def __init__(self,strategy,feed, instrument,**kwargs):
'''
:param strategy:
:param feed:
:param instrument:
:param fast_period:
:param slow_period:
:param kwargs:
fast_period
slow_period
'''
self.set_member('fast_period',5,kwargs)
self.set_member('slow_period', 20,kwargs)
fast_period = self.fast_period
slow_period = self.slow_period
super(kd_signal, self).__init__(strategy, feed, instrument)
self.fast_ma= ma.SMA(feed[instrument].getCloseDataSeries(), fast_period)
self.fast_period = fast_period
self.slow_ma = ma.SMA(feed[instrument].getCloseDataSeries(), slow_period)
self.slow_period = slow_period
self.fast__trend = TrendRatio(self.prices, fast_period)
self.slow__trend = TrendRatio(self.prices, slow_period)
self.kd = stoch.StochasticOscillator(feed[instrument],slow_period,fast_period,False,None)
self.plot_init(True)
self.start_check = False
def __init__(self,feed,instruments,ind_dt,ts):
strategy.BacktestingStrategy.__init__(self,feed,cash_or_brk=200)
self.__position = []
self.__intrapost = dict()
self.__instruments = instruments
self.__ts = ts
self.__ydate = ''
self.lastday = dict()
self.df = pd.read_csv(ind_dt,dtype={'code':np.str})
self.tdays = np.array(self.df['Date'].unique())
self.__prices = feed.getDataSeries(self.__instruments)
self.__KDJ = stoch.StochasticOscillator(self.__prices,9)
rsiPeriod = 6
self.__priceDS = feed[self.__instruments].getPriceDataSeries()
self.__rsi = rsi.RSI(self.__priceDS, rsiPeriod)
self.__PK = None
self.__PD = None
self.__fakeShares = 0
self.__prevJ = None
self.__buydays = set()
self.getBroker().setMaxHoldingDays(2)
def testZeroDivision(self):
highPrices = [1, 1, 1]
lowPrices = [1, 1, 1]
closePrices = [1, 1, 1]
barDS = bards.BarDataSeries()
stochFilter = stoch.StochasticOscillator(barDS, 2, 2)
self.__fillBarDataSeries(barDS, closePrices, highPrices, lowPrices)
self.assertEqual(stochFilter[-1], 0)
def testStockChartsStoch(self):
# Test data from
# http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:stochastic_oscillato
highPrices = [
127.0090, 127.6159, 126.5911, 127.3472, 128.1730, 128.4317,
127.3671, 126.4220, 126.8995, 126.8498, 125.6460, 125.7156,
127.1582, 127.7154, 127.6855, 128.2228, 128.2725, 128.0934,
128.2725, 127.7353, 128.7700, 129.2873, 130.0633, 129.1182,
129.2873, 128.4715, 128.0934, 128.6506, 129.1381, 128.6406
]
lowPrices = [
125.3574, 126.1633, 124.9296, 126.0937, 126.8199, 126.4817,
126.0340, 124.8301, 126.3921, 125.7156, 124.5615, 124.5715,
125.0689, 126.8597, 126.6309, 126.8001, 126.7105, 126.8001,
126.1335, 125.9245, 126.9891, 127.8148, 128.4715, 128.0641,
127.6059, 127.5960, 126.9990, 126.8995, 127.4865, 127.3970
]
closePrices = lowPrices[:
13] # To keep initial close prince between low/high
closePrices.extend([
127.2876, 127.1781, 128.0138, 127.1085, 127.7253, 127.0587,
127.3273, 128.7103, 127.8745, 128.5809, 128.6008, 127.9342,
128.1133, 127.5960, 127.5960, 128.6904, 128.2725
])
kValues = [
None, None, None, None, None, None, None, None, None, None, None,
None, None, 70.4382, 67.6089, 89.2021, 65.8106, 81.7477, 64.5238,
74.5298, 98.5814, 70.1045, 73.0561, 73.4178, 61.2313, 60.9563,
40.3861, 40.3861, 66.8285, 56.7314
]
dValues = [
None, None, None, None, None, None, None, None, None, None, None,
None, None, None, None, 75.7497, 74.2072, 78.9201, 70.6940,
73.6004, 79.2117, 81.0719, 80.5807, 72.1928, 69.2351, 65.2018,
54.1912, 47.2428, 49.2003, 54.6487
]
barDS = bards.BarDataSeries(INSTRUMENT)
stochFilter = stoch.StochasticOscillator(barDS, 14)
self.__fillBarDataSeries(barDS, closePrices, highPrices, lowPrices)
for i in range(len(kValues)):
self.assertTrue(values_equal(stochFilter[i], kValues[i]))
self.assertTrue(values_equal(stochFilter.getD()[i], dValues[i]))
self.assertEqual(len(stochFilter.getDateTimes()), len(closePrices))
for i in range(len(stochFilter)):
self.assertNotEqual(stochFilter.getDateTimes()[i], None)
def __init__(self, feed, instrument, arg_set, kdj_fast=3, kdj_slow=9, macd_fast=12, macd_slow=26):
broker_commission = broker.backtesting.TradePercentage(0.0004)
brokers = broker.backtesting.Broker(1000000, feed, broker_commission)
super(Macd_Kdj, self).__init__(feed, brokers)
self.__instrument = instrument
self.__feed = feed
# self.setUseAdjustedValues(True)
self.__position = None
self.initState = False
self.code = feed.getKeys()[0]
self.priceDS = feed[instrument].getPriceDataSeries()
self.arg_set = arg_set
self.kdj_k = stoch.StochasticOscillator(feed[instrument], period=kdj_fast, dSMAPeriod=kdj_slow)
self.kdj_d = self.kdj_k.getD()
self.diff = macd.MACD(self.priceDS, fastEMA=macd_fast, slowEMA=macd_slow, signalEMA=9)
self.dea = self.diff.getSignal()
self.macd = self.diff.getHistogram()
def testShortPeriod(self):
highPrices = [3, 3, 3]
lowPrices = [1, 1, 1]
closePrices = [2, 2, 3]
stochFilter = stoch.StochasticOscillator(
self.__buildBarDataSeries(closePrices, highPrices, lowPrices), 2,
2)
self.assertTrue(values_equal(stochFilter.getValueAbsolute(0), None))
self.assertTrue(values_equal(stochFilter.getValueAbsolute(1), 50))
self.assertTrue(values_equal(stochFilter.getValueAbsolute(2), 100))
self.assertTrue(
values_equal(stochFilter.getD().getValueAbsolute(0), None))
self.assertTrue(
values_equal(stochFilter.getD().getValueAbsolute(1), None))
self.assertTrue(
values_equal(stochFilter.getD().getValueAbsolute(2), 75))
def testShortPeriod(self):
highPrices = [3, 3, 3]
lowPrices = [1, 1, 1]
closePrices = [2, 2, 3]
barDS = bards.BarDataSeries()
stochFilter = stoch.StochasticOscillator(barDS, 2, 2)
self.__fillBarDataSeries(barDS, closePrices, highPrices, lowPrices)
self.assertTrue(values_equal(stochFilter[0], None))
self.assertTrue(values_equal(stochFilter[1], 50))
self.assertTrue(values_equal(stochFilter[2], 100))
self.assertTrue(values_equal(stochFilter.getD()[0], None))
self.assertTrue(values_equal(stochFilter.getD()[1], None))
self.assertTrue(values_equal(stochFilter.getD()[2], 75))
self.assertEqual(len(stochFilter.getDateTimes()), len(closePrices))
for i in range(len(stochFilter)):
self.assertNotEqual(stochFilter.getDateTimes()[i], None)
def testStockChartsStoch_Bounded(self):
# Test data from
# http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:stochastic_oscillato
highPrices = [
127.0090, 127.6159, 126.5911, 127.3472, 128.1730, 128.4317,
127.3671, 126.4220, 126.8995, 126.8498, 125.6460, 125.7156,
127.1582, 127.7154, 127.6855, 128.2228, 128.2725, 128.0934,
128.2725, 127.7353, 128.7700, 129.2873, 130.0633, 129.1182,
129.2873, 128.4715, 128.0934, 128.6506, 129.1381, 128.6406
]
lowPrices = [
125.3574, 126.1633, 124.9296, 126.0937, 126.8199, 126.4817,
126.0340, 124.8301, 126.3921, 125.7156, 124.5615, 124.5715,
125.0689, 126.8597, 126.6309, 126.8001, 126.7105, 126.8001,
126.1335, 125.9245, 126.9891, 127.8148, 128.4715, 128.0641,
127.6059, 127.5960, 126.9990, 126.8995, 127.4865, 127.3970
]
closePrices = lowPrices[:
13] # To keep initial close prince between low/high
closePrices.extend([
127.2876, 127.1781, 128.0138, 127.1085, 127.7253, 127.0587,
127.3273, 128.7103, 127.8745, 128.5809, 128.6008, 127.9342,
128.1133, 127.5960, 127.5960, 128.6904, 128.2725
])
kValues = [40.3861, 66.8285, 56.7314]
dValues = [47.2428, 49.2003, 54.6487]
barDS = bards.BarDataSeries(INSTRUMENT)
stochFilter = stoch.StochasticOscillator(barDS, 14, maxLen=3)
self.__fillBarDataSeries(barDS, closePrices, highPrices, lowPrices)
self.assertEqual(len(stochFilter), 3)
self.assertEqual(len(stochFilter[:]), 3)
self.assertEqual(len(stochFilter.getDateTimes()), 3)
self.assertEqual(len(stochFilter.getD()), 3)
self.assertEqual(len(stochFilter.getD().getDateTimes()), 3)
for i in xrange(3):
self.assertEqual(round(stochFilter[i], 4), kValues[i])
self.assertEqual(round(stochFilter.getD()[i], 4), dValues[i])
def __init__(self, feed, instrument, bBandsPeriod):
super(MyStrategy, self).__init__(feed)
self.__instrument = instrument
# 使用调整后的数据
if feed.barsHaveAdjClose():
self.setUseAdjustedValues(True)
# 持有仓位
self.__holdPosition = 0.0
# 空闲仓位
self.__emptyPosition = 10.0
# 单元持仓金额
self.__unit = self.getBroker().getCash(False) / 10
# 统计收盘价
self.__priceDS = feed[instrument].getPriceDataSeries()
# 计算macd指标
self.__macd = macd.MACD(self.__priceDS, 12, 26, 9)
# 计算KD指标
self.__stoch = stoch.StochasticOscillator(feed[instrument], 9, 3)
# 计算rsi指标
self.__rsi7 = rsi.RSI(self.__priceDS, 7)
self.__rsi14 = rsi.RSI(self.__priceDS, 14)
# 计算布林线
self.__bbands = bollinger.BollingerBands(self.__priceDS, bBandsPeriod,
2)
