def fitness(w, df):
stk_code = '300183'
record_info = {
'floor_last': 0,
'money_remain': 20000,
'amount_remain': 1500,
'M_last': -1, # 用以记录上次的均线值，在反向操作中（本次操作与上次不同的情况）使用上次均值！
'BS_last': 'init', # 上次是买还是卖 "buy" "false" "init"
'price_last': df.head(1)['close'].values[0], # 上次价格
'BS_trend_now': 'init',
'BS_real': 'NO_OPT', # 本次实际操作
'Price_now': 12,
'last_opt_date': '2018-12-15',
'time_span_from_last': 1, # 当前距离上次操作的时间间隔
'B_continue': 1,
'S_continue': 1,
'B_Reseau': -1,
'S_Reseau': -1
}
origin_amount = record_info['money_remain'] / df.head(
1)['close'].values[0] + record_info['amount_remain']
# 遍历df
for idx in df.index:
# 取出当前date
date_now = str(df.loc[idx, 'date'])
df.loc[idx,
'reseau'] = (df.loc[idx, 'upper'] - df.loc[idx, 'middle']) / 5
df.loc[idx,
'now-last'] = df.loc[idx, 'close'] - record_info['price_last']
now_last = df.loc[idx, 'close'] - record_info['price_last']
# 确定网格
reseau = np.max([(df.loc[idx, 'upper'] - df.loc[idx, 'middle']),
0.5]) # 原始网格
record_info['time_span_from_last'] = minus_date_str(
date_now, record_info['last_opt_date'])
price_now = df.loc[idx, 'close'] # 获取当前price
ratio = record_info['money_remain'] / (
record_info['money_remain'] +
record_info['amount_remain'] * price_now) # 计算ratio
# 更新本次网格
record_info['B_Reseau'], record_info['S_Reseau'] = calBSReseau(
reseau_origin=reseau,
m_remain_ratio=ratio,
time_span=record_info['time_span_from_last'],
continus_amount_b=record_info['B_continue'],
continus_amount_s=record_info['S_continue'],
m_w=w[0],
t_w=w[1],
c_w=w[2])
# 向上运行，触发S操作
if df.loc[idx, 'close'] - record_info['price_last'] > record_info[
'S_Reseau']:
record_info = BS_opt(stk_code=stk_code,
price=df.loc[idx, 'close'],
amount=300,
opt='sale',
record_info=record_info,
debug=False,
date=date_now)
elif df.loc[idx, 'close'] - record_info[
'price_last'] < -record_info['B_Reseau']:
record_info = BS_opt(stk_code=stk_code,
price=df.loc[idx, 'close'],
amount=400,
opt='buy',
record_info=record_info,
debug=False,
date=date_now)
else:
record_info['BS_real'] = 'NO_OPT'
# 将信息填写到df中去
df.loc[idx, 'strategy_money'] = record_info['amount_remain'] * df.loc[
idx, 'close'] + record_info['money_remain']
df.loc[idx, 'origin_money'] = origin_amount * df.loc[idx, 'close']
df.loc[idx, 'BS'] = record_info['BS_real']
df.loc[idx, 'amount_remain'] = record_info['amount_remain']
df.loc[idx, 'money_remain'] = record_info['money_remain']
df.loc[idx, 'last_price'] = record_info['price_last']
# 将实时的网格信息添加到df中
df.loc[idx, 'B_Reseau'] = record_info['B_Reseau']
df.loc[idx, 'S_Reseau'] = record_info['S_Reseau']
df.loc[idx, 'total_money'] = record_info['money_remain'] + record_info[
'amount_remain'] * df.loc[idx, 'close']
return df.tail(1)['total_money'].values[0]
reseau_origin=reseau,
m_remain_ratio=ratio,
time_span=record_info['time_span_from_last'],
continus_amount_b=record_info['B_continue'],
continus_amount_s=record_info['S_continue'],
m_w=1,
t_w=1,
c_w=1)
# 向上运行，触发S操作
if df.loc[idx,
'close'] - record_info['price_last'] > record_info['S_Reseau']:
record_info = BS_opt(stk_code=stk_code,
price=df.loc[idx, 'close'],
amount=300,
opt='sale',
record_info=record_info,
debug=True,
date=date_now)
elif df.loc[idx, 'close'] - record_info[
'price_last'] < -record_info['B_Reseau']:
record_info = BS_opt(stk_code=stk_code,
price=df.loc[idx, 'close'],
amount=400,
opt='buy',
record_info=record_info,
debug=True,
date=date_now)
else: