if ctx.curbar > 10:
if ctx.ma5[1] < ctx.ma10[1] and ctx.ma5 > ctx.ma10:
ctx.buy(ctx.close, 1)
print('策略%s, 买入%s'%(ctx.strategy, ctx.symbol))
elif ctx.position() > 0 and ctx.ma5[1] > ctx.ma10[1] and \
ctx.ma5 < ctx.ma10:
ctx.sell(ctx.close, 1)
print('策略%s, 卖出%s'%(ctx.strategy, ctx.symbol))
def on_symbol(self, ctx):
return
def on_exit(self, ctx):
return
if __name__ == '__main__':
from quantdigger.digger import finance
set_symbols(['BB.SHFE-1.Minute'], 0)
comb1 = add_strategy([DemoStrategy('A1'), DemoStrategy2('A2')],
{ 'captial': 10000, 'ratio': [0.5, 0.5] })
comb2 = add_strategy([DemoStrategy('B1'), DemoStrategy2('B2')],
{ 'captial': 20000, 'ratio': [0.4, 0.6] })
run()
# 打印组合1的统计信息
curve1 = finance.create_equity_curve(comb1.all_holdings())
print '组合A', finance.summary_stats(curve1, 252*4*60)
# 打印组合2的统计信息
curve2 = finance.create_equity_curve(comb2.all_holdings())
print '组合B', finance.summary_stats(curve2, 252*4*60)
set_symbols(['600096.SH-1.Day'], '2015-01-04', '2016-01-08')
#set_symbols(['BB.SHFE'])
#set_symbols(['BB'])
profile = add_strategy(
[DemoStrategy('A1'), DemoStrategy2('A2')], {
'capital': 50000.0,
'ratio': [0.5, 0.5]
})
run()
stop = timeit.default_timer()
six.print_("运行耗时: %d秒" % ((stop - start)))
# 绘制k线，交易信号线
from quantdigger.digger import finance, plotting
s = 0
# 绘制策略A1, 策略A2, 组合的资金曲线
curve0 = finance.create_equity_curve(profile.all_holdings(0))
curve1 = finance.create_equity_curve(profile.all_holdings(1))
curve = finance.create_equity_curve(profile.all_holdings())
plotting.plot_strategy(profile.data(0), {1: profile.technicals(0)},
profile.deals(0), curve.equity)
plotting.plot_curves([curve0.equity, curve1.equity, curve.equity],
colors=['r', 'g', 'b'],
names=[profile.name(0),
profile.name(1), 'A0'])
# 绘制净值曲线
plotting.plot_curves([curve.networth])
# 打印统计信息
six.print_(finance.summary_stats(curve, 252 * 4 * 60))
print('策略%s, 卖出%s' % (ctx.strategy, ctx.symbol))
def on_symbol(self, ctx):
return
def on_exit(self, ctx):
return
if __name__ == '__main__':
from quantdigger.digger import finance
set_symbols(['BB.SHFE-1.Minute'])
comb1 = add_strategy(
[DemoStrategy('A1'), DemoStrategy2('A2')], {
'capital': 10000000,
'ratio': [0.5, 0.5]
})
comb2 = add_strategy(
[DemoStrategy('B1'), DemoStrategy2('B2')], {
'capital': 20000000,
'ratio': [0.4, 0.6]
})
run()
# 打印组合1的统计信息
curve1 = finance.create_equity_curve(comb1.all_holdings())
print '组合A', finance.summary_stats(curve1, 252 * 4 * 60)
# 打印组合2的统计信息
curve2 = finance.create_equity_curve(comb2.all_holdings())
print '组合B', finance.summary_stats(curve2, 252 * 4 * 60)
def on_exit(self, ctx):
return
if __name__ == '__main__':
#set_config({ 'source': 'csv' })
set_symbols(['BB.SHFE-1.Minute'], 0)
profile = add_strategy(
[DemoStrategy('A1'), DemoStrategy2('A2')], {
'captial': 50000.0,
'ratio': [0.5, 0.5]
})
run()
# 绘制k线，交易信号线
from quantdigger.digger import finance, plotting
s = 0
# 绘制策略A1, 策略A2, 组合的资金曲线
curve0 = finance.create_equity_curve(profile.all_holdings(0))
curve1 = finance.create_equity_curve(profile.all_holdings(1))
curve = finance.create_equity_curve(profile.all_holdings())
plotting.plot_strategy(profile.data(0), profile.technicals(0),
profile.deals(0), curve.equity)
plotting.plot_curves([curve0.equity, curve1.equity, curve.equity],
colors=['r', 'g', 'b'],
names=[profile.name(0),
profile.name(1), 'A0'])
# 绘制净值曲线
plotting.plot_curves([curve.networth])
# 打印统计信息
print finance.summary_stats(curve, 252 * 4 * 60)
set_config({'source': 'tushare'})
set_symbols(['300333.SZ-1.Day'])
profile = add_strategy(
[DemoStrategy('A1'), DemoStrategy2('A2')], {
'capital': 50000.0,
'ratio': [0.5, 0.5]
})
run()
stop = timeit.default_timer()
print "运行耗时: %d秒" % ((stop - start))
# 绘制k线，交易信号线
from quantdigger.digger import finance, plotting
s = 0
# 绘制策略A1, 策略A2, 组合的资金曲线
curve0 = finance.create_equity_curve(profile.all_holdings(0))
curve1 = finance.create_equity_curve(profile.all_holdings(1))
curve = finance.create_equity_curve(profile.all_holdings())
plotting.plot_strategy(profile.data(), profile.technicals(0),
profile.deals(0), curve0.equity.values,
profile.marks(0))
#plotting.plot_curves([curve0.equity, curve1.equity, curve.equity],
#colors=['r', 'g', 'b'],
#names=[profile.name(0), profile.name(1), 'A0'])
## 绘制净值曲线
plotting.plot_curves([curve.networth])
## 打印统计信息
print finance.summary_stats(curve, 252)
## @TODO 直接单击的时候只有数直线
if ctx.ma5[1] < ctx.ma10[1] and ctx.ma5 > ctx.ma10:
ctx.buy(ctx.close, 1)
elif ctx.position() > 0 and ctx.ma5[1] > ctx.ma10[1] and \
ctx.ma5 < ctx.ma10:
ctx.sell(ctx.close, 1)
return
def on_exit(self, ctx):
return
if __name__ == '__main__':
set_symbols(['BB.SHFE-1.Minute'], 0)
profile = add_strategy([DemoStrategy('A1'), DemoStrategy2('A2')], { 'captial': 50000,
'ratio': [0.2, 0.8] })
run()
# 绘制k线，交易信号线
from quantdigger.digger import finance, plotting
plotting.plot_strategy(profile.data(0), profile.technicals(1), profile.deals(1))
# 绘制策略A1, 策略A2, 组合的资金曲线
curve0 = finance.create_equity_curve(profile.all_holdings(0))
curve1 = finance.create_equity_curve(profile.all_holdings(1))
curve = finance.create_equity_curve(profile.all_holdings())
plotting.plot_curves([curve0.equity, curve1.equity, curve.equity],
colors=['r', 'g', 'b'],
names=[profile.name(0), profile.name(1), 'A0'])
# 绘制净值曲线
plotting.plot_curves([curve.networth])
# 打印统计信息
print finance.summary_stats(curve, 252*4*60)
start = timeit.default_timer()
#set_symbols(['BB.SHFE-1.Minute'])
#set_symbols(['BB.SHFE'])
set_config({ 'source': 'csv' })
set_symbols(['BB.SHFE-1.Day'])
profile = add_strategy([DemoStrategy('A1'), DemoStrategy2('A2')],
{ 'capital': 50000.0, 'ratio': [0.5, 0.5] })
run()
stop = timeit.default_timer()
print "运行耗时: %d秒" % ((stop - start ))
# 绘制k线，交易信号线
from quantdigger.digger import finance, plotting
s = 0
# 绘制策略A1, 策略A2, 组合的资金曲线
curve0 = finance.create_equity_curve(profile.all_holdings(0))
curve1 = finance.create_equity_curve(profile.all_holdings(1))
curve = finance.create_equity_curve(profile.all_holdings())
plotting.plot_strategy(profile.data(), profile.technicals(0),
profile.deals(0), curve0.equity.values,
profile.marks(0))
#plotting.plot_curves([curve0.equity, curve1.equity, curve.equity],
#colors=['r', 'g', 'b'],
#names=[profile.name(0), profile.name(1), 'A0'])
## 绘制净值曲线
plotting.plot_curves([curve.networth])
## 打印统计信息
print finance.summary_stats(curve, 252)
## @TODO 直接单击的时候只有数直线
if __name__ == '__main__':
from quantdigger.digger import finance
comb1 = add_strategies(['BB.SHFE-1.Minute'], [
{
'strategy': DemoStrategy('A1'),
'capital': 10000000.0 * 0.5,
},
{
'strategy': DemoStrategy('A2'),
'capital': 10000000.0 * 0.5,
}
])
# 打印组合1的统计信息
curve1 = finance.create_equity_curve(Profile.all_holdings_sum(comb1))
six.print_('组合A', finance.summary_stats(curve1, 252*4*60))
comb2 = add_strategies(['BB.SHFE-1.Minute'], [
{
'strategy': DemoStrategy('B1'),
'capital': 20000000 * 0.4,
},
{
'strategy': DemoStrategy('B2'),
'capital': 20000000 * 0.6,
}
])
# 打印组合2的统计信息
curve2 = finance.create_equity_curve(Profile.all_holdings_sum(comb2))
six.print_('组合B', finance.summary_stats(curve2, 252*4*60))
def on_bar(self, ctx):
if ctx.curbar > 10:
if ctx.ma5[1] < ctx.ma10[1] and ctx.ma5 > ctx.ma10:
ctx.buy(ctx.close, 1)
print ("策略%s, 买入%s" % (ctx.strategy, ctx.symbol))
elif ctx.position() > 0 and ctx.ma5[1] > ctx.ma10[1] and ctx.ma5 < ctx.ma10:
ctx.sell(ctx.close, 1)
print ("策略%s, 卖出%s" % (ctx.strategy, ctx.symbol))
def on_symbol(self, ctx):
return
def on_exit(self, ctx):
return
if __name__ == "__main__":
from quantdigger.digger import finance
set_symbols(["BB.SHFE-1.Minute"], 0)
comb1 = add_strategy([DemoStrategy("A1"), DemoStrategy2("A2")], {"capital": 10000000, "ratio": [0.5, 0.5]})
comb2 = add_strategy([DemoStrategy("B1"), DemoStrategy2("B2")], {"capital": 20000000, "ratio": [0.4, 0.6]})
run()
# 打印组合1的统计信息
curve1 = finance.create_equity_curve(comb1.all_holdings())
print "组合A", finance.summary_stats(curve1, 252 * 4 * 60)
# 打印组合2的统计信息
curve2 = finance.create_equity_curve(comb2.all_holdings())
print "组合B", finance.summary_stats(curve2, 252 * 4 * 60)
'source': 'mongodb',
'dbname': 'quantdigger'
})
start = timeit.default_timer()
set_symbols(['BB.SHFE-1.Minute'])
#set_symbols(['BB.SHFE'])
#set_symbols(['BB'])
profile = add_strategy([DemoStrategy('A1'), DemoStrategy2('A2')],
{ 'capital': 50000.0, 'ratio': [0.5, 0.5] })
run()
stop = timeit.default_timer()
six.print_("运行耗时: %d秒" % ((stop - start )))
# 绘制k线，交易信号线
from quantdigger.digger import finance, plotting
s = 0
# 绘制策略A1, 策略A2, 组合的资金曲线
curve0 = finance.create_equity_curve(profile.all_holdings(0))
curve1 = finance.create_equity_curve(profile.all_holdings(1))
curve = finance.create_equity_curve(profile.all_holdings())
plotting.plot_strategy(profile.data(0), profile.technicals(0),
profile.deals(0), curve.equity)
plotting.plot_curves([curve0.equity, curve1.equity, curve.equity],
colors=['r', 'g', 'b'],
names=[profile.name(0), profile.name(1), 'A0'])
# 绘制净值曲线
plotting.plot_curves([curve.networth])
# 打印统计信息
six.print_(finance.summary_stats(curve, 252*4*60))
if ctx.curbar > 10:
if ctx.ma5[1] < ctx.ma10[1] and ctx.ma5 > ctx.ma10:
ctx.buy(ctx.close, 1)
six.print_('策略%s, 买入%s'%(ctx.strategy, ctx.symbol))
elif ctx.position() is not None and ctx.ma5[1] > ctx.ma10[1] and \
ctx.ma5 < ctx.ma10:
ctx.sell(ctx.close, 1)
six.print_('策略%s, 卖出%s'%(ctx.strategy, ctx.symbol))
def on_symbol(self, ctx):
return
def on_exit(self, ctx):
return
if __name__ == '__main__':
from quantdigger.digger import finance
set_symbols(['BB.SHFE-1.Minute'])
comb1 = add_strategy([DemoStrategy('A1'), DemoStrategy2('A2')],
{ 'capital': 10000000, 'ratio': [0.5, 0.5] })
comb2 = add_strategy([DemoStrategy('B1'), DemoStrategy2('B2')],
{ 'capital': 20000000, 'ratio': [0.4, 0.6] })
run()
# 打印组合1的统计信息
curve1 = finance.create_equity_curve(comb1.all_holdings())
six.print_('组合A', finance.summary_stats(curve1, 252*4*60))
# 打印组合2的统计信息
curve2 = finance.create_equity_curve(comb2.all_holdings())
six.print_('组合B', finance.summary_stats(curve2, 252*4*60))