Exemplo n.º 1
0
    def wavlet_plt():
        # trick to get the axes
        fig,ax = plt.subplots()

        xValues = close_price[-200:]
        ax.plot(xValues, label=code, color="r", linewidth=1)
        zValues = cwavelet.getWaveletData(xValues, 'db2', 2, 'sqtwolog')
        zxValue = np.arange(0,len(zValues),1)
        #plt.figure(figsize=(16,8))

        ax.plot(zxValue, zValues, color="b", linewidth=2)
        ax.grid()

        # make ticks and tick labels
        xticks=range(0, len(xValues)+1,10)
        #xticklabels=['2000-01-0'+str(n) for n in range(1,len(xValues)+1)]
        xticklabels = df['date'].apply(lambda x : str(x)).get_values()


        # set ticks and tick labels
        ax.set_xticks(xticks)
        ax.set_xticklabels(xticklabels,rotation=15)

        #plt.legend()
        plt.show()
Exemplo n.º 2
0
def plotData(stock_code, stock_name):
    try:
        xValues = []
        yValues = []

        xLabels = []

        dataPath = os.getcwd() + '\\stockdata\\'

        i = -1
        for line in open(dataPath + stock_code + ".csv"):
            f_date, f_open, f_high, f_low, f_close, f_volume, f_adjclose = line.split(
                ",")
            i += 1
            if i == 0 or i > 1000:
                continue
            xValues.append(i)
            yValues.append(float(f_adjclose))
            xLabels.append(f_date)
        yValues.reverse()

        zValues = cwavelet.getWaveletData(yValues, 'db2', 4, 'sqtwolog')
        zxValue = np.arange(0, len(zValues), 1)
        print len(zxValue), len(zValues)

        plt.figure(figsize=(16, 8))
        plt.plot(xValues, yValues, label=stock_code, color="b", linewidth=1)
        plt.plot(zxValue, zValues, color="r", linewidth=2)
        plt.xlabel("Time")
        plt.ylabel("Price")
        plt.title(stock_name)
        #plt.xticks(range(min(xLabels), max(xLabels)+1, 10))
        plt.grid()
        #plt.legend()
        plt.show()

    except Exception as e:
        print("Exception:>>>" + str(e))
    finally:
        None
Exemplo n.º 3
0
def plotData(stock_code, stock_name):
    try:
        xValues = []
        yValues = []

        xLabels = []

        dataPath = os.getcwd() + "\\stockdata\\"

        i = -1
        for line in open(dataPath + stock_code + ".csv"):
            f_date, f_open, f_high, f_low, f_close, f_volume, f_adjclose = line.split(",")
            i += 1
            if i == 0 or i > 1000:
                continue
            xValues.append(i)
            yValues.append(float(f_adjclose))
            xLabels.append(f_date)
        yValues.reverse()

        zValues = cwavelet.getWaveletData(yValues, "db2", 4, "sqtwolog")
        zxValue = np.arange(0, len(zValues), 1)
        print len(zxValue), len(zValues)

        plt.figure(figsize=(16, 8))
        plt.plot(xValues, yValues, label=stock_code, color="b", linewidth=1)
        plt.plot(zxValue, zValues, color="r", linewidth=2)
        plt.xlabel("Time")
        plt.ylabel("Price")
        plt.title(stock_name)
        # plt.xticks(range(min(xLabels), max(xLabels)+1, 10))
        plt.grid()
        # plt.legend()
        plt.show()

    except Exception as e:
        print ("Exception:>>>" + str(e))
    finally:
        None
Exemplo n.º 4
0
    def wavlet_plt():
        # trick to get the axes
        fig, ax = plt.subplots()

        xValues = close_price[-200:]
        ax.plot(xValues, label=code, color="r", linewidth=1)
        zValues = cwavelet.getWaveletData(xValues, 'db2', 2, 'sqtwolog')
        zxValue = np.arange(0, len(zValues), 1)
        #plt.figure(figsize=(16,8))

        ax.plot(zxValue, zValues, color="b", linewidth=2)
        ax.grid()

        # make ticks and tick labels
        xticks = range(0, len(xValues) + 1, 10)
        #xticklabels=['2000-01-0'+str(n) for n in range(1,len(xValues)+1)]
        xticklabels = df['date'].apply(lambda x: str(x)).get_values()

        # set ticks and tick labels
        ax.set_xticks(xticks)
        ax.set_xticklabels(xticklabels, rotation=15)

        #plt.legend()
        plt.show()
Exemplo n.º 5
0
def plotRateOfReturn(stock_code):
    try:
        xValues = []
        yValues = []

        i = -1
        for line in open(stock_code + ".csv"):
            i += 1
            if i == 0 or i > 1000:
                continue
            f_date, f_open, f_high, f_low, f_close, f_volume, f_adjclose = line.split(",")
            yValues.append(float(f_adjclose))

        # yValues删除最后一个元素,zValues删除第一个元素
        zValues = copy.deepcopy(yValues)  # 深拷贝
        yValues.reverse()
        yValues.pop()
        zValues.pop()
        zValues.reverse()
        if len(yValues) != len(zValues):
            return

        rateValues = []
        for i in range(0, len(yValues)):
            print float(zValues[i]) / yValues[i]
            rateValues.append(math.log(float(zValues[i]) / yValues[i]))
            xValues.append(i)

        rateValues = cwavelet.getWaveletData(yValues, "db4", 2, "sqtwolog")

        # BP神经网络
        #         patStock = []
        #         for i in range(0, len(yValues)):
        #             each = [[i], [yValues[i]]]
        #             patStock.append(each)
        #         patStockPre = copy.deepcopy(patStock)
        #         for i in range(len(yValues), len(yValues)+10):
        #             each = [[i], [0]]
        #             patStockPre.append(each)
        #         pat = [
        #         [[0], [0]],
        #         [[2], [1]],
        #         [[3], [1]],
        #         [[4], [5]]
        #         ]
        #
        #         # create a network with two input, two hidden, and one output nodes
        #         n = BP.NN(1, 2, 1)
        #         # train it with some patterns
        #         n.train(patStock)
        #         # test it
        #         n.test(patStock)

        # 最小二乘法
        print "原始长度:", len(rateValues)
        catRateValues = rateValues[:-7]
        print "原始长度:", len(catRateValues)
        leastsqValues = cwavelet.getWavePacketData(catRateValues, "haar", 4, 3)
        # leastsqValues = cleastsq.getFitYValues(range(len(catRateValues)), catRateValues, range(len(catRateValues)+3))
        print "变换后长度:", len(leastsqValues)
        newLeastsqValues = np.concatenate((rateValues[:-3], leastsqValues[-3:]))

        newLeastsqValues2 = []
        for data in newLeastsqValues:
            data -= 0.2
            newLeastsqValues2.append(data)
        newLeastsqValues = newLeastsqValues2

        print "变换后长度:", len(newLeastsqValues)
        plt.figure(figsize=(16, 8))
        plt.legend()
        plt.plot(range(len(rateValues)), rateValues, "b-", linewidth=1)
        plt.plot(range(len(newLeastsqValues)), newLeastsqValues, "r-", linewidth=1)
        plt.xlabel("Time")
        plt.ylabel("Price")
        plt.title(stock_code)
        plt.grid()

        plt.show()

    except Exception as e:
        print ("Exception:>>>" + str(e))
    finally:
        None
Exemplo n.º 6
0
def plotRateOfReturn(stock_code):
    try:
        xValues = []
        yValues = []

        i = -1
        for line in open(stock_code + ".csv"):
            i += 1
            if i == 0 or i > 1000:
                continue
            f_date, f_open, f_high, f_low, f_close, f_volume, f_adjclose = line.split(
                ",")
            yValues.append(float(f_adjclose))

        #yValues删除最后一个元素,zValues删除第一个元素
        zValues = copy.deepcopy(yValues)  #深拷贝
        yValues.reverse()
        yValues.pop()
        zValues.pop()
        zValues.reverse()
        if len(yValues) != len(zValues):
            return

        rateValues = []
        for i in range(0, len(yValues)):
            print float(zValues[i]) / yValues[i]
            rateValues.append(math.log(float(zValues[i]) / yValues[i]))
            xValues.append(i)

        rateValues = cwavelet.getWaveletData(yValues, 'db4', 2, 'sqtwolog')

        # BP神经网络
        #         patStock = []
        #         for i in range(0, len(yValues)):
        #             each = [[i], [yValues[i]]]
        #             patStock.append(each)
        #         patStockPre = copy.deepcopy(patStock)
        #         for i in range(len(yValues), len(yValues)+10):
        #             each = [[i], [0]]
        #             patStockPre.append(each)
        #         pat = [
        #         [[0], [0]],
        #         [[2], [1]],
        #         [[3], [1]],
        #         [[4], [5]]
        #         ]
        #
        #         # create a network with two input, two hidden, and one output nodes
        #         n = BP.NN(1, 2, 1)
        #         # train it with some patterns
        #         n.train(patStock)
        #         # test it
        #         n.test(patStock)

        #最小二乘法
        print "原始长度:", len(rateValues)
        catRateValues = rateValues[:-7]
        print "原始长度:", len(catRateValues)
        leastsqValues = cwavelet.getWavePacketData(catRateValues, 'haar', 4, 3)
        #leastsqValues = cleastsq.getFitYValues(range(len(catRateValues)), catRateValues, range(len(catRateValues)+3))
        print "变换后长度:", len(leastsqValues)
        newLeastsqValues = np.concatenate(
            (rateValues[:-3], leastsqValues[-3:]))

        newLeastsqValues2 = []
        for data in newLeastsqValues:
            data -= 0.2
            newLeastsqValues2.append(data)
        newLeastsqValues = newLeastsqValues2

        print "变换后长度:", len(newLeastsqValues)
        plt.figure(figsize=(16, 8))
        plt.legend()
        plt.plot(range(len(rateValues)), rateValues, 'b-', linewidth=1)
        plt.plot(range(len(newLeastsqValues)),
                 newLeastsqValues,
                 'r-',
                 linewidth=1)
        plt.xlabel('Time')
        plt.ylabel('Price')
        plt.title(stock_code)
        plt.grid()

        plt.show()

    except Exception as e:
        print("Exception:>>>" + str(e))
    finally:
        None
Exemplo n.º 7
0
def tread_track_backtest(code, df=None):

    df = get_stock_k_line(code)
    
    # 分析某个时间段的股票
    #dateS = datetime.datetime.today().date() + datetime.timedelta(-100)
    #date_start = dateS.strftime("%Y-%m-%d")
    #df = df[df.index > date_start]
    #print df
    
    # try:
    #     df = df.reindex(df.index[::-1])
    # except Exception as e:
    #     print str(e)
    #     return
    #print df
    
    close_price = df['close'].get_values()
    ma_short = pd.rolling_mean(df['close'], prama_ma_short)
    ma_long  = pd.rolling_mean(df['close'], prama_ma_long)
    #print ma_short
    
    signal = SIGNAL_SALE
        
    print '交易开始'
    
    plt.figure(figsize=(16,8))
    #plt.plot(range(len(ma_short)), ma_short.get_values(), label=code, color="b", linewidth=1)
    
    plt.xlabel("Time")
    plt.ylabel("Price")
    
    
        
    # 判断极点
#     for i in range(prama_ma_short+1, len(ma_short)-1):
#         if ma_short[i] > ma_short[i-1] and ma_short[i] > ma_short[i+1]:
#             print '极大值:', ma_short[i], 'pos:', i
#            
#         elif ma_short[i] < ma_short[i-1] and ma_short[i] < ma_short[i+1]: 
#             print '极小值:', ma_short[i], 'pos:', i
    
    # 过滤微小波动
    extreIndex = -1 #极值点的索引        
    for i in range(prama_ma_short+1, len(ma_short)-1):
        bMax = ma_short[i] > ma_short[i-1] and ma_short[i] > ma_short[i+1] # 极大值的条件
        bMin = ma_short[i] < ma_short[i-1] and ma_short[i] < ma_short[i+1] # 极小值的条件
        if bMax or bMin:
            extreIndex = i
        elif extreIndex > 0:
            if ma_short[i] > ma_short[extreIndex]*(1-filter_range) and \
                    ma_short[i] < ma_short[extreIndex]*(1+filter_range):
                ma_short[i] = ma_short[extreIndex]
                #print i,ma_short[i]
    
    #plt.plot(df.index, ma_short.get_values(), label=code, color="r", linewidth=1)

    # trick to get the axes
    fig,ax = plt.subplots()

    xValues = close_price[-200:]
    ax.plot(xValues, label=code, color="r", linewidth=1)
    zValues = cwavelet.getWaveletData(xValues, 'db2', 2, 'sqtwolog')
    zxValue = np.arange(0,len(zValues),1)
    #plt.figure(figsize=(16,8))

    ax.plot(zxValue, zValues, color="b", linewidth=2)
    ax.grid()

    # make ticks and tick labels
    xticks=range(0, len(xValues)+1,10)
    xticklabels=['2000-01-0'+str(n) for n in range(1,len(xValues)+1)]

    # set ticks and tick labels
    ax.set_xticks(xticks)
    ax.set_xticklabels(xticklabels,rotation=15)

    #plt.legend()
    plt.show()

    # 交易次数    count_sale = 0
    count_buy = 0
    
    min_index_pre = 0 #前一个极小值
    max_index_pre = 0 #前一个极大值
    
    # 止损位
    keep_stop_price = 0 
    keep_stop_index = 0
    
    # 止赢位
    keep_win_price = 0 
    keep_win_index = 0
    
    total = 0
    price_buy = 0
    price_init = 0
    money_init = 50000
    stock_money = money_init
    stock_count = 0
    
    
    #for i in range(prama_ma_short+1, len(ma_short)-1):
    for i in range(len(ma_short)-180, len(ma_short)-1):    
        
        #滤波后的均线走平时(即处于滤波区间内),将其识别为一个点
        index_post = i+1
        
        try:
            while(ma_short[index_post] == ma_short[i] and index_post < len(ma_short)-1):
                index_post += 1
        except Exception as e:
            print str(e)
            
        # 长均线保护策略
        bLongMA_protect_close = True
        try:
            bLongMA_protect_close = ma_short[i] > ma_long[i] # 长均线保护是否关闭
        except Exception as e:
            print str(e)    
        #if bLongMA_protect_close == False:
            #print "长均线保护打开", i    
        
        # 高低点比较策略
        if ma_short[i] > ma_short[i-1] and ma_short[i] > ma_short[index_post]:
            #print '极大值:', ma_short[i], 'pos:', i
            if bLongMA_protect_close and max_index_pre > 0 and ma_short[i] < ma_short[max_index_pre] + drift*(i-max_index_pre) and signal == SIGNAL_BUY:
                signal = SIGNAL_SALE
                print '卖出:', close_price[i], 'pos:', i
                #count_sale += 1
                total += close_price[i] - price_buy
                
                stock_money += stock_count * close_price[i]
                stock_count = 0
                
            max_index_pre = i
        elif ma_short[i] < ma_short[i-1] and ma_short[i] < ma_short[index_post]: 
            #print '极小值:', ma_short[i], 'pos:', i
            if bLongMA_protect_close and min_index_pre > 0 and ma_short[i] > ma_short[min_index_pre] + drift*(i-min_index_pre)  and signal == SIGNAL_SALE:
                signal = SIGNAL_BUY
                print '买入:', close_price[i], 'pos:', i
                count_buy += 1
                price_buy = close_price[i]
                if price_init == 0:
                    price_init = price_buy
                
                stock_count = (stock_money/100)/close_price[i]*100
                stock_money = stock_money - stock_count*close_price[i]
            min_index_pre = i
        
        # 高低点突破策略    
        # 股价突破前一个低点加漂移项,则卖出
        elif bLongMA_protect_close and signal == SIGNAL_BUY and min_index_pre > 0 and \
                ma_short[i] < ma_short[min_index_pre] + drift*(i-min_index_pre):
            signal = SIGNAL_SALE
            print '卖出:', close_price[i], 'pos:', i
            #count_sale += 1
            total += close_price[i] - price_buy
            
            stock_money += stock_count * close_price[i]
            stock_count = 0
                
        # 股价突破前一个高点加漂移项,则买入    
        elif bLongMA_protect_close and signal == SIGNAL_SALE and max_index_pre > 0 and \
                ma_short[i] > ma_short[max_index_pre] + drift*(i-max_index_pre):    
            signal = SIGNAL_BUY
            print '买入:', close_price[i], 'pos:', i
            count_buy += 1
            price_buy = close_price[i]
            
            stock_count = (stock_money/100)/close_price[i]*100
            stock_money = stock_money - stock_count*close_price[i]

        # 大波段保护策略
        elif min_index_pre > 0 and ma_short[i] >= ma_short[min_index_pre]*(1+param_big_band):
            keep_stop_price = ma_short[i] * (1-protect_big_band) #止损位
            keep_stop_index = i
        elif bLongMA_protect_close and signal == SIGNAL_BUY and keep_stop_price > 0 and \
                 ma_short[i] < keep_stop_price + drift*(i-keep_stop_index):    
            signal = SIGNAL_SALE
            print '卖出:', close_price[i], 'pos:', i
            #count_sale += 1
            total += close_price[i] - price_buy
            
            stock_money += stock_count * close_price[i]
            stock_count = 0
        
        
            
            
    print "buy count:", count_buy
    #print "sale count:", count_sale
    
    if stock_count > 0:
        stock_money += stock_count * close_price[-1]
        total += close_price[-1] - price_buy
    
    print "每股盈利:", total, "收益率:", (stock_money-money_init)/money_init*100,"%\n"
    
    print '交易结束'        
            
    plt.grid()
    #plt.legend()
    #plt.show()
    return (stock_money-money_init)/money_init*100