def main():
signalData = SourceDataDao.getSignalData()
dailyQuote = SourceDataDao.getDailyQuote()
#columns filter
#df3 = sourceData.loc[(df['Mom'] <= 4) & (df['Mom'] <= 4), ['Mom']]
#index filter
#startDate=DateUtils.str2Datetime('20010105');
#endDate=DateUtils.str2Datetime('20010111');
#df4 = df3.ix[startDate:endDate]
#select top 5 group by TradingDay order by Mom desc
groupedSignalData = signalData.groupby(level='TradingDay').apply(
SelectUtil.top, 5, 'Mom', False)
#param
#period = 5
startDate = '1/8/2001'
#endDate = '1/1/2017'
endDate = '18/1/2001'
#time series
dateList = DateUtil.get_date_list2(startDate, endDate)
stockHoldDF = {}
stockTradeDF = {}
lastSignalData = pd.DataFrame()
usableVol = 100
netValue = 1
stockStatDaily = pd.DataFrame(index=pd.date_range(startDate, endDate),
columns=['netValue', 'changePCT'])
for date in dateList.index:
#print(date)
dateStr = DateUtil.datetime2_str(date)
#print(dateStr)
#isinstance(date, datetime)
#DateUtil.str2Datetime('20010108')
# select by single date
try:
#print(1)
currSignalData = groupedSignalData.ix[date]
print("currSignalData:" + str(len(currSignalData)))
print(currSignalData)
except:
#假期,双休日,原数据问题
print(DateUtil.datetime2_str(date) + ': no data')
continue
def main():
signalData = SourceDataDao.getSignalData()
dailyQuote = SourceDataDao.getDailyQuote()
#columns filter
#df3 = sourceData.loc[(df['Mom'] <= 4) & (df['Mom'] <= 4), ['Mom']]
#index filter
#startDate=DateUtils.str2Datetime('20010105');
#endDate=DateUtils.str2Datetime('20010111');
#df4 = df3.ix[startDate:endDate]
#select top 5 group by TradingDay order by Mom desc
groupedSignalData = signalData.groupby(level='TradingDay').apply(SelectUtil.top,5,'Mom',False)
#param
period = 5
startDate = '1/8/2001'
#endDate = '1/1/2017'
endDate = '1/18/2001'
#time series
dateList = DateUtil.get_date_list2(startDate, endDate)
currHoldSet = {}
stockHoldDF = {}
stockTradeDF = {}
#lastSignalData = pd.DataFrame()
usableVol = 100;
netValue = 1;
stockStatDaily = pd.DataFrame(index=pd.date_range(startDate, endDate), columns=['netValue','changePCT','buyCnt','sellCnt','holdCnt'])
for date in dateList.index:
#print(date)
dateStr = DateUtil.datetime2_str(date)
#print(dateStr)
#isinstance(date, datetime)
#DateUtil.str2Datetime('20010108')
# select by single date
try:
#print(1)
currSignalData = groupedSignalData.ix[date]
print("currSignalData:"+str(len(currSignalData)))
#print(2)
buyList = getBuyList(currSignalData,lastSignalData)
#print(3)
sellList = getSellList(currSignalData,lastSignalData)
#print(4)
holdList = getHoldList(currSignalData,lastSignalData)
#print(currSignalData)
#print("len:"+str(len(currSignalData)))
except:
#假期,双休日,原数据问题
print(DateUtil.datetime2_str(date) + ': no data')
continue
buyCnt = len(buyList)
sellCnt = len(sellList)
holdCnt = len(holdList)
dailyChangePCT = 0
changePCTBuy = handleBuyList(date,buyList,dailyQuote,usableVol,stockHoldDF,stockTradeDF)
releasedVol = getReleasedVol(sellList, stockHoldDF)
usableVol = usableVol + releasedVol
changePCTSell = handleSellList(date,sellList,dailyQuote,usableVol,stockHoldDF,stockTradeDF)
#changePCTHold = handleHoldList(date, sellList, dailyQuote, usableVol, stockHoldDF, stockTradeDF)
changePCTHold = 0
print("dateStr:" + dateStr +
" changePCTBuy:" + str(changePCTBuy) +
" changePCTSell:" + str(changePCTSell) +
" changePCTHold:" + str(changePCTHold))
dailyChangePCT = changePCTBuy+changePCTSell+changePCTHold
#print("dailyChangePCT:"+str(dailyChangePCT))
netValue = netValue * (1 + dailyChangePCT / 100)
#print("netValue:" + str(netValue))
stockStatDaily.ix[dateStr] = netValue,dailyChangePCT,buyCnt,sellCnt,holdCnt
#innerCodeList = currSignalData["InnerCode"]
#print(innerCodeList)
#lastSignalData = currSignalData
print(stockStatDaily)
def main():
signalData = SourceDataDao.getSignalData()
dailyQuote = SourceDataDao.getDailyQuote()
#columns filter
#df3 = sourceData.loc[(df['Mom'] <= 4) & (df['Mom'] <= 4), ['Mom']]
#index filter
#startDate=DateUtils.str2Datetime('20010105');
#endDate=DateUtils.str2Datetime('20010111');
#df4 = df3.ix[startDate:endDate]
#select top 5 group by TradingDay order by Mom desc
groupedSignalData = signalData.groupby(level='TradingDay').apply(
SelectUtil.top, 5, 'Mom', False)
#param
#period = 5
#startDate = '1/8/2001'
startDate = '1/8/2001'
#endDate = '1/1/2017'
endDate = '2/18/2002'
#endDate = '12/31/2016'
#endDate = '12/31/2002'
#time series
#dateList = DateUtil.getDateList2(startDate,endDate)
currHoldSet = {}
stockHoldDF = {}
stockTradeDF = {}
#lastSignalData = pd.DataFrame()
usableVol = 100
netValue = 1
#初始化每日统计表
stockStatDaily = pd.DataFrame(index=pd.date_range(startDate, endDate),
columns=[
'netValue', 'changePCT', 'buyCnt',
'sellCnt', 'prevHoldCnt', 'currHoldCnt',
'cannotSellCnt', 'cannotBuyCnt'
])
#从信号表中取得唯一性日期
dateList = SourceDataDao.select_date_from_signal(signalData, startDate,
endDate)
for date in dateList:
#for date in dateList.index:
#print(date)
dateStr = DateUtil.datetime2_str(date)
#print(dateStr)
#isinstance(date, datetime)
# select by single date
#try:
#print(1)
currSignalData = groupedSignalData.ix[date]
if StockConst.IS_DEBUG:
print("currSignalData:" + str(len(currSignalData)))
#print(2)
buyList = getBuyList(currSignalData, currHoldSet)
#print(3)
sellList = getSellList(currSignalData, currHoldSet)
#print(4)
prevHoldList = getPrevHoldList(currSignalData, currHoldSet)
#print(currSignalData)
#except:
#假期,双休日,原数据问题
#if StockConst.isDebug:
#print(DateUtil.datetime2Str(date) + ': no data')
#continue
dailyChangePCT = 0
actualSellList = []
actualBuyList = []
cannotSellList = []
cannotBuyList = []
#1.sell
changePCTSell = handleSellList(date, sellList, dailyQuote, usableVol,
stockHoldDF, stockTradeDF, currHoldSet,
actualSellList, cannotSellList)
usableVol = calculateUsableVol(currHoldSet)
#2.buy
changePCTBuy = handleBuyList(date, buyList, dailyQuote, usableVol,
stockHoldDF, stockTradeDF, currHoldSet,
actualBuyList, cannotBuyList)
#3.hold
changePCTHold = handleHoldList(date, prevHoldList, dailyQuote,
usableVol, stockHoldDF, stockTradeDF,
currHoldSet)
#changePCTHold = 0
buyCnt = len(actualBuyList)
sellCnt = len(actualSellList)
prevHoldCnt = len(prevHoldList)
currHoldCnt = len(currHoldSet)
cannotSellCnt = len(cannotSellList)
cannotBuyCnt = len(cannotBuyList)
if StockConst.IS_DEBUG:
print("dateStr:" + dateStr + " changePCTBuy:" + str(changePCTBuy) +
" changePCTSell:" + str(changePCTSell) + " changePCTHold:" +
str(changePCTHold))
dailyChangePCT = changePCTBuy + changePCTSell + changePCTHold
#print("dailyChangePCT:"+str(dailyChangePCT))
netValue = netValue * (1 + dailyChangePCT / 100)
#print("netValue:" + str(netValue))
stockStatDaily.ix[
dateStr] = netValue, dailyChangePCT, buyCnt, sellCnt, prevHoldCnt, currHoldCnt, cannotSellCnt, cannotBuyCnt
#innerCodeList = currSignalData["InnerCode"]
#print(innerCodeList)
#lastSignalData = currSignalData
#每日统计(收益，净值，买入数，卖出数，持有数)
stockStatDaily = stockStatDaily.dropna(how='all')
print('每日统计:')
print(stockStatDaily)
stockStatDaily.to_csv('F:\export\stockStatDaily.csv')
# 每年统计
yearList = StockYearService.main(stockStatDaily)
print('每年统计:')
print(yearList)
# 最大回撤
maxdrop = StockMaxDropNewService.get_max_drop(stockStatDaily)
print('最大回撤:')
print(maxdrop)
#每年的最大回撤
maxdropList = StockMaxDropNewService.get_max_drop_for_each_year(
stockStatDaily)
maxdropList.sort_values(by=["year"])
print('每年的最大回撤:')
print(maxdropList)
#夏普比率
sharpRatio = SharpRatioNewService.get_sharp_ratio(stockStatDaily)
print('夏普比率:')
print(sharpRatio)
#每年的夏普比率
sharpRatioList = SharpRatioNewService.get_sharp_ratio_for_each_year(
stockStatDaily)
sharpRatioList.sort_values(by=["year"])
print('每年的夏普比率:')
print(sharpRatioList)
