def __init__(self, code, start, end):
super().__init__()
self.frequence = FREQUENCE.DAY
self.market_type = MARKET_TYPE.STOCK_CN
self.backtest_stock_code = code
start = QA_util_get_last_day(
QA_util_get_real_date(start, trade_date_sse, -1), 100)
self.stock_day_data = QAQuery_Advance.QA_fetch_stock_day_adv(
self.backtest_stock_code, start, end)
self.stock_day_data_qfq = self.stock_day_data.to_qfq()
# print(self.stock_day_data)
self.stock_bollinger_bands = QA_indicator_BOLL(
self.stock_day_data_qfq())
# print(len(self.stock_bollinger_bands))
# print(self.stock_bollinger_bands)
self.current_state = 0
class BollingerBandsStrategy(QA_Strategy):
'''
布林带策略：
股价运行
'''
def __init__(self, code, start, end):
super().__init__()
self.frequence = FREQUENCE.DAY
self.market_type = MARKET_TYPE.STOCK_CN
self.backtest_stock_code = code
start = QA_util_get_last_day(
QA_util_get_real_date(start, trade_date_sse, -1), 100)
self.stock_day_data = QAQuery_Advance.QA_fetch_stock_day_adv(
self.backtest_stock_code, start, end)
self.stock_day_data_qfq = self.stock_day_data.to_qfq()
# print(self.stock_day_data)
self.stock_bollinger_bands = QA_indicator_BOLL(
self.stock_day_data_qfq())
# print(len(self.stock_bollinger_bands))
# print(self.stock_bollinger_bands)
self.current_state = 0
def on_bar(self, event):
# print("on bar 当前日期是:", current_date )
today_on_bar = pd.Timestamp(self.current_time.date())
for item in event.market_data.code:
market_data = event.market_data
# QA_DataStruct_Stock_day
print()
# print( market_data.high )
# print( market_data.low )
# print( market_data.open )
# print( market_data.close )
# pandas 不熟悉 可能有更加好的 方法获取数据
bollingerBandsSeries = self.stock_bollinger_bands.xs(
(today_on_bar, item))
bollValue = bollingerBandsSeries.to_dict()
print(bollValue)
#{'BOLL': 55.32273295612507, 'LB': 26.899453479933527, 'UB': 83.74601243231662}
middlePrice = bollValue['BOLL']
lowPrice = bollValue['LB']
highPrice = bollValue['UB']
market_data_type = type(market_data)
closePrice_type = type(market_data.close)
closePriceDict = market_data.close.to_dict()
closePrice = closePriceDict[(today_on_bar, item)]
last_state = self.current_state
if closePrice > middlePrice:
# print(today_on_bar,closePrice,"中轨上方运行",middlePrice)
self.current_state = 1
elif closePrice < middlePrice:
# print(today_on_bar,closePrice,"中轨下方运行",middlePrice)
self.current_state = -1
else:
# print(today_on_bar,closePrice,"中轨价格",middlePrice)
pass
if last_state == -1 and self.current_state == 1:
print(today_on_bar, "上穿中轨道")
if self.sell_available is not None and self.sell_available.get(
item, 0) == 0:
event.send_order(account_cookie=self.account_cookie,
amount=1000,
amount_model=AMOUNT_MODEL.BY_AMOUNT,
time=self.current_time,
code=item,
price=0,
order_model=ORDER_MODEL.MARKET,
towards=ORDER_DIRECTION.BUY,
market_type=self.market_type,
frequence=self.frequence,
broker_name=self.broker)
elif last_state == 1 and self.current_state == -1:
print(today_on_bar, "下穿中轨道")
if self.sell_available is not None and self.sell_available.get(
item, 0) > 0:
event.send_order(account_cookie=self.account_cookie,
amount=self.sell_available[item],
amount_model=AMOUNT_MODEL.BY_AMOUNT,
time=self.current_time,
code=item,
price=0,
order_model=ORDER_MODEL.MARKET,
towards=ORDER_DIRECTION.SELL,
market_type=self.market_type,
frequence=self.frequence,
broker_name=self.broker)
# 最后一天卖出
#last_dau_on_bar = pd.Timestamp('2018-05-20')
type1 = type(self.current_time.date())
date1 = self.current_time.date()
# todo 🛠 改成日期函数的比较
if date1.year == 2018 and date1.month == 5 and date1.day == 16:
if self.sell_available is not None and self.sell_available.get(
item, 0) > 0:
event.send_order(account_cookie=self.account_cookie,
amount=self.sell_available[item],
amount_model=AMOUNT_MODEL.BY_AMOUNT,
time=self.current_time,
code=item,
price=0,
order_model=ORDER_MODEL.MARKET,
towards=ORDER_DIRECTION.SELL,
market_type=self.market_type,
frequence=self.frequence,
broker_name=self.broker)
print("结束回测，卖出所有股份！")
# print(up)
# print(lb)
# time.sleep(1)
pass