def showStrategies(self):
rate = 1
resultPath = os.path.join(os.path.dirname(__file__), const.RESULT_PATH)
if const.currentSecId:
resultPath = os.path.join(resultPath, const.currentSecId)
if not os.path.isdir(resultPath): os.makedirs(resultPath)
files = open(os.path.join(resultPath, 'strategy.csv'), 'w')
filet = open(os.path.join(resultPath, 'trader.csv'), 'w')
files.write(
'STRATEGY,BUY TIMES, SELL TIMES, DOWN DAYS, FINAL EQUITY\n')
filet.write('OP,STRATEGY,TIME,PRICE,VOLUMN,POSITION,EQUITY,NOTES\n')
for s in self.strategies:
if s[0] == 0: break
ss = s[0].strategyName + ',' + str(len(
s[0].stats['buy']['date'])) + ',' + str(
len(s[0].stats['sell']['date'])) + ',' + str(
s[0].stats['downDays']) + ',' + str(round(s[1], 2))
log.info(ss)
files.write(ss + '\n')
for tl in s[0].stats['log']:
filet.write(tl + '\n')
s[0].generateGraph(resultPath, rate)
rate += 1
files.close()
filet.close()
def estimate(self, t): l = len(self.strategies) if t.equity <= self.strategies[-1][1]: return for i in range(l): if (t.equity > self.strategies[i][1]): log.info(t.strategyName + ',' + str(len(t.stats['buy']['date'])) + ',' + str(len(t.stats['sell']['date'])) + ',' + str(t.stats['downDays']) + ',' + str(round(t.equity, 2))) self.strategies.insert(i, [t, t.equity]) if l + 1 > self.num: self.strategies.pop(-1) break
def analysis(self, prices):
self.buildTrend(prices)
if len(prices) <= self.days:
return
current = prices[len(prices) - self.days - 1:len(prices)]
#log.info(current)
chour = current[len(current) - 1]['dt'].hour
cdt = current[len(current) - 1]['dt'].strftime('%Y-%m-%d %H:%M')
ct = ''
for i in range(1, len(current)):
cur = current[i]['pc']
pre = current[i - 1]['pc']
#log.info('Current ' + str(cur) + ' - ' + str(pre))
if cur < pre:
ct = ct + 'D'
else:
ct = ct + 'U'
#log.info('Current ' + ct)
for i in range(self.days, len(self.history) - self.days):
his = self.history[i - self.days:i + 1]
hhour = his[len(his) - 1]['dt'].hour
if abs(chour - hhour) > 2:
continue
ht = self.histred[i - self.days:i]
#if similar(ct, ht) < 3:
if ct[0:self.days - self.expect] == ht[0:self.days - self.expect]:
self.graphic(current, his)
curChange = current[len(current) - self.expect -
1]['pc'] - current[len(current) -
self.days - 1]['pc']
hisChange = his[len(his) - self.expect -
1]['pc'] - his[len(his) - self.days - 1]['pc']
hdt = his[len(his) - 1]['dt'].strftime('%Y-%m-%d %H:%M')
log.info('History Date:' + hdt + ', Trend: ' + ht +
',change:' + str(hisChange))
log.info('Current Date:' + cdt + ', Trend: ' + ct +
',change:' + str(curChange))
curChange = current[len(current) -
1]['pc'] - current[len(current) -
self.expect - 1]['pc']
hisChange = his[len(his) -
1]['pc'] - his[len(his) - self.expect -
1]['pc']
log.info('history:' + ht[self.days - self.expect:] +
',change:' + str(hisChange))
log.info('verify:' + ct[self.days - self.expect:] +
',change:' + str(curChange))
log.info('=========================')
def estimate(self, t):
perf = calcPerformance(t.stats['equity'])
#log.debug(c)
l = len(self.strategies)
if t.equity <= 0 or perf <= self.strategies[-1][1]: return
for i in range(l):
if (perf > self.strategies[i][1]):
log.info(t.strategyName + ',' + str(len(t.stats['buy']['date'])) + ',' + str(len(t.stats['sell']['date'])) + ',' + str(t.stats['downDays']) + ',' + str(round(perf, 2)) + ',' + str(round(t.equity, 2)))
#log.info('=== m:' + str(m) + ',c:' + str(c) + ', m/c:' + str(mc))
self.strategies.insert(i, [t, perf])
if l + 1 > self.num:
self.strategies.pop(-1)
break
def estimate(self, t):
m, c = slope(t.stats['equity'])
mc = m * t.equity / c
#log.debug(c)
l = len(self.strategies)
if mc <= self.strategies[-1][1]: return
for i in range(l):
#if (t.equity > self.strategies[i][1]):
if (mc > self.strategies[i][1]):
log.info(t.strategyName + ',' + str(len(t.stats['buy']['date'])) + ',' + str(len(t.stats['sell']['date'])) + ',' + str(t.stats['downDays']) + ',' + str(round(t.equity, 2)))
log.info('=== m:' + str(m) + ',c:' + str(c) + ', m/c:' + str(mc))
self.strategies.insert(i, [t, mc])
if l + 1 > self.num:
self.strategies.pop(-1)
break
def estimate(self, t):
m, c, r, s = slope(t.stats['equity'])
mc = m * 10000 / c
mc = t.equity
mc = (t.equity - const.INITIAL_BAL) * (t.equity - const.INITIAL_BAL) * (t.equity - const.INITIAL_BAL) / r
#log.debug(c)
l = len(self.strategies)
if t.equity <= 0 or mc <= self.strategies[-1][1]: return
for i in range(l):
if (mc > self.strategies[i][1]):
log.info(t.strategyName + ',' + str(len(t.stats['buy']['date'])) + ',' + str(len(t.stats['sell']['date'])) + ',' + str(t.stats['downDays']) + ',' + str(round(t.equity, 2)))
#log.info('=== m:' + str(m) + ',c:' + str(c) + ', m/c:' + str(mc))
self.strategies.insert(i, [t, mc, m, c, r, s])
if l + 1 > self.num:
self.strategies.pop(-1)
break
def showStrategies(self):
rate = 1
files = open(os.path.join(os.path.dirname(__file__), const.RESULT_PATH + '/strategy.csv'), 'w')
filet = open(os.path.join(os.path.dirname(__file__), const.RESULT_PATH + '/trader.csv'), 'w')
files.write('STRATEGY,BUY TIMES, SELL TIMES, DOWN DAYS, FINAL EQUITY\n')
filet.write('OP,STRATEGY,TIME,PRICE,VOLUMN,POSITION,EQUITY,NOTES\n')
for s in self.strategies:
if s[0] == 0: break
ss = s[0].strategyName + ',' + str(len(s[0].stats['buy']['date'])) + ',' + str(len(s[0].stats['sell']['date'])) + ',' + str(s[0].stats['downDays']) + ',' + str(round(s[1], 2))
log.info(ss)
files.write(ss + '\n')
for tl in s[0].stats['log']:
filet.write(tl + '\n')
s[0].generateGraph(rate)
rate += 1
files.close()
filet.close()
def analysis(self, prices):
self.buildTrend(prices)
if len(prices) <= self.days:
return
current = prices[len(prices) - self.days - 1 : len(prices)]
#log.info(current)
chour = current[len(current) - 1]['dt'].hour
cdt = current[len(current) - 1]['dt'].strftime('%Y-%m-%d %H:%M')
ct = ''
for i in range(1, len(current)):
cur = current[i]['pc']
pre = current[i - 1]['pc']
#log.info('Current ' + str(cur) + ' - ' + str(pre))
if cur < pre:
ct = ct + 'D'
else:
ct = ct + 'U'
#log.info('Current ' + ct)
for i in range(self.days, len(self.history) - self.days):
his = self.history[i - self.days : i + 1]
hhour = his[len(his) - 1]['dt'].hour
if abs(chour - hhour) > 2:
continue
ht = self.histred[i - self.days : i]
#if similar(ct, ht) < 3:
if ct[0 : self.days - self.expect] == ht[0 : self.days - self.expect]:
self.graphic(current, his)
curChange = current[len(current) - self.expect - 1]['pc'] - current[len(current) - self.days - 1]['pc']
hisChange = his[len(his) - self.expect - 1]['pc'] - his[len(his) - self.days - 1]['pc']
hdt = his[len(his) - 1]['dt'].strftime('%Y-%m-%d %H:%M')
log.info('History Date:' + hdt + ', Trend: ' + ht + ',change:' + str(hisChange))
log.info('Current Date:' + cdt + ', Trend: ' + ct + ',change:' + str(curChange))
curChange = current[len(current) - 1]['pc'] - current[len(current) - self.expect - 1]['pc']
hisChange = his[len(his) - 1]['pc'] - his[len(his) - self.expect - 1]['pc']
log.info('history:' + ht[self.days - self.expect:] + ',change:' + str(hisChange))
log.info('verify:' + ct[self.days - self.expect:] + ',change:' + str(curChange))
log.info('=========================')
def estimate(self, t):
m, c = slope(t.stats['equity'])
mc = m * t.equity / c
#log.debug(c)
l = len(self.strategies)
if mc <= self.strategies[-1][1]: return
for i in range(l):
#if (t.equity > self.strategies[i][1]):
if (mc > self.strategies[i][1]):
log.info(t.strategyName + ',' +
str(len(t.stats['buy']['date'])) + ',' +
str(len(t.stats['sell']['date'])) + ',' +
str(t.stats['downDays']) + ',' +
str(round(t.equity, 2)))
log.info('=== m:' + str(m) + ',c:' + str(c) + ', m/c:' +
str(mc))
self.strategies.insert(i, [t, mc])
if l + 1 > self.num:
self.strategies.pop(-1)
break
def showStrategies(self):
rate = 1
resultPath = os.path.join(os.path.dirname(__file__), const.RESULT_PATH)
if const.currentSecId:
resultPath = os.path.join(resultPath, const.currentSecId)
if not os.path.isdir(resultPath): os.makedirs(resultPath)
files = open(os.path.join(resultPath, 'strategy.csv'), 'w')
filet = open(os.path.join(resultPath, 'trader.csv'), 'w')
files.write('STRATEGY,BUY TIMES, SELL TIMES, DOWN DAYS, FINAL EQUITY, POSITION, PERFORMANCE\n')
filet.write('OP,STRATEGY,TIME,PRICE,VOLUMN,POSITION,EQUITY,NOTES\n')
for s in self.strategies:
if s[0] == 0: break
ss = s[0].strategyName + ',' + str(len(s[0].stats['buy']['date'])) + ',' + str(len(s[0].stats['sell']['date'])) + ',' + str(s[0].stats['downDays']) + ',' + str(round(s[0].equity, 2)) + ',' + str(s[0].position) + ',' + str(round(s[1], 5))
log.info(ss)
files.write(ss + '\n')
for tl in s[0].stats['log']:
filet.write(tl + '\n')
s[0].generateGraph(resultPath, rate)
rate += 1
files.close()
filet.close()
resultPath = os.path.join(os.path.dirname(__file__), const.RESULT_PATH)
plt.savefig(os.path.join(resultPath, stock['id'] + '.png'), dpi=150)
plt.close(fig)
return stock['symbol'] + ', ' + dt + ', ' + str(
ps[-1]) + ', ' + active + ', ' + adesc + ', ' + bdesc
if __name__ == "__main__":
rwlogging.clearLog()
plt.rcParams.update({'axes.labelsize': 10})
plt.rcParams.update({'xtick.labelsize': 8})
plt.rcParams.update({'ytick.labelsize': 8})
result = 'STOCK, DATE, PRICE, ACTIVE, POS A, POS B\n'
stocks = dataloader.importVSignalList(const.VSIGNAL_FILE)
for stock in stocks:
if const.REFRESH_DATA: dataloader.downloadStockData(stock)
prices = dataloader.importData(4, stock['file'], const.DATA_NUM * 2)
if const.UPDATE_SINA:
prices = dataloader.makeupStockFromSina(stock, prices)
desc = runSignal(stock, prices)
result += desc + '\n'
log.info(result)
resultPath = os.path.join(os.path.dirname(__file__), const.RESULT_PATH)
files = open(os.path.join(resultPath, 'signal.csv'), 'w')
files.write(result)
files.close()
if opos == pos:
desc = str(pos)
else:
desc = str(opos) + ' -> ' + str(pos)
dt = datetime.datetime.now().strftime('%Y-%m-%d')
return stock['symbol'] + ',' + dt + ',' + str(ps[-1]) + ',' + desc
if __name__ == "__main__":
rwlogging.clearLog()
plt.rcParams.update({'axes.labelsize':10})
plt.rcParams.update({'xtick.labelsize':8})
plt.rcParams.update({'ytick.labelsize':8})
result = 'STOCK, DATE, PRICE, POSITION\n'
stocks = dataloader.importSignalList(const.SIGNAL_FILE)
for stock in stocks:
if const.REFRESH_DATA: dataloader.downloadStockData(stock)
prices = dataloader.importData(4, stock['file'], const.DATA_NUM * 2)
if const.UPDATE_SINA: prices = dataloader.makeupStockFromSina(stock, prices)
desc = runSignal(stock, prices)
result += desc + '\n'
log.info(result)
resultPath = os.path.join(os.path.dirname(__file__), const.RESULT_PATH)
files = open(os.path.join(resultPath, 'signal.csv'), 'w')
files.write(result)
files.close()
