def compare(self):
'''比较同一指标下的六个策略'''
show_period = 120
#global lt,wan,qian,bai,shi,ge,zbname,tf
logging.info('开始：', time.asctime())
t0 = time.time()
series = self.get_series()
close = np.cumsum(series).astype(float)
fig, axes = plt.subplots(7, 1, sharex=True)
#ax1, ax2, ax3, ax4 = axes[0], axes[1], axes[2], axes[3]
# 布林线
upperband, middleband, lowerband = ta.BBANDS(close, timeperiod=5, nbdevup=2, nbdevdn=2, matype=0)
axes[0].plot(close[-show_period:], 'rd-', markersize = 5)
axes[0].plot(upperband[-show_period:], 'y-')
axes[0].plot(middleband[-show_period:], 'b-')
axes[0].plot(lowerband[-show_period:], 'y-')
title1 = '指标：' + self.wei + '位 ' + self.zbname.get() + ' 同反：' + str(self.tf.get())
axes[0].set_title(title1, fontproperties="SimHei")
stratename = ['金叉死叉','通道宽度','顺势而为','KDJ极限','随机漫步','正弦变换']
'''strategies = {
'金叉死叉': strategy_gold_die,
'通道宽度': strategy_bandwidth,
'顺势而为': strategy_ma,
'KDJ极限': strategy_kdj,
'随机漫步': strategy_rnd,
'正弦变换': strategy_ht_sine,
}'''
order1, earn1, ma_fast, ma_slow = strategy.strategy_gold_die(series, is_backtest=True)
order2, earn2, bandwidth, mean = strategy.strategy_bandwidth(series, is_backtest=True)
order3, earn3, ma = strategy.strategy_ma(series, is_backtest=True)
order4, earn4, fastk, fastd = strategy.strategy_kdj(series, is_backtest=True)
order5, earn5, rnd = strategy.strategy_rnd(series, is_backtest=True)
order6, earn6, sine, leadsine = strategy.strategy_ht_sine(series, is_backtest=True)
for ax, order, name, c in zip(axes[1:],[order1, order2, order3, order4, order5, order6], stratename, 'bgbgbg'):
ax.plot(order[-show_period:], c+'-')
ax.set_ylabel(name, fontproperties="SimHei")
ax.set_ylim([0, 243])
t = time.time() - t0
logging.info('结束', time.asctime())
logging.info('耗时：{}分{}秒'.format(int(t)//60, int(t)%60))
multi = MultiCursor(fig.canvas, (axes[0], axes[1], axes[2], axes[3], axes[4], axes[5], axes[6]), color='b', lw=2)
plt.show()
def _use_strategy(self, strategy_name, is_backtest):
'''12期均线与20期均线交点作为入场信号'''
#global lt,wan,qian,bai,shi,ge,zbname,tf,ml_name
show_period = 120
w, q, b, s, g = self.wan.get(), self.qian.get(), self.bai.get(
), self.shi.get(), self.ge.get()
name, pre_n = self.zbname.get(), self.tf.get()
loc = ''.join((w, q, b, s, g))
series = self.get_series(loc, name, pre_n)
close = np.cumsum(series).astype(float)
if is_backtest:
print('开始：', time.asctime())
t0 = time.time()
fig, axes = plt.subplots(4, 1, sharex=True)
ax1, ax2, ax3, ax4 = axes[0], axes[1], axes[2], axes[3]
# 布林线
upperband, middleband, lowerband = ta.BBANDS(close,
timeperiod=5,
nbdevup=2,
nbdevdn=2,
matype=0)
axes[0].plot(close[-show_period:], 'rd-', markersize=5)
axes[0].plot(upperband[-show_period:], 'y-')
axes[0].plot(middleband[-show_period:], 'b-')
axes[0].plot(lowerband[-show_period:], 'y-')
if strategy_name == '金叉死叉': # <===============================>
order, earn, ma_fast, ma_slow = strategy.strategy_gold_die(
series, is_backtest=True)
axes[1].plot(ma_fast[-show_period:], 'g-')
axes[1].plot(ma_slow[-show_period:], 'r-')
elif strategy_name == '均线差分':
order, earn, ma_fast, ma_slow = strategy.strategy_mean_diff(
series, is_backtest=True)
axes[1].plot(ma_fast[-show_period:], 'g-')
axes[1].plot(ma_slow[-show_period:], 'r-')
elif strategy_name == '通道宽度': # <===============================>
order, earn, bandwidth, mean = strategy.strategy_bandwidth(
series, is_backtest=True)
axes[1].plot(bandwidth[-show_period:], 'r-')
axes[1].plot([0, show_period], [mean, mean], 'k', alpha=.2)
elif strategy_name == '顺势而为': # <===============================>
order, earn, ma = strategy.strategy_ma(series,
is_backtest=True)
axes[1].plot(ma[-show_period:], 'r-')
elif strategy_name == 'KDJ极限': # <===============================>
order, earn, fastk, fastd = strategy.strategy_kdj(
series, is_backtest=True)
axes[1].plot(fastk[-show_period:], 'r-')
axes[1].plot(fastd[-show_period:], 'g-')
axes[1].plot([0, show_period], [5, 5], 'k', alpha=.2)
axes[1].plot([0, show_period], [95, 95], 'k', alpha=.2)
elif strategy_name == 'KDJ绿线': # <===============================>
order, earn, fastk, fastd = strategy.strategy_kdj2(
series, is_backtest=True)
axes[1].plot(fastk[-show_period:], 'r-')
axes[1].plot(fastd[-show_period:], 'g-')
axes[1].plot([0, show_period], [5, 5], 'k', alpha=.2)
axes[1].plot([0, show_period], [95, 95], 'k', alpha=.2)
elif strategy_name == '随机漫步': # <===============================>
order, earn, rnd = strategy.strategy_rnd(series,
is_backtest=True)
axes[1].plot(rnd[-show_period:], 'ro-', markersize=2)
elif strategy_name == '正弦变换': # <===============================>
order, earn, sine, leadsine = strategy.strategy_ht_sine(
series, is_backtest=True)
axes[1].plot(sine[-show_period:], 'r-')
axes[1].plot(leadsine[-show_period:], 'g-')
elif strategy_name == '正弦变换2': # <===============================>
order, earn, sine, leadsine = strategy.strategy_ht_sine2(
series, is_backtest=True)
axes[1].plot(sine[-show_period:], 'r-')
axes[1].plot(leadsine[-show_period:], 'g-')
elif strategy_name == '机器学习': # <===============================>
order, earn, ml = strategy.strategy_ml(series,
self.ml_name.get(),
is_backtest=True)
axes[1].plot(ml[-show_period:], 'ro-', markersize=2)
elif strategy_name == '三个综合': # <===============================>
order, earn, signals = strategy.strategy_three(
series, is_backtest=True)
axes[1].plot(signals[-show_period:], 'ro-', markersize=2)
elif strategy_name == '五个综合': # <===============================>
order, earn, signals = strategy.strategy_five(series,
is_backtest=True)
axes[1].plot(signals[-show_period:], 'ro-', markersize=2)
elif strategy_name == '敬请期待': # <===============================>
pass
axes[2].plot(order[-show_period:], 'r-')
#axes[3].plot(np.cumsum(earn[-show_period:])-np.cumsum(order[-show_period:]), 'g-')
axes[3].fill_between(np.arange(show_period),
0,
np.cumsum(earn[-show_period:]) -
np.cumsum(order[-show_period:]),
facecolor="#00FF00",
alpha=.7)
title1 = '指标：' + loc + '位 ' + name + ' 同反：' + str(pre_n)
title2 = '策略：' + strategy_name
if strategy_name == '机器学习':
title2 += '--' + self.ml_name.get()
axes[0].set_title(title1, fontproperties="SimHei")
axes[1].set_title(title2, fontproperties="SimHei")
axes[2].set_title('投注', fontproperties="SimHei")
axes[3].set_title('收益', fontproperties="SimHei")
axes[3].set_xticks(range(120)) # 120个数据
axes[3].set_xticklabels(self.get_labels(self.lt.last_period),
rotation=35) # 设置x轴标签（13个）
axes[3].xaxis.set_major_locator(MultipleLocator(10)) # 主坐标：间隔10
t = time.time() - t0
print('结束', time.asctime())
print('耗时：{}分{}秒'.format(int(t) // 60, int(t) % 60))
multi = MultiCursor(fig.canvas,
(axes[0], axes[1], axes[2], axes[3]),
color='b',
lw=2)
plt.show()
else:
if strategy_name == '金叉死叉': # <===============================>
signal = strategy.strategy_gold_die(series, is_backtest=False)
elif strategy_name == '均线差分':
signal = strategy.strategy_mean_diff(series, is_backtest=False)
elif strategy_name == '通道宽度': # <===============================>
signal = strategy.strategy_bandwidth(series, is_backtest=False)
elif strategy_name == '顺势而为': # <===============================>
signal = strategy.strategy_ma(series, is_backtest=False)
elif strategy_name == 'KDJ极限': # <===============================>
signal = strategy.strategy_kdj(series, is_backtest=False)
elif strategy_name == 'KDJ绿线': # <===============================>
signal = strategy.strategy_kdj2(series, is_backtest=False)
elif strategy_name == '随机漫步': # <===============================>
signal = strategy.strategy_rnd(series, is_backtest=False)
elif strategy_name == '正弦变换': # <===============================>
signal = strategy.strategy_ht_sine(series, is_backtest=False)
elif strategy_name == '正弦变换2': # <===============================>
signal = strategy.strategy_ht_sine2(series, is_backtest=False)
elif strategy_name == '机器学习': # <===============================>
signal = strategy.strategy_ml(series,
self.ml_name.get(),
is_backtest=False)
elif strategy_name == '三个综合': # <===============================>
signal = strategy.strategy_three(series, is_backtest=False)
elif strategy_name == '五个综合': # <===============================>
signal = strategy.strategy_five(series, is_backtest=False)
elif strategy_name == '敬请期待': # <===============================>
pass