stock.ma1 > stock.ma2),1)#,stock.ma2>stock.ma4,stock.ma3>stock.ma4),1)
#lol = rollx( t[OPEN] * 97 < t[LOW]*100,1) #昨日涨停，但反向震荡不超过3%
#tlimit = tv / 6 < rollx(tv,1) #量不能超过前日6倍，越等于开盘量小于前日1/3?
#tt = rollx(gand(stock.t5,stock.t4,stock.t3,strend(ma(t[CLOSE],250))>0),1) #以昨日趋势为准
tt = gand(stock.t5,stock.t4,strend(ma(t[CLOSE],250))>0) #不采用跳点法，可能这是一个敏感位置
#mg5 = ma(stock.g5,5)
#xcross = gand(cross(mg5,stock.g5)>0,strend(stock.g5)>0)
#g = rollx(gand(stock.g60>9000,stock.g20>9000,xcross),1)
#涨停需要领袖群雄10天
#hh10 = tmax(t[HIGH],10)
#peak = pre > rollx(hh10,2)
ama = fama(t[CLOSE])
rama = rollx(ama*1000/rollx(ama)>995) #-284, p=342
signal = gand(yup,tup,tx,t[VOLUME]>0,tt)#,rama) #,tt,peak)#,fmacd,xmacd) #rama
dsignal = decover(signal,3)
stock.buyprice = select([dsignal>0],[t[OPEN]])
#print signal
return dsignal
def prepare_up1(stock):
linelog('prepare hour:%s' % stock.code)
#up = stock.hour * 10000 / rollx(stock.hour,1) >= 10200
down =stock.hour_high - stock.hour < (stock.hour-stock.hour_open)*2/3
ol = stock.hour > stock.hour_open
tk = stock.hour_low > rollx(stock.hour_high)
up = stock.hour * 10000 / gmin(rollx(stock.hour,1),stock.hour_open) > 10200
stock.up1 = xfollow(hour2day1(gand(up,down,ol,tk)),stock.transaction[VOLUME])
stock.open2 = hour2day2(stock.hour_open)
def hmacd_b(stock):
linelog(stock.code)
t = stock.transaction
asignal = stock.hmacda
signal = gand(asignal)
return signal
def attack2(stock, xup=200): #
''' 盘中追第二个涨停
'''
linelog('%s:%s' % (attack2.__name__, stock.code))
t = stock.transaction
ama = fama(t[CLOSE])
rama = rollx(t[CLOSE] * 1000 / rollx(ama) >= 1030) #-284, p=342
lup1 = gand((limitup1(t[CLOSE])), t[OPEN] * 10000 / t[LOW] < 10050)
climit = xfollow(lup1, t[VOLUME])
#climit = xfollow(limitup2(t[HIGH],t[LOW]),t[VOLUME]) #一字板
#yup = rollx(gand(stock.slup2,climit,bnot(stock.slup1)),1) #昨日第二小时涨停并且收盘封住
yup = rollx(gand(stock.slup2, stock.stoped3, climit, bnot(stock.slup1)),
1) #昨日第二小时涨停并且至收盘都没打开过，含第一小时
#大盘因素
#smarket = rollx(gand(stock.ref.t2,stock.ref.t1,stock.ref.t0),1)
smarket = gand(stock.ref.t2, stock.ref.t1, stock.ref.t0)
#smarket = gand(strend(stock.ref.diff)>0,strend(stock.ref.diff-stock.ref.dea)>0)
#yup = gand(stock.slup3,bnot(stock.stoped4)) #前3小时涨停,并且在第四小时打开过
#yup2 = gand(stock.slup2,bnot(gand(stock.stoped3,stock.stoped4)),bnot(stock.slup1)) #第2小时开始涨停,并且在第3-4小时打开过，否则买不到
#yup3 = gand(stock.slup3,bnot(stock.stoped4),bnot(gand(stock.slup1,stock.slup2)))
#yup2 = gand(stock.touch2,bnot(stock.slup1)) #第2小时开始触及涨停
#yup3 = gand(stock.touch3,bnot(gand(stock.slup1,stock.slup2)))
#yup=gor(yup2,yup3)
cup = gand(stock.up1, yup,
bnot(gand(stock.stoped3, stock.stoped4, stock.stoped2)))
#因为此时追击点在下午开盘，所以可以观察大盘
#yup = gand(stock.slup1,bnot(gand(stock.stoped2,stock.stoped3,stock.stoped4))) #前1小时涨停,并且在第四小时打开过
#无法判断第四小时涨停的个股涨停后是否打开过
#必须是跳空且缺口不补
pre = rollx(t[CLOSE], 1)
tup = np.sign(t[OPEN] * 10000 / pre <= xup + 10000) #今日开盘大于xup,这个条件是反作用
#c_ex = lambda c,s:gand(c.g60>3000,s>3000)
#cs = catalog_signal_cs(stock.c60,c_ex)
signal = gand(cup, t[VOLUME] > 0, stock.ref.up1
) #smarket)#,rama) #,rama #,tt,peak)#,fmacd,xmacd) #rama
#signal = gand(cup,t[VOLUME]>0,rama,r1,smarket,tup)#,rama) #,tt,peak)#,fmacd,xmacd) #rama
dsignal = decover(signal, 3)
#stock.buyprice = select([dsignal>0],[t[HIGH]]) #涨停价
stock.buyprice = select([dsignal > 0], [stock.open2]) #第二小时开盘
#print signal
return dsignal
def tsvama2_old(stock,fast,slow):
t = stock.transaction
svap,v2i = stock.svap_ma_67
ma_svapfast = ma(svap,fast)
ma_svapslow = ma(svap,slow)
trend_ma_svapfast = strend(ma_svapfast) > 0
trend_ma_svapslow = strend(ma_svapslow) > 0
cross_fast_slow = gand(cross(ma_svapslow,ma_svapfast)>0,trend_ma_svapfast,trend_ma_svapslow)
msvap = transform(cross_fast_slow,v2i,len(t[VOLUME]))
linelog('%s:%s' % (tsvama2.__name__,stock.code))
return gand(stock.golden,msvap,stock.above)
def prepare_up1(stock):
linelog('prepare hour:%s' % stock.code)
#up = stock.hour * 10000 / rollx(stock.hour,1) >= 10200
down = stock.hour_high - stock.hour < (stock.hour -
stock.hour_open) * 2 / 3
ol = stock.hour > stock.hour_open
tk = stock.hour_low > rollx(stock.hour_high)
up = stock.hour * 10000 / gmin(rollx(stock.hour, 1),
stock.hour_open) > 10200
stock.up1 = xfollow(hour2day1(gand(up, down, ol, tk)),
stock.transaction[VOLUME])
stock.open2 = hour2day2(stock.hour_open)
def prepare_index(stock,begin,end):
linelog('prepare hour:%s' % stock.code)
t = get_hour(stock.code,begin,end)
stock.hour = t[CLOSE].copy()
stock.hour_open = t[OPEN].copy()
stock.hour_low = t[LOW].copy()
stock.hour_high = t[HIGH].copy()
stock.hour_v = t[VOLUME].copy()
stock.hour[range4(len(stock.hour))] = np.cast['int32'](stock.transaction[CLOSE]) #消除第4小时数据收盘与当日收盘价的差异，日收盘价为最后均价
down =stock.hour_high - stock.hour < (stock.hour-stock.hour_open)*2/3
ol = stock.hour > stock.hour_open
stock.up1 = xfollow(hour2day1(gand(down,ol)),stock.transaction[VOLUME])
stock.open2 = hour2day2(stock.hour_open)
def attack2(stock,xup=200):#
''' 盘中追第二个涨停
'''
linelog('%s:%s' % (attack2.__name__,stock.code))
t = stock.transaction
ama = fama(t[CLOSE])
rama = rollx(t[CLOSE]*1000/rollx(ama)>=1030) #-284, p=342
lup1 = gand((limitup1(t[CLOSE])),t[OPEN]*10000/t[LOW]<10050)
climit = xfollow(lup1,t[VOLUME])
#climit = xfollow(limitup2(t[HIGH],t[LOW]),t[VOLUME]) #一字板
#yup = rollx(gand(stock.slup2,climit,bnot(stock.slup1)),1) #昨日第二小时涨停并且收盘封住
yup = rollx(gand(stock.slup2,stock.stoped3,climit,bnot(stock.slup1)),1) #昨日第二小时涨停并且至收盘都没打开过，含第一小时
#大盘因素
#smarket = rollx(gand(stock.ref.t2,stock.ref.t1,stock.ref.t0),1)
smarket = gand(stock.ref.t2,stock.ref.t1,stock.ref.t0)
#smarket = gand(strend(stock.ref.diff)>0,strend(stock.ref.diff-stock.ref.dea)>0)
#yup = gand(stock.slup3,bnot(stock.stoped4)) #前3小时涨停,并且在第四小时打开过
#yup2 = gand(stock.slup2,bnot(gand(stock.stoped3,stock.stoped4)),bnot(stock.slup1)) #第2小时开始涨停,并且在第3-4小时打开过，否则买不到
#yup3 = gand(stock.slup3,bnot(stock.stoped4),bnot(gand(stock.slup1,stock.slup2)))
#yup2 = gand(stock.touch2,bnot(stock.slup1)) #第2小时开始触及涨停
#yup3 = gand(stock.touch3,bnot(gand(stock.slup1,stock.slup2)))
#yup=gor(yup2,yup3)
cup = gand(stock.up1,yup,bnot(gand(stock.stoped3,stock.stoped4,stock.stoped2)))
#因为此时追击点在下午开盘，所以可以观察大盘
#yup = gand(stock.slup1,bnot(gand(stock.stoped2,stock.stoped3,stock.stoped4))) #前1小时涨停,并且在第四小时打开过
#无法判断第四小时涨停的个股涨停后是否打开过
#必须是跳空且缺口不补
pre=rollx(t[CLOSE],1)
tup = np.sign(t[OPEN] * 10000 / pre <= xup + 10000) #今日开盘大于xup,这个条件是反作用
#c_ex = lambda c,s:gand(c.g60>3000,s>3000)
#cs = catalog_signal_cs(stock.c60,c_ex)
signal = gand(cup,t[VOLUME]>0,stock.ref.up1)#smarket)#,rama) #,rama #,tt,peak)#,fmacd,xmacd) #rama
#signal = gand(cup,t[VOLUME]>0,rama,r1,smarket,tup)#,rama) #,tt,peak)#,fmacd,xmacd) #rama
dsignal = decover(signal,3)
#stock.buyprice = select([dsignal>0],[t[HIGH]]) #涨停价
stock.buyprice = select([dsignal>0],[stock.open2]) #第二小时开盘
#print signal
return dsignal
def hmacd(stock):
t = stock.transaction
linelog(stock.code)
vma = ma(t[VOLUME],30)
svma = ma(t[VOLUME],3)
vfilter = gand(svma<vma*3/2,svma>vma*2/3)
s=stock
magic = gand(s.g20 >= s.g120,s.g60 >= s.g120,s.g120 >= s.g250,s.g5<s.g20,s.g20<=8000,s.g20>=3000)
xatr = stock.atr * BASE / t[CLOSE]
cf = (t[OPEN]-t[LOW] + t[HIGH]-t[CLOSE])*1000 / (t[HIGH]-t[LOW]) #向下的动力
mcf = ma(cf,7)
signal = gand(stock.above,stock.t5,stock.hup,vfilter,magic,xatr>45,xatr<60,mcf<900,stock.ma4_up)
return signal
def heff(stock):
''' 效果不平衡
0501-0909
评估:总盈亏值=35014,交易次数=178 期望值=2684
总盈亏率(1/1000)=35014,平均盈亏率(1/1000)=196,盈利交易率(1/1000)=612
平均持仓时间=32,持仓效率(1/1000000)=6125
赢利次数=109,赢利总值=40100
亏损次数=69,亏损总值=5086
平盘次数=0
0711-0909
评估:总盈亏值=17918,交易次数=63 期望值=4437
总盈亏率(1/1000)=17918,平均盈亏率(1/1000)=284,盈利交易率(1/1000)=809
平均持仓时间=43,持仓效率(1/1000000)=6604
赢利次数=51,赢利总值=18686
亏损次数=12,亏损总值=768
平盘次数=0
'''
linelog(stock.code)
t = stock.transaction
ef = efficient_rate(stock.hour)
zx = cached_zeros(len(stock.hour))
efz = hour2day(gand(cross(zx, ef) > 0, strend(ef) > 0))
vma = ma(t[VOLUME], 30)
svma = ma(t[VOLUME], 3)
vfilter = gand(svma < vma * 3 / 4, t[VOLUME] < vma)
cf = (t[OPEN] - t[LOW] + t[HIGH] - t[CLOSE]) * 1000 / (t[HIGH] - t[LOW]
) #向下的动力
mcf = ma(cf, 7)
refn = gand(stock.ref.ma0 < stock.ref.ma1, stock.ref.ma1 < stock.ref.ma2,
bnot(stock.ref.t0), bnot(stock.ref.t1), bnot(stock.ref.t2))
sup = gand(stock.ma0 > stock.ma1, stock.ma1 > stock.ma2, stock.t1,
stock.t2)
s1 = gand(efz, bor(bnot(refn), sup))
s2 = sfollow(efz, bnot(refn), 10)
ss = bor(s1, s2)
s = stock
magic = gand(s.g20 >= s.g60, s.g60 >= s.g120, s.g120 >= s.g250,
s.g5 > s.g20, s.g20 <= 8000)
xatr = stock.atr * BASE / t[CLOSE]
#signal = gand(ss,stock.above,stock.t5,stock.t4,magic,vfilter,mcf<1000)
signal = gand(ss, stock.above, stock.t5, stock.t4, magic, vfilter,
mcf < 1000, xatr > 40, stock.ma1 > stock.ma3,
stock.diff < stock.dea)
return signal
def _calc(self,tmaker,sdata,dates,begin=0,**kwargs):
trades = []
ibegin = dates.searchsorted(begin)
for s in sdata.values():
try: #捕捉某些异常，如未划入任何板块的股票在计算板块相关信号时会出错
self.prepare(s,**kwargs)
sbuy = self.buy_signal_maker(s)
sbuy[:ibegin] = 0 #去掉之前的信号，便于mm的对tbegin的一致性，而trade因为已经自身处理了时段，无此处也无影响
ssell = self.sell_signal_maker(s,self.trade_strategy.bshift(sbuy))
#logger.debug('sbuy:%s',sbuy.tolist())
#sbuy,ssell = smooth2(s.transaction[VOLUME],sbuy,ssell) #这个处理被划入limit_adjust
trades.extend(self.trade_maker(tmaker,dates,s,sbuy,ssell,begin=begin))
self.finishing(s,sbuy,ssell)
except Exception,inst:
#print u'mediator _calc %s except : %s' % (s.code,inst)
linelog(u'mediator _calc %s except : %s' % (s.code,inst))
logger.exception(u'%s calc error : %s',s.code,inst)
def up_in_hour1(stock,xup=200):#xup为涨停次日的开盘涨幅，万分位表示
'''第1小时涨停'''
linelog('%s:%s' % (up_in_hour1.__name__,stock.code))
t = stock.transaction
climit = xfollow(limitup1(t[CLOSE]),t[VOLUME])
yup = rollx(gand(stock.slup1,climit),1) #昨日开盘第一小时涨停并且收盘封住
pre = rollx(t[CLOSE],1)
tup = np.sign(t[OPEN] * 10000 / pre >= xup + 10000) #今日开盘大于xup
tx = np.sign(t[LOW] * 10000 / pre <= 10990) #非一字涨停，追
tt = gand(stock.t5,stock.t4,strend(ma(t[CLOSE],250))>0) #不采用跳点法，可能这是一个敏感位置
signal = gand(yup,tup,tx,t[VOLUME]>0,tt)#,rama) #,tt,peak)#,fmacd,xmacd) #rama
dsignal = decover(signal,3)
stock.buyprice = select([dsignal>0],[t[OPEN]])
#print signal
return dsignal
def gmacd5(stock,ldown=30,astart=60): #
t = stock.transaction
mdiff,mdea = cmacd(stock.g5)
xcross = gand(cross(mdea,mdiff) > 0)
linelog(stock.code)
#ss = sfollow(xcross,stock.mup,3)
ss = band(xcross,stock.mup)
#gf1 = gand(stock.g20>5000,stock.g20<9500)
xatr = stock.atr * BASE / t[CLOSE]
signal = gand(ss,stock.above,stock.t5,strend(stock.ma4)>0,t[VOLUME]>0,mdiff>=mdea,strend(stock.ref.ma4)>0,xatr>=astart)
return signal
def run(self):
'''
调度过程
'''
while(self.get_itime()<2359):
self.prepare_data()
#print u'读取数据成功,最新时间:%s' % self.dyn_datas[self.names[0]].transaction[ITIME][-1]
today = dt.date.today()
tt = today.year*10000 + today.month*100 + today.day
ct = self.dyn_datas[self.names.keys()[0]].transaction
if len(ct[IDATE])==0 or ct[IDATE][-1] < tt:
win32api.MessageBox(0,u'请检查时间是否正确......',u'提示',0x00001000L)
if len(ct[IDATE])>0:
linelog(u'读取数据成功,%s-%s:%s-%s,%s-%s' % (ct[IDATE][-1],ct[ITIME][-1],ct[IOPEN][-1],ct[ICLOSE][-1],ct[IHIGH][-1],ct[ILOW][-1]))
#print u'读取数据成功,%s-%s:%s-%s,%s-%s' % (ct[IDATE][-1],ct[ITIME][-1],ct[IOPEN][-1],ct[ICLOSE][-1],ct[IHIGH][-1],ct[ILOW][-1])
self.check_signal()
else:
linelog(u'无当日动态数据')
time.sleep(9) #计算需要10秒，因此总延迟19秒
def gup(stock,percent=8500):
linelog('%s:%s' % (gup.__name__,stock.code))
t = stock.transaction
sp = cached_ints(len(t[CLOSE]),percent)
xcross = gand(cross(sp,stock.g60)>0,strend(stock.g60)>0,t[VOLUME]>0)
gs = gand(xcross,stock.g20<stock.g60,strend(stock.g20)>0)
vma_s = ma(t[VOLUME],13)
vma_l = ma(t[VOLUME],60)
vfilter = rollx(vma_s < vma_l * 4/5,1)
xatr = stock.atr * BASE / t[CLOSE]
xref = stock.ref.transaction[CLOSE] >= stock.ref.ma0
signal = gand(gs,xatr<50,stock.t4,stock.t5,vfilter,stock.ma4>stock.ma5,strend(stock.diff)>0,stock.xup,xref)
return signal
def hxud(stock):
'''
vfilter = gand(svma<vma*3/5,t[VOLUME]>0,t[VOLUME]>vma*1/2)#,t[VOLUME]<vma*3/2) #2/3
评估:总盈亏值=9798,交易次数=18 期望值=9714
总盈亏率(1/1000)=9798,平均盈亏率(1/1000)=544,盈利交易率(1/1000)=777
平均持仓时间=50,持仓效率(1/1000000)=10880
赢利次数=14,赢利总值=10024
亏损次数=4,亏损总值=226
平盘次数=0
vfilter = gand(svma<vma*2/3,t[VOLUME]>0,t[VOLUME]>vma*1/2)#,t[VOLUME]<vma*3/2) #无意义
评估:总盈亏值=10410,交易次数=25 期望值=6500
总盈亏率(1/1000)=10410,平均盈亏率(1/1000)=416,盈利交易率(1/1000)=760
平均持仓时间=43,持仓效率(1/1000000)=9674
赢利次数=19,赢利总值=10799
亏损次数=6,亏损总值=389
平盘次数=0
vfilter = gand(svma<vma*1/2,t[VOLUME]>0,t[VOLUME]>vma*1/2)#,t[VOLUME]<vma*3/2) #说明svma越小越好,最近越缩量越好
评估:总盈亏值=2785,交易次数=5 期望值=1000
总盈亏率(1/1000)=2785,平均盈亏率(1/1000)=557,盈利交易率(1/1000)=1000
平均持仓时间=57,持仓效率(1/1000000)=9771
赢利次数=5,赢利总值=2785
亏损次数=0,亏损总值=0
平盘次数=0
'''
t = stock.transaction
linelog(stock.code)
xatr = stock.atr * BASE / t[CLOSE]
ss = syntony(stock.hup,stock.hmxc,3)
#ss = sfollow(stock.hup,stock.hmxc,3)
vma = ma(t[VOLUME],30)
svma = ma(t[VOLUME],3)
vfilter = gand(svma<vma*3/5,t[VOLUME]>0,t[VOLUME]>vma*1/2)#,t[VOLUME]<vma*3/2) #2/3
cf = (t[OPEN]-t[LOW] + t[HIGH]-t[CLOSE])*1000 / (t[HIGH]-t[LOW]) #向下的动力
mcf = ma(cf,7)
s=stock
signal = gand(ss,vfilter,mcf>1000,mcf<1050,stock.t5,stock.above,strend(stock.ma4)>0,strend(stock.ma3)>0,xatr>45,xatr<60,stock.ma1<stock.ma2,stock.ma1>stock.ma3,s.g20 >= s.g60,s.g60 >= s.g120,s.g120 >= s.g250,s.g20<=8000,s.g5<s.g20,s.g20>=3000)
return signal
def heff(stock):
''' 效果不平衡
0501-0909
评估:总盈亏值=35014,交易次数=178 期望值=2684
总盈亏率(1/1000)=35014,平均盈亏率(1/1000)=196,盈利交易率(1/1000)=612
平均持仓时间=32,持仓效率(1/1000000)=6125
赢利次数=109,赢利总值=40100
亏损次数=69,亏损总值=5086
平盘次数=0
0711-0909
评估:总盈亏值=17918,交易次数=63 期望值=4437
总盈亏率(1/1000)=17918,平均盈亏率(1/1000)=284,盈利交易率(1/1000)=809
平均持仓时间=43,持仓效率(1/1000000)=6604
赢利次数=51,赢利总值=18686
亏损次数=12,亏损总值=768
平盘次数=0
'''
linelog(stock.code)
t = stock.transaction
ef = efficient_rate(stock.hour)
zx = cached_zeros(len(stock.hour))
efz = hour2day(gand(cross(zx,ef)>0,strend(ef)>0))
vma = ma(t[VOLUME],30)
svma = ma(t[VOLUME],3)
vfilter = gand(svma<vma*3/4,t[VOLUME]<vma)
cf = (t[OPEN]-t[LOW] + t[HIGH]-t[CLOSE])*1000 / (t[HIGH]-t[LOW]) #向下的动力
mcf = ma(cf,7)
refn = gand(stock.ref.ma0<stock.ref.ma1,stock.ref.ma1<stock.ref.ma2,bnot(stock.ref.t0),bnot(stock.ref.t1),bnot(stock.ref.t2))
sup = gand(stock.ma0>stock.ma1,stock.ma1>stock.ma2,stock.t1,stock.t2)
s1 = gand(efz,bor(bnot(refn),sup))
s2 = sfollow(efz,bnot(refn),10)
ss = bor(s1,s2)
s = stock
magic = gand(s.g20 >= s.g60,s.g60 >= s.g120,s.g120 >= s.g250,s.g5>s.g20,s.g20<=8000)
xatr = stock.atr * BASE / t[CLOSE]
#signal = gand(ss,stock.above,stock.t5,stock.t4,magic,vfilter,mcf<1000)
signal = gand(ss,stock.above,stock.t5,stock.t4,magic,vfilter,mcf<1000,xatr>40,stock.ma1>stock.ma3,stock.diff<stock.dea)
return signal
def up_in_hour1(stock, xup=200): #xup为涨停次日的开盘涨幅，万分位表示
'''第1小时涨停'''
linelog('%s:%s' % (up_in_hour1.__name__, stock.code))
t = stock.transaction
climit = xfollow(limitup1(t[CLOSE]), t[VOLUME])
yup = rollx(gand(stock.slup1, climit), 1) #昨日开盘第一小时涨停并且收盘封住
pre = rollx(t[CLOSE], 1)
tup = np.sign(t[OPEN] * 10000 / pre >= xup + 10000) #今日开盘大于xup
tx = np.sign(t[LOW] * 10000 / pre <= 10990) #非一字涨停，追
tt = gand(stock.t5, stock.t4,
strend(ma(t[CLOSE], 250)) > 0) #不采用跳点法，可能这是一个敏感位置
signal = gand(yup, tup, tx, t[VOLUME] > 0,
tt) #,rama) #,tt,peak)#,fmacd,xmacd) #rama
dsignal = decover(signal, 3)
stock.buyprice = select([dsignal > 0], [t[OPEN]])
#print signal
return dsignal
def hemv1b(stock,fast=15,base=120):
t = stock.transaction
em = emv(t[HIGH],t[LOW],t[VOLUME])
mv1 = msum2(em,fast)
mvbase = msum2(em,base)
vma = ma(t[VOLUME],30)
svma = ma(t[VOLUME],3)
vfilter = gand(svma<=vma*3/4)
baseline = cached_zeros(len(t[CLOSE]))
thumb = gand(stock.magic,stock.g20>3000)
ss = sfollow(cross(baseline,mv1)>0,stock.hup,30)
ecross = gand(ss,thumb,strend(mv1)>0,stock.t5,stock.above,strend(mvbase)>0,vfilter)
linelog(stock.code)
return ecross
def run(self):
'''
调度过程
'''
while (self.get_itime() < 2359):
self.prepare_data()
#print u'读取数据成功,最新时间:%s' % self.dyn_datas[self.names[0]].transaction[ITIME][-1]
today = dt.date.today()
tt = today.year * 10000 + today.month * 100 + today.day
ct = self.dyn_datas[self.names.keys()[0]].transaction
if len(ct[IDATE]) == 0 or ct[IDATE][-1] < tt:
win32api.MessageBox(0, u'请检查时间是否正确......', u'提示', 0x00001000L)
if len(ct[IDATE]) > 0:
linelog(u'读取数据成功,%s-%s:%s-%s,%s-%s' %
(ct[IDATE][-1], ct[ITIME][-1], ct[IOPEN][-1],
ct[ICLOSE][-1], ct[IHIGH][-1], ct[ILOW][-1]))
#print u'读取数据成功,%s-%s:%s-%s,%s-%s' % (ct[IDATE][-1],ct[ITIME][-1],ct[IOPEN][-1],ct[ICLOSE][-1],ct[IHIGH][-1],ct[ILOW][-1])
self.check_signal()
else:
linelog(u'无当日动态数据')
time.sleep(9) #计算需要10秒，因此总延迟19秒
def hspring(stock,threshold=-30):
''' 对于结果
下影越短越好，close-low/close 也是越短越好
'''
t = stock.transaction
linelog('spring:%s' % stock.code)
s11 = gand(stock.ks >=-5,stock.ks<0,stock.ref.ks<=threshold)
s12 = gand(stock.ks >=5,stock.ks<20,stock.ref.ks<=threshold)
s1 = bor(s11,s12)
s21 = gand(stock.ks>=5,stock.ks<75,stock.ref.ks<=threshold)
signals = bor(s1,s21)
ss = sfollow(signals,stock.hup,10)
vma = ma(t[VOLUME],30)
svma = ma(t[VOLUME],3)
vfilter = gand(svma<vma*7/8,svma>vma/2,t[VOLUME]<=vma*2/3)
return gand(ss,stock.magic,stock.above,vfilter)
def hmacd_a(stock):
linelog(stock.code)
t = stock.transaction
shour = stock.hour
pdiff1,pdea1 = cmacd(stock.hour)
pdiffd,pdead = cmacd(stock.hour,48,104,36)
#signal = gand(cross(pdea1,pdiff1)>0,pdiffd>pdead,pdiffd>0,pdiff1>0) #至少一日前还在下面
msignal = gand(cross(cached_zeros(len(pdiff1)),pdiffd)>0,strend(pdiff1-pdea1)>3)
#nsignal = gand(pdiff1<pdea1)
signal = gand(hour2day(msignal))
stock.hmacda = signal
#signal = gand(signal,stock.t5,stock.t4)
return signal
def xudh(stock,xfunc=xc0s,astart=45):
'''
评估:总盈亏值=5146,交易次数=21 期望值=3223
总盈亏率(1/1000)=5146,平均盈亏率(1/1000)=245,盈利交易率(1/1000)=952
平均持仓时间=47,持仓效率(1/1000000)=5212
赢利次数=20,赢利总值=5222
亏损次数=1,亏损总值=76
平盘次数=0
原： 牺牲效率提高成功率
评估:总盈亏值=7295,交易次数=21 期望值=2496
总盈亏率(1/1000)=7295,平均盈亏率(1/1000)=347,盈利交易率(1/1000)=904
平均持仓时间=48,持仓效率(1/1000000)=7229
赢利次数=19,赢利总值=7573
亏损次数=2,亏损总值=278
平盘次数=0
'''
t = stock.transaction
mxc = xfunc(t[OPEN],t[CLOSE],t[HIGH],t[LOW],ma1=13) > 0
vma = ma(t[VOLUME],30)
svma = ma(t[VOLUME],3)
vfilter = gand(svma<vma*2/3)
cf = (t[OPEN]-t[LOW] + t[HIGH]-t[CLOSE])*1000 / (t[HIGH]-t[LOW]) #向下的动力
mcf = ma(cf,7)
stdea = strend(stock.dea)
stdiff = strend(stock.diff)
st = gand(stdea<=-3,stdea>=-4,stdiff<=-5,stdiff>=-6)
xatr = stock.atr * BASE / t[CLOSE]
#logger.debug('tlen,hlen=%s,%s' %(len(mxc),len(stock.hup)))
ss = sfollow(mxc,stock.hup,3)
signal = gand(ss,vfilter,stock.thumb,stock.above,stock.t5,mcf>1000,stock.ma1<stock.ma2,stock.ma1>stock.ma3,st,xatr>=astart)
linelog(stock.code)
return signal
def mxru(stock):
''' 成交量分配后的macd,采用supdown
评估:总盈亏值=6744,交易次数=18 期望值=12466
总盈亏率(1/1000)=6744,平均盈亏率(1/1000)=374,盈利交易率(1/1000)=944
平均持仓时间=54,持仓效率(1/1000000)=6925
赢利次数=17,赢利总值=6774
亏损次数=1,亏损总值=30
平盘次数=0
'''
t = stock.transaction
mdiff,mdea = macd_ruv(t[OPEN],t[CLOSE],t[HIGH],t[LOW],t[VOLUME])
mxc = cross(mdea,mdiff) > 0
vma = ma(t[VOLUME],30)
svma = ma(t[VOLUME],3)
#vfilter = gand(svma<vma*7/8,svma>vma/2,t[VOLUME]<=vma,t[CLOSE]>stock.ma1,cf)
vfilter = gand(svma<vma*2/3,t[VOLUME]<=vma*2/3)
xatr = stock.atr * BASE / t[CLOSE]
signal = gand(mxc)
linelog(stock.code)
signal = sfollow(signal,stock.hup,30)
return gand(signal,vfilter,stock.magic,strend(stock.ma4)>0,stock.t5,xatr>=50,t[CLOSE]>stock.ma4)
def fup60(stock):
'''
60分钟从负数上来的第一次上叉
#或从负数上来的成功地第一次上叉(不到5个周期就下叉计作失败)
'''
t = stock.transaction
linelog('%s:%s' % (fup60.__name__, stock.code))
hzero = cached_zeros(len(stock.hour))
pdiff, pdea = cmacd(stock.hour)
cross0 = cross(hzero, pdiff)
ucross = gand(cross(pdea, pdiff) > 0)
xsum1 = rsum(ucross, cross0) #此时，第一个cross>0和第二个之间的位置被填满1
xsum = rsum(xsum1, cross0) #此时，只有第一个发生位为1
signal = gand(equals(xsum, 1), pdiff > 0)
return hour2day(signal)
def attack2b(stock): #
''' 盘中第二小时追跳高不变者
使用fseller(信号次日卖出)
bo_pricer = (lambda s : s.buyprice,lambda s : s.transaction[OPEN])
myMediator=nmediator_factory(trade_strategy=B0S1,pricer = bo_pricer)
使用fseller_t(信号当日卖出)
my_pricer = (lambda s : s.buyprice,lambda s : s.sellprice)
myMediator=nmediator_factory(trade_strategy=B0S0_N,pricer = my_pricer)
使用follow_seller(信号当日卖出)
my_pricer = (lambda s : s.buyprice,lambda s : s.sellprice)
myMediator=nmediator_factory(trade_strategy=B0S0_N,pricer = my_pricer)
'''
linelog('%s:%s' % (attack2.__name__, stock.code))
t = stock.transaction
#第一个涨停 #确保没有稍长的下影线
cup = gand(stock.up1,
bnot(gand(stock.stoped2, stock.stoped3, stock.stoped4)))
#三线理顺
#tt = rollx(gand(stock.t4,stock.t5),1)
fm = rollx(gand(stock.diff < stock.dea))
g = rollx(gand(stock.g20 > stock.g60, stock.g60 > stock.g120))
tref = rollx(gand(stock.ref.t3))
signal = gand(cup, t[VOLUME] > 0, stock.ref.up1, tref,
strend(stock.ref.diff) > 0, fm,
g) #smarket)#,rama) #,rama #,tt,peak)#,fmacd,xmacd) #rama
dsignal = decover(signal, 3)
#stock.buyprice = select([dsignal>0],[t[HIGH]]) #涨停价
stock.buyprice = select([dsignal > 0], [stock.open2]) #第二小时开盘
#print signal
return dsignal
def hmxru3(stock):
''' 成交量分配后的macd,采用supdown3
评估:总盈亏值=6163,交易次数=22 期望值=3733
总盈亏率(1/1000)=6163,平均盈亏率(1/1000)=280,盈利交易率(1/1000)=863
平均持仓时间=48,持仓效率(1/1000000)=5833
赢利次数=19,赢利总值=6389
亏损次数=3,亏损总值=226
平盘次数=0
'''
t = stock.transaction
mxc = stock.xru3
vma = ma(t[VOLUME],30)
svma = ma(t[VOLUME],3)
vfilter = gand(svma<vma*2/3,svma>vma/2,t[VOLUME]<=vma*2/3)
xatr = stock.atr * BASE / t[CLOSE]
cf = (t[OPEN]-t[LOW] + t[HIGH]-t[CLOSE])*1000 / (t[HIGH]-t[LOW]) #向下的动力
mcf = ma(cf,7)
s = stock
signal = gand(s.above,mxc,vfilter,strend(stock.ma4)>0,stock.t5,xatr>=50,stock.magic,stock.ma1<stock.ma2,stock.ma1>stock.ma3,mcf<1000)
linelog(stock.code)
return signal
def hxudl(stock):
''' 恶劣
'''
t = stock.transaction
linelog(stock.code)
xatr = stock.atr * BASE / t[CLOSE]
ss = syntony(stock.hup,stock.hmxc,3)
#ss = sfollow(stock.hup,stock.hmxc,3)
vma = ma(t[VOLUME],30)
svma = ma(t[VOLUME],3)
vfilter = gand(svma<vma*3/5,t[VOLUME]>0,t[VOLUME]>vma*1/2)#,t[VOLUME]<vma*3/2) #2/3
cf = (t[OPEN]-t[LOW] + t[HIGH]-t[CLOSE])*1000 / (t[HIGH]-t[LOW]) #向下的动力
mcf = ma(cf,7)
s=stock
spos = gand(ma(stock.ref.transaction[CLOSE],250) > stock.ref.ma5,stock.ref.ma5>stock.ref.ma4,stock.ref.t4>0,stock.ref.ma1>stock.ref.ma2,stock.ref.ma1>stock.ref.ma3)
#spos2 = gand(ma(t[CLOSE],250) > stock.ma5,stock.ma5>stock.ma4,stock.t4>0)
signal = gand(stock.hmxc,vfilter,spos,strend(stock.ma3)>0,xatr>45,xatr<60,stock.ma1>stock.ma2,stock.ma1>stock.ma3,s.g20 >= s.g60,s.g60 >= s.g120,s.g120 >= s.g250,s.g20<=8000,s.g5<s.g20,s.g20>=3000)
return signal
def prepare_hour(stock,begin,end):
linelog('prepare hour:%s' % stock.code)
t = get_hour(stock.code,begin,end)
stock.hour = t[CLOSE].copy()
#stock.hour_open = t[OPEN].copy()
#stock.hour_low = t[LOW].copy()
#stock.hour_high = t[HIGH].copy()
#stock.hour_v = t[VOLUME].copy()
stock.hour[range4(len(stock.hour))] = stock.transaction[CLOSE] #消除第4小时数据收盘与当日收盘价的差异，日收盘价为最后均价
prepare_hmacd(stock)
stock.hmxc = hour2day(xc0s(t[OPEN],stock.hour,t[HIGH],t[LOW],ma1=13) > 0)
mdiff,mdea = macd_ruv3(t[OPEN],stock.hour,t[HIGH],t[LOW],t[VOLUME])
mxc = cross(mdea,mdiff) > 0
stock.xru3 = hour2day(mxc)
mdiff,mdea = macd_ruv(t[OPEN],stock.hour,t[HIGH],t[LOW],t[VOLUME])
mxc = cross(mdea,mdiff) > 0
stock.xru = hour2day(mxc)
ma3 = ma(stock.hour,3)
ma7 = ma(stock.hour,7)
ma13 = ma(stock.hour,13)
ma30 = ma(stock.hour,30)
stock.ma4_up = hour2day(gand((ma3>ma7),gand(ma7>ma13),gand(ma13>ma30),strend(ma3)>0,strend(ma7)>0,strend(ma13)>0,strend(ma30)>0))
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 gup(stock, percent=8500):
linelog('%s:%s' % (gup.__name__, stock.code))
t = stock.transaction
sp = cached_ints(len(t[CLOSE]), percent)
xcross = gand(
cross(sp, stock.g60) > 0,
strend(stock.g60) > 0, t[VOLUME] > 0)
gs = gand(xcross, stock.g20 < stock.g60, strend(stock.g20) > 0)
vma_s = ma(t[VOLUME], 13)
vma_l = ma(t[VOLUME], 60)
vfilter = rollx(vma_s < vma_l * 4 / 5, 1)
xatr = stock.atr * BASE / t[CLOSE]
xref = stock.ref.transaction[CLOSE] >= stock.ref.ma0
signal = gand(gs, xatr < 50, stock.t4, stock.t5, vfilter,
stock.ma4 > stock.ma5,
strend(stock.diff) > 0, stock.xup, xref)
return signal
def prepare_slup4(stock):
linelog('prepare hour:%s' % stock.code)
slup4 = np.sign(stock.hour * 10000 / rollx(stock.hour, 4) >= 10990)
stock.slup4 = xfollow(hour2day4(slup4),
stock.transaction[VOLUME]) #第1小时涨停. 确保第二天停盘也能够使信号延递
def follow_up2(stock):
'''第n小时涨停，且涨停板在后两个小时打开过
第1/2/3小时涨停，后面打开过
第二小时最好，但仍然只有1/3的概率
1
评估:总盈亏值=-5945,交易次数=370 期望值=-396
总盈亏率(1/1000)=-5945,平均盈亏率(1/1000)=-17,盈利交易率(1/1000)=283
平均持仓时间=1,持仓效率(1/1000000)=-17000
赢利次数=105,赢利总值=5427
亏损次数=262,亏损总值=11372
平盘次数=3
2
评估:总盈亏值=-1925,交易次数=278 期望值=-185
总盈亏率(1/1000)=-1925,平均盈亏率(1/1000)=-7,盈利交易率(1/1000)=345
平均持仓时间=1,持仓效率(1/1000000)=-7000
赢利次数=96,赢利总值=5064
亏损次数=180,亏损总值=6989
平盘次数=2
3
评估:总盈亏值=-4560,交易次数=413 期望值=-325
总盈亏率(1/1000)=-4560,平均盈亏率(1/1000)=-12,盈利交易率(1/1000)=288
平均持仓时间=1,持仓效率(1/1000000)=-12000
赢利次数=119,赢利总值=6388
亏损次数=294,亏损总值=10948
平盘次数=0
'''
linelog('%s:%s' % (follow_up2.__name__, stock.code))
t = stock.transaction
#yup = gand(stock.slup2,bnot(stock.slup1),bnot(gand(stock.stoped3,stock.stoped4))) #开盘第二小时涨停,并且在第三四小时打开过
#yup = gand(stock.slup1,bnot(gand(stock.stoped2,stock.stoped3,stock.stoped4))) #开盘第1小时涨停,并且在第2三四小时打开过
#yup = gand(stock.slup3,bnot(gor(stock.slup1,stock.slup2)),bnot(stock.stoped4)) #第3小时涨停,并且在第四小时打开过
#开盘涨停
oup = t[OPEN] * 10000 / rollx(t[CLOSE], 1) >= 10990
cup = t[CLOSE] * 10000 / rollx(t[CLOSE], 1) >= 10990
hup = t[HIGH] * 10000 / rollx(t[CLOSE], 1) >= 10990
lup = t[LOW] * 10000 / rollx(t[CLOSE], 1) >= 10990
yup = gand(bnot(oup), cup)
#无法判断第四小时涨停的个股涨停后是否打开过
tt = gand(stock.t5, stock.t4,
strend(ma(t[CLOSE], 250)) > 0) #不采用跳点法，可能这是一个敏感位置
smarket = gand(stock.ref.t2, stock.ref.t1, stock.ref.t0) #使用当日的大盘情况，差别巨大
ama = fama(stock.ref.transaction[CLOSE])
#rama = stock.ref.transaction[CLOSE]*1000/rollx(ama)>=1000 #-284, p=342
c_ex = lambda c, s: gand(c.g60 > 5000, s > 8000)
cs = catalog_signal_cs(stock.c60, c_ex)
signal = gand(yup, t[VOLUME] > 0, smarket,
rollx(cs)) #,tt,peak)#,fmacd,xmacd) #rama
dsignal = decover(signal, 3)
stock.buyprice = select([dsignal > 0], [t[HIGH]]) #涨停价
#print signal
return dsignal
def prepare_touch4(stock):
linelog('prepare hour:%s' % stock.code)
touch4 = np.sign(stock.hour_high * 10000 / rollx(stock.hour, 4) >= 10990)
stock.touch4 = xfollow(hour2day4(touch4),
stock.transaction[VOLUME]) #第1小时涨停. 确保第二天停盘也能够使信号延递
def up_in_hour2(stock, xup=200): #xup为涨停次日的开盘涨幅，万分位表示
'''第2小时涨停,接近有利可图
评估:总盈亏值=-172,交易次数=268 期望值=-27
总盈亏率(1/1000)=-172,平均盈亏率(1/1000)=-1,盈利交易率(1/1000)=309
平均持仓时间=1,持仓效率(1/1000000)=-1000
赢利次数=83,赢利总值=6739
亏损次数=180,亏损总值=6911
平盘次数=5
12.
评估:总盈亏值=-8219,交易次数=700 期望值=-286
总盈亏率(1/1000)=-8219,平均盈亏率(1/1000)=-12,盈利交易率(1/1000)=255
平均持仓时间=1,持仓效率(1/1000000)=-12000
赢利次数=179,赢利总值=13627
亏损次数=515,亏损总值=21846
平盘次数=6
前面如果是一字涨停，则可忽略大盘
'''
linelog('%s:%s' % (up_in_hour2.__name__, stock.code))
t = stock.transaction
climit = xfollow(limitup1(t[CLOSE]), t[VOLUME])
#climit = xfollow(limitup2(t[HIGH],t[LOW]),t[VOLUME]) #一字板
#yup = rollx(gand(stock.slup2,climit,bnot(stock.slup1)),1) #昨日第二小时涨停并且收盘封住
yup = rollx(gand(stock.slup2, climit), 1) #昨日第二小时涨停并且至收盘都没打开过，含第一小时
#yup = rollx(climit,1)
pre = rollx(t[CLOSE], 1)
tup = np.sign(t[OPEN] * 10000 / pre >= xup + 10000) #今日开盘大于xup
tx = np.sign(t[LOW] * 10000 / pre < 10990) #非一字涨停，追
#tt = gand(stock.t5,stock.t4,stock.t3,strend(ma(t[CLOSE],250))>0) #不采用跳点法，可能这是一个敏感位置
tt = gand(stock.t5, stock.t4,
strend(ma(t[CLOSE], 250)) > 0) #不采用跳点法，可能这是一个敏感位置
ama = fama(t[CLOSE])
rama = rollx(ama * 1000 / rollx(ama) <= 1000) #-284, p=342
#cswing = t[CLOSE] * 1000 / pre - 1000 #涨幅
#cup = select([cswing>0],[cswing])
#mcup1 = ma(cup,13)
#mcup2 = ma(cup,30)
#sm = rollx(gand(mcup1<mcup2),1)
rlimit = limitup1(t[CLOSE])
times = msum2(rlimit, 5)
r1 = rollx(gand(times == 2), 1) #第n个涨停
#大盘因素
#smarket = rollx(gand(stock.ref.t2,stock.ref.t1,stock.ref.t0),1)
#smarket = gand(stock.ref.t2,stock.ref.t1,stock.ref.t0) #使用当日的大盘情况，差别巨大
smarket = rollx(gand(stock.ref.t2, stock.ref.t1, stock.ref.t0),
1) #使用当日的大盘情况，差别巨大
#smart优于tt,这两类条件貌似重合,叠加无效果
#signal = gand(yup,tup,tx,t[VOLUME]>0,smarket,tt)#,r1) #,tt,peak)#,fmacd,xmacd) #rama
signal = gand(yup, tup, tx, t[VOLUME] > 0, smarket, r1,
rama) #,tt,peak)#,fmacd,xmacd) #rama
#一字涨停,忽略大盘
pup = rollx(t[LOW] * 10000 / pre >= 10990, 1)
psignal = gand(yup, tup, tx, t[VOLUME] > 0, r1, rama, pup)
signal = gor(signal, psignal)
dsignal = decover(signal, 3)
stock.buyprice = select([dsignal > 0], [t[OPEN]])
#print signal
return dsignal
