def test_strategy(codes, strategy_name):
import backtest_runner
for code in codes:
print code, stock.GetCodeName(code)
p = backtest_runner.BackTestPolicy(backtest_runner.BackTestPolicy.enum.tick_mode)
p.SetStockCodes([code])
backtesting = Backtest()
account = backtesting.createAccount(account_type=None, username=None, pwd=None)
#p.Regist(Strategy_basesign(backtesting, is_backtesting=True))
strategy = strategy_name(backtesting, is_backtesting=True)
strategy.trade_num = 600
p.Regist(strategy)
#p.Regist(Strategy_Trade(backtesting, is_backtesting=True))
cur_day = agl.CurDay()
d1, d2 = help.MyDate.s_Dec(cur_day, -20),cur_day
def getTradeDay(d1, d2, dtype=backtest_runner.BackTestPolicy.enum.hisdat_mode):
"""确定是交易日
return: (d1, d2)"""
if dtype == backtest_runner.BackTestPolicy.enum.hisdat_mode:
df = stock.getHisdatDataFrameFromRedis(code, start_day=d1)
else:
df = stock.getFenshiDfUseRedis(code, d1, d2)
d2 = agl.datetime_to_date(df.index[-1])
if agl.DateTimeCmp(d1, agl.datetime_to_date(df.index[0])) <0:
d1 = agl.datetime_to_date(df.index[0])
return d1, d2
#for i in range(10):
#if d1 in df.index:
#return d1,d2
#else:
#d1 = help.MyDate.s_Dec(d1, 1)
d1,d2 = getTradeDay(d1,d2, backtest_runner.BackTestPolicy.enum.tick_mode)
print d1, d2
p.Run(d1, d2)
def test_strategy(codes,
strategy_name,
cbfn_setparams=None,
mode=1,
start_day='',
end_day='',
datasource_mode=stock.DataSources.datafrom.livedata,
datasource_fn=None):
"""strategy_name: str 通过策略名称来构造策略
cbfn_setparams: callback function 回调函数 fn(strategy) 用该函数来重新设置参数
mode : enum/int tick=0/hisdat=1
datasource_mode : 数据源引用地 stock.DataSource.data_mode
datasource_fn: 函数, data_mode需要使用自定义
"""
import backtest_runner
if mode == 0:
mode = backtest_runner.BackTestPolicy.enum.tick_mode
stock.DataSources.data_mode = datasource_mode
stock.datasource_fn = datasource_fn
for code in codes:
print(code, stock.GetCodeName(code))
p = backtest_runner.BackTestPolicy(mode)
p.SetStockCodes([code])
backtesting = Backtest()
account = backtesting.createAccount(account_type=None,
username=None,
pwd=None)
#p.Regist(Strategy_basesign(backtesting, is_backtesting=True))
strategy = strategy_name(backtesting, is_backtesting=True, mode=mode)
#设置策略参数
if cbfn_setparams is not None:
cbfn_setparams(strategy)
else:
strategy.setParams()
print(strategy.getParams())
p.Regist(strategy)
#p.Regist(Strategy_Trade(backtesting, is_backtesting=True))
cur_day = agl.CurDay()
if end_day == '':
end_day = cur_day
#if start_day == '':
##再次修正为已有数据的20天
#start_day = help.MyDate.s_Dec(end_day, -day_num)
d1, d2 = p.initData(start_day, end_day)
if d1 != d2:
print(d1, d2)
p.Run(d1, d2)
else:
print('没有数据')
def _test_fenshi_redis(self):
"""取一个个股的redis， 看下日期"""
end_day = agl.CurDay()
start_day = help.MyDate.s_Dec(end_day, -15)
code = u'600100'
#取一个值
df_fenshi = getFiveMinFenshiFromRedis(code)
df_fenshi_day = df_fenshi.resample('D').dropna()
self.assertEqual(len(df_fenshi_day), 5)
d = agl.datetime_to_date(df_fenshi_day.index[-1])
self.assertEqual(stock.getKlineLastDay(), d)
df = stock.LiveData().getFiveMinHisdat(code)
print(df)
def get_fenshi(self, code):
"""return: df columns('tpvdb')"""
#构造数据区, row*5
row = np.array([-1], dtype=np.int32)
a = np.array([0], dtype=np.float64)
self.GetFenshi(code,row,a)
l = (row[0], 5)
a = np.zeros(l[0]*l[1], dtype=np.float64)
if row[0] > 0:
self.GetFenshi(code, row, a)
d = a.reshape(l)
df = pd.DataFrame(d[:,0])
df[0] = df[0].map(lambda x: stock.StockTime.s_ToStrTime(int(x), agl.CurDay()))
df = pd.DataFrame(d[:,1:], index=pd.DatetimeIndex(df[0]), dtype=float, columns=list('pvdb'))
return df
def test_strategy(codes,
strategy_name,
cbfn_setparams=None,
day_num=20,
mode=0,
start_day='',
end_day=''):
"""strategy_name: str 通过策略名称来构造策略
cbfn_setparams: callback function 回调函数 fn(strategy) 用该函数来重新设置参数
day_num: 当前天或者数据集的最后一天向前推的天数， 同时会修正为数据集有效的第一天
mode : enum/int tick/hisdat
"""
import backtest_runner
if mode == 0:
mode = backtest_runner.BackTestPolicy.enum.tick_mode
for code in codes:
print code, stock.GetCodeName(code)
p = backtest_runner.BackTestPolicy(mode)
p.SetStockCodes([code])
backtesting = Backtest()
account = backtesting.createAccount(account_type=None,
username=None,
pwd=None)
#p.Regist(Strategy_basesign(backtesting, is_backtesting=True))
strategy = strategy_name(backtesting, is_backtesting=True, mode=mode)
#设置策略参数
if cbfn_setparams is not None:
cbfn_setparams(strategy)
else:
strategy.setParams()
print(strategy.getParams())
p.Regist(strategy)
#p.Regist(Strategy_Trade(backtesting, is_backtesting=True))
cur_day = agl.CurDay()
if end_day != '':
cur_day = end_day
d1, d2 = help.MyDate.s_Dec(cur_day, -20), cur_day
if start_day != '':
d1 = start_day
if start_day == '':
#再次修正为已有数据的20天
d1 = help.MyDate.s_Dec(d2, -day_num)
if d1 != d2:
print d1, d2
p.Run(d1, d2)
else:
print '没有数据'
def ExePolicy(self, code):
code = agl.unicode_to_utf8(code)
live_data = LiveData()
df_hisdat = live_data.getHisdat(code)
df_fenshi = live_data.getFenshi(code)
df_five_hisdat = live_data.getFiveMinHisdat(code)
if agl.IsNone(df_five_hisdat):
#print code ,'没有5分钟'
return
if len(df_fenshi) == 0:
return
if len(df_five_hisdat) < 30:
return
price = float(agl.FloatToStr(float(df_fenshi.tail(1)['p'])))
yclose = df_hisdat.ix[df_hisdat.index[-1]]['c']
zhangfu = stock.ZhangFu(price, yclose)
rsi = stock.RSI(df_five_hisdat['c'])
#ui.DrawClosesAndVolumes(pl, df_five_hisdat['c'], rsi)
upper, middle, lower = stock.TDX_BOLL(df_five_hisdat['c'])
#ui.DrawTs(pl, df_five_hisdat['c'],mid=middle, high=upper, low=lower)
highs, lows, closes = df_five_hisdat['h'], df_five_hisdat[
'l'], df_five_hisdat['c']
#atr = stock.ATR(highs, lows, closes)
adx = stock.TDX_ADX(highs, lows, closes)
closes = np.array(df_hisdat['c'])
if help.MyDate(agl.datetime_to_date(df_hisdat.index[-1])).d < \
help.MyDate(agl.CurDay()).d:
closes = agl.array_insert(closes, len(closes), price)
four = stock.FOUR(closes)
#print code, four[-1]
self._dict_four[code] = four[-1]
#return
#ui.DrawClosesAndVolumes(pl, df_five_hisdat['c'], adx)
boll_up = (price - upper[-1]) / upper[-1]
boll_mid = (price - middle[-1]) / middle[-1]
boll_down = (lower[-1] - price) / lower[-1]
boll_width = upper[-1] - lower[-1]
if abs(zhangfu) > 0.098 or boll_width < 0.01:
return
if code == '300033':
codename = stock.GetCodeName(code)
s = 'rsi = %d %s %s' % (rsi[-1], codename, str(price))
print s
if (rsi[-1] > 65 or rsi[-1] < 35) and adx[-1] > 60:
codename = stock.GetCodeName(code)
s = '%s %s' % (codename, str(price))
sign = False
#if code in ['300033','510050']:
#sign = True
#if adx[-1] > 55:
#s += ' ADX=%d'%(adx[-1])
#sign = True
if boll_up > -0.003:
s += ' 越过布林上轨'
#sign = True
if abs(boll_mid) < 0.003:
s += ' 布林中轨'
#sign = True
if boll_down > -0.003:
s += ' 越过布林下轨'
sign = True
if four[-1] > 0.1:
sign = False
#sign = False
if sign:
#ui.DrawTs(pl, df_five_hisdat['c'],mid=middle, high=upper, low=lower)
sInfo = self.calcInfo(code, price, zhangfu)
help.myprint(s, sInfo)
help.myprint(
'[%s,%s] %.3f,%.3f,%.3f,%.2f, four=%.2f, adx=%.2f' %
(code, stock.GetCodeName(code), boll_up, boll_mid,
boll_down, boll_width, four[-1], adx[-1]))
self.NotifyAutoxdShow(code)
self.Speak(s)
def test_strategy(codes, strategy_name, cbfn_setparams=None, day_num=20, mode=0, start_day='', end_day=''):
"""strategy_name: str 通过策略名称来构造策略
cbfn_setparams: callback function 回调函数 fn(strategy) 用该函数来重新设置参数
day_num: 当前天或者数据集的最后一天向前推的天数， 同时会修正为数据集有效的第一天
mode : enum/int tick/hisdat
"""
import backtest_runner
if mode == 0:
mode = backtest_runner.BackTestPolicy.enum.tick_mode
for code in codes:
print code, stock.GetCodeName(code)
p = backtest_runner.BackTestPolicy(mode)
p.SetStockCodes([code])
backtesting = Backtest()
account = backtesting.createAccount(account_type=None, username=None, pwd=None)
#p.Regist(Strategy_basesign(backtesting, is_backtesting=True))
strategy = strategy_name(backtesting, is_backtesting=True, mode=mode)
#设置策略参数
if cbfn_setparams is not None:
cbfn_setparams(strategy)
else:
strategy.setParams()
print(strategy.getParams())
p.Regist(strategy)
#p.Regist(Strategy_Trade(backtesting, is_backtesting=True))
cur_day = agl.CurDay()
if end_day != '':
cur_day = end_day
d1, d2 = help.MyDate.s_Dec(cur_day, -20),cur_day
if start_day != '':
d1 = start_day
def getTradeDay(d1, d2, dtype=backtest_runner.BackTestPolicy.enum.hisdat_mode):
"""确定是交易日
return: (d1, d2)"""
try:
if dtype == backtest_runner.BackTestPolicy.enum.hisdat_mode:
df = stock.getHisdatDataFrameFromRedis(code, d1, d2)
else:
df = stock.getFenshiDfUseRedis(code, d1,d2)
if len(df) == 0:
#在指定日期内没有数据，应该是新股或次新股
return d2,d2
d2 = agl.datetime_to_date(df.index[-1])
if agl.DateTimeCmp(d1, agl.datetime_to_date(df.index[0])) <0:
d1 = agl.datetime_to_date(df.index[0])
except:
pass
return d1, d2
#for i in range(10):
#if d1 in df.index:
#return d1,d2
#else:
#d1 = help.MyDate.s_Dec(d1, 1)
d1,d2 = getTradeDay(d1,d2, mode)
if start_day == '':
#再次修正为已有数据的20天
d1 = help.MyDate.s_Dec(d2, -day_num)
d1,d2 = getTradeDay(d1,d2, mode)
if d1 != d2:
print d1, d2
p.Run(d1, d2)
else:
print '没有数据'