def getmultiStlMonthParameter(strategyName, sltlist, symbolinfo, K_MIN,
parasetlist, folderpath, startmonth, endmonth):
colslist = mtf.getColumnsName(True)
resultfilesuffix = ' result_multiSLT.csv'
# 先生成参数列表
allSltSetList = [] # 这是一个二维的参数列表，每一个元素是一个止损目标的参数dic列表
for slt in sltlist:
sltset = []
for t in slt['paralist']:
sltset.append({'name': slt['name'], 'sltValue': t})
allSltSetList.append(sltset)
finalSltSetList = [] # 二维数据，每个一元素是一个多个止损目标的参数dic组合
for sltpara in allSltSetList[0]:
finalSltSetList.append([sltpara])
for i in range(1, len(allSltSetList)):
tempset = allSltSetList[i]
newset = []
for o in finalSltSetList:
for t in tempset:
newset.append(o + [t])
finalSltSetList = newset
for sltset in finalSltSetList:
newfolder = ''
for sltp in sltset:
newfolder += (sltp['name'] + '_%.3f' % (sltp['sltValue']))
rawdatapath = folderpath + newfolder + '\\'
df = mtf.getMonthParameter(strategyName, startmonth, endmonth,
symbolinfo, K_MIN, parasetlist, rawdatapath,
colslist, resultfilesuffix)
filenamehead = ("%s%s_%s_%d_%s_parameter_%s" %
(rawdatapath, strategyName, symbolinfo.domain_symbol,
K_MIN, endmonth, newfolder))
df.to_csv(filenamehead + '.csv')
def getfrslMonthParameter(strategyName,frsl_dic_list,symbolinfo, K_MIN, parasetlist, folderpath, startmonth, endmonth):
colslist = mtf.getColumnsName(True)
resultfilesuffix = 'resultFRSL_by_tick.csv'
for frsl_dic in frsl_dic_list:
rawdatapath = folderpath + "FixRateStopLoss%s\\" % frsl_dic['para_name']
df = mtf.getMonthParameter(strategyName, startmonth, endmonth, symbolinfo, K_MIN, parasetlist, rawdatapath,colslist, resultfilesuffix)
filenamehead = ("%s%s_%s_%d_%s_parameter_frsl_%s" % (rawdatapath, strategyName,symbolinfo.domain_symbol, K_MIN, endmonth, frsl_dic['para_name']))
df.to_csv(filenamehead + '.csv')
def getDslMonthParameter(strategyName,dslset,symbolinfo, K_MIN, parasetlist, folderpath, startmonth, endmonth):
colslist = mtf.getColumnsName(True)
resultfilesuffix = ' resultDSL_by_tick.csv'
for dslTarget in dslset:
rawdatapath = folderpath + "DynamicStopLoss%s\\" % dslTarget['para_name']
df = mtf.getMonthParameter(strategyName, startmonth, endmonth, symbolinfo, K_MIN, parasetlist, rawdatapath,colslist, resultfilesuffix)
filenamehead = ("%s%s_%s_%d_%s_parameter_dsl_%s" % (rawdatapath,strategyName, symbolinfo.domain_symbol, K_MIN, endmonth,dslTarget['para_name']))
df.to_csv(filenamehead + '.csv')
def getownlMonthParameter(strategyName,ownlset,symbolinfo, K_MIN, parasetlist, folderpath, startmonth, endmonth):
colslist = mtf.getColumnsName(True)
resultfilesuffix = ' resultOWNL_by_tick.csv'
for ownlTarget in ownlset:
rawdatapath = folderpath + "OnceWinNoLoss%s\\" % ownlTarget['para_name']
df = mtf.getMonthParameter(strategyName, startmonth, endmonth, symbolinfo, K_MIN, parasetlist, rawdatapath,colslist, resultfilesuffix)
filenamehead = ("%s%s_%s_%d_%s_parameter_ownl_%s" % (rawdatapath, strategyName,symbolinfo.domain_symbol, K_MIN, endmonth,ownlTarget['para_name']))
df.to_csv(filenamehead + '.csv')
def getownlForward(ownlset,symbol, K_MIN, parasetlist, folderpath, startdate, enddate, nextmonth, windowsSet):
print ('OWNL forward start!')
colslist = mtf.getColumnsName(True)
resultfilesuffix = 'resultOWNL_by_tick.csv'
for ownlTarget in ownlset:
rawdatapath = folderpath + "OnceWinNoLoss" + str(ownlTarget*1000) + '\\'
getForward(symbol, K_MIN, parasetlist, rawdatapath, startdate, enddate, nextmonth, windowsSet, colslist,resultfilesuffix)
print ('OWNL forward finished!')
def getDslForward(dslset,symbol, K_MIN, parasetlist, folderpath, startdate, enddate, nextmonth, windowsSet):
print ('DSL forward start!')
colslist = mtf.getColumnsName(True)
resultfilesuffix = 'resultDSL_by_tick.csv'
for dslTarget in dslset:
rawdatapath = folderpath + "DynamicStopLoss" + str(dslTarget * 1000) + '\\'
getForward(symbol, K_MIN, parasetlist, rawdatapath, startdate, enddate, nextmonth, windowsSet, colslist,resultfilesuffix)
print ('DSL forward finished!')
def getdsl_ownlMonthParameter(strategyName,dsl_ownl_list,symbolinfo, K_MIN, parasetlist, folderpath, startmonth, endmonth):
colslist = mtf.getColumnsName(True)
resultfilesuffix = ' result_dsl_ownl.csv'
for dsl_ownl in dsl_ownl_list:
newfolder = ("dsl_%.3f_ownl_%.3f\\" % (dsl_ownl[0], dsl_ownl[1]))
rawdatapath = folderpath + newfolder # ！！正常:'\\'，双止损：填上'\\+双止损目标文件夹\\'
df = mtf.getMonthParameter(strategyName, startmonth, endmonth, symbolinfo, K_MIN, parasetlist, rawdatapath,colslist, resultfilesuffix)
filenamehead = ("%s%s_%s_%d_%s_parameter_dsl_%.3f_ownl_%.3f" % (rawdatapath,strategyName,symbolinfo.domain_symbol, K_MIN, endmonth,dsl_ownl[0], dsl_ownl[1]))
df.to_csv(filenamehead + '.csv')
def getdsl_ownlForward(dsl_ownl_list,symbol, K_MIN, parasetlist, folderpath, startdate, enddate, nextmonth, windowsSet):
print ('DSL_OWNL forward start!')
colslist = mtf.getColumnsName(True)
resultfilesuffix = 'result_dsl_ownl.csv'
for dsl_ownl in dsl_ownl_list:
newfolder = ("dsl_%.3f_ownl_%.3f\\" % (dsl_ownl[0], dsl_ownl[1]))
rawdatapath = folderpath + newfolder # ！！正常:'\\'，双止损：填上'\\+双止损目标文件夹\\'
getForward(symbol, K_MIN, parasetlist, rawdatapath, startdate, enddate, nextmonth, windowsSet, colslist, resultfilesuffix)
print ('DSL_OWNL forward finished!')
def getownlForward(strategyName, ownlset, symbolinfo, K_MIN, parasetlist,
folderpath, startdate, enddate, nextmonth, windowsSet,
result_para_dic):
print('OWNL forward start!')
colslist = mtf.getColumnsName(True)
resultfilesuffix = 'resultOWNL_by_tick.csv'
indexcolsFlag = True
for ownlTarget in ownlset:
rawdatapath = folderpath + "OnceWinNoLoss%.1f\\" % (ownlTarget * 1000)
getForward(strategyName, symbolinfo, K_MIN, parasetlist, rawdatapath,
startdate, enddate, nextmonth, windowsSet, colslist,
result_para_dic, indexcolsFlag, resultfilesuffix)
print('OWNL forward finished!')
def getDslForward(strategyName, dslset, symbolinfo, K_MIN, parasetlist,
folderpath, startdate, enddate, nextmonth, windowsSet,
result_para_dic):
print('DSL forward start!')
colslist = mtf.getColumnsName(True)
resultfilesuffix = 'resultDSL_by_tick.csv'
indexcolsFlag = True
for dslTarget in dslset:
rawdatapath = folderpath + "DynamicStopLoss%.1f\\" % (dslTarget * 1000)
getForward(strategyName, symbolinfo, K_MIN, parasetlist, rawdatapath,
startdate, enddate, nextmonth, windowsSet, colslist,
result_para_dic, indexcolsFlag, resultfilesuffix)
print('DSL forward finished!')
def gownl_forward(strategyName, para_dic_list, symbolinfo, K_MIN, parasetlist,
folderpath, startdate, enddate, nextmonth, windowsSet,
result_para_dic):
print('GOWNL forward start!')
colslist = mtf.getColumnsName(True)
resultfilesuffix = 'resultGOWNL_by_tick.csv'
indexcolsFlag = True
for para_dic in para_dic_list:
rawdatapath = folderpath + "GOWNL%s\\" % para_dic['para_name']
getForward(strategyName, symbolinfo, K_MIN, parasetlist, rawdatapath,
startdate, enddate, nextmonth, windowsSet, colslist,
result_para_dic, indexcolsFlag, resultfilesuffix)
print('GOWNL forward finished!')
def getMultiSltForward(strategyName, sltlist, symbolinfo, K_MIN, parasetlist,
folderpath, startdate, enddate, nextmonth, windowsSet,
result_para_dic):
'''
混合止损推进
'''
print('multiSLT forward start!')
colslist = mtf.getColumnsName(True)
resultfilesuffix = 'result_multiSLT.csv'
indexcolsFlag = True
# 先生成参数列表
allSltSetList = [] # 这是一个二维的参数列表，每一个元素是一个止损目标的参数dic列表
for slt in sltlist:
sltset = []
for t in slt['paralist']:
sltset.append({
'name':
slt['name'],
'sltValue':
t, # t是一个参数字典
'folder': ("%s%s\\" % (slt['folderPrefix'], t['para_name'])),
'fileSuffix':
slt['fileSuffix']
})
allSltSetList.append(sltset)
finalSltSetList = [] # 二维数据，每个一元素是一个多个止损目标的参数dic组合
for sltpara in allSltSetList[0]:
finalSltSetList.append([sltpara])
for i in range(1, len(allSltSetList)):
tempset = allSltSetList[i]
newset = []
for o in finalSltSetList:
for t in tempset:
newset.append(o + [t])
finalSltSetList = newset
print finalSltSetList
for sltset in finalSltSetList:
newfolder = ''
for sltp in sltset:
v = sltp['sltValue']
newfolder += "{}_{} ".format(sltp['name'], v["para_name"])
rawdatapath = folderpath + newfolder + '\\'
print("multiSTL Target:%s" % newfolder)
getForward(strategyName, symbolinfo, K_MIN, parasetlist, rawdatapath,
startdate, enddate, nextmonth, windowsSet, colslist,
result_para_dic, indexcolsFlag, resultfilesuffix)
print('multiSTL forward finished!')
ownlStep = Parameter.ownlStep_forward
winSwitchList = np.arange(Parameter.ownlTargetStart_forward,
Parameter.ownltargetEnd_forward,
ownlStep)
sltlist.append({'name': 'ownl', 'paralist': winSwitchList})
if frsl:
frslStep = Parameter.frslStep_forward
fixRateList = np.arange(Parameter.frslTargetStart_forward,
Parameter.frslTragetEnd_forward, frslStep)
sltlist.append({'name': 'frsl', 'paralist': fixRateList})
getmultiStlMonthParameter(strategyName, sltlist, symbolinfo, K_MIN,
parasetlist, folderpath, startmonth,
newmonth)
else:
if commonForward:
colslist = mtf.getColumnsName(False)
resultfilesuffix = ' result.csv'
df = mtf.getMonthParameter(strategyName, startmonth, newmonth,
symbolinfo, K_MIN, parasetlist,
foldername, colslist, resultfilesuffix)
filenamehead = (
"%s_%s_%d_%s_parameter_common" %
(strategyName, symbolinfo.domain_symbol, K_MIN, newmonth))
df.to_csv(filenamehead + '.csv')
if dsl:
dslStep = Parameter.dslStep_forward
stoplossList = np.arange(Parameter.dslTargetStart_forward,
Parameter.dslTargetEnd_forward, dslStep)
getDslMonthParameter(strategyName, stoplossList, symbolinfo, K_MIN,
parasetlist, folderpath, startmonth, newmonth)
ownl = False
dslownl = False
dslTarget = -0.022
ownlTarget = 0.009
#=============================================================================================================
#newresult = True #！！正常:False，双止损:True
if dsl:
resultfilesuffix = 'resultDSL_by_tick.csv' # 前面不带空格,正常:result.csv,dsl:resultDSL_by_tick.csv,ownl:resultOWNL_by_tick.csv
elif ownl:
resultfilesuffix = 'resultOWNL_by_tick.csv' # 前面不带空格,正常:result.csv,dsl:resultDSL_by_tick.csv,ownl:resultOWNL_by_tick.csv
elif dslownl:
resultfilesuffix = 'result_dsl_ownl.csv'
else:
resultfilesuffix = 'result.csv'
#monthlyretrsuffix = 'monthly_retr_new.csv' # 前面不带下划线,正常:monthly_retr.csv,双止损:monthly_retr_new.csv
colslist = mtf.getColumnsName(dsl or ownl or dslownl)
# ============================================文件路径========================================================
upperpath = DC.getUpperPath(uppernume=1)
resultpath = upperpath + "\\Results\\"
foldername = ' '.join(
[exchange_id, sec_id,
str(K_MIN_SAR), str(K_MIN_MACD)])
#rawdatapath = resultpath + foldername + '\\'
parasetlist = pd.read_csv(resultpath + 'MACDParameterSet1.csv')
setlist = pd.Series(
[str(K_MIN_MACD) + ' '] *
parasetlist.shape[0]) #因为HP的文件名跟LW不同，多了一个MACD的周期在前面，要处理一下
parasetlist['Setname'] = setlist.str.cat(parasetlist['Setname'])
