def main(plot):
# --------数据格式转换，常用国内A股数据，转换为yahoo财经格式
cod = "002739"
# 万达院线
cname = 'wanda'
fss = "dat\\" + cod + ".csv"
df = pd.read_csv(fss, encoding='gbk')
df2 = zwx.df2yhaoo(df)
cfn = "dat\\" + cod + "_yh.csv"
print(fss)
df2.to_csv(cfn, encoding='utf-8')
# ------------
# instrument = "aapl",使用新变量名cname替代
# smaPeriod = 163
smaPeriod = 20
# Download the bars.
# feed = yahoofinance.build_feed([instrument], 2011, 2012, ".")
feed = yahoofeed.Feed()
feed.addBarsFromCSV(cname, cfn)
strat = sma_crossover.SMACrossOver(feed, cname, smaPeriod)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, True, False, True)
plt.getInstrumentSubplot(cname).addDataSeries("sma", strat.getSMA())
strat.run()
print
"夏普指数 Sharpe ratio: %.2f" % sharpeRatioAnalyzer.getSharpeRatio(0.05)
if plot:
plt.plot()
def main(plot):
cod = "002739"
#万达院线
cname = 'wanda'
fss = "dat\\" + cod + ".csv"
df = pd.read_csv(fss, encoding='gbk')
#df2=zwBox.zw_df2yhaoo(df);
df2 = zwx.df2yhaoo(df)
cfn = "dat\\" + cod + "_yh.csv"
print(fss)
df2.to_csv(cfn, encoding='utf-8')
#
#instrument = "aapl" #使用新变量名cname替代
vwapWindowSize = 5
threshold = 0.01
# Download the bars.
#feed = yahoofinance.build_feed([cname], 2011, 2012, ".")
feed = yahoofeed.Feed()
feed.addBarsFromCSV(cname, cfn)
strat = VWAPMomentum(feed, cname, vwapWindowSize, threshold)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, True, False, True)
plt.getInstrumentSubplot(cname).addDataSeries("vwap", strat.getVWAP())
strat.run()
print("夏普指数 Sharpe ratio: %.2f" % sharpeRatioAnalyzer.getSharpeRatio(0.05))
if plot:
plt.plot()
def main(plot):
cod = "002739"
cname = 'wanda'
csgn = u'万达院线'
cod = "600663"
cname = 'lujiazui'
csgn = u'陆家嘴'
cod = "600231"
cname = 'lingang'
csgn = u'凌钢股份'
cod = '002046'
cname = 'zouyan'
csgn = u'轴研科技'
cod = '300239'
cname = 'donbao'
csgn = u'东宝生物'
fss = "dat\\" + cod + ".csv"
df = pd.read_csv(fss, encoding='gbk')
#df2=zwBox.zw_df2yhaoo(df);
df2 = zwx.df2yhaoo(df)
cfn = "dat\\" + cod + "_yh.csv"
print csgn, cname, fss
df2.to_csv(cfn, encoding='utf-8')
#
#instrument = "DIA" #使用新变量名cname替代
entrySMA = 200
exitSMA = 5
rsiPeriod = 2
overBoughtThreshold = 90
overSoldThreshold = 10
# Download the bars.
#feed = yahoofinance.build_feed([instrument], 2009, 2012, ".")
feed = yahoofeed.Feed()
feed.addBarsFromCSV(cname, cfn)
strat = rsi2.RSI2(feed, cname, entrySMA, exitSMA, rsiPeriod,
overBoughtThreshold, overSoldThreshold)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
if plot:
mpl.style.use('seaborn-whitegrid')
plt = plotter.StrategyPlotter(strat, True, False, True)
plt.getInstrumentSubplot(cname).addDataSeries("Entry SMA",
strat.getEntrySMA())
plt.getInstrumentSubplot(cname).addDataSeries("Exit SMA",
strat.getExitSMA())
plt.getOrCreateSubplot("rsi").addDataSeries("RSI", strat.getRSI())
plt.getOrCreateSubplot("rsi").addLine("Overbought",
overBoughtThreshold)
plt.getOrCreateSubplot("rsi").addLine("Oversold", overSoldThreshold)
strat.run()
print "夏普指数 Sharpe ratio: %.2f" % sharpeRatioAnalyzer.getSharpeRatio(0.05)
if plot:
plt.plot()
def main(plot):
cod = "002739"
#万达院线
cname = 'wanda'
fss = "dat\\" + cod + ".csv"
df = pd.read_csv(fss, encoding='gbk')
#df2=zwBox.zw_df2yhaoo(df);
df2 = zwx.df2yhaoo(df)
cfn = "dat\\" + cod + "_yh.csv"
print(fss)
df2.to_csv(cfn, encoding='utf-8')
#
#instrument = "yhoo" #使用新变量名cname替代
#bBandsPeriod = 40
bBandsPeriod = 10
# Download the bars.
#feed = yahoofinance.build_feed([instrument], 2011, 2012, ".")
feed = yahoofeed.Feed()
feed.addBarsFromCSV(cname, cfn)
strat = BBands(feed, cname, bBandsPeriod)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
if plot:
mpl.style.use('seaborn-whitegrid')
plt = plotter.StrategyPlotter(strat, True, True, True)
plt.getInstrumentSubplot(cname).addDataSeries(
"upper",
strat.getBollingerBands().getUpperBand())
plt.getInstrumentSubplot(cname).addDataSeries(
"middle",
strat.getBollingerBands().getMiddleBand())
plt.getInstrumentSubplot(cname).addDataSeries(
"lower",
strat.getBollingerBands().getLowerBand())
strat.run()
print("夏普指数 Sharpe ratio: %.2f" % sharpeRatioAnalyzer.getSharpeRatio(0.05))
if plot:
plt.plot()
if self.__position is None:
if bar.getPrice() > self.__sma[-1]:
# Enter a buy market order for 10 shares. The order is good till canceled.输入10股买入市价。 订单是好的，直到取消。
self.__position = self.enterLong(self.__instrument, 10, True)
# Check if we have to exit the position.
elif bar.getPrice() < self.__sma[-1] and not self.__position.exitActive():
self.__position.exitMarket()
#--------数据格式转换，常用国内A股数据，转换为yahoo财经格式
cod="601069";
cname='xibu';
fss="dat\\"+cod+".csv";
df=pd.read_csv(fss,encoding='gbk');
#df2=zwBox.zw_df2yhaoo(df);
df2=zwx.df2yhaoo(df);
cfn="dat\\"+cod+"_yh.csv";print(fss);
df2.to_csv(cfn,encoding='utf-8')
# Load the yahoo feed from the CSV file
feed = yahoofeed.Feed()
feed.addBarsFromCSV(cname,cfn)
# Evaluate the strategy with the feed's bars.
#myStrategy = SMACrossOver(feed, "orcl", 20)
myStrategy = MyStrategy(feed,cname, 26)
# Attach different analyzers to a strategy before executing it.
retAnalyzer = returns.Returns()
myStrategy.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
if self.__position is None:
if cross.cross_above(self.__prices, self.__sma) > 0:
shares = int(self.getBroker().getCash() * 0.9 / bars[self.__instrument].getPrice())
# Enter a buy market order. The order is good till canceled.
self.__position = self.enterLong(self.__instrument, shares, True)
# Check if we have to exit the position.
elif not self.__position.exitActive() and cross.cross_below(self.__prices, self.__sma) > 0:
self.__position.exitMarket()
# --------
cod = "002739"; # 万达院线
fss = "dat\\" + cod + ".csv";
df = pd.read_csv(fss, encoding='gbk');
# df2=zwBox.zw_df2yhaoo(df);
df2 = zwBox.df2yhaoo(df);
fss = "dat\\" + cod + "_yh.csv";
print(fss);
df2.to_csv(fss, encoding='utf-8')
#
# Load the yahoo feed from the CSV file
feed = yahoofeed.Feed()
# feed.addBarsFromCSV("orcl", "dat\\orcl-2000.csv")
# fss="dat\\"+cod+".csv";
feed.addBarsFromCSV("wanda", fss)
# Evaluate the strategy with the feed's bars.
myStrategy = SMACrossOver(feed, "wanda", 20)
# Attach different analyzers to a strategy before executing it.
