def calculate(code_name, data, end_date=None, threshold=20):
begin_date = data.iloc[0].date
if end_date is not None:
if end_date < begin_date: # 该股票在end_date时还未上市
logging.debug("{}在{}时还未上市".format(code_name, end_date))
return False
if end_date is not None:
mask = (data['date'] <= end_date)
data = data.loc[mask]
if len(data) < threshold:
logging.debug("{0}:样本小于{1}天...\n".format(code_name, threshold))
return False
atr_list = tl.ATR(data['high'],
data['low'],
data['close'],
timeperiod=threshold)
atr = atr_list.iloc[-1]
last_close = data.iloc[-1]['close']
# 头寸规模
position_size = math.floor(BALANCE / 100 / real_atr(atr, 100))
t_shelve = db.ShelvePersistence()
t_shelve.save(code_name, last_close, position_size)
# last_close, position_size, atr
result = ("N：{0}\n"
"头寸规模：{1}手\n"
"买入价格：{2:0.2f}，{3:0.2f}，{4:0.2f}，{5:0.2f}\n"
"退出价格：{6:0.2f}\n\n".format(
atr, math.floor(BALANCE / 100 / real_atr(atr, 100)),
last_close, last_close + atr, last_close + atr * 2,
last_close + atr * 3, last_close - atr * 2))
return result
def check_exit():
t_shelve = db.ShelvePersistence()
file = t_shelve.open()
for key in file:
code_name = file[key]['code_name']
data = utils.read_data(code_name)
if turtle_trade.check_exit(code_name, data):
notify.notify("{0} 达到退出条件".format(code_name))
logging.info("{0} 达到退出条件".format(code_name))
del file[key]
elif turtle_trade.check_stop(code_name, data, file[key]):
notify.notify("{0} 达到止损条件".format(code_name))
logging.info("{0} 达到止损条件".format(code_name))
del file[key]
def calculate(code_name, data_history, end_date=None):
atr_list = tl.ATR(data_history['high'],
data_history['low'],
data_history['close'],
timeperiod=20)
atr = atr_list.iloc[-1]
last_close = data_history.iloc[-1]['close']
# 头寸规模
position_size = math.floor(BALANCE / 100 / real_atr(atr, 100))
t_shelve = db.ShelvePersistence()
t_shelve.save(code_name, last_close, position_size)
# last_close, position_size, atr
result = ("N：{0}\n"
"头寸规模：{1}手\n"
"买入价格：{2:0.2f}，{3:0.2f}，{4:0.2f}，{5:0.2f}\n"
"退出价格：{6:0.2f}\n\n".format(
atr, math.floor(BALANCE / 100 / real_atr(atr, 100)),
last_close, last_close + atr, last_close + atr * 2,
last_close + atr * 3, last_close - atr * 2))
return result
#
# average_true_range = ATR(
# data.high.values[-rolling_window:],
# data.low.values[-rolling_window:],
# data.close.values[-rolling_window:],
# timeperiod=moving_average
# )
# print(data['high'].values)
#
# print(average_true_range)
# print(atr_list)
# atr = atr_list[-1]
# print(atr)
# print(enter.check_volume(stock, data, end_date="2018-01-02"))
# import notify
#
# results = ['300188', '600271']
# msg = '\n'.join("*代码：%s" % ''.join(x) for x in results)
# notify.notify(msg)
# print(results)
# import tushare as ts
#
# data = ts.get_stock_basics()
# print(data)
import db
t_shelve = db.ShelvePersistence()
t_shelve.positions()