def on_market_prepare_open(self, protfolio: Portfolio, today: datetime):
"""
市场准备开始（比如：竞价）.
"""
indicator = Indicator(40)
for code in self.codes:
bars = self.market.getHistory().getKbars(code, 100)
indicator.update_bar(bars)
count = 20
aroon_down, aroon_up = indicator.aroon(count)
need_hold = aroon_up > 50 and aroon_up > aroon_down
position = protfolio.getLongPosition(code)
if need_hold:
if position.pos_total < 1:
targetPrice = bars[-1].close_price * 1.05 # 上一个交易日的收盘价作为买如价
ok = protfolio.buyAtPercentage(code, targetPrice, 1)
print(f"buy: price = {targetPrice} , {ok}")
else:
if position.pos_total > 0:
targetPrice = bars[-1].close_price * 0.92 # 上一个交易日的收盘价作为买如价
ok = protfolio.sellAll(code, targetPrice)
print(f"sell: price = {targetPrice} , {ok}")
pass
def computeAll():
from earnmi.data.SWImpl import SWImpl
from earnmi.chart.Chart import Chart, IndicatorItem, Signal
sw = SWImpl()
lists = sw.getSW2List()
start = datetime(2018, 5, 1)
end = datetime(2020, 8, 17)
dataSet = {}
class DataItem(object):
pass
for code in lists:
#for code in lists:
barList = sw.getSW2Daily(code, start, end)
indicator = Indicator()
for bar in barList:
##先识别形态
rets = KPattern.matchIndicator(indicator)
size = len(rets)
if size > 0:
"""有形态识别出来
"""
for item in rets:
name = item.name
value = item.value
dataItem = None
if dataSet.__contains__(name):
dataItem = dataSet[name]
else:
dataItem = DataItem()
dataItem.values = [] ##形态被识别的值。
dataItem.pcts = [] ##识别之后第二天的盈利情况
dataSet[name] = dataItem
##第二天的收益
pct = (bar.close_price - bar.open_price) / bar.open_price
##收录当前形态
dataItem.values.append(value)
dataItem.pcts.append(pct)
pass
indicator.update_bar(bar)
##打印当前形态
print(f"总共识别出{len(dataSet)}个形态")
for key, dataItem in dataSet.items():
values = np.array(dataItem.values)
pcts = np.array(dataItem.pcts) * 100
print(
f"{key}： len={len(dataItem.values)},values:{values.mean()},pcts:%.2f%%,pcts_std=%.2f"
% (pcts.mean(), pcts.std()))
def getValues(self, indicator: Indicator, bar: BarData,
signal: Signal) -> Map:
values = {}
n = 15
if indicator.count >= n:
values["obv"] = indicator.adosc()
values["ad"] = indicator.adosc()
values["adsoc"] = indicator.adosc()
else:
values["obv"] = bar.volume
values["ad"] = bar.volume
values["adsoc"] = bar.volume
return values
def collectKPattherAndShowChart():
from earnmi.data.SWImpl import SWImpl
from vnpy.trader.constant import Exchange
from vnpy.trader.constant import Interval
sw = SWImpl()
lists = sw.getSW2List()
start = datetime(2014, 5, 1)
end = datetime(2020, 8, 17)
bars = []
limitSize = 0
chart = Chart()
for code in lists:
# for code in lists:
barList = sw.getSW2Daily(code, start, end)
indicator = Indicator(40)
preBar = None
yestodayIsMatch = False
for i in range(0, len(barList)):
bar = barList[i]
indicator.update_bar(bar)
patternValue = KPattern.encode1KAgo1(indicator)
todayIsMatch = 9 == patternValue
if todayIsMatch:
if indicator.count > 20:
chart.show(
indicator.makeBars(),
savefig=f"imgs/collectKPattherAndShowChart_{limitSize}"
)
limitSize += 1
if (limitSize > 50):
break
pass
if yestodayIsMatch:
pass
preBar = bar
yestodayIsMatch = todayIsMatch
if (limitSize > 50):
break
pass
def getValues(self, indicator: Indicator, bar: BarData,
signal: Signal) -> Map:
values = {}
n = 14
if indicator.count >= n:
values["adx"] = indicator.adxr(14)
else:
values["adx"] = 0.0
return values
def getValues(self, indicator: Indicator, bar: BarData,
signal: Signal) -> Map:
values = {}
if indicator.count > 1:
obv = indicator.obv(array=False)
values["a"] = obv
else:
values["a"] = 50
return values
def getValues(self, indicator: Indicator, bar: BarData,
signal: Signal) -> Map:
values = {}
windonwSize = 6
if indicator.count >= windonwSize:
rsi = indicator.rsi(windonwSize)
values["RSI6"] = rsi
else:
values["RSI6"] = 50
windonwSize = 12
if indicator.count >= windonwSize:
rsi = indicator.rsi(windonwSize)
values["RSI12"] = rsi
else:
values["RSI12"] = 50
return values
def getValues(self, indicator: Indicator, bar: BarData,
signal: Signal) -> Map:
values = {}
if indicator.count >= 15:
up, down = indicator.boll(15, 3.4)
values["boll_up"] = up
values["boll_down"] = down
else:
values["boll_up"] = bar.close_price
values["boll_down"] = bar.close_price
return values
def on_market_prepare_open(self, protfolio: Portfolio, today: datetime):
"""
市场准备开始（比如：竞价）.
"""
indicator = Indicator(40)
for code in self.codes:
bars = self.market.getHistory().getKbars(code, 100)
indicator.update_bar(bars)
dif, dea, macd_bar = indicator.kdj()
##金叉出现
if (macd_bar[-1] >= 0 and macd_bar[-2] <= 0):
tradePrice = bars[-1].close_price * 1.01 # 上一个交易日的收盘价作为买如价
protfolio.buy(code, tradePrice, 1)
protfolio.cover(code, tradePrice, 1) ##平仓做空
##死叉出现
if (macd_bar[-1] <= 0 and macd_bar[-2] >= 0):
targetPrice = bars[-1].close_price * 0.99 # 上一个交易日的收盘价作为买如价
protfolio.sell(code, targetPrice, 1)
protfolio.short(code, targetPrice, 1) ##开仓做空
pass
def getValues(self, indicator: Indicator, bar: BarData,
signal: Signal) -> Map:
values = {}
if indicator.count >= 15:
k, d, j = indicator.kdj(array=False)
values["k"] = k
values["d"] = d
values["j"] = j
else:
values["k"] = 50
values["d"] = 50
values["j"] = 50
return values
def getValues(self, indicator: Indicator,bar:BarData,signal:Signal) -> Map:
values = {}
count = 30
fast_rsi = indicator.rsi(n=3, array=True)
slow_rsi = indicator.rsi(n=9, array=True)
##金叉出现
if (fast_rsi[-1] >= slow_rsi[-1] and fast_rsi[-2] <= slow_rsi[-2]):
if not signal.hasBuy:
signal.buy = True
##死叉出现
if (fast_rsi[-1] <= slow_rsi[-1] and fast_rsi[-2] >= slow_rsi[-2]):
if signal.hasBuy:
signal.sell = True
return values
def getValues(self, indicator: Indicator,bar:BarData,signal:Signal) -> Map:
values = {}
count = 30
if indicator.count >= count:
k, d, j = indicator.kdj(fast_period=9, slow_period=3, array=True)
##金叉出现
if (k[-1] >= d[-1] and k[-2] <= d[-2]):
if not signal.hasBuy:
signal.buy = True
##死叉出现
if (k[-1] <= d[-1] and k[-2] >= d[-2]):
if signal.hasBuy:
signal.sell = True
return values
def getValues(self, indicator: Indicator,bar:BarData,signal:Signal) -> Map:
values = {}
count = 30
if indicator.count >= count:
dif, dea, macd_bar = indicator.macd(fast_period=12, slow_period=26, signal_period=9, array=True);
##金叉出现
if (macd_bar[-1] >= 0 and macd_bar[-2] <= 0):
if not signal.hasBuy:
signal.buy = True
##死叉出现
if (macd_bar[-1] <= 0 and macd_bar[-2] >= 0):
if signal.hasBuy:
signal.sell = True
return values
def getValues(self, indicator: Indicator, bar: BarData,
signal: Signal) -> Map:
values = {}
if indicator.count > 20:
k, d, j = indicator.kdj(fast_period=9, slow_period=3, array=True)
values["k"] = k[-1]
values["d"] = d[-1]
values["j"] = j[-1]
if k[-2] < d[-2] and k[-1] >= d[-1]:
signal.buy = True
else:
values["k"] = 50
values["d"] = 50
values["j"] = 50
return values
def getValues(self, indicator: Indicator,bar:BarData,signal:Signal) -> Map:
values = {}
count = 15
if indicator.count >= count:
aroon_down,aroon_up = indicator.aroon(count,True)
values["arron_up_25"] = aroon_up[-1]
values["arron_down_25"] = aroon_down[-1]
need_hold = aroon_up[-1] > 50 and aroon_up[-1] > aroon_down[-1]
if need_hold:
if not signal.hasBuy:
signal.buy = True
# print(f"{bar.datetime}： 买: price:{bar.close_price * 1.01}")
else:
if( signal.hasBuy):
signal.sell = True
#print(f"{bar.datetime}： 卖: price:{bar.close_price * 0.99}")
else:
values["arron_up_25"] = 50
values["arron_down_25"] = 50
return values
def getValues(self, indicator: Indicator, bar: BarData,
signal: Signal) -> Map:
values = {}
if indicator.count >= 25:
aroon_down, aroon_up = indicator.aroon(25, True)
values["arron_up_25"] = aroon_up[-1]
values["arron_down_25"] = aroon_down[-1]
need_hold = aroon_up[-1] > 50 and aroon_up[-1] > aroon_down[-1]
if need_hold:
if self.has_bug == False:
signal.buy = True
self.has_bug = True
else:
if (self.has_bug == True):
signal.sell = True
self.has_bug = False
else:
values["arron_up_25"] = 50
values["arron_down_25"] = 50
return values
def computeAndPrint(bars: []) -> AnalysisData:
data = AnalysisData()
total_count = len(bars)
previous_macd = -1
previouc_kdj = -1
indicator = Indicator(50)
for i in range(0, total_count):
bar: BarData = bars[i]
indicator.update_bar(bar)
k_large_than_d = False
if indicator.count >= 13:
k, d, j = indicator.kdj(fast_period=9, slow_period=3, array=True)
k_large_than_d = k[-1] >= d[-1]
##金叉出现
if (k[-1] >= d[-1] and k[-2] <= d[-2]):
previouc_kdj = i
if indicator.count >= 30:
dif, dea, macd_bar = indicator.macd(fast_period=12,
slow_period=26,
signal_period=9,
array=True)
##金叉出现
if (macd_bar[-1] >= 0 and macd_bar[-2] <= 0):
previous_macd = i
if previouc_kdj > 0:
data.count = data.count + 1
if k_large_than_d:
data.k_large_than_d_count = data.k_large_than_d_count + 1
dis = previous_macd - previouc_kdj
if (dis >= 0 and dis < KDJ_DIS_SIZE):
data.kdj_dis[dis] = data.kdj_dis[dis] + 1
return data
class EngineModel2KAlgo1(CoreEngineModel):
def __init__(self):
self.lasted3Bar = np.array([None, None, None])
self.lasted3BarKdj = np.array([None, None, None])
self.sw = SWImpl()
def onCollectStart(self, code: str) -> bool:
from earnmi.chart.Indicator import Indicator
self.indicator = Indicator(40)
self.code = code
return True
def onCollectTrace(self, bar: BarData) -> CollectData:
self.indicator.update_bar(bar)
self.lasted3Bar[:-1] = self.lasted3Bar[1:]
self.lasted3BarKdj[:-1] = self.lasted3BarKdj[1:]
k, d, j = self.indicator.kdj(fast_period=9, slow_period=3)
self.lasted3Bar[-1] = bar
self.lasted3BarKdj[-1] = [k, d, j]
if self.indicator.count >= 15:
from earnmi.chart.KPattern import KPattern
kPatternValue = KPattern.encode2KAgo1(self.indicator)
if not kPatternValue is None:
dimen = Dimension(type=TYPE_2KAGO1, value=kPatternValue)
collectData = CollectData(dimen=dimen)
collectData.occurBars.append(self.lasted3Bar[-2])
collectData.occurBars.append(self.lasted3Bar[-1])
collectData.occurKdj.append(self.lasted3BarKdj[-2])
collectData.occurKdj.append(self.lasted3BarKdj[-1])
return collectData
return None
def onCollect(self, data: CollectData, newBar: BarData) -> bool:
if len(data.occurBars) < 3:
data.occurBars.append(self.lasted3Bar[-1])
data.occurKdj.append(self.lasted3BarKdj[-1])
else:
data.predictBars.append(newBar)
size = len(data.predictBars)
return size >= 2
@abstractmethod
def getYLabelPrice(self, cData: CollectData) -> [float, float, float]:
bars: ['BarData'] = cData.predictBars
if len(bars) > 0:
sell_price = -9999999999
buy_price = -sell_price
for bar in bars:
sell_price = max((bar.high_price + bar.close_price) / 2,
sell_price)
buy_price = min((bar.low_price + bar.close_price) / 2,
buy_price)
return sell_price, buy_price
return None, None
def getYBasePrice(self, cData: CollectData) -> float:
return cData.occurBars[-2].close_price
def generateXFeature(self, cData: CollectData) -> []:
#保证len小于三，要不然就不能作为生成特征值。
if (len(cData.occurBars) < 3):
return None
occurBar = cData.occurBars[-2]
skipBar = cData.occurBars[-1]
kdj = cData.occurKdj[-1]
sell_pct = 100 * ((skipBar.high_price + skipBar.close_price) / 2 -
occurBar.close_price) / occurBar.close_price
buy_pct = 100 * ((skipBar.low_price + skipBar.close_price) / 2 -
occurBar.close_price) / occurBar.close_price
def set_0_between_100(x):
if x > 100:
return 100
if x < 0:
return 0
return x
def percent_to_one(x):
return int(x * 100) / 1000.0
data = []
data.append(percent_to_one(buy_pct))
data.append(percent_to_one(sell_pct))
data.append(set_0_between_100(kdj[0]) / 100)
data.append(set_0_between_100(kdj[2]) / 100)
return data
def onCollectStart(self, code: str) -> bool:
from earnmi.chart.Indicator import Indicator
self.indicator = Indicator(40)
self.code = code
return True
def onStart(self, code: str) -> bool:
self.indicator = Indicator(40)
self.code = code
return True
exchange=Exchange.SSE,
datetime=None,
gateway_name="unkonw",
open_price=883,
high_price=0,
low_price=0)
bar4 = BarData(symbol="test",
exchange=Exchange.SSE,
datetime=None,
gateway_name="unkonw",
open_price=884,
high_price=0,
low_price=0)
indexes = Indicator(100)
assert indexes.inited == False
bars55 = buidildBars(55)
indexes.update_bar(bars55)
assert indexes.count == 55
assert indexes.inited == False
assert indexes.open_array[-1] == 54
assert indexes.open_array[-55] == 0
bars42 = buidildBars(42)
indexes.update_bar(bars42)
assert indexes.count == 97
assert indexes.inited == False
assert indexes.open_array[-1] == 41
assert indexes.open_array[-42] == 0
def generateSWTrainData(kPatterns: [], start: datetime,
end: datetime) -> pd.DataFrame:
sw = SWImpl()
lists = sw.getSW2List()
cloumns = [
"code", "name", "kPattern", "k", "d", "dif", "dea", "macd", "open",
"short", "long"
]
datas = []
kPatternMap = {}
for kPatternValues in kPatterns:
kPatternMap[kPatternValues] = True
macd_list = []
for code in lists:
# for code in lists:
name = sw.getSw2Name(code)
barList = sw.getSW2Daily(code, start, end)
indicator = Indicator(34)
preBar = None
for bar in barList:
##先识别形态
kEncodeValue = None
if indicator.inited:
tmpKEncodeValue = KPattern.encode3KAgo1(indicator)
if kPatternMap.__contains__(tmpKEncodeValue):
kEncodeValue = tmpKEncodeValue
if kEncodeValue is None:
indicator.update_bar(bar)
preBar = bar
continue
##昨天的kdj
k, d, j = indicator.kdj(array=False)
dif, dea, macd = indicator.macd(fast_period=12,
slow_period=26,
signal_period=9,
array=False)
##第二天的收益
short_pct = 100 * ((bar.high_price + bar.close_price) / 2 -
preBar.close_price) / preBar.close_price
long_pct = 100 * ((bar.low_price + bar.close_price) / 2 -
preBar.close_price) / preBar.close_price
open_pct = 100 * (bar.open_price -
preBar.close_price) / preBar.close_price
item = []
item.append(code)
item.append(name)
item.append(kEncodeValue)
item.append(k)
item.append(d)
item.append(dif)
item.append(dea)
item.append(macd)
#下个k线数据
item.append(open_pct)
item.append(short_pct)
item.append(long_pct)
datas.append(item)
macd_list.append(macd)
indicator.update_bar(bar)
preBar = bar
macd_list = np.array(macd_list)
print(
f"total size : {len(datas)},mean ={macd_list.mean()},max={macd_list.max()},min={macd_list.min()}"
)
wxl = pd.DataFrame(datas, columns=cloumns)
return wxl
class Find_KPattern_skip1_predit2(KBarCollector):
print_on_destroy = False
def __init__(self, limit_close_pct=1):
self.limit_close_pct = limit_close_pct
self.success_sell_pct = 2
self.collect_k_count = 0 #收集总数
self.k_count = 0 #满足条件的k线形态总数
self.dataSet = {}
pass
def onCreate(self):
pass
def onStart(self, code: str) -> bool:
self.indicator = Indicator(40)
self.code = code
return True
def collect(self, bar: BarData) -> TraceData:
self.indicator.update_bar(bar)
kPatternValue = KPattern.encode2KAgo1(self.indicator)
if not kPatternValue is None and self.indicator.count > 20:
self.collect_k_count += 1
traceData = Skip1_Predict2_TraceData(kPatternValue, bar)
traceData.code = bar.symbol
return traceData
return None
def __between_0_100(self, value: int):
if value > 100:
return 100
elif value < 0:
return 0
return value
def onTrace(self, traceData: Skip1_Predict2_TraceData, bar: BarData):
startBar = traceData.occurBar
if traceData.skipBar is None:
k, d, j = self.indicator.kdj(fast_period=9,
slow_period=3,
array=False)
k = self.__between_0_100(k)
j = self.__between_0_100(d)
traceData.skipBar = bar
traceData.indicator_k = k
traceData.indicator_j = j
close_pct = 100 * (bar.close_price -
startBar.close_price) / startBar.close_price
if abs(close_pct) > self.limit_close_pct:
traceData.isWanted = False
traceData.finished = True
return
sell_pct = 100 * ((bar.high_price + bar.close_price) / 2 -
startBar.close_price) / startBar.close_price
buy_pct = 100 * ((bar.low_price + bar.close_price) / 2 -
startBar.close_price) / startBar.close_price
traceData.sell_pct = max(sell_pct, traceData.sell_pct)
traceData.buy_pct = min(buy_pct, traceData.buy_pct)
traceData.predictBars.append(bar)
if (len(traceData.predictBars) >= 2):
traceData.isWanted = True
traceData.finished = True
pass
def newCountData(self) -> CountData:
dataItem = CountData()
dataItem.count_total = 0
dataItem.pct_total = 0
dataItem.count_earn = 0
dataItem.pct_earn = 0
return dataItem
def onTraceFinish(self, traceData: Skip1_Predict2_TraceData):
if (not traceData.isWanted):
return
dataItem: CountData = self.dataSet.get(traceData.kPatternValue)
if dataItem is None:
dataItem = self.newCountData()
self.dataSet[traceData.kPatternValue] = dataItem
self.doWantedTraceData(traceData, dataItem)
pass
def doWantedTraceData(self, traceData: Skip1_Predict2_TraceData,
countData: CountData):
pct = traceData.sell_pct
self.k_count += 1
countData.count_total += 1
countData.pct_total += pct
isSuccess = pct >= self.success_sell_pct
if isSuccess:
countData.count_earn += 1
countData.pct_earn += pct
def onEnd(self, code: str):
pass
def onDestroy(self):
if not self.print_on_destroy:
return
dataSet = self.dataSet
print(
f"总共收集{self.collect_k_count}个形态，共{self.k_count}个满足条件，识别出{len(dataSet)}类形态，有意义的形态有："
)
max_succ_rate = 0
min_succ_rate = 100
ret_list = []
occur_count = 0
for key, dataItem in dataSet.items():
success_rate = 100 * dataItem.count_earn / dataItem.count_total
if dataItem.count_total < 300:
continue
# if success_rate < 40:
# continue
ret_list.append(key)
if dataItem.count_earn > 0:
earn_pct = dataItem.pct_earn / dataItem.count_earn
else:
earn_pct = 0
avg_pct = dataItem.pct_total / dataItem.count_total
occur_count += dataItem.count_total
occur_rate = 100 * dataItem.count_total / self.collect_k_count
max_succ_rate = max(success_rate, max_succ_rate)
min_succ_rate = min(success_rate, min_succ_rate)
print(
f"{key}： total={dataItem.count_total},suc=%.2f%%,occur_rate=%.2f%%,earn_pct:%.2f%%,avg_pct:%.2f%%)"
% (success_rate, occur_rate, earn_pct, avg_pct))
total_occur_rate = 100 * occur_count / self.collect_k_count
print(
f"总共：occur_rate=%.2f%%, min_succ_rate=%.2f%%, max_succ_rate=%.2f%%"
% (total_occur_rate, min_succ_rate, max_succ_rate))
print(f"{ret_list}")
def onStart(self, code: str) -> bool:
self.indicator = Indicator(40)
self.traceCode = code
self.traceName = self.sw.getSw2Name(code)
return True
class MyPattherCollector(KPatternCollector):
# 收集指定的k线
collectKPatternOnly = True
KPattern: [] = [712]
pct_split = [-7, -5, -3, -1.5, -0.5, 0.5, 1.5, 3, 5, 7]
# pct_split = [-7, -5, -3, -1.0, 0, 1, 3, 5, 7]
# pct_split = [-0.5,0.5]
pctEncoder = FloatEncoder(pct_split)
def __init__(self):
self.kPattersMap = {}
self.sw = SWImpl()
self.dataSet = []
for value in self.KPattern:
self.kPattersMap[value] = True
def onStart(self, code: str) -> bool:
self.indicator = Indicator(40)
self.traceCode = code
self.traceName = self.sw.getSw2Name(code)
return True
"""
检查是否追踪某个k线形态，是的话，创建一个最终值对象。
"""
def checkIfTrace(self, newBar: BarData) -> TraceIn3DayItem:
self.indicator.update_bar(newBar)
kEncodeValue = KPattern.encode2KAgo1(self.indicator)
if kEncodeValue is None:
return None
if self.collectKPatternOnly and self.kPattersMap.get(
kEncodeValue) is None:
return None
return TraceIn3DayItem(kEncodeValue, newBar)
def onTraceFinish(self, traceItem: TraceIn3DayItem):
if traceItem.isWanted():
##收集数据。
data = []
data.append(self.traceCode)
data.append(self.traceName)
data.append(traceItem.kPattern)
data.append(traceItem.first_buy_pct)
data.append(traceItem.fisrt_sell_pct)
data.append(traceItem.current_sell_pct)
data.append(traceItem.current_buy_pct)
self.dataSet.append(data)
def onDestroy(self):
import pandas as pd
cloumns = [
"code", "name", "kPattern", "buy_price", "sell_price",
"label_sell_price", "label_buy_price"
]
wxl = pd.DataFrame(self.dataSet, columns=cloumns)
writer = pd.ExcelWriter('files/sw_train_data_sample.xlsx')
wxl.to_excel(writer, sheet_name="sample", index=False)
writer.save()
writer.close()
print(f"dataSize = {len(self.dataSet)}")
def printKPatterMoreDetail(kPatters=[
535, 359, 1239, 1415, 1072, 712, 1412, 1240, 1413, 888, 2823, 706, 1414,
1064
]):
from vnpy.trader.constant import Exchange
from vnpy.trader.constant import Interval
sw = SWImpl()
lists = sw.getSW2List()
start = datetime(2014, 5, 1)
end = datetime(2020, 8, 17)
pct_split = [-7, -5, -3, -1.5, -0.5, 0.5, 1.5, 3, 5, 7]
#pct_split = [-7, -5, -3, -1.0, 0, 1, 3, 5, 7]
pct_split = [2]
pctEncoder = FloatEncoder(pct_split)
kPattersMap = {}
for value in kPatters:
kPattersMap[value] = True
class InnerData(object):
kValue: int ##
sell_disbute = np.zeros(pctEncoder.mask()) ##卖方力量分布情况
buy_disbute = np.zeros(pctEncoder.mask()) #买方力量分布情况
pass
dataSet = {}
occurDayMap = {}
allTrayDay = 1
for code in lists:
# for code in lists:
barList = sw.getSW2Daily(code, start, end)
indicator = Indicator(40)
traceItems: ['TraceIn3DayItem'] = []
allTrayDay = max(allTrayDay, len(barList))
for bar in barList:
###跟踪数据
toDeleteList = []
for traceItem in traceItems:
traceItem.onTraceBar(bar)
if traceItem.isFinished():
toDeleteList.append(traceItem)
if traceItem.isWanted():
occurBar = traceItem.firstBar
dayKey = occurBar.datetime.year * 13 * 35 + occurBar.datetime.month * 13 + occurBar.datetime.day
occurDayMap[dayKey] = True
###归纳到统计里面
innerData: InnerData = dataSet.get(traceItem.kPattern)
if innerData is None:
innerData = InnerData()
innerData.kValue = traceItem.kPattern
dataSet[traceItem.kPattern] = innerData
sell_pct = traceItem.current_sell_pct
buy_pct = traceItem.current_buy_pct
innerData.buy_disbute[pctEncoder.encode(buy_pct)] += 1
innerData.sell_disbute[pctEncoder.encode(
sell_pct)] += 1
pass
for traceItem in toDeleteList:
traceItems.remove(traceItem)
indicator.update_bar(bar)
kEncodeValue = KPattern.encode2KAgo1(indicator)
if kEncodeValue is None or kPattersMap.get(kEncodeValue) is None:
continue
traceItem = TraceIn3DayItem(kEncodeValue, bar)
traceItems.append(traceItem)
print(f"所有交易日中，有意义的k线形态出现占比：%.2f%%" %
(100 * len(occurDayMap) / allTrayDay))
for kValue, dataItem in dataSet.items():
total_count1 = 0
total_count2 = 0
for cnt in dataItem.sell_disbute:
total_count1 += cnt
for cnt in dataItem.buy_disbute:
total_count2 += cnt
assert total_count1 == total_count2
assert total_count1 > 0
print(f"\n\nk:%6d, " % (kValue))
print(f" 卖方价格分布：")
for encode in range(0, len(dataItem.sell_disbute)):
occurtRate = 100 * dataItem.sell_disbute[encode] / total_count1
print(f" {pctEncoder.descriptEncdoe(encode)}：%.2f%%" %
(occurtRate))
print(f" 买方价格分布：")
for encode in range(0, len(dataItem.buy_disbute)):
occurtRate = 100 * dataItem.buy_disbute[encode] / total_count1
print(f" {pctEncoder.descriptEncdoe(encode)}：%.2f%%" %
(occurtRate))
pass
def run(self, bars: list, item: IndicatorItem = None):
if (bars[0].datetime > bars[-1].datetime):
bars = bars.__reversed__()
data = []
index = []
indicator = Indicator()
### 初始化columns
columns = ['Open', 'High', 'Low', 'Close', "Volume"]
holdbarMaker: HoldBarMaker = None
if not item is None:
holdbarMaker = item._holdbarMaker
if not holdbarMaker is None:
holdbarMaker.reset()
item_names = item.getNames()
item_size = len(item_names)
for i in range(item_size):
columns.append(item_names[i])
columns.append("signal_buy")
columns.append("signal_sell")
columns.append("signal_redTag")
item_signal_buy_open = False
item_signal_sell_open = False
item_signal_redTag_open = False
item_signal = Signal()
##current_hold_bar: HoldBar = None
has_buy = False
for bar in bars:
index.append(bar.datetime)
list = [
bar.open_price, bar.high_price, bar.low_price, bar.close_price,
bar.volume
]
indicator.update_bar(bar)
if not item is None:
item_names = item.getNames()
item_size = len(item_names)
item_signal.reset()
item_signal.hasBuy = has_buy
item_value = item.getValues(indicator, bar, item_signal)
for i in range(item_size):
list.append(item_value[item_names[i]])
if item_signal.buy:
list.append(bar.low_price * 0.99)
item_signal_buy_open = True
has_buy = True
##生成一个新的holdbar。
if not holdbarMaker is None:
holdbarMaker.onHoldStart(bar)
else:
##更新holdBar
if not holdbarMaker is None:
holdbarMaker.onHoldUpdate(bar)
list.append(np.nan)
if item_signal.sell:
list.append(bar.high_price * 1.01)
item_signal_sell_open = True
has_buy = False
##结束目前的HoldBar
if not holdbarMaker is None:
holdbarMaker.onHoldEnd()
else:
list.append(np.nan)
if item_signal.redTag:
item_signal_redTag_open = True
list.append(bar.low_price * 0.99)
else:
list.append(np.nan)
data.append(list)
trades = pd.DataFrame(data, index=index, columns=columns)
return trades, item_signal_buy_open, item_signal_sell_open, item_signal_redTag_open
def findKPatternThatIn3Day(first_day_pct: float = 3, targe_pct=3):
sw = SWImpl()
lists = sw.getSW2List()
start = datetime(2014, 5, 1)
end = datetime(2020, 8, 17)
dataSet = {}
total_count = 0
for code in lists:
# for code in lists:
barList = sw.getSW2Daily(code, start, end)
indicator = Indicator(40)
traceItems: ['TraceIn3DayItem'] = []
for bar in barList:
###跟踪数据
toDeleteList = []
for traceItem in traceItems:
traceItem.onTraceBar(bar)
if traceItem.isFinished():
toDeleteList.append(traceItem)
if traceItem.isWanted():
###归纳到统计里面
dataItem: CountItem = dataSet.get(traceItem.kPattern)
if dataItem is None:
dataItem = CountItem()
dataSet[traceItem.kPattern] = dataItem
pct = traceItem.current_sell_pct
total_count += 1
dataItem.count_total += 1
dataItem.pct_total += pct
if traceItem.isSuccess():
dataItem.count_earn += 1
dataItem.pct_earn += pct
pass
for traceItem in toDeleteList:
traceItems.remove(traceItem)
indicator.update_bar(bar)
kEncodeValue = KPattern.encode2KAgo1(indicator)
if kEncodeValue is None:
continue
traceItem = TraceIn3DayItem(kEncodeValue, bar)
traceItems.append(traceItem)
##打印当前形态
occur_count = 0
print(f"总共分析{total_count}个形态，识别出{len(dataSet)}个形态，有意义的形态有：")
max_succ_rate = 0
min_succ_rate = 100
ret_list = []
for key, dataItem in dataSet.items():
success_rate = 100 * dataItem.count_earn / dataItem.count_total
if dataItem.count_total < 300:
continue
if success_rate < 40:
continue
ret_list.append(key)
if dataItem.count_earn > 0:
earn_pct = dataItem.pct_earn / dataItem.count_earn
else:
earn_pct = 0
avg_pct = dataItem.pct_total / dataItem.count_total
occur_count += dataItem.count_total
occur_rate = 100 * dataItem.count_total / total_count
max_succ_rate = max(success_rate, max_succ_rate)
min_succ_rate = min(success_rate, min_succ_rate)
print(
f"{key}： total={dataItem.count_total},suc=%.2f%%,occur_rate=%.2f%%,earn_pct:%.2f%%,avg_pct:%.2f%%)"
% (success_rate, occur_rate, earn_pct, avg_pct))
total_occur_rate = 100 * occur_count / total_count
print(f"总共：occur_rate=%.2f%%, min_succ_rate=%.2f%%, max_succ_rate=%.2f%%" %
(total_occur_rate, min_succ_rate, max_succ_rate))
print(f"{ret_list}")
class KDJMovementEngineModel(CoreEngineModel):
def __init__(self):
self.lasted15Bar = np.array([
None, None, None, None, None, None, None, None, None, None, None,
None, None, None, None
])
self.lasted3BarKdj = np.array([None, None, None])
self.lasted3BarMacd = np.array([None, None, None])
self.lasted3BarArron = np.array([None, None])
self.kdjEncoder = FloatEncoder([15, 30, 45, 60, 75, 90])
self.mDateOccurCountMap = {} ##统计产生收集个数的次数
self.sw = SWImpl()
def onCollectStart(self, code: str) -> bool:
from earnmi.chart.Indicator import Indicator
self.indicator = Indicator(34)
self.code = code
return True
def onCollectTrace(self, bar: BarData) -> CollectData:
self.indicator.update_bar(bar)
self.lasted15Bar[:-1] = self.lasted15Bar[1:]
self.lasted3BarKdj[:-1] = self.lasted3BarKdj[1:]
self.lasted3BarMacd[:-1] = self.lasted3BarMacd[1:]
self.lasted3BarArron[:-1] = self.lasted3BarArron[1:]
k, d, j = self.indicator.kdj(fast_period=9, slow_period=3)
dif, dea, mBar = self.indicator.macd(fast_period=12,
slow_period=26,
signal_period=9)
aroon_down, aroon_up = self.indicator.aroon(n=14)
self.lasted15Bar[-1] = bar
self.lasted3BarKdj[-1] = [k, d, j]
self.lasted3BarMacd[-1] = [dif, dea, mBar]
self.lasted3BarArron[-1] = [aroon_down, aroon_up]
if self.indicator.count <= 15:
return None
#最近15天之内不含停牌数据
if not BarUtils.isAllOpen(self.lasted15Bar):
return None
#交易日天数间隔超过5天的数据
if BarUtils.getMaxIntervalDay(self.lasted15Bar) >= 5:
return None
timeKey = utils.to_start_date(bar.datetime)
if self.mDateOccurCountMap.get(timeKey) is None:
self.mDateOccurCountMap[timeKey] = 0
if self.indicator.count >= 30:
k0, d0, j0 = self.lasted3BarKdj[-2]
k1, d1, j1 = self.lasted3BarKdj[-1]
#金叉产生
goldCross = k0 < d0 and k1 >= d1
if not goldCross:
return None
kPatternValue = KPattern.encode3KAgo1(self.indicator)
if not kPatternValue is None:
self.mDateOccurCountMap[timeKey] += 1
dimen = Dimension(type=TYPE_2KAGO1, value=kPatternValue)
collectData = CollectData(dimen=dimen)
collectData.occurBars = list(self.lasted15Bar[-3:])
collectData.occurKdj = list(self.lasted3BarKdj)
collectData.occurExtra['lasted3BarMacd'] = self.lasted3BarMacd
collectData.occurExtra[
'lasted3BarArron'] = self.lasted3BarArron
return collectData
return None
def onCollect(self, data: CollectData, newBar: BarData):
#不含停牌数据
if not BarUtils.isOpen(newBar):
data.setValid(False)
return
data.predictBars.append(newBar)
size = len(data.predictBars)
if size >= 5:
data.setFinished()
def getYLabelPct(self, cData: CollectData) -> [float, float]:
if len(cData.predictBars) < 5:
#不能作为y标签。
return None, None
bars: ['BarData'] = cData.predictBars
basePrice = self.getYBasePrice(cData)
highIndex = 0
lowIndex = 0
highBar = cData.predictBars[0]
lowBar = cData.predictBars[0]
sell_pct = 100 * ((highBar.high_price + highBar.close_price) / 2 -
basePrice) / basePrice
buy_pct = 100 * ((lowBar.low_price + lowBar.close_price) / 2 -
basePrice) / basePrice
for i in range(1, len(cData.predictBars)):
bar: BarData = cData.predictBars[i]
_s_pct = 100 * (
(bar.high_price + bar.close_price) / 2 - basePrice) / basePrice
_b_pct = 100 * (
(bar.low_price + bar.close_price) / 2 - basePrice) / basePrice
if _s_pct > sell_pct:
sell_pct = _s_pct
highIndex = i
if _b_pct < buy_pct:
buy_pct = _b_pct
lowIndex = i
return sell_pct, buy_pct
def getYBasePrice(self, cData: CollectData) -> float:
##以金叉发生的当前收盘价作为基准值。
return cData.occurBars[-2].close_price
def generateXFeature(self, cData: CollectData) -> []:
#保证len小于三，要不然就不能作为生成特征值。
if (len(cData.occurBars) < 3):
return None
basePrcie = self.getYBasePrice(cData)
##使用随机森林，所以不需要标准化和归一化
goldCrossBar = cData.occurBars[-2]
god_cross_dif, god_cross_dea, god_cross_macd = cData.occurExtra.get(
'lasted3BarMacd')[-2]
god_cross_dif = 100 * god_cross_dif / basePrcie
god_cross_dea = 100 * god_cross_dea / basePrcie
k, d, j = cData.occurKdj[-2]
def getSellBuyPct(bar: BarData):
s_pct = 100 * (
(bar.high_price + bar.close_price) / 2 - basePrcie) / basePrcie
b_pct = 100 * (
(bar.low_price + bar.close_price) / 2 - basePrcie) / basePrcie
return s_pct, b_pct
s_pct_1, b_pct_1 = getSellBuyPct(cData.occurBars[-3])
s_pct_2, b_pct_2 = getSellBuyPct(cData.occurBars[-2])
s_pct_3, b_pct_3 = getSellBuyPct(cData.occurBars[-1])
data = []
data.append(god_cross_dif)
data.append(god_cross_dea)
data.append(k)
data.append(d)
data.append(s_pct_1)
data.append(b_pct_1)
data.append(s_pct_2)
data.append(b_pct_2)
data.append(s_pct_3)
data.append(b_pct_3)
return data
def on_bar_per_minute(self, time: datetime, protfolio: Portfolio):
"""
市场开市后的每分钟。
"""
#每天两点半的后尝试去做交易。
if time.hour == 14 and time.minute == 30:
self.__history_bar100 = self.market.getHistory().getKbars(
self.code, 100)
assert len(self.__history_bar100) == 100
bars = self.__history_bar100
todayBar = self.market.getRealTime().getKBar(self.code)
indicator = Indicator(40)
indicator.update_bar(bars)
dif, dea, macd_bar = indicator.macd(fast_period=12,
slow_period=26,
signal_period=9,
array=True)
if (not self.today_has_buy):
# 预测金叉
todayBar.close_price = todayBar.close_price * 1.01
indicator.update_bar(todayBar)
dif, dea, predict_macd_bar = indicator.macd(fast_period=12,
slow_period=26,
signal_period=9,
array=True)
print(
f"[{self.market.getToday()}]:bar={macd_bar[-1]},predic_bar={predict_macd_bar[-1]}"
)
if (predict_macd_bar[-1] > 0 and macd_bar[-1] <= 0):
targetPrice = todayBar.close_price # 上一个交易日的收盘价作为买如价
print(f" gold cross!!!")
if protfolio.buy(self.code, targetPrice, 100):
self.today_has_buy = True
elif (not self.today_has_sell):
todayBar.close_price = todayBar.close_price * 0.99
indicator.update_bar(todayBar)
dif, dea, predict_macd_bar = indicator.macd(fast_period=12,
slow_period=26,
signal_period=9,
array=True)
print(
f"[{self.market.getToday()}]:bar={macd_bar[-1]},predic_bar={predict_macd_bar[-1]}"
)
if (predict_macd_bar[-1] <= 0 and macd_bar[-1] > 0):
targetPrice = todayBar.close_price
print(f" dead cross!!!")
if protfolio.sell(self.code, targetPrice, 100):
self.today_has_sell = True
