def analyze(): ta = ana.EventAnalyzer() ds = RemoteDataService() ds.init_from_config(data_config) ta.initialize(data_server_=ds, file_folder=result_dir_path) ta.do_analyze(result_dir=result_dir_path, selected_sec=[])
def analyze(): ta = ana.EventAnalyzer() dv = EventDataView() dv.load_dataview(dataview_dir_path) ta.initialize(dataview=dv, file_folder=result_dir_path) ta.do_analyze(result_dir=result_dir_path, selected_sec=backtest_props['symbol'].split(','))
def do_analyze(): from jaqs.trade.analyze.analyze import TradeRecordEmptyError ta = ana.EventAnalyzer() ds = RemoteDataService() ds.init_from_config(data_config) try: ta.initialize(data_server_=ds, file_folder=result_dir_path) ta.do_analyze(result_dir=result_dir_path, selected_sec=[]) except TradeRecordEmptyError: pass
def run_strategy(): start_date = 20150501 end_date = 20171030 index = '399975.SZ' ds = RemoteDataService() ds.init_from_config(data_config) symbol_list = ds.get_index_comp(index, start_date, start_date) # add the benchmark index to the last position of symbol_list symbol_list.append(index) props = { "symbol": ','.join(symbol_list), "start_date": start_date, "end_date": end_date, "bar_type": "1d", "init_balance": 1e7, "std multiplier": 1.5, "m": 10, "n": 60, "commission_rate": 2E-4 } props.update(data_config) props.update(trade_config) tapi = BacktestTradeApi() ins = EventBacktestInstance() strat = SectorRolling() pm = PortfolioManager() context = model.Context(data_api=ds, trade_api=tapi, instance=ins, strategy=strat, pm=pm) ins.init_from_config(props) ins.run() ins.save_results(folder_path=result_dir_path) ta = ana.EventAnalyzer() ta.initialize(data_server_=ds, file_folder=result_dir_path) df_bench, _ = ds.daily(index, start_date=start_date, end_date=end_date) ta.data_benchmark = df_bench.set_index('trade_date').loc[:, ['close']] ta.do_analyze(result_dir=result_dir_path, selected_sec=props['symbol'].split(',')[:2])
def run_strategy(): if is_backtest: """ 回测模式 """ ds = RemoteDataService() ds.init_from_config(data_config) symbol_list = ds.query_index_member(index, start_date, end_date) # symbol_list = ['600887.SH'] # symbol_list = sample(symbol_list, 20) print(symbol_list) # add the benchmark index to the last position of symbol_list symbol_list.append(index) props = {"symbol": ','.join(symbol_list), "holding_Count": 15, "start_date": start_date, "end_date": end_date, "bar_type": "1d", # '1d' "init_balance": 300000, "commission_rate": 2E-4} tapi = BacktestTradeApi() ins = EventBacktestInstance() else: """ 实盘/仿真模式 """ props = {'symbol': '600519.SH', "fast_ma_length": 5, "slow_ma_length": 15, 'strategy.no': 1062} tapi = RealTimeTradeApi(trade_config) ins = EventLiveTradeInstance() props.update(data_config) props.update(trade_config) ds = RemoteDataService() strat = RNNStrategy() pm = PortfolioManager() context = model.Context(data_api=ds, trade_api=tapi, instance=ins, strategy=strat, pm=pm) ins.init_from_config(props) if not is_backtest: ds.subscribe(props['symbol']) ins.run() if not is_backtest: time.sleep(9999) ins.save_results(folder_path=result_dir_path) ta = ana.EventAnalyzer() ds = RemoteDataService() ds.init_from_config(data_config) ta.initialize(data_server_=ds, file_folder=result_dir_path) df_bench, _ = ds.daily(index, start_date=start_date, end_date=end_date) ta.data_benchmark = df_bench.set_index('trade_date').loc[:, ['close']] temp = pd.read_csv(result_dir_path + '/trades.csv') symbols = set(temp['symbol'].unique()) print(symbols) ta.do_analyze(result_dir=result_dir_path, selected_sec=list(symbols))