def testMA(self):
barDs = self.__loadBarDS()
self.assertAmountsAreEqual(
indicator.MA(barDs.getCloseDataSeries(), 252, 2,
talib.MA_Type.SMA)[1], 93.16) # Original value 93.15
self.assertAmountsAreEqual(indicator.MA(barDs.getCloseDataSeries(),
252, 2, talib.MA_Type.SMA)[2],
94.59,
precision=1)
self.assertAmountsAreEqual(indicator.MA(barDs.getCloseDataSeries(),
252, 2, talib.MA_Type.SMA)[3],
94.73,
precision=1)
self.assertAmountsAreEqual(
indicator.MA(barDs.getCloseDataSeries(), 252, 2,
talib.MA_Type.SMA)[-1], 108.31)
def testMA(self):
barDs = self.__loadBarDS()
self.assertTrue(
compare(
indicator.MA(barDs.getCloseDataSeries(), 252, 2,
talib.MA_SMA)[1], 93.16)) # Original value 93.15
self.assertTrue(
compare(
indicator.MA(barDs.getCloseDataSeries(), 252, 2,
talib.MA_SMA)[2], 94.59))
self.assertTrue(
compare(
indicator.MA(barDs.getCloseDataSeries(), 252, 2,
talib.MA_SMA)[3], 94.73))
self.assertTrue(
compare(
indicator.MA(barDs.getCloseDataSeries(), 252, 2,
talib.MA_SMA)[-1], 108.31))
def onBars(self, bars):
# If a position was not opened, check if we should enter a long position.
closeDs = self.getFeed().getDataSeries(instrument).getCloseDataSeries()
self.__ma1 = indicator.MA(closeDs, 40, self.__malength1)
self.__ma2 = indicator.MA(closeDs, 40, self.__malength2)
if self.__ma2[-1] is None:
return
if self.__position is not None:
if not self.__position.exitActive() and cross.cross_below(
self.__ma1, self.__ma2) > 0:
self.__position.exitMarket()
#self.info("sell %s" % (bars.getDateTime()))
if self.__position is None:
if cross.cross_above(self.__ma1, self.__ma2) > 0:
shares = int(self.getBroker().getEquity() * 0.2 /
bars[self.__instrument].getPrice())
self.__position = self.enterLong(self.__instrument, shares)
print bars[self.__instrument].getDateTime(), bars[
self.__instrument].getPrice()
def select_instruments(self, instruments, period):
selected_instruments = []
for instrument in instruments:
hist_h = self.history(instrument, 'high', period)
hist_l = self.history(instrument, 'low', period)
hist_c = self.history(instrument, 'close', period)
hist_o = self.history(instrument, 'open', period)
hist_v = self.history(instrument, 'volume', period)
'''
{
30个交易日内最低点到最高点涨幅超过50%,30日内最少有两个涨停板，上市日期超过60日
}
HP:=HHV(HIGH,N);{N日内最高价}
LP:=LLV(LOW,N);{30日内最低价}
HD:=HHVBARS(HIGH,N);{出现最高价离现在的时间}
LD:=LLVBARS(LOW,N);{出现最低价离现在的时间}
OP1 := ((HP-LP)/LP > M/100);{N内涨幅超过M%}
OP2 := (COUNT(CLOSE/REF(CLOSE,1)>1.097,N)>=2);{N日内出现2个以上涨停板}
OP3 := LD>HD;{30日内最低点出现在最高点前面}
OP4 := (BARSCOUNT(C)+1)>60;{排除最近60天上市的次新股}
OP5 := DYNAINFO(4)>0;
条件选股:OP1 AND OP2 AND OP3 AND OP4 AND OP5;
'''
hp_arr = indicator.MAX(hist_h, period)
hp = hp_arr[-1]
lp_arr = indicator.MIN(hist_l, period)
lp = lp_arr[-1]
hd_arr = indicator.MAXINDEX(hist_h, period)
ld_arr = indicator.MININDEX(hist_l, period)
hd = len(hist_h) - hd_arr[-1]
ld = len(hist_l) - ld_arr[-1]
if (hp - lp) / lp < 0.4:
continue
if self.count_limit_up(hist_c) < 2:
continue
if hd > ld:
continue
last_open = hist_o[-1]
last_close = hist_c[-1]
pre_last_close = hist_c[-2]
raise_percent = (pre_last_close - last_close) / pre_last_close
raise_percent2 = (last_close - last_open) / last_open
if raise_percent > 0.03 or raise_percent < -0.03:
continue
if raise_percent2 > 0.03 or raise_percent2 < -0.02:
continue
'''
OP1 := ABS((LOW-TROUGH(2,15,1))/TROUGH(2,15,1))<=0.03;
OP11 := ABS((LOW-TROUGH(2,15,2))/TROUGH(2,15,2))<=0.03 AND (TROUGH(2,15,2) <= TROUGH(2,15,1));
OP111 := ABS((LOW-TROUGH(2,15,3))/TROUGH(2,15,3))<=0.03 AND (TROUGH(2,15,3) <= TROUGH(2,15,1));
OP2 := V < MA(V,30) OR V < HHV(V,30)/3;
OP3 := TROUGHBARS(2,15,1) > 3;
条件选股:(OP1 OR OP11 OR OP111) AND OP2 AND OP3;
'''
ma_volume = indicator.MA(hist_v, period)
max_volume = indicator.MAX(hist_v, period)
if hist_v[-1] >= ma_volume[-1] and hist_v[-1] >= max_volume[-1] / 3:
continue
trough, troughbars = self.get_trough(instrument)
if len(trough) == 0 or len(troughbars) == 0:
continue
if troughbars[0] <= 3:
continue
last_low = hist_l[-1]
op1 = abs((last_low - trough[0]) / trough[0]) <= 0.03
op2 = len(trough) >= 2 and abs(
(last_low - trough[1]) / trough[1]) <= 0.03
op3 = len(trough) >= 3 and abs(
(last_low - trough[2]) / trough[2]) <= 0.03
if op1:
self.__stop_loss_price[instrument] = trough[0]
else:
continue
'''
elif op2:
self.__stop_loss_price[instrument] = trough[1]
elif op3:
self.__stop_loss_price[instrument] = trough[2]
'''
selected_instruments.append(instrument)
return selected_instruments