def test_czsc_trader():
bars = read_1min()
kg = KlineGenerator(max_count=3000, freqs=['1分钟', '5分钟', '15分钟', '30分钟', '60分钟', '日线'])
for row in tqdm(bars[:-10000], desc='init kg'):
kg.update(row)
events = [
Event(name="开多", operate=Operate.LO, factors=[
Factor(name="5分钟三买", signals_all=[Signal("5分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
]),
Event(name="平多", operate=Operate.LE, factors=[
Factor(name="1分钟一卖", signals_all=[Signal("1分钟_倒1笔_类买卖点_类一卖_任意_任意_0")]),
Factor(name="5分钟一卖", signals_all=[Signal("5分钟_倒1笔_类买卖点_类一卖_任意_任意_0")]),
Factor(name="5分钟二卖", signals_all=[Signal("5分钟_倒1笔_类买卖点_类二卖_任意_任意_0")]),
Factor(name="5分钟三卖", signals_all=[Signal("5分钟_倒1笔_类买卖点_类三卖_任意_任意_0")])
]),
]
ct = CzscTrader(op_freq=Freq.F5, kg=kg, get_signals=get_default_signals, events=events)
assert len(ct.s) == 215
for row in bars[-10000:]:
op = ct.check_operate(row)
print(" : op : ", op)
print(" : cache : ", dict(ct.cache), "\n")
assert len(ct.s) == 215
def is_third_buy(symbol):
"""判断一个股票现在是否有日线三买"""
bars = get_kline(symbol, freq="D", end_date=datetime.now(), count=1000)
c = CZSC(bars, get_signals=get_default_signals)
factor_ = Factor(
name="类三买选股因子",
signals_any=[
Signal("日线_倒1笔_基础形态_类三买_任意_任意_0"),
Signal("日线_倒1笔_类买卖点_类三买_任意_任意_0"),
],
signals_all=[
Signal("日线_倒1笔_拟合优度_小于0.2_任意_任意_0")
]
)
if factor_.is_match(c.signals):
return True
else:
return False
def evaluate_trade():
"""设定 long_open_event, long_exit_event 执行快速回测，查看回测结果"""
long_open_event = Event(
name='开多',
operate=Operate.LO,
factors=[
Factor(name="15分钟一买",
signals_all=[Signal("15分钟_倒1笔_类买卖点_类一买_任意_任意_0")]),
Factor(name="15分钟二买",
signals_all=[Signal("15分钟_倒1笔_类买卖点_类二买_任意_任意_0")]),
Factor(name="15分钟三买",
signals_all=[Signal("15分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
])
long_exit_event = Event(
name="一卖",
operate=Operate.LE,
factors=[
Factor(name="15分钟一卖",
signals_all=[Signal("15分钟_倒1笔_类买卖点_类一卖_任意_任意_0")]),
Factor(name="15分钟二卖",
signals_all=[Signal("15分钟_倒1笔_类买卖点_类二卖_任意_任意_0")]),
Factor(name="15分钟三卖",
signals_all=[Signal("15分钟_倒1笔_类买卖点_类三卖_任意_任意_0")])
])
pairs, pf = long_trade_simulator(signals, long_open_event, long_exit_event)
def test_signal():
s = Signal(k1="1分钟", k3="倒1形态", v1="类一买", v2="七笔", v3="基础型", score=3)
assert str(s) == "Signal('1分钟_任意_倒1形态_类一买_七笔_基础型_3')"
assert s.key == "1分钟_倒1形态"
s1 = Signal(signal='1分钟_任意_倒1形态_类一买_七笔_基础型_3')
assert s == s1
assert s.is_match({"1分钟_倒1形态": "类一买_七笔_基础型_3"})
assert not s.is_match({"1分钟_倒1形态": "类一买_七笔_特例一_3"})
assert not s.is_match({"1分钟_倒1形态": "类一买_九笔_基础型_3"})
s = Signal(k1="1分钟", k2="倒1形态", k3="类一买", score=3)
assert str(s) == "Signal('1分钟_倒1形态_类一买_任意_任意_任意_3')"
assert s.key == "1分钟_倒1形态_类一买"
try:
s = Signal(k1="1分钟", k2="倒1形态", k3="类一买", score=101)
except ValueError as e:
assert str(e) == 'score 必须在0~100之间'
def evaluate_event():
"""对单个事件进行表现评估"""
event = Event(name="单事件",
operate=Operate.LO,
factors=[
Factor(name="60分钟DIF多头向上",
signals_all=[
Signal("60分钟_DIF_状态_多头_向上_任意_0"),
]),
])
pairs1, pf1 = one_event_estimator(signals, event)
event = Event(name="单事件",
operate=Operate.LO,
factors=[
Factor(name="60分钟DIF空头向下",
signals_all=[
Signal("60分钟_DIF_状态_空头_向下_任意_0"),
]),
])
pairs2, pf2 = one_event_estimator(signals, event)
def get_event():
event = Event(name="选股测试", operate=Operate.LO, factors=[
Factor(name="月线KDJ金叉_日线MACD强势", signals_all=[
Signal("月线_KDJ状态_任意_金叉_任意_任意_0"),
Signal('日线_MACD状态_任意_DIFF大于0_DEA大于0_柱子增大_0'),
Signal('日线_MA5状态_任意_收盘价在MA5上方_任意_任意_0'),
]),
Factor(name="月线KDJ金叉_日线潜在三买", signals_all=[
Signal("月线_KDJ状态_任意_金叉_任意_任意_0"),
Signal('日线_倒0笔_潜在三买_构成中枢_近3K在中枢上沿附近_近7K突破中枢GG_0'),
Signal('日线_MA5状态_任意_收盘价在MA5上方_任意_任意_0'),
]),
])
return event
def test_cobra_backtest():
bars = read_1min()
signals = bt.generate_signals(bars,
len(bars) - 10000, bt.get_default_signals)
long_open_event = Event(
name="开多",
operate=Operate.LO,
factors=[
Factor(name="5分钟三买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
])
long_exit_event = Event(
name="平多",
operate=Operate.LE,
factors=[
Factor(name="1分钟一卖",
signals_all=[Signal("1分钟_倒1笔_类买卖点_类一卖_任意_任意_0")]),
Factor(name="5分钟一卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类一卖_任意_任意_0")]),
Factor(name="5分钟二卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类二卖_任意_任意_0")]),
Factor(name="5分钟三卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类三卖_任意_任意_0")])
])
pairs, pf = bt.long_trade_simulator(signals,
long_open_event,
long_exit_event,
T0=True,
verbose=True)
assert len(pairs) == 65
assert pf['累计收益（%）'] > pf['基准收益（%）']
event = Event(name="多头过滤",
operate=Operate.LO,
factors=[
Factor(name="多头过滤",
signals_all=[
Signal("30分钟_倒1K_DIF多空_多头_任意_任意_0"),
]),
])
pairs, pf = bt.one_event_estimator(signals, event)
assert len(pairs) == 8
assert pf['累计收益（%）'] > pf['基准收益（%）']
def test_factor():
freq = Freq.F15
s = OrderedDict()
default_signals = [
Signal(k1=str(freq.value),
k2="倒0笔",
k3="方向",
v1="向上",
v2='其他',
v3='其他'),
Signal(k1=str(freq.value),
k2="倒0笔",
k3="长度",
v1="大于5",
v2='其他',
v3='其他'),
Signal(k1=str(freq.value),
k2="倒0笔",
k3="三K形态",
v1="顶分型",
v2='其他',
v3='其他'),
Signal(k1=str(freq.value),
k2="倒1笔",
k3="表里关系",
v1="其他",
v2='其他',
v3='其他'),
Signal(k1=str(freq.value),
k2="倒1笔",
k3="RSQ状态",
v1="小于0.2",
v2='其他',
v3='其他'),
]
for signal in default_signals:
s[signal.key] = signal.value
factor = Factor(name="单测",
signals_all=[
Signal(k1=str(freq.value),
k2="倒0笔",
k3="方向",
v1="向上",
v2='其他',
v3='其他'),
Signal(k1=str(freq.value),
k2="倒0笔",
k3="长度",
v1="大于5",
v2='其他',
v3='其他')
])
assert factor.is_match(s)
factor = Factor(name="单测",
signals_all=[
Signal(k1=str(freq.value),
k2="倒0笔",
k3="方向",
v1="向上",
v2='其他',
v3='其他'),
Signal(k1=str(freq.value),
k2="倒0笔",
k3="长度",
v1="大于5",
v2='其他',
v3='其他')
],
signals_any=[
Signal(k1=str(freq.value),
k2="倒1笔",
k3="RSQ状态",
v1="小于0.2",
v2='其他',
v3='其他')
])
assert factor.is_match(s)
factor = Factor(name="单测",
signals_all=[
Signal(k1=str(freq.value),
k2="倒0笔",
k3="方向",
v1="向上",
v2='其他',
v3='其他'),
Signal(k1=str(freq.value),
k2="倒0笔",
k3="长度",
v1="大于5",
v2='其他',
v3='其他')
],
signals_any=[
Signal(k1=str(freq.value),
k2="倒1笔",
k3="RSQ状态",
v1="小于0.8",
v2='其他',
v3='其他')
])
assert not factor.is_match(s)
def test_event():
freq = Freq.F15
s = OrderedDict()
default_signals = [
Signal(k1=str(freq.value),
k2="倒0笔",
k3="方向",
v1="向上",
v2='其他',
v3='其他'),
Signal(k1=str(freq.value),
k2="倒0笔",
k3="长度",
v1="大于5",
v2='其他',
v3='其他'),
Signal(k1=str(freq.value),
k2="倒0笔",
k3="三K形态",
v1="顶分型",
v2='其他',
v3='其他'),
Signal(k1=str(freq.value),
k2="倒1笔",
k3="表里关系",
v1="其他",
v2='其他',
v3='其他'),
Signal(k1=str(freq.value),
k2="倒1笔",
k3="RSQ状态",
v1="小于0.2",
v2='其他',
v3='其他'),
]
for signal in default_signals:
s[signal.key] = signal.value
event = Event(name="单测",
operate=Operate.LO,
factors=[
Factor(name="测试",
signals_all=[
Signal(k1=str(freq.value),
k2="倒0笔",
k3="方向",
v1="向上",
v2='其他',
v3='其他'),
Signal(k1=str(freq.value),
k2="倒0笔",
k3="长度",
v1="大于5",
v2='其他',
v3='其他')
])
])
m, f = event.is_match(s)
assert m and f
event = Event(name="单测",
operate=Operate.LO,
factors=[
Factor(name="测试",
signals_all=[
Signal('15分钟_倒0笔_方向_向上_其他_其他_0'),
Signal('15分钟_倒0笔_长度_任意_其他_其他_0')
])
])
m, f = event.is_match(s)
assert m and f
event = Event(name="单测",
operate=Operate.LO,
factors=[
Factor(name="测试",
signals_all=[
Signal('15分钟_倒0笔_方向_向上_其他_其他_20'),
Signal('15分钟_倒0笔_长度_任意_其他_其他_0')
])
])
m, f = event.is_match(s)
assert not m and not f
event = Event(name="单测",
operate=Operate.LO,
factors=[
Factor(name="测试",
signals_all=[
Signal('15分钟_倒0笔_方向_向下_其他_其他_0'),
Signal('15分钟_倒0笔_长度_任意_其他_其他_0')
])
])
m, f = event.is_match(s)
assert not m and not f
def stocks_dwm_selector_rt(context):
if context.now.isoweekday() >= 6:
return
event = Event(
name="选股",
operate=Operate.LO,
factors=[
Factor(name="月线KDJ金叉_日线MACD强势",
signals_all=[
Signal("月线_KDJ状态_任意_金叉_任意_任意_0"),
Signal('日线_MACD状态_任意_DIFF大于0_DEA大于0_柱子增大_0'),
Signal('日线_MA5状态_任意_收盘价在MA5上方_任意_任意_0'),
]),
Factor(name="月线KDJ金叉_日线潜在三买",
signals_all=[
Signal("月线_KDJ状态_任意_金叉_任意_任意_0"),
Signal('日线_倒0笔_潜在三买_构成中枢_近3K在中枢上沿附近_近7K突破中枢GG_0'),
Signal('日线_MA5状态_任意_收盘价在MA5上方_任意_任意_0'),
]),
Factor(name="月线KDJ金叉_周线三笔强势",
signals_all=[
Signal("月线_KDJ状态_任意_金叉_任意_任意_0"),
Signal('日线_MA5状态_任意_收盘价在MA5上方_任意_任意_0'),
],
signals_any=[
Signal('周线_倒1笔_三笔形态_向下不重合_任意_任意_0'),
Signal('周线_倒1笔_三笔形态_向下奔走型_任意_任意_0'),
Signal('周线_倒1笔_三笔形态_向下盘背_任意_任意_0'),
]),
Factor(name="月线KDJ金叉_周线MACD强势",
signals_all=[
Signal("月线_KDJ状态_任意_金叉_任意_任意_0"),
Signal('周线_MACD状态_任意_DIFF大于0_DEA大于0_柱子增大_0'),
Signal('日线_MA5状态_任意_收盘价在MA5上方_任意_任意_0'),
]),
])
stocks_dwm_selector(event,
signals.get_selector_signals,
end_date=context.now,
wx_key=context.wx_key)
]),
])
stocks_dwm_selector(event,
signals.get_selector_signals,
end_date=context.now,
wx_key=context.wx_key)
if __name__ == '__main__':
event = Event(
name="选股",
operate=Operate.LO,
factors=[
Factor(name="月线KDJ金叉_日线MACD强势",
signals_all=[
Signal("月线_KDJ状态_任意_金叉_任意_任意_0"),
Signal('日线_MACD状态_任意_DIFF大于0_DEA大于0_柱子增大_0'),
Signal('日线_MA5状态_任意_收盘价在MA5上方_任意_任意_0'),
]),
Factor(name="月线KDJ金叉_日线潜在三买",
signals_all=[
Signal("月线_KDJ状态_任意_金叉_任意_任意_0"),
Signal('日线_倒0笔_潜在三买_构成中枢_近3K在中枢上沿附近_近7K突破中枢GG_0'),
Signal('日线_MA5状态_任意_收盘价在MA5上方_任意_任意_0'),
]),
Factor(name="月线KDJ金叉_周线三笔强势",
signals_all=[
Signal("月线_KDJ状态_任意_金叉_任意_任意_0"),
Signal('日线_MA5状态_任意_收盘价在MA5上方_任意_任意_0'),
],
signals_any=[
def get_events():
events = [
Event(name="开多",
operate=Operate.LO,
factors=[
Factor(name="60分钟三笔买",
signals_all=[
Signal("60分钟_倒1K_DIF多空_多头_任意_任意_0"),
Signal("60分钟_倒1K_MACD多空_多头_任意_任意_0"),
],
signals_any=[
Signal("60分钟_倒1笔_三笔形态_向下扩张_任意_任意_0"),
Signal("60分钟_倒1笔_三笔形态_向下盘背_任意_任意_0"),
Signal("60分钟_倒1笔_三笔形态_向下无背_任意_任意_0"),
]),
]),
Event(name="加多1",
operate=Operate.LA1,
factors=[
Factor(name="30分钟三笔买",
signals_all=[
Signal("60分钟_倒1K_DIF多空_多头_任意_任意_0"),
Signal("30分钟_倒1K_MACD多空_多头_任意_任意_0"),
],
signals_any=[
Signal("30分钟_倒1笔_三笔形态_向下扩张_任意_任意_0"),
Signal("30分钟_倒1笔_三笔形态_向下盘背_任意_任意_0"),
Signal("30分钟_倒1笔_三笔形态_向下无背_任意_任意_0"),
]),
]),
Event(name="加多2",
operate=Operate.LA2,
factors=[
Factor(name="15分钟三笔买",
signals_all=[
Signal("60分钟_倒1K_DIF多空_多头_任意_任意_0"),
Signal("15分钟_倒1K_MACD多空_多头_任意_任意_0"),
],
signals_any=[
Signal("15分钟_倒1笔_三笔形态_向下扩张_任意_任意_0"),
Signal("15分钟_倒1笔_三笔形态_向下盘背_任意_任意_0"),
Signal("15分钟_倒1笔_三笔形态_向下无背_任意_任意_0"),
]),
]),
Event(name="减多1",
operate=Operate.LR1,
factors=[
Factor(name="15分钟三笔卖",
signals_all=[
Signal("15分钟_倒1K_MACD多空_空头_任意_任意_0"),
],
signals_any=[
Signal("15分钟_倒1笔_三笔形态_向上无背_任意_任意_0"),
Signal("15分钟_倒1笔_三笔形态_向上扩张_任意_任意_0"),
]),
]),
Event(name="减多2",
operate=Operate.LR2,
factors=[
Factor(name="30分钟三笔卖",
signals_all=[
Signal("30分钟_倒1K_MACD多空_空头_任意_任意_0"),
],
signals_any=[
Signal("30分钟_倒1笔_三笔形态_向上无背_任意_任意_0"),
Signal("30分钟_倒1笔_三笔形态_向上扩张_任意_任意_0"),
]),
]),
Event(name="平多",
operate=Operate.LE,
factors=[
Factor(name="60分钟三笔卖",
signals_all=[
Signal("60分钟_倒1K_MACD多空_空头_任意_任意_0"),
],
signals_any=[
Signal("60分钟_倒1笔_三笔形态_向上无背_任意_任意_0"),
Signal("60分钟_倒1笔_三笔形态_向上扩张_任意_任意_0"),
]),
Factor(name="60分钟DIF空头",
signals_all=[
Signal("60分钟_倒1K_DIF多空_空头_任意_任意_0"),
]),
]),
]
return events
def monitor(use_cache=True):
push_text(
"自选股CZSC笔因子监控启动 @ {}".format(
datetime.now().strftime("%Y-%m-%d %H:%M")), qywx_key)
moni_path = os.path.join(ct_path, "monitor")
# 首先清空历史快照
if os.path.exists(moni_path):
shutil.rmtree(moni_path)
os.makedirs(moni_path, exist_ok=True)
events_monitor = [
# 开多
Event(name="一买",
operate=Operate.LO,
factors=[
Factor(name="5分钟类一买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类一买_任意_任意_0")]),
Factor(name="5分钟形一买",
signals_all=[Signal("5分钟_倒1笔_基础形态_类一买_任意_任意_0")]),
Factor(name="15分钟类一买",
signals_all=[Signal("15分钟_倒1笔_类买卖点_类一买_任意_任意_0")]),
Factor(name="15分钟形一买",
signals_all=[Signal("15分钟_倒1笔_基础形态_类一买_任意_任意_0")]),
Factor(name="30分钟类一买",
signals_all=[Signal("30分钟_倒1笔_类买卖点_类一买_任意_任意_0")]),
Factor(name="30分钟形一买",
signals_all=[Signal("30分钟_倒1笔_基础形态_类一买_任意_任意_0")]),
]),
Event(name="二买",
operate=Operate.LO,
factors=[
Factor(name="5分钟类二买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类二买_任意_任意_0")]),
Factor(name="5分钟形二买",
signals_all=[Signal("5分钟_倒1笔_基础形态_类二买_任意_任意_0")]),
Factor(name="15分钟类二买",
signals_all=[Signal("15分钟_倒1笔_类买卖点_类二买_任意_任意_0")]),
Factor(name="15分钟形二买",
signals_all=[Signal("15分钟_倒1笔_基础形态_类二买_任意_任意_0")]),
Factor(name="30分钟类二买",
signals_all=[Signal("30分钟_倒1笔_类买卖点_类二买_任意_任意_0")]),
Factor(name="30分钟形二买",
signals_all=[Signal("30分钟_倒1笔_基础形态_类二买_任意_任意_0")]),
]),
Event(name="三买",
operate=Operate.LO,
factors=[
Factor(name="5分钟类三买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
Factor(name="5分钟形三买",
signals_all=[Signal("5分钟_倒1笔_基础形态_类三买_任意_任意_0")]),
Factor(name="15分钟类三买",
signals_all=[Signal("15分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
Factor(name="15分钟形三买",
signals_all=[Signal("15分钟_倒1笔_基础形态_类三买_任意_任意_0")]),
Factor(name="30分钟类三买",
signals_all=[Signal("30分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
Factor(name="30分钟形三买",
signals_all=[Signal("30分钟_倒1笔_基础形态_类三买_任意_任意_0")]),
]),
# 平多
Event(name="一卖",
operate=Operate.LE,
factors=[
Factor(name="5分钟类一卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类一卖_任意_任意_0")]),
Factor(name="5分钟形一卖",
signals_all=[Signal("5分钟_倒1笔_基础形态_类一卖_任意_任意_0")]),
Factor(name="15分钟类一卖",
signals_all=[Signal("15分钟_倒1笔_类买卖点_类一卖_任意_任意_0")]),
Factor(name="15分钟形一卖",
signals_all=[Signal("15分钟_倒1笔_基础形态_类一卖_任意_任意_0")]),
Factor(name="30分钟类一卖",
signals_all=[Signal("30分钟_倒1笔_类买卖点_类一卖_任意_任意_0")]),
Factor(name="30分钟形一卖",
signals_all=[Signal("30分钟_倒1笔_基础形态_类一卖_任意_任意_0")]),
]),
Event(name="二卖",
operate=Operate.LE,
factors=[
Factor(name="5分钟类二卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类二卖_任意_任意_0")]),
Factor(name="5分钟形二卖",
signals_all=[Signal("5分钟_倒1笔_基础形态_类二卖_任意_任意_0")]),
Factor(name="15分钟类二卖",
signals_all=[Signal("15分钟_倒1笔_类买卖点_类二卖_任意_任意_0")]),
Factor(name="15分钟形二卖",
signals_all=[Signal("15分钟_倒1笔_基础形态_类二卖_任意_任意_0")]),
Factor(name="30分钟类二卖",
signals_all=[Signal("30分钟_倒1笔_类买卖点_类二卖_任意_任意_0")]),
Factor(name="30分钟形二卖",
signals_all=[Signal("30分钟_倒1笔_基础形态_类二卖_任意_任意_0")]),
]),
Event(name="三卖",
operate=Operate.LE,
factors=[
Factor(name="5分钟类三卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类三卖_任意_任意_0")]),
Factor(name="5分钟形三卖",
signals_all=[Signal("5分钟_倒1笔_基础形态_类三卖_任意_任意_0")]),
Factor(name="15分钟类三卖",
signals_all=[Signal("15分钟_倒1笔_类买卖点_类三卖_任意_任意_0")]),
Factor(name="15分钟形三卖",
signals_all=[Signal("15分钟_倒1笔_基础形态_类三卖_任意_任意_0")]),
Factor(name="30分钟类三卖",
signals_all=[Signal("30分钟_倒1笔_类买卖点_类三卖_任意_任意_0")]),
Factor(name="30分钟形三卖",
signals_all=[Signal("30分钟_倒1笔_基础形态_类三卖_任意_任意_0")]),
]),
]
for s in symbols:
print(s)
try:
file_ct = os.path.join(ct_path, "{}.ct".format(s))
if os.path.exists(file_ct) and use_cache:
ct: CzscTrader = read_pkl(file_ct)
ct.update_factors()
else:
ct = CzscTrader(s, max_count=1000)
save_pkl(ct, file_ct)
# 每次执行，会在moni_path下面保存一份快照
file_html = os.path.join(
moni_path,
f"{ct.symbol}_{ct.end_dt.strftime('%Y%m%d%H%M')}.html")
ct.take_snapshot(file_html, width="1400px", height="580px")
msg = f"标的代码：{s}\n同花顺F10：http://basic.10jqka.com.cn/{s.split('.')[0]}\n"
for event in events_monitor:
m, f = event.is_match(ct.s)
if m:
msg += "监控提醒：{}@{}\n".format(event.name, f)
if "监控提醒" in msg:
push_text(msg.strip("\n"), key=qywx_key)
except Exception as e:
traceback.print_exc()
print("{} 执行失败 - {}".format(s, e))
push_text(
"自选股CZSC笔因子监控结束 @ {}".format(
datetime.now().strftime("%Y-%m-%d %H:%M")), qywx_key)
def get_signals(c: analyze.CZSC) -> OrderedDict:
"""在 CZSC 对象上计算选股信号
:param c: CZSC 对象
:return: 信号字典
"""
freq: Freq = c.freq
s = OrderedDict({"symbol": c.symbol, "dt": c.bars_raw[-1].dt, "close": c.bars_raw[-1].close})
default_signals = [
# 以下是技术指标相关信号
Signal(k1=str(freq.value), k2="MA5状态", v1="其他", v2='其他', v3='其他'),
Signal(k1=str(freq.value), k2="KDJ状态", v1="其他", v2='其他', v3='其他'),
Signal(k1=str(freq.value), k2="MACD状态", v1="其他", v2='其他', v3='其他'),
Signal(k1=str(freq.value), k2="倒0笔", k3="潜在三买", v1="其他", v2='其他', v3='其他'),
]
for signal in default_signals:
s[signal.key] = signal.value
if not c.bi_list:
return s
if len(c.bars_raw) > 30 and c.freq in [Freq.W, Freq.M]:
if kdj_gold_cross(c.bars_raw, just=False):
v = Signal(k1=str(freq.value), k2="KDJ状态", v1="金叉")
s[v.key] = v.value
if len(c.bars_raw) > 100 and c.freq == Freq.D:
close = np.array([x.close for x in c.bars_raw[-100:]])
ma5 = SMA(close, timeperiod=5)
if c.bars_raw[-1].close >= ma5[-1]:
v = Signal(k1=str(freq.value), k2="MA5状态", v1="收盘价在MA5上方", v2='')
s[v.key] = v.value
if ma5[-1] > ma5[-2] > ma5[-3]:
v = Signal(k1=str(freq.value), k2="MA5状态", v1='收盘价在MA5上方', v2="向上趋势")
s[v.key] = v.value
diff, dea, macd = MACD(close, fastperiod=12, slowperiod=26, signalperiod=9)
if diff[-3:-1].mean() > 0 and dea[-3:-1].mean() > 0 and macd[-3] < macd[-2] < macd[-1]:
v = Signal(k1=str(freq.value), k2="MACD状态", v1="DIFF大于0", v2='DEA大于0', v3='柱子增大')
s[v.key] = v.value
# 倒0笔潜在三买
if c.freq == Freq.D and len(c.bi_list) >= 5:
if c.bi_list[-1].direction == Direction.Down:
gg = max(c.bi_list[-1].high, c.bi_list[-3].high)
zg = min(c.bi_list[-1].high, c.bi_list[-3].high)
zd = max(c.bi_list[-1].low, c.bi_list[-3].low)
else:
gg = max(c.bi_list[-2].high, c.bi_list[-4].high)
zg = min(c.bi_list[-2].high, c.bi_list[-4].high)
zd = max(c.bi_list[-2].low, c.bi_list[-4].low)
if zg > zd:
k1 = str(freq.value)
k2 = "倒0笔"
k3 = "潜在三买"
v = Signal(k1=k1, k2=k2, k3=k3, v1="构成中枢")
if gg * 1.1 > min([x.low for x in c.bars_raw[-3:]]) > zg > zd:
v = Signal(k1=k1, k2=k2, k3=k3, v1="构成中枢", v2="近3K在中枢上沿附近")
if max([x.high for x in c.bars_raw[-7:-3]]) > gg:
v = Signal(k1=k1, k2=k2, k3=k3, v1="构成中枢", v2="近3K在中枢上沿附近", v3='近7K突破中枢GG')
if v and "其他" not in v.value:
s[v.key] = v.value
return s
def test_advanced_trader_with_t0():
bars = read_1min()
kg = KlineGenerator(max_count=3000,
freqs=['1分钟', '5分钟', '15分钟', '30分钟', '60分钟', '日线'])
for row in tqdm(bars[:150000], desc='init kg'):
kg.update(row)
events = [
Event(name="开多",
operate=Operate.LO,
factors=[
Factor(name="5分钟一买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类一买_任意_任意_0")]),
Factor(name="1分钟一买",
signals_all=[Signal("1分钟_倒1笔_类买卖点_类一买_任意_任意_0")]),
]),
Event(name="加多1",
operate=Operate.LA1,
factors=[
Factor(name="5分钟二买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类二买_任意_任意_0")]),
Factor(name="1分钟二买",
signals_all=[Signal("1分钟_倒1笔_类买卖点_类二买_任意_任意_0")]),
]),
Event(name="加多2",
operate=Operate.LA1,
factors=[
Factor(name="5分钟三买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
Factor(name="1分钟三买",
signals_all=[Signal("1分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
]),
Event(name="平多",
operate=Operate.LE,
factors=[
Factor(name="5分钟二卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类二卖_任意_任意_0")]),
Factor(name="5分钟三卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类三卖_任意_任意_0")])
]),
]
long_pos = PositionLong(symbol='000001.SH',
hold_long_a=0.5,
hold_long_b=0.8,
hold_long_c=1,
T0=True)
ct = CzscAdvancedTrader(kg=kg,
get_signals=get_default_signals,
long_events=events,
long_pos=long_pos)
assert len(ct.s) == 16
for row in tqdm(bars[150000:], desc="trade"):
ct.update(row)
if long_pos.pos_changed:
print(" : op : ", long_pos.operates[-1])
if ct.long_pos.pos > 0:
assert ct.long_pos.long_high > 0
assert ct.long_pos.long_cost > 0
assert ct.long_pos.long_bid > 0
print(pd.DataFrame(ct.long_pos.evaluate_operates())['盈亏比例'].sum())
def get_events():
events = [
Event(name="开多", operate=Operate.LO, factors=[
Factor(name="5分钟三买", signals_all=[
Signal("5分钟_倒1笔_类买卖点_类三买_任意_任意_0"),
Signal("15分钟_倒0笔_方向_向上_任意_任意_0"),
Signal("60分钟_倒1K_DIF多空_多头_任意_任意_0"),
Signal("60分钟_倒1K_DIF方向_向上_任意_任意_0"),
]),
Factor(name="15分钟三买", signals_all=[
Signal("15分钟_倒1笔_类买卖点_类三买_任意_任意_0"),
Signal("60分钟_倒1K_DIF多空_多头_任意_任意_0"),
Signal("60分钟_倒1K_DIF方向_向上_任意_任意_0"),
]),
Factor(name="30分钟三买", signals_all=[
Signal("30分钟_倒1笔_类买卖点_类三买_任意_任意_0"),
Signal("15分钟_倒0笔_方向_向上_任意_任意_0"),
Signal("60分钟_倒1K_DIF多空_多头_任意_任意_0"),
Signal("60分钟_倒1K_DIF方向_向上_任意_任意_0"),
]),
]),
Event(name="平多", operate=Operate.LE, factors=[
Factor(name="5分钟一卖", signals_all=[
Signal("5分钟_倒1笔_类买卖点_类一卖_任意_任意_0"),
Signal("5分钟_倒1K_结束_是_任意_任意_0"),
]),
Factor(name="15分钟一卖", signals_all=[
Signal("15分钟_倒1笔_类买卖点_类一卖_任意_任意_0"),
Signal("15分钟_倒1K_结束_是_任意_任意_0"),
]),
Factor(name="30分钟一卖", signals_all=[
Signal("30分钟_倒1笔_类买卖点_类一卖_任意_任意_0"),
Signal("30分钟_倒1K_结束_是_任意_任意_0"),
]),
Factor(name="5分钟二卖", signals_all=[
Signal("5分钟_倒1笔_类买卖点_类二卖_任意_任意_0"),
Signal("5分钟_倒1K_结束_是_任意_任意_0"),
]),
Factor(name="60分钟DIF空头", signals_all=[
Signal("60分钟_倒1K_DIF多空_空头_任意_任意_0"),
Signal("60分钟_倒1K_结束_是_任意_任意_0"),
]),
]),
]
return events
def stocks_monitor(symbols, wx_key):
"""对实盘股票池进行定时监控"""
events = [
# 开多
Event(name="一买", operate=Operate.LO, factors=[
Factor(name="5分钟类一买", signals_all=[Signal("5分钟_倒1笔_类买卖点_类一买_任意_任意_0")]),
Factor(name="5分钟形一买", signals_all=[Signal("5分钟_倒1笔_基础形态_类一买_任意_任意_0")]),
Factor(name="15分钟类一买", signals_all=[Signal("15分钟_倒1笔_类买卖点_类一买_任意_任意_0")]),
Factor(name="15分钟形一买", signals_all=[Signal("15分钟_倒1笔_基础形态_类一买_任意_任意_0")]),
Factor(name="30分钟类一买", signals_all=[Signal("30分钟_倒1笔_类买卖点_类一买_任意_任意_0")]),
Factor(name="30分钟形一买", signals_all=[Signal("30分钟_倒1笔_基础形态_类一买_任意_任意_0")]),
]),
Event(name="二买", operate=Operate.LO, factors=[
Factor(name="5分钟类二买", signals_all=[Signal("5分钟_倒1笔_类买卖点_类二买_任意_任意_0")]),
Factor(name="5分钟形二买", signals_all=[Signal("5分钟_倒1笔_基础形态_类二买_任意_任意_0")]),
Factor(name="15分钟类二买", signals_all=[Signal("15分钟_倒1笔_类买卖点_类二买_任意_任意_0")]),
Factor(name="15分钟形二买", signals_all=[Signal("15分钟_倒1笔_基础形态_类二买_任意_任意_0")]),
Factor(name="30分钟类二买", signals_all=[Signal("30分钟_倒1笔_类买卖点_类二买_任意_任意_0")]),
Factor(name="30分钟形二买", signals_all=[Signal("30分钟_倒1笔_基础形态_类二买_任意_任意_0")]),
]),
Event(name="三买", operate=Operate.LO, factors=[
Factor(name="5分钟类三买", signals_all=[Signal("5分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
Factor(name="5分钟形三买", signals_all=[Signal("5分钟_倒1笔_基础形态_类三买_任意_任意_0")]),
Factor(name="15分钟类三买", signals_all=[Signal("15分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
Factor(name="15分钟形三买", signals_all=[Signal("15分钟_倒1笔_基础形态_类三买_任意_任意_0")]),
Factor(name="30分钟类三买", signals_all=[Signal("30分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
Factor(name="30分钟形三买", signals_all=[Signal("30分钟_倒1笔_基础形态_类三买_任意_任意_0")]),
]),
# 平多
Event(name="一卖", operate=Operate.LE, factors=[
Factor(name="5分钟类一卖", signals_all=[Signal("5分钟_倒1笔_类买卖点_类一卖_任意_任意_0")]),
Factor(name="5分钟形一卖", signals_all=[Signal("5分钟_倒1笔_基础形态_类一卖_任意_任意_0")]),
Factor(name="15分钟类一卖", signals_all=[Signal("15分钟_倒1笔_类买卖点_类一卖_任意_任意_0")]),
Factor(name="15分钟形一卖", signals_all=[Signal("15分钟_倒1笔_基础形态_类一卖_任意_任意_0")]),
Factor(name="30分钟类一卖", signals_all=[Signal("30分钟_倒1笔_类买卖点_类一卖_任意_任意_0")]),
Factor(name="30分钟形一卖", signals_all=[Signal("30分钟_倒1笔_基础形态_类一卖_任意_任意_0")]),
]),
Event(name="二卖", operate=Operate.LE, factors=[
Factor(name="5分钟类二卖", signals_all=[Signal("5分钟_倒1笔_类买卖点_类二卖_任意_任意_0")]),
Factor(name="5分钟形二卖", signals_all=[Signal("5分钟_倒1笔_基础形态_类二卖_任意_任意_0")]),
Factor(name="15分钟类二卖", signals_all=[Signal("15分钟_倒1笔_类买卖点_类二卖_任意_任意_0")]),
Factor(name="15分钟形二卖", signals_all=[Signal("15分钟_倒1笔_基础形态_类二卖_任意_任意_0")]),
Factor(name="30分钟类二卖", signals_all=[Signal("30分钟_倒1笔_类买卖点_类二卖_任意_任意_0")]),
Factor(name="30分钟形二卖", signals_all=[Signal("30分钟_倒1笔_基础形态_类二卖_任意_任意_0")]),
]),
Event(name="三卖", operate=Operate.LE, factors=[
Factor(name="5分钟类三卖", signals_all=[Signal("5分钟_倒1笔_类买卖点_类三卖_任意_任意_0")]),
Factor(name="5分钟形三卖", signals_all=[Signal("5分钟_倒1笔_基础形态_类三卖_任意_任意_0")]),
Factor(name="15分钟类三卖", signals_all=[Signal("15分钟_倒1笔_类买卖点_类三卖_任意_任意_0")]),
Factor(name="15分钟形三卖", signals_all=[Signal("15分钟_倒1笔_基础形态_类三卖_任意_任意_0")]),
Factor(name="30分钟类三卖", signals_all=[Signal("30分钟_倒1笔_类买卖点_类三卖_任意_任意_0")]),
Factor(name="30分钟形三卖", signals_all=[Signal("30分钟_倒1笔_基础形态_类三卖_任意_任意_0")]),
]),
]
shares = get_shares()
data_path = './data/monitor'
os.makedirs(data_path, exist_ok=True)
push_text("实盘池监控启动 @ {}".format(datetime.now().strftime("%Y-%m-%d %H:%M")), wx_key)
for symbol in symbols:
try:
file_ct = os.path.join(data_path, "{}.ct".format(symbol))
if os.path.exists(file_ct):
ct: GmCzscTrader = read_pkl(file_ct)
ct.update_factors()
else:
ct = GmCzscTrader(symbol, max_count=2000, get_signals=get_monitor_signals)
save_pkl(ct, file_ct)
print(f"run monitor on {symbol} at {ct.end_dt}")
msg = f"标的代码：{symbol}\n标的名称：{shares.get(symbol, '')}\n" \
f"同花顺F10：http://basic.10jqka.com.cn/{symbol.split('.')[1]}\n"
msg += f"新浪行情：https://finance.sina.com.cn/realstock/company/{symbol[:2].lower()}{symbol[-6:]}/nc.shtml\n"
for event in events:
m, f = event.is_match(ct.s)
if m:
msg += "监控提醒：{}@{}\n".format(event.name, f)
if "监控提醒" in msg:
push_text(msg.strip("\n"), key=wx_key)
except Exception as e:
traceback.print_exc()
print("{} 执行失败 - {}".format(symbol, e))
push_text("实盘池监控结束 @ {}".format(datetime.now().strftime("%Y-%m-%d %H:%M")), wx_key)
def stocks_dwm_selector(
end_date: [str, datetime] = datetime.now(), data_path=None):
"""大级别选股（日线&月线&周线）"""
if isinstance(end_date, str):
end_date = pd.to_datetime(end_date)
if not data_path:
home_path = os.path.expanduser('~')
data_path = os.path.join(home_path, '.czsc_selector')
print(f"selector results path: {data_path}")
df = ts.pro.stock_basic(
exchange='',
list_status='L',
fields='ts_code,symbol,name,area,industry,list_date')
records = df.to_dict('records')
file_results = os.path.join(
data_path, f"selector_results_{end_date.strftime('%Y%m%d')}.xlsx")
event = Event(
name="选股",
operate=Operate.LO,
factors=[
Factor(name="月线KDJ金叉_日线MACD强势",
signals_all=[
Signal("月线_KDJ状态_任意_金叉_任意_任意_0"),
Signal('日线_MACD状态_任意_DIFF大于0_DEA大于0_柱子增大_0'),
Signal('日线_MA5状态_任意_收盘价在MA5上方_任意_任意_0'),
]),
Factor(name="月线KDJ金叉_日线潜在三买",
signals_all=[
Signal("月线_KDJ状态_任意_金叉_任意_任意_0"),
Signal('日线_倒0笔_潜在三买_构成中枢_近3K在中枢上沿附近_近7K突破中枢GG_0'),
Signal('日线_MA5状态_任意_收盘价在MA5上方_任意_任意_0'),
]),
Factor(name="月线KDJ金叉_周线三笔强势",
signals_all=[
Signal("月线_KDJ状态_任意_金叉_任意_任意_0"),
Signal('日线_MA5状态_任意_收盘价在MA5上方_任意_任意_0'),
],
signals_any=[
Signal('周线_倒1笔_三笔形态_向下不重合_任意_任意_0'),
Signal('周线_倒1笔_三笔形态_向下奔走型_任意_任意_0'),
Signal('周线_倒1笔_三笔形态_向下盘背_任意_任意_0'),
]),
Factor(name="月线KDJ金叉_周线MACD强势",
signals_all=[
Signal("月线_KDJ状态_任意_金叉_任意_任意_0"),
Signal('周线_MACD状态_任意_DIFF大于0_DEA大于0_柱子增大_0'),
Signal('日线_MA5状态_任意_收盘价在MA5上方_任意_任意_0'),
]),
])
results = []
signals_res = []
for row in tqdm(records, desc=f"{end_date.strftime('%Y%m%d')} selector"):
symbol = row['ts_code']
try:
k0 = ts.get_kline(symbol,
asset='E',
freq=Freq.D,
start_date="20200101",
end_date=end_date)
k1 = ts.get_kline(symbol,
asset='E',
freq=Freq.W,
start_date="20100101",
end_date=end_date)
k2 = ts.get_kline(symbol,
asset='E',
freq=Freq.M,
start_date="20000101",
end_date=end_date)
c0 = CZSC(k0, get_signals=signals.get_selector_signals)
c1 = CZSC(k1, get_signals=signals.get_selector_signals)
c2 = CZSC(k2, get_signals=signals.get_selector_signals)
s = OrderedDict(row)
s.update(c0.signals)
s.update(c1.signals)
s.update(c2.signals)
signals_res.append(s)
m, f = event.is_match(s)
if m:
dt_fmt = "%Y%m%d"
res = {
'symbol':
symbol,
'name':
s['name'],
'reason':
f,
'end_dt':
k0[-1].dt.strftime(dt_fmt),
'F10':
f"http://basic.10jqka.com.cn/{symbol.split('.')[0]}",
'Kline':
f"https://finance.sina.com.cn/realstock/company/{symbol[-2:].lower()}{symbol[:6]}/nc.shtml"
}
results.append(res)
print(res)
except:
print("fail on {}".format(symbol))
traceback.print_exc()
df_r = pd.DataFrame(results)
df_r.to_excel(file_results, index=False)
print(f"selector results saved into {file_results}")
return df_r
def run_advanced_trader(T0=True):
bars = read_1min()
kg = BarGenerator(base_freq='1分钟',
freqs=['5分钟', '15分钟', '30分钟', '60分钟', '日线'],
max_count=3000)
for row in tqdm(bars[:150000], desc='init kg'):
kg.update(row)
long_events = [
Event(name="开多",
operate=Operate.LO,
factors=[
Factor(name="5分钟一买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类一买_任意_任意_0")]),
Factor(name="1分钟一买",
signals_all=[Signal("1分钟_倒1笔_类买卖点_类一买_任意_任意_0")]),
]),
Event(name="加多1",
operate=Operate.LA1,
factors=[
Factor(name="5分钟二买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类二买_任意_任意_0")]),
Factor(name="1分钟二买",
signals_all=[Signal("1分钟_倒1笔_类买卖点_类二买_任意_任意_0")]),
]),
Event(name="加多2",
operate=Operate.LA1,
factors=[
Factor(name="5分钟三买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
Factor(name="1分钟三买",
signals_all=[Signal("1分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
]),
Event(name="平多",
operate=Operate.LE,
factors=[
Factor(name="5分钟二卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类二卖_任意_任意_0")]),
Factor(name="5分钟三卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类三卖_任意_任意_0")])
]),
]
long_pos = PositionLong(symbol='000001.SH',
hold_long_a=0.5,
hold_long_b=0.8,
hold_long_c=1,
T0=T0)
short_events = [
Event(name="开空",
operate=Operate.SO,
factors=[
Factor(name="5分钟一买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类一买_任意_任意_0")]),
Factor(name="1分钟一买",
signals_all=[Signal("1分钟_倒1笔_类买卖点_类一买_任意_任意_0")]),
]),
Event(name="加空1",
operate=Operate.SA1,
factors=[
Factor(name="5分钟二买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类二买_任意_任意_0")]),
Factor(name="1分钟二买",
signals_all=[Signal("1分钟_倒1笔_类买卖点_类二买_任意_任意_0")]),
]),
Event(name="加空2",
operate=Operate.SA1,
factors=[
Factor(name="5分钟三买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
Factor(name="1分钟三买",
signals_all=[Signal("1分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
]),
Event(name="平空",
operate=Operate.SE,
factors=[
Factor(name="5分钟二卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类二卖_任意_任意_0")]),
Factor(name="5分钟三卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类三卖_任意_任意_0")])
]),
]
short_pos = PositionShort(symbol='000001.SH',
hold_short_a=0.5,
hold_short_b=0.8,
hold_short_c=1,
T0=T0)
ct = CzscAdvancedTrader(
bg=kg,
get_signals=get_default_signals,
long_events=long_events,
long_pos=long_pos,
short_events=short_events,
short_pos=short_pos,
)
assert len(ct.s) == 28
for row in tqdm(bars[150000:], desc="trade"):
ct.update(row)
# if long_pos.pos_changed:
# print(" : long op : ", long_pos.operates[-1])
# if short_pos.pos_changed:
# print(" : short op : ", short_pos.operates[-1])
if ct.long_pos.pos > 0:
assert ct.long_pos.long_high > 0
assert ct.long_pos.long_cost > 0
assert ct.long_pos.long_bid > 0
if ct.short_pos.pos > 0:
assert ct.short_pos.short_low > 0
assert ct.short_pos.short_cost > 0
assert ct.short_pos.short_bid > 0
long_yk = pd.DataFrame(ct.long_pos.pairs)['盈亏比例'].sum()
short_yk = pd.DataFrame(ct.short_pos.pairs)['盈亏比例'].sum()
assert abs(long_yk) == abs(short_yk)
print(f"\nT0={T0}: 多头累计盈亏比例：{long_yk}；空头累计盈亏比例：{short_yk}")
if not T0:
assert ct.s['多头_最大_盈利'] == '超过800BP_任意_任意_0'
assert ct.s['多头_累计_盈亏'] == '盈利_超过800BP_任意_0'
assert ct.s['空头_最大_回撤'] == '超过800BP_任意_任意_0'
assert ct.s['空头_累计_盈亏'] == '亏损_超过800BP_任意_0'
"""
from collections import OrderedDict
from czsc.data import jq
from czsc import CZSC
from czsc.objects import Signal, Freq
from czsc.cobra.check import check_signals_acc
from czsc.signals import get_s_like_bs
symbol = '000001.XSHG'
f1_raw_bars = jq.get_kline_period(symbol=symbol,
freq='1min',
start_date='20181101',
end_date='20210101')
signals = [
Signal("5分钟_倒9笔_类买卖点_类一买_任意_任意_0"),
Signal("5分钟_倒9笔_类买卖点_类二买_任意_任意_0"),
Signal("5分钟_倒9笔_类买卖点_类三买_任意_任意_0"),
Signal("5分钟_倒9笔_类买卖点_类一卖_任意_任意_0"),
Signal("5分钟_倒9笔_类买卖点_类二卖_任意_任意_0"),
Signal("5分钟_倒9笔_类买卖点_类三卖_任意_任意_0"),
]
def get_signals(c: CZSC) -> OrderedDict:
s = OrderedDict({
"symbol": c.symbol,
"dt": c.bars_raw[-1].dt,
"close": c.bars_raw[-1].close
})
if c.freq == Freq.F5:
def get_factors():
double_signal_factors = [
Factor(name="日线MACD多头&日线DIF多头",
signals_all=[
Signal(k1='日线', k2='倒1K', k3='MACD多空', v1='多头'),
Signal(k1='日线', k2='倒1K', k3='DIF多空', v1='多头'),
]),
Factor(name="日线SMA20多头向上",
signals_all=[
Signal(k1='日线', k2='倒1K', k3='SMA20多空', v1='多头'),
Signal(k1='日线', k2='倒1K', k3='SMA20方向', v1='向上'),
]),
Factor(name="日线SMA60多头向上",
signals_all=[
Signal(k1='日线', k2='倒1K', k3='SMA60多空', v1='多头'),
Signal(k1='日线', k2='倒1K', k3='SMA60方向', v1='向上'),
]),
]
triple_signal_factors = [
Factor(name="日线MACD长多",
signals_all=[
Signal(k1='日线', k2='倒1K', k3='DIF多空', v1='多头'),
Signal(k1='日线', k2='倒1K', k3='SMA60多空', v1='多头'),
Signal(k1='日线', k2='倒1K', k3='SMA60方向', v1='向上'),
]),
Factor(name="日线MACD短多",
signals_all=[
Signal(k1='日线', k2='倒1K', k3='MACD多空', v1='多头'),
Signal(k1='日线', k2='倒1K', k3='SMA20多空', v1='多头'),
Signal(k1='日线', k2='倒1K', k3='SMA20方向', v1='向上'),
]),
]
factors = double_signal_factors + triple_signal_factors
return factors
