def test_macd():
factor = TechnicalFactor(codes=['000338'],
start_timestamp='2019-01-01',
end_timestamp='2019-06-10',
level=IntervalLevel.LEVEL_1DAY,
provider=Provider.JoinQuant,
computing_window=None,
transformer=MacdTransformer(),
adjust_type='qfq')
print(factor.factor_df.tail())
# compare with east money manually
diff = factor.factor_df['diff']
dea = factor.factor_df['dea']
macd = factor.factor_df['macd']
assert round(diff.loc[('stock_sz_000338', '2019-06-10')], 2) == -0.14
assert round(dea.loc[('stock_sz_000338', '2019-06-10')], 2) == -0.15
assert round(macd.loc[('stock_sz_000338', '2019-06-10')], 2) == 0.02
factor.move_on(to_timestamp='2019-06-17')
diff = factor.factor_df['diff']
dea = factor.factor_df['dea']
macd = factor.factor_df['macd']
assert round(diff.loc[('stock_sz_000338', '2019-06-17')], 2) == 0.06
assert round(dea.loc[('stock_sz_000338', '2019-06-17')], 2) == -0.03
assert round(macd.loc[('stock_sz_000338', '2019-06-17')], 2) <= 0.19
def test_macd():
factor = TechnicalFactor(entity_type='stock',
codes=['000338'],
start_timestamp='2019-01-01',
end_timestamp='2019-06-10',
level=IntervalLevel.LEVEL_1DAY,
provider='joinquant',
indicators=['macd'],
indicators_param=[{
'slow': 26,
'fast': 12,
'n': 9
}],
auto_load=True)
print(factor.get_depth_df().tail())
# compare with east money manually
diff = factor.get_depth_df()['diff']
dea = factor.get_depth_df()['dea']
macd = factor.get_depth_df()['macd']
assert round(diff.loc[('stock_sz_000338', '2019-06-10')], 2) == -0.14
assert round(dea.loc[('stock_sz_000338', '2019-06-10')], 2) == -0.15
assert round(macd.loc[('stock_sz_000338', '2019-06-10')], 2) == 0.02
factor.move_on(to_timestamp='2019-06-17')
diff = factor.get_depth_df()['diff']
dea = factor.get_depth_df()['dea']
macd = factor.get_depth_df()['macd']
assert round(diff.loc[('stock_sz_000338', '2019-06-17')], 2) == 0.06
assert round(dea.loc[('stock_sz_000338', '2019-06-17')], 2) == -0.03
assert round(macd.loc[('stock_sz_000338', '2019-06-17')], 2) == 0.19
def test_ma():
factor = TechnicalFactor(codes=['000338'],
start_timestamp='2019-01-01',
end_timestamp='2019-06-10',
level=IntervalLevel.LEVEL_1DAY,
provider=Provider.JoinQuant,
computing_window=30,
transformer=MaTransformer(windows=[5, 10, 30]),
adjust_type='qfq')
print(factor.factor_df.tail())
# compare with east money manually
ma5 = factor.factor_df['ma5']
ma10 = factor.factor_df['ma10']
ma30 = factor.factor_df['ma30']
assert round(ma5.loc[('stock_sz_000338', '2019-06-10')], 2) <= 11.23
assert round(ma10.loc[('stock_sz_000338', '2019-06-10')], 2) <= 11.43
assert round(ma30.loc[('stock_sz_000338', '2019-06-10')], 2) <= 11.52
factor.move_on(to_timestamp='2019-06-17')
ma5 = factor.factor_df['ma5']
ma10 = factor.factor_df['ma10']
ma30 = factor.factor_df['ma30']
assert round(ma5.loc[('stock_sz_000338', '2019-06-17')], 2) <= 12.06
assert round(ma10.loc[('stock_sz_000338', '2019-06-17')], 2) <= 11.64
assert round(ma30.loc[('stock_sz_000338', '2019-06-17')], 2) <= 11.50
def test_ma():
factor = TechnicalFactor(security_type=SecurityType.stock,
codes=['000338'],
start_timestamp='2019-01-01',
end_timestamp='2019-06-10',
level=TradingLevel.LEVEL_1DAY,
provider=Provider.JOINQUANT,
indicators=['ma', 'ma', 'ma'],
indicators_param=[{
'window': 5
}, {
'window': 10
}, {
'window': 30
}])
print(factor.get_depth_df().tail())
# compare with east money manually
ma5 = factor.get_depth_df()['ma5']
ma10 = factor.get_depth_df()['ma10']
ma30 = factor.get_depth_df()['ma30']
assert round(ma5.loc[('stock_sz_000338', '2019-06-10')], 2) == 11.48
assert round(ma10.loc[('stock_sz_000338', '2019-06-10')], 2) == 11.69
assert round(ma30.loc[('stock_sz_000338', '2019-06-10')], 2) == 11.79
factor.move_on(to_timestamp='2019-06-17')
ma5 = factor.get_depth_df()['ma5']
ma10 = factor.get_depth_df()['ma10']
ma30 = factor.get_depth_df()['ma30']
assert round(ma5.loc[('stock_sz_000338', '2019-06-17')], 2) == 12.33
assert round(ma10.loc[('stock_sz_000338', '2019-06-17')], 2) == 11.91
assert round(ma30.loc[('stock_sz_000338', '2019-06-17')], 2) == 11.76
def test_macd():
factor = TechnicalFactor(security_type=SecurityType.stock,
codes=['000338'],
start_timestamp='2019-01-01',
end_timestamp='2019-06-10',
level=TradingLevel.LEVEL_1DAY,
provider=Provider.JOINQUANT,
indicators=['macd'],
indicators_param=[{
'slow': 26,
'fast': 12,
'n': 9
}])
print(factor.get_depth_df().tail())
# compare with east money manually
diff = factor.get_depth_df()['diff']
dea = factor.get_depth_df()['dea']
macd = factor.get_depth_df()['macd']
assert round(diff.loc[('stock_sz_000338', '2019-06-10')], 2) == -0.15
assert round(dea.loc[('stock_sz_000338', '2019-06-10')], 2) == -0.16
assert round(macd.loc[('stock_sz_000338', '2019-06-10')], 2) == 0.02
factor.move_on(to_timestamp='2019-06-17')
diff = factor.get_depth_df()['diff']
dea = factor.get_depth_df()['dea']
macd = factor.get_depth_df()['macd']
assert round(diff.loc[('stock_sz_000338', '2019-06-17')], 2) == 0.07
assert round(dea.loc[('stock_sz_000338', '2019-06-17')], 2) == -0.03
assert round(macd.loc[('stock_sz_000338', '2019-06-17')], 2) == 0.19
def test_macd():
factor = TechnicalFactor(
provider="joinquant",
codes=["000338"],
start_timestamp="2019-01-01",
end_timestamp="2019-06-10",
level=IntervalLevel.LEVEL_1DAY,
computing_window=None,
transformer=MacdTransformer(),
adjust_type="qfq",
)
print(factor.factor_df.tail())
# compare with east money manually
diff = factor.factor_df["diff"]
dea = factor.factor_df["dea"]
macd = factor.factor_df["macd"]
assert round(diff.loc[("stock_sz_000338", "2019-06-10")], 2) == -0.14
assert round(dea.loc[("stock_sz_000338", "2019-06-10")], 2) == -0.15
assert round(macd.loc[("stock_sz_000338", "2019-06-10")], 2) == 0.02
factor.move_on(to_timestamp="2019-06-17")
diff = factor.factor_df["diff"]
dea = factor.factor_df["dea"]
macd = factor.factor_df["macd"]
assert round(diff.loc[("stock_sz_000338", "2019-06-17")], 2) == 0.06
assert round(dea.loc[("stock_sz_000338", "2019-06-17")], 2) == -0.03
assert round(macd.loc[("stock_sz_000338", "2019-06-17")], 2) <= 0.19
def test_ma():
factor = TechnicalFactor(
provider="joinquant",
codes=["000338"],
start_timestamp="2019-01-01",
end_timestamp="2019-06-10",
level=IntervalLevel.LEVEL_1DAY,
computing_window=30,
transformer=MaTransformer(windows=[5, 10, 30]),
adjust_type="qfq",
)
print(factor.factor_df.tail())
# compare with east money manually
ma5 = factor.factor_df["ma5"]
ma10 = factor.factor_df["ma10"]
ma30 = factor.factor_df["ma30"]
assert round(ma5.loc[("stock_sz_000338", "2019-06-10")], 2) <= 11.23
assert round(ma10.loc[("stock_sz_000338", "2019-06-10")], 2) <= 11.43
assert round(ma30.loc[("stock_sz_000338", "2019-06-10")], 2) <= 11.52
factor.move_on(to_timestamp="2019-06-17")
ma5 = factor.factor_df["ma5"]
ma10 = factor.factor_df["ma10"]
ma30 = factor.factor_df["ma30"]
assert round(ma5.loc[("stock_sz_000338", "2019-06-17")], 2) <= 12.06
assert round(ma10.loc[("stock_sz_000338", "2019-06-17")], 2) <= 11.64
assert round(ma30.loc[("stock_sz_000338", "2019-06-17")], 2) <= 11.50
def test_ma():
factor = TechnicalFactor(entity_type='stock',
codes=['000338'],
start_timestamp='2019-01-01',
end_timestamp='2019-06-10',
level=IntervalLevel.LEVEL_1DAY,
provider='joinquant',
indicators=['ma', 'ma', 'ma'],
indicators_param=[{
'window': 5
}, {
'window': 10
}, {
'window': 30
}],
auto_load=True)
print(factor.get_depth_df().tail())
# compare with east money manually
ma5 = factor.get_depth_df()['ma5']
ma10 = factor.get_depth_df()['ma10']
ma30 = factor.get_depth_df()['ma30']
assert round(ma5.loc[('stock_sz_000338', '2019-06-10')], 2) == 11.23
assert round(ma10.loc[('stock_sz_000338', '2019-06-10')], 2) == 11.43
assert round(ma30.loc[('stock_sz_000338', '2019-06-10')], 2) == 11.52
factor.move_on(to_timestamp='2019-06-17')
ma5 = factor.get_depth_df()['ma5']
ma10 = factor.get_depth_df()['ma10']
ma30 = factor.get_depth_df()['ma30']
assert round(ma5.loc[('stock_sz_000338', '2019-06-17')], 2) == 12.06
assert round(ma10.loc[('stock_sz_000338', '2019-06-17')], 2) == 11.64
assert round(ma30.loc[('stock_sz_000338', '2019-06-17')], 2) == 11.50