def DIProcess(vTarget):
import csv
import datetime
import strategy1
from strategy1 import IndexCal
import math
from BaseFunction import date2str, floatrou, str2date, txtpercent
from ClsContract import Account
from ClsContract import Contract
from ClsContract import DateDeal
from strategy1 import durationMax
from strategy1 import IndexCal
from DataPipe import TWNStockTIOMO, YahooFinance
from figure_plot_output import Acct_mkt_compare, Acct_mkt_candle
from ClsGenReport import CalCAGR, CalSharpInd, CalDD, BackwardTest
dealArr = YahooFinance(vTarget=vTarget)
#dealArr = TWNStockTIOMO(vTarget=vTarget,vbegin = '201101',vend = '201512')
Cind = IndexCal(dealArr)
'''
用DI+ > DI-做多，DI- <DI+做空，用prebadK停損
'''
RecDateArr = []
RecAmtArr = []
RecContArr = []
ClosePriceArr = []
CloseConArr = []
RsiArr = []
maArr = []
lenw = 17
i = 0
preDIp = -1
preDIm = -1
newDIp = -1
newDIm = -1
PostAmt = 1
Acct1 = Account(initAmt=400000.)
RsiArr = Cind.RsiCal(lenw)
maArr = Cind.moving_average(Cind.ClosePriceArr, 40)
upCriteria = 70
downCriteria = 30
#因為不會有負值，用-1當作初始值
for deal in dealArr:
Acct1.BuildArr.append(None)
Acct1.EvenArr.append(None)
ind = Cind.dateArr.index(deal.TradeDate)
preMA = maArr[ind - 1]
nowMA = maArr[ind]
for cont in Acct1.UnConList:
cont.OverDate(deal)
if cont.TradeWay > 0:
rTrend = 'UP'
else:
rTrend = 'DOWN'
if cont.StopLoss_FixPer(N=0.05):
cont.CloseContract(deal)
Acct1.AcctCloseCon()
Acct1.totalAmt = Acct1.totalAmt + floatrou(
((cont.EvenPrice * cont.Position * 0.003) +
(cont.EvenPrice * cont.Position * 0.001425 * 0.6)))
CloseConArr.append({
'InitDate': cont.InitDate,
'EndDate': cont.EndDate,
'DealAmt': cont.Position,
'OpenPrice': cont.BuildPrice,
'ClosePrice': cont.EvenPrice,
'Stop Loss': 'Yes'
})
print 'Init Date: ' + date2str(cont.InitDate) + ' Init Price:' + str(cont.BuildPrice) +' stop price:' + str(cont.EvenPrice) +\
' exit at:' + date2str(deal.TradeDate) + ' TredeWay:' + str(cont.TradeWay) + ' stoploss:Y'
if cont.TradeWay > 0:
if Cind.RsiStop(vDeal=deal,
vTrend=rTrend,
Criteria=upCriteria,
vRsiArr=RsiArr,
vwindow=lenw):
cont.CloseContract(deal)
Acct1.AcctCloseCon()
Acct1.totalAmt = Acct1.totalAmt + floatrou(
((cont.EvenPrice * cont.Position * 0.003) +
(cont.EvenPrice * cont.Position * 0.001425 * 0.6)))
CloseConArr.append({
'InitDate': cont.InitDate,
'EndDate': cont.EndDate,
'DealAmt': cont.Position,
'OpenPrice': cont.BuildPrice,
'ClosePrice': cont.EvenPrice,
'Stop Loss': 'Yes'
})
print 'Init Date: ' + date2str(cont.InitDate) + ' Init Price:' + str(cont.BuildPrice) +' stop price:' + str(cont.EvenPrice) +\
' exit at:' + date2str(deal.TradeDate) + ' TredeWay:' + str(cont.TradeWay)+ ' stoploss:N'
else:
if Cind.RsiStop(vDeal=deal,
vTrend=rTrend,
Criteria=downCriteria,
vRsiArr=RsiArr,
vwindow=lenw):
cont.CloseContract(deal)
Acct1.AcctCloseCon()
Acct1.totalAmt = Acct1.totalAmt + floatrou(
((cont.EvenPrice * cont.Position * 0.003) +
(cont.EvenPrice * cont.Position * 0.001425 * 0.6)))
CloseConArr.append({
'InitDate': cont.InitDate,
'EndDate': cont.EndDate,
'DealAmt': cont.Position,
'OpenPrice': cont.BuildPrice,
'ClosePrice': cont.EvenPrice,
'Stop Loss': 'Yes'
})
print 'Init Date: ' + date2str(cont.InitDate) + ' Init Price:' + str(cont.BuildPrice) +' stop price:' + str(cont.EvenPrice) +\
' exit at:' + date2str(deal.TradeDate) + ' TredeWay:' + str(cont.TradeWay)+ ' stoploss:N'
RecDateArr.append(deal.TradeDate)
RecAmtArr.append(Acct1.totalAmt)
ClosePriceArr.append(deal.ClosePrice)
if i <= lenw:
i += 1
continue
else:
if newDIp == -1 and newDIm == -1:
newDIp, newDIm = Cind.DICal(vDeal=deal)
continue
else:
preDIp = newDIp
preDIm = newDIm
newDIp, newDIm = Cind.DICal(vDeal=deal)
if (preDIp - preDIm) * (newDIp - newDIm) < 0:
if nowMA < preMA:
if (preDIp - preDIm) > 0:
#continue
#做空
cont1 = Contract(ContName=date2str(deal.TradeDate),
Position=PostAmt * 1000,
vDateDeal=deal,
TradeWay=-1)
Acct1.AddContr(cont1)
#print 'preDIp:' + str(preDIp) + ' preDIm:' + str(preDIm) +' newDIp:' + str(newDIp)+ ' newDIm:' + str(newDIm)
else:
if preMA < nowMA:
#做多
#continue
cont1 = Contract(ContName=date2str(deal.TradeDate),
Position=PostAmt * 1000,
vDateDeal=deal,
TradeWay=1)
Acct1.AddContr(cont1)
#print 'preDIp:' + str(preDIp) + ' preDIm:' + str(preDIm) +' newDIp:' + str(newDIp)+ ' newDIm:' + str(newDIm)
#Acct_mkt_compare(RecDateArr,RecAmtArr,ClosePriceArr)
Acct_mkt_candle(dealArr, RecAmtArr, Acct1.BuildArr)
rCalDDAmt, rCalDD = CalDD(RecAmtArr)
printtxt = []
printtxt.append('CARG:' + txtpercent(CalCAGR(RecAmtArr)))
printtxt.append('Sharp Index:' + txtpercent(CalSharpInd(RecAmtArr)))
printtxt.append('Max DD duration:' + str(rCalDD))
printtxt.append('Max DD Amount:' + txtpercent(rCalDDAmt))
printtxt.append('Target:' + vTarget)
BackwardTest("test.png", printtxt)
def DIProcess(vTarget):
import csv
import datetime
import strategy1
from strategy1 import IndexCal
import math
from BaseFunction import date2str,floatrou,str2date,txtpercent
from ClsContract import Account
from ClsContract import Contract
from ClsContract import DateDeal
from strategy1 import durationMax
from strategy1 import IndexCal
from DataPipe import TWNStockTIOMO,YahooFinance
from figure_plot_output import Acct_mkt_compare,Acct_mkt_candle
from ClsGenReport import CalCAGR,CalSharpInd,CalDD,BackwardTest
dealArr = YahooFinance(vTarget=vTarget)
#dealArr = TWNStockTIOMO(vTarget=vTarget,vbegin = '201101',vend = '201512')
Cind = IndexCal(dealArr)
'''
用DI+ > DI-做多，DI- <DI+做空，用prebadK停損
'''
RecDateArr=[]
RecAmtArr=[]
RecContArr=[]
ClosePriceArr = []
CloseConArr = []
RsiArr = []
maArr = []
lenw = 17
i = 0
preDIp = -1
preDIm = -1
newDIp = -1
newDIm = -1
PostAmt = 1
Acct1 = Account(initAmt = 400000.)
RsiArr = Cind.RsiCal(lenw)
maArr = Cind.moving_average(Cind.ClosePriceArr,40)
upCriteria = 70
downCriteria = 30
#因為不會有負值，用-1當作初始值
for deal in dealArr:
Acct1.BuildArr.append(None)
Acct1.EvenArr.append(None)
ind = Cind.dateArr.index(deal.TradeDate)
preMA = maArr[ind-1]
nowMA = maArr[ind]
for cont in Acct1.UnConList:
cont.OverDate(deal)
if cont.TradeWay > 0:
rTrend = 'UP'
else:
rTrend = 'DOWN'
if cont.StopLoss_FixPer(N = 0.05):
cont.CloseContract(deal)
Acct1.AcctCloseCon()
Acct1.totalAmt = Acct1.totalAmt + floatrou(((cont.EvenPrice * cont.Position * 0.003) + (cont.EvenPrice * cont.Position * 0.001425 * 0.6)))
CloseConArr.append({'InitDate':cont.InitDate,'EndDate':cont.EndDate,'DealAmt':cont.Position,'OpenPrice':cont.BuildPrice,'ClosePrice':cont.EvenPrice,'Stop Loss':'Yes'})
print 'Init Date: ' + date2str(cont.InitDate) + ' Init Price:' + str(cont.BuildPrice) +' stop price:' + str(cont.EvenPrice) +\
' exit at:' + date2str(deal.TradeDate) + ' TredeWay:' + str(cont.TradeWay) + ' stoploss:Y'
if cont.TradeWay > 0:
if Cind.RsiStop(vDeal = deal,vTrend = rTrend,Criteria = upCriteria,vRsiArr = RsiArr,vwindow=lenw):
cont.CloseContract(deal)
Acct1.AcctCloseCon()
Acct1.totalAmt = Acct1.totalAmt + floatrou(((cont.EvenPrice * cont.Position * 0.003) + (cont.EvenPrice * cont.Position * 0.001425 * 0.6)))
CloseConArr.append({'InitDate':cont.InitDate,'EndDate':cont.EndDate,'DealAmt':cont.Position,'OpenPrice':cont.BuildPrice,'ClosePrice':cont.EvenPrice,'Stop Loss':'Yes'})
print 'Init Date: ' + date2str(cont.InitDate) + ' Init Price:' + str(cont.BuildPrice) +' stop price:' + str(cont.EvenPrice) +\
' exit at:' + date2str(deal.TradeDate) + ' TredeWay:' + str(cont.TradeWay)+ ' stoploss:N'
else:
if Cind.RsiStop(vDeal = deal,vTrend = rTrend,Criteria = downCriteria,vRsiArr = RsiArr,vwindow=lenw):
cont.CloseContract(deal)
Acct1.AcctCloseCon()
Acct1.totalAmt = Acct1.totalAmt + floatrou(((cont.EvenPrice * cont.Position * 0.003) + (cont.EvenPrice * cont.Position * 0.001425 * 0.6)))
CloseConArr.append({'InitDate':cont.InitDate,'EndDate':cont.EndDate,'DealAmt':cont.Position,'OpenPrice':cont.BuildPrice,'ClosePrice':cont.EvenPrice,'Stop Loss':'Yes'})
print 'Init Date: ' + date2str(cont.InitDate) + ' Init Price:' + str(cont.BuildPrice) +' stop price:' + str(cont.EvenPrice) +\
' exit at:' + date2str(deal.TradeDate) + ' TredeWay:' + str(cont.TradeWay)+ ' stoploss:N'
RecDateArr.append(deal.TradeDate)
RecAmtArr.append(Acct1.totalAmt)
ClosePriceArr.append(deal.ClosePrice)
if i <= lenw:
i += 1
continue
else:
if newDIp == -1 and newDIm == -1:
newDIp,newDIm = Cind.DICal(vDeal = deal)
continue
else:
preDIp = newDIp
preDIm = newDIm
newDIp,newDIm = Cind.DICal(vDeal = deal)
if (preDIp - preDIm)* (newDIp - newDIm)<0:
if nowMA < preMA:
if (preDIp - preDIm) > 0:
#continue
#做空
cont1 = Contract(ContName=date2str(deal.TradeDate),Position = PostAmt*1000,vDateDeal = deal,TradeWay=-1)
Acct1.AddContr(cont1)
#print 'preDIp:' + str(preDIp) + ' preDIm:' + str(preDIm) +' newDIp:' + str(newDIp)+ ' newDIm:' + str(newDIm)
else:
if preMA < nowMA:
#做多
#continue
cont1 = Contract(ContName=date2str(deal.TradeDate),Position = PostAmt*1000,vDateDeal = deal,TradeWay=1)
Acct1.AddContr(cont1)
#print 'preDIp:' + str(preDIp) + ' preDIm:' + str(preDIm) +' newDIp:' + str(newDIp)+ ' newDIm:' + str(newDIm)
#Acct_mkt_compare(RecDateArr,RecAmtArr,ClosePriceArr)
Acct_mkt_candle(dealArr,RecAmtArr,Acct1.BuildArr)
rCalDDAmt,rCalDD = CalDD(RecAmtArr)
printtxt = []
printtxt.append('CARG:' + txtpercent(CalCAGR(RecAmtArr)))
printtxt.append('Sharp Index:' + txtpercent(CalSharpInd(RecAmtArr)))
printtxt.append('Max DD duration:' + str(rCalDD))
printtxt.append('Max DD Amount:' + txtpercent(rCalDDAmt))
printtxt.append('Target:' + vTarget)
BackwardTest("test.png",printtxt)
for deal in dealArr:
i += 1
for cont in Acct1.UnConList:
cont.OverDate(deal)
#print cont.ContName + ':' + date2str(deal.TradeDate) + ":" + str(cont.HoldDuration)
for cont in Acct1.UnConList:
if(cont.HoldDuration==20):
#print cont.ContName + ' End at:' + date2str(deal.TradeDate)
cont.CloseContract(deal)
Acct1.AcctCloseCon()
'''
計算手續費，買賣時都須加計交易金額*0.001425
計算手續費，賣出時須加計交易金額*0.003
'''
Acct1.totalAmt = Acct1.totalAmt - floatrou(((cont.EvenPrice * cont.Position * 0.003) + (cont.EvenPrice * cont.Position * 0.001425 * 0.6)))
CloseConArr.append({'InitDate':cont.InitDate,'EndDate':cont.EndDate,'DealAmt':cont.Position,'OpenPrice':cont.BuildPrice,'ClosePrice':cont.EvenPrice})
#print cont.ContName + ' GainLoss:' + str(cont.GainLoss)
RecDateArr.append(deal.TradeDate)
RecAmtArr.append(Acct1.totalAmt)
ClosePriceArr.append(deal.ClosePrice)
'''
找該date之ATR，然後計算該日如果交易的最適交易量
'''
if deal.TradeDate in DateATRArr:
IntATR = DateATRArr.index(deal.TradeDate)+1
ATR = ATRArr[IntATR]
PostAmt = math.floor((Acct1.totalAmt * 0.01)/(ATR*1000))
季線位置策略
'''
if IC.MAPosition(vRange=60,vDeal = dealArr[i],vLocate = 'DOWN'):
RecAmt1Arr.append(Acct1.totalAmt)
RecAmt2Arr.append(Acct2.totalAmt)
totalAmtArr.append(Acct1.totalAmt + Acct2.totalAmt)
continue
'''
當沖策略
'''
DayResult1 = OneDayTransaction(vDeal = dealArr[i],vTradeWay = 1,vPosition = Position) #這是一個Contract
DayResult1Arr.append(DayResult1)
Acct1.AddContr(DayResult1)
Acct1.AcctCloseCon()
Acct1.totalAmt = Acct1.totalAmt - feeCal(vPt=dealArr[i].ClosePrice,vPosition = Position,vfee=60)
RecAmt1Arr.append(Acct1.totalAmt)
DayResult2 = OneDayTransaction(vDeal = dealArr[i],vTradeWay = -1,vPosition = Position) #這是一個Contract
DayResult2Arr.append(DayResult2)
Acct2.AddContr(DayResult2)
Acct2.AcctCloseCon()
Acct2.totalAmt = Acct2.totalAmt - feeCal(vPt=dealArr[i].ClosePrice,vPosition = Position,vfee=60)
RecAmt2Arr.append(Acct2.totalAmt)
totalAmtArr.append(Acct1.totalAmt + Acct2.totalAmt)
writetxt('AA.txt',date2str(dealArr[i].TradeDate) + ','+ str(DayResult1.BuildPrice) + ',' + str(DayResult1.EvenPrice)\
+ ',' + str(DayResult1.GainLoss) + ','+ str(Acct1.totalAmt))
for deal in dealArr:
i += 1
for cont in Acct1.UnConList:
cont.OverDate(deal)
#print cont.ContName + ':' + date2str(deal.TradeDate) + ":" + str(cont.HoldDuration)
for cont in Acct1.UnConList:
if (cont.HoldDuration == 20):
#print cont.ContName + ' End at:' + date2str(deal.TradeDate)
cont.CloseContract(deal)
Acct1.AcctCloseCon()
'''
計算手續費，買賣時都須加計交易金額*0.001425
計算手續費，賣出時須加計交易金額*0.003
'''
Acct1.totalAmt = Acct1.totalAmt - floatrou(
((cont.EvenPrice * cont.Position * 0.003) +
(cont.EvenPrice * cont.Position * 0.001425 * 0.6)))
CloseConArr.append({
'InitDate': cont.InitDate,
'EndDate': cont.EndDate,
'DealAmt': cont.Position,
'OpenPrice': cont.BuildPrice,
'ClosePrice': cont.EvenPrice
})
#print cont.ContName + ' GainLoss:' + str(cont.GainLoss)
RecDateArr.append(deal.TradeDate)
RecAmtArr.append(Acct1.totalAmt)
ClosePriceArr.append(deal.ClosePrice)
'''
找該date之ATR，然後計算該日如果交易的最適交易量