def exclude_analyze(basic, kdata, pick_index, take_index, policy_args):
""" 根据日线做排除性校验
"""
max_rise = __parse_policy_args(policy_args, MAX_RISE)
max_pclose = __parse_policy_args(policy_args, MAX_PCLOSE)
outstanding = __parse_policy_args(policy_args, OUTSTANDING)
### 净资产为负数的
if basic[dogen.BVPS] < 0:
logger.debug("Invalid bvps")
return True
### 特征三
if kdata.iloc[take_index][dogen.P_CLOSE] > max_pclose:
logger.debug("Too high close price at %s" % kdata.index[take_index])
return True
if kdata.iloc[take_index][dogen.P_CLOSE] * basic[dogen.OUTSTANDING] > outstanding:
logger.debug("Too large outstanding at %s" % kdata.index[take_index])
return True
### 特征四
rise_range = dogen.get_last_rise_range(kdata, max_rise, max_fall=max_rise/2, eIdx=22)
if rise_range is not None:
[min_index, max_index, inc_close, get_lhigh, tmp_index] = rise_range
if max_rise < dogen.caculate_incr_percentage(kdata.iloc[take_index][dogen.P_CLOSE], kdata.iloc[min_index][dogen.P_CLOSE]):
logger.debug("Too large rise-range")
return True
pass
### 特征五
if kdata.iloc[take_index][dogen.MA5] < kdata.iloc[take_index+1][dogen.MA5] and kdata.iloc[take_index][dogen.MA20] < kdata.iloc[take_index+1][dogen.MA20]:
logger.debug("Invalid MA5&MA20 at %s" % kdata.index[take_index])
return True
return False
def exclude_analyze(basic, kdata, pick_index, take_index, policy_args):
max_rclose = __parse_policy_args(policy_args, MAX_RCLOSE)
min_ramp = __parse_policy_args(policy_args, MIN_RAMP)
max_rise = __parse_policy_args(policy_args, MAX_RISE)
max_pclose = __parse_policy_args(policy_args, MAX_PCLOSE)
outstanding = __parse_policy_args(policy_args, OUTSTANDING)
### 净资产为负数的
if basic[dogen.BVPS] < 0.1:
logger.debug("Invalid bvps")
return True
### 特征三
if kdata.iloc[take_index][dogen.P_CLOSE] > max_pclose:
logger.debug("Too high close price at %s" % kdata.index[take_index])
return True
if kdata.iloc[take_index][dogen.P_CLOSE] * basic[dogen.OUTSTANDING] > outstanding:
logger.debug("Too large outstanding at %s" % kdata.index[take_index])
return True
### 特征四
rise_range = dogen.get_last_rise_range(kdata, max_rise, max_fall=max_rise/2, eIdx=22)
if rise_range is not None:
[min_index, max_index, inc_close, get_lhigh, tmp_index] = rise_range
if max_rise < dogen.caculate_incr_percentage(kdata.iloc[take_index][dogen.P_CLOSE], kdata.iloc[min_index][dogen.P_CLOSE]):
logger.debug("Too large rise-range")
return True
pass
### 特征五
tdata = kdata[0:5]
if tdata[tdata[dogen.R_CLOSE]>0].index.size <= tdata.index.size/2:
logger.debug("Don't contain enough up trades in last week")
return True
if dogen.get_highlimit_trades(tdata).size > 0:
logger.debug("There is hl trade in last week")
return True
### 特征六
for temp_index in range(pick_index, -1, -1):
### 下跌
if kdata.iloc[temp_index][dogen.R_CLOSE] >= 0 or kdata.iloc[temp_index+1][dogen.R_CLOSE] <= 0:
continue
if kdata.iloc[temp_index][dogen.VOLUME] <= kdata.iloc[temp_index+1][dogen.VOLUME]:
continue
### 放量下跌之后未被上涨突破
maxi_index = dogen.get_last_column_max(kdata, dogen.P_CLOSE, eIdx=temp_index)
if maxi_index is None or kdata.iloc[temp_index][dogen.P_OPEN] > kdata.iloc[maxi_index][dogen.P_CLOSE]:
logger.debug("Invalid fall-trade at %s" % kdata.index[temp_index])
return True
pass
return False
def score_analyze(basic, kdata, high_index, pick_index, take_index, fall_range,
policy_args):
""" 根据股票股价、市值、成交量等方面给股票打分:
* 股价估分，总计40分；
* 市值估分，总计40分；
* 涨停估分，总分20分，两个月内一个涨停板10分；
"""
max_pclose = __parse_policy_args(policy_args, MAX_PCLOSE)
outstanding = __parse_policy_args(policy_args, OUTSTANDING)
pick_start = __parse_policy_args(policy_args, PICK_START)
[high_index, pick_index, dec_close, get_llow, tmpId] = fall_range
score = dogen.score_by_pclose(30, kdata.iloc[take_index][dogen.P_CLOSE],
max_pclose)
score += dogen.score_by_outstanding(
30, kdata.iloc[take_index][dogen.P_CLOSE] * basic[dogen.OUTSTANDING],
outstanding)
temp_score = 20
temp_slice = 20
tdata = kdata[0:high_index + 1]
count = tdata[tdata[dogen.P_CLOSE] >= tdata[dogen.L_HIGH]].index.size
if (count > temp_score / temp_slice):
count = temp_score / temp_slice
if (count > 0):
score += temp_slice * count
temp_score = 20
temp_slice = 10
temp_index = pick_index
for i in range(0, (int)(temp_score / temp_slice)):
rise_range = dogen.get_last_rise_range(kdata, 10, sIdx=temp_index)
if rise_range is None:
break
else:
[min_index, max_index, inc_close, get_hl, tmpId] = rise_range
score += temp_slice
return (int)(score)
def stock_analyze(basic, kdata, policy_args):
### 基本条件选取
get_index = include_analyze(basic, kdata, policy_args)
if get_index is None:
logger.debug("include_analyze() return None")
return None
else:
[pick_index, take_index] = get_index
### 排它条件过滤
if exclude_analyze(basic, kdata, pick_index, take_index, policy_args):
logger.debug("exclude_analyze() return True")
return None
rise_range = dogen.get_last_rise_range(kdata, 0, sIdx=pick_index)
if rise_range is not None:
[pick_index, max_index, inc_close, get_lhigh, tmp_index] = rise_range
### 构造结果
result = {}
result[dogen.RST_COL_CODE] = basic.name # 股票代码
result[dogen.RST_COL_NAME] = basic[dogen.NAME] # 证券简写
result[dogen.RST_COL_INDUSTRY] = basic[dogen.INDUSTRY]
result[dogen.RST_COL_START] = kdata.index[pick_index]
result[dogen.RST_COL_TAKE_TRADE] = kdata.index[take_index] # 命中交易日
result[dogen.RST_COL_LAST_CLOSE] = kdata.iloc[0][dogen.P_CLOSE] # 最后一日收盘价
result[dogen.RST_COL_OUTSTANDING] = round(
kdata.iloc[0][dogen.P_CLOSE] * basic[dogen.OUTSTANDING], 2) # 流通市值
result[dogen.RST_COL_INC_HL] = dogen.get_highlimit_trades(kdata,
eIdx=pick_index +
1).size
result[dogen.RST_COL_SCORE] = score_analyze(basic, kdata, pick_index,
take_index, policy_args)
result[dogen.RST_COL_MATCH_TIME] = dogen.datetime_now() # 选中时间
result[dogen.RST_COL_INDEX] = '%s_%s' % (
basic.name, kdata.index[take_index]) # 唯一标识，用于持久化去重
return result
def exclude_analyze(basic, kdata, pick_index, take_index, policy_args):
""" 根据日线做排除性校验
"""
max_rise = __parse_policy_args(policy_args, MAX_RISE)
max_take2low = __parse_policy_args(policy_args, MAX_TAKE2LOW)
min_falls = __parse_policy_args(policy_args, MIN_FALLS)
max_rclose = __parse_policy_args(policy_args, MAX_RCLOSE)
min_ramp = __parse_policy_args(policy_args, MIN_RAMP)
min_polyf2 = __parse_policy_args(policy_args, MIN_POLYF2)
max_pclose = __parse_policy_args(policy_args, MAX_PCLOSE)
outstanding = __parse_policy_args(policy_args, OUTSTANDING)
### 取回调最低价
mini_index = dogen.get_last_column_min(kdata,
dogen.P_CLOSE,
sIdx=take_index,
eIdx=pick_index)
### 净资产为负数的
if basic[dogen.BVPS] < 0:
logger.debug("Invalid bvps")
return True
### 特征三
if kdata.iloc[take_index][dogen.P_CLOSE] > max_pclose:
logger.debug("Too high close price at %s" % kdata.index[take_index])
return True
if kdata.iloc[take_index][dogen.P_CLOSE] * basic[
dogen.OUTSTANDING] > outstanding:
logger.debug("Too large outstanding at %s" % kdata.index[take_index])
return True
### 特征四
rise_range = dogen.get_last_rise_range(kdata,
max_rise,
max_fall=max_rise / 2,
eIdx=22)
if rise_range is not None:
[min_index, max_index, inc_close, get_lhigh, tmp_index] = rise_range
if max_rise < dogen.caculate_incr_percentage(
kdata.iloc[take_index][dogen.P_CLOSE],
kdata.iloc[min_index][dogen.P_CLOSE]):
logger.debug("Too large rise-range")
return True
pass
### 特征五
if pick_index >= 5:
high_index = pick_index
if kdata.iloc[pick_index - 1][dogen.R_CLOSE] > 0:
high_index = pick_index - 1
if dogen.caculate_incr_percentage(
kdata.iloc[take_index][dogen.P_CLOSE],
kdata.iloc[high_index][dogen.P_CLOSE]) < -min_falls:
logger.debug("Too low P-CLOSE at take-trade %s" %
kdata.index[take_index])
return True
if kdata.iloc[take_index][dogen.MA5] < kdata.iloc[take_index +
1][dogen.MA5]:
logger.debug("Invalid MA20 at %s" % kdata.index[take_index])
return True
if kdata.iloc[take_index][dogen.MA20] < kdata.iloc[take_index +
1][dogen.MA20]:
logger.debug("Invalid MA20 at %s" % kdata.index[take_index])
return True
if kdata.iloc[take_index][
dogen.VOLUME] > kdata.iloc[take_index + 1][dogen.VOLUME] * 1.1:
h2l = dogen.caculate_incr_percentage(
kdata.iloc[take_index][dogen.P_HIGH],
kdata.iloc[take_index][dogen.P_LOW])
c2l = dogen.caculate_incr_percentage(
kdata.iloc[take_index][dogen.P_CLOSE],
kdata.iloc[take_index][dogen.P_LOW])
if c2l * 2 < h2l:
logger.debug("Get up shadow at %s" % kdata.index[take_index])
return True
pass
pass
### 特征七
if pick_index >= 5:
for temp_index in range(mini_index - 1, -1, -1):
### 下跌
if kdata.iloc[temp_index][dogen.R_CLOSE] >= 0 or kdata.iloc[
temp_index + 1][dogen.R_CLOSE] <= 0:
continue
if kdata.iloc[temp_index][dogen.VOLUME] <= kdata.iloc[
temp_index + 1][dogen.VOLUME]:
continue
### 放量下跌之后未被上涨突破
maxi_index = dogen.get_last_column_max(kdata,
dogen.P_CLOSE,
eIdx=temp_index)
if maxi_index is None or kdata.iloc[temp_index][
dogen.P_OPEN] > kdata.iloc[maxi_index][dogen.P_CLOSE]:
logger.debug("Invalid fall-trade at %s" %
kdata.index[temp_index])
return True
pass
pass
### 特征八
if pick_index >= 5:
tdata = kdata[0:mini_index]
if tdata[tdata[dogen.R_AMP] >= min_ramp].index.size <= 0:
logger.debug(
"Don't include trade with 5 percentage R-AMP since %s" %
kdata.index[mini_index])
return True
for temp_index in range(mini_index, 0, -1):
hl_price = dogen.caculate_l_high(
kdata.iloc[temp_index][dogen.P_CLOSE])
tdata = kdata[temp_index - 4:temp_index - 1]
if tdata[tdata[dogen.P_CLOSE] >= hl_price].index.size > 0:
logger.debug("Too large heap-close from %s to %s" %
(tdata.index[-1], tdata.index[0]))
return True
pass
pass
return False
def __statistics_analyze(db, basic, kdata, save_result, args):
""" 统计单只股票上涨区间
参数说明：
basic - 股票基本信息
kdata - 股票交易数据
mini_rise - 区间最小涨幅
mini_hl - 区间最少涨停板数
"""
### 参数处理
mini_rise = __parse_policy_args(args, MINI_RISE)
mini_hl = __parse_policy_args(args, MINI_HL)
### 循环检查
tmpId = 0
match = []
while True:
rise_range = dogen.get_last_rise_range(kdata, mini_rise, max_fall=round(mini_rise/2, 2), sIdx=tmpId)
if rise_range is None:
break
else:
[min_index, max_index, inc_close, get_hl, tmpId] = rise_range
### 忽略不符合连板要求的区间
outstanding = None
max_hl_serial = 0
tmp_hl_serial = 0
for temp_index in range(min_index, max_index-1, -1):
if kdata.iloc[temp_index][dogen.P_CLOSE] < kdata.iloc[temp_index][dogen.L_HIGH]:
tmp_hl_serial = 0
continue
tmp_hl_serial += 1
if tmp_hl_serial > max_hl_serial:
max_hl_serial = tmp_hl_serial
if tmp_hl_serial > 2 and outstanding is None:
outstanding = round(kdata.iloc[temp_index][dogen.P_CLOSE] * basic[dogen.OUTSTANDING], 2)
pass
if max_hl_serial < mini_hl:
continue
### 保存区间结果
result = {}
result[dogen.RST_COL_CODE] = basic.name
result[dogen.RST_COL_NAME] = basic[dogen.NAME] # 证券简写
result[dogen.RST_COL_INDUSTRY] = basic[dogen.INDUSTRY]
result[dogen.RST_COL_START] = kdata.index[min_index]
result[dogen.RST_COL_END] = kdata.index[max_index]
result[dogen.RST_COL_START_CLOSE] = kdata.iloc[min_index][dogen.P_CLOSE] # 起始收盘价
result[dogen.RST_COL_LAST_CLOSE] = kdata.iloc[max_index][dogen.P_CLOSE] # 最高收盘价
result[dogen.RST_COL_RISE_RATE] = dogen.caculate_incr_percentage(result[dogen.RST_COL_LAST_CLOSE], result[dogen.RST_COL_START_CLOSE])
result[dogen.RST_COL_INC_HL] = get_hl
result[dogen.RST_COL_OUTSTANDING] = outstanding # 流通市值
result[dogen.RST_COL_MATCH_TIME] = dogen.datetime_now() # 选中时间
result[dogen.RST_COL_INDEX] = '%s_%s' % (basic.name, kdata.index[min_index])
match.append(result)
### 保存结果
if save_result:
rdata = db.lookup_statistics_largerise_range(cond={dogen.RST_COL_CODE:basic.name}, descending_by=dogen.RST_COL_START)
if rdata is None or len(rdata)<=0:
db.insert_statistics_largerise_range([result], key_name=dogen.RST_COL_INDEX)
continue
rlast = rdata[0]
if rlast[dogen.RST_COL_END] < result[dogen.RST_COL_START]:
db.insert_statistics_largerise_range([result], key_name=dogen.RST_COL_INDEX)
continue
### 重叠合并
tdata = kdata[(kdata.index > rlast[dogen.RST_COL_END])&(kdata.index <= result[dogen.RST_COL_END])]
rlast[dogen.RST_COL_INC_HL] = rlast[dogen.RST_COL_INC_HL] + tdata[tdata[dogen.P_CLOSE]>=tdata[dogen.L_HIGH]].index.size
rlast[dogen.RST_COL_END] = result[dogen.RST_COL_END]
rlast[dogen.RST_COL_LAST_CLOSE] = result[dogen.RST_COL_LAST_CLOSE]
rlast[dogen.RST_COL_RISE_RATE] = dogen.caculate_incr_percentage(rlast[dogen.RST_COL_LAST_CLOSE], rlast[dogen.RST_COL_START_CLOSE])
rlast[dogen.RST_COL_MATCH_TIME] = result[dogen.RST_COL_MATCH_TIME]
db.insert_statistics_largerise_range([rlast], key_name=dogen.RST_COL_INDEX)
return match
def include_analyze(basic, kdata, policy_args):
"""
"""
### 参数解析
take_valid = __parse_policy_args(policy_args, TAKE_VALID)
pick_valid = __parse_policy_args(policy_args, PICK_VALID)
min_rise = __parse_policy_args(policy_args, MIN_RISE)
max_fallen = __parse_policy_args(policy_args, MAX_FALLEN)
### 特征一
rise_range = dogen.get_last_rise_range(kdata, min_rise, max_fall=max_fallen, eIdx=22)
if rise_range is None:
logger.debug("Don't get valid rise-range")
return None
else:
[pick_index, high_index, inc_close, get_lhigh, tmpId] = rise_range
if pick_index < pick_valid:
logger.debug("Invalid rise-range from %s" % kdata.index[pick_index])
return None
pass
### 特征二
heap_rises = 0
take_index = None
for temp_index in range(pick_index, -1, -1):
temp_close = kdata.iloc[temp_index][dogen.R_CLOSE]
if temp_close < 0:
heap_rises = 0
else:
heap_rises += temp_close
if kdata.iloc[temp_index][dogen.MA5] < kdata.iloc[temp_index][dogen.MA20]:
continue
if kdata.iloc[temp_index][dogen.MA5] < kdata.iloc[temp_index+1][dogen.MA5]:
continue
if kdata.iloc[temp_index][dogen.VOLUME] < kdata.iloc[temp_index+1][dogen.VOLUME]:
continue
if heap_rises >= 5:
if take_index is None or take_index > temp_index:
take_index = temp_index
pass
if temp_close >= 3:
if take_index is None or take_index > temp_index:
take_index = temp_index
pass
pass
if take_index is not None:
high_index = dogen.get_last_column_max(kdata, dogen.P_CLOSE, sIdx=take_index, eIdx=pick_index)
if high_index != take_index:
logger.debug("Invalid pclose of take-trade at %s" % kdata.index[take_index])
return None
### take_index之后缩量下跌(限一个交易日)，也符合策略
if take_index == 1\
and kdata.iloc[take_index-1][dogen.R_CLOSE] < 0\
and kdata.iloc[take_index-1][dogen.VOLUME] < kdata.iloc[take_index][dogen.VOLUME]:
take_index-= 1
### 最近收盘价比take_index(不能取更新后值)高更新
elif take_index <= 3\
and kdata.iloc[0][dogen.R_CLOSE] > 0\
and kdata.iloc[0][dogen.P_CLOSE] > kdata.iloc[0][dogen.P_OPEN]\
and kdata.iloc[0][dogen.P_CLOSE] >= kdata.iloc[take_index][dogen.P_CLOSE]:
take_index = 0
pass
if take_index is None or take_index > take_valid:
logger.debug("Don't get valid take-trade since %s" % kdata.index[pick_index])
return None
return [pick_index, take_index]
def include_analyze(basic, kdata, policy_args):
"""
"""
### 参数解析
take_valid = __parse_policy_args(policy_args, TAKE_VALID)
pick_valid = __parse_policy_args(policy_args, PICK_VALID)
min_rise = __parse_policy_args(policy_args, MIN_RISE)
min_fallen = __parse_policy_args(policy_args, MIN_FALLEN)
### 预处理
if kdata.iloc[0][dogen.MA5] > kdata.iloc[0][dogen.MA20]:
logger.debug("Invalid MA5&MA20 at %s" % kdata.index[0])
return None
### 特征一
fall_range = dogen.get_last_fall_range(kdata,
min_fallen,
max_rise=min_rise)
if fall_range is None:
logger.debug("Don't get valid fall-range")
return None
else:
[high_index, pick_index, dec_close, get_llow, tmpId] = fall_range
for temp_index in range(high_index, -1, -1):
if kdata.iloc[temp_index][dogen.MA5] > kdata.iloc[temp_index][
dogen.MA20]:
continue
break
rise_range = dogen.get_last_rise_range(kdata,
min_rise,
max_fall=min_fallen,
sIdx=high_index)
if rise_range is None:
logger.debug("Don't get valid rise-range")
return None
else:
[from_index, max_index, inc_close, get_lhigh, tmpId] = rise_range
if max_index != high_index:
logger.debug("Invalid rise-range from %s to %s" %
(kdata.index[from_index], kdata.index[max_index]))
return None
if kdata.iloc[pick_index][dogen.P_CLOSE] < kdata.iloc[from_index][
dogen.P_CLOSE]:
logger.debug("Invalid pick-trade at %s" % kdata.index[pick_index])
return None
pass
### 特征二
heap_rises = 0
take_index = None
if pick_index + 1 < pick_valid:
for temp_index in range(pick_index - 1, -1, -1):
if kdata.iloc[temp_index][dogen.P_CLOSE] >= dogen.caculate_l_high(
kdata.iloc[pick_index][dogen.P_CLOSE]):
take_index = temp_index
pass
pass
else:
if dogen.caculate_incr_percentage(kdata.iloc[0][dogen.P_CLOSE],
kdata.iloc[0][dogen.MA5]) < 3:
for temp_index in range(pick_index, -1, -1):
if kdata.iloc[temp_index][dogen.R_CLOSE] > 0 and kdata.iloc[
temp_index][dogen.R_AMP] >= 5:
if take_index is None or take_index > temp_index:
take_index = temp_index
pass
pass
pass
for temp_index in range(pick_index, -1, -1):
temp_close = kdata.iloc[temp_index][dogen.R_CLOSE]
if temp_close < 0:
heap_rises = 0
else:
heap_rises += temp_close
if kdata.iloc[temp_index][dogen.P_CLOSE] < kdata.iloc[temp_index][
dogen.P_OPEN]:
continue
if heap_rises >= 5:
if take_index is None or take_index > temp_index:
take_index = temp_index
pass
if temp_close >= 3 and kdata.iloc[temp_index][
dogen.P_CLOSE] > kdata.iloc[temp_index][dogen.P_OPEN]:
if take_index is None or take_index > temp_index:
take_index = temp_index
pass
pass
### MACD点校验
temp_index = 0
if (kdata.iloc[temp_index][dogen.MACD] >= 0.01) and (
dogen.forecast_macd(kdata[temp_index:-1][dogen.MACD]) <= 0.01):
if take_index is None or take_index > temp_index:
take_index = temp_index
pass
if take_index is not None:
### take_index之后缩量下跌(限一个交易日)，也符合策略
if take_index == 1\
and kdata.iloc[take_index-1][dogen.R_CLOSE] < 0\
and kdata.iloc[take_index-1][dogen.VOLUME] < kdata.iloc[take_index][dogen.VOLUME]:
take_index -= 1
### 最近收盘价比take_index(不能取更新后值)高更新
elif take_index <= 3\
and kdata.iloc[0][dogen.R_CLOSE] > 0\
and kdata.iloc[0][dogen.P_CLOSE] > kdata.iloc[0][dogen.P_OPEN]\
and kdata.iloc[0][dogen.P_CLOSE] >= kdata.iloc[take_index][dogen.P_CLOSE]:
take_index = 0
pass
pass
if take_index is None or take_index > take_valid:
logger.debug("Don't get valid take-trade since %s" %
kdata.index[pick_index])
return None
return [pick_index, take_index, rise_range]
def include_analyze(basic, kdata, policy_args):
"""
"""
### 参数解析
take_valid = __parse_policy_args(policy_args, TAKE_VALID)
pick_start = __parse_policy_args(policy_args, PICK_START)
pick_end = __parse_policy_args(policy_args, PICK_END)
min_fallen = __parse_policy_args(policy_args, MIN_FALLEN)
### 预处理
if kdata.iloc[0][dogen.MA5] > kdata.iloc[0][dogen.MA20]:
logger.debug("Invalid MA5&MA20 at %s" % kdata.index[0])
return None
if dogen.get_last_column_min(kdata, dogen.P_CLOSE, eIdx=30) > pick_end:
logger.debug("Invalid pick-trade")
return None
### 特征一
fall_range = dogen.get_last_fall_range(kdata,
min_fallen,
max_rise=min_fallen)
if fall_range is None:
logger.debug("Don't get valid fall-range")
return None
else:
[high_index, pick_index, dec_close, get_llow, tmpId] = fall_range
if pick_index >= pick_end:
logger.debug("Too early pick-trade at %s" %
kdata.index[pick_index])
return None
tdata = kdata[0:pick_index]
if tdata[tdata[dogen.MA5] > tdata[dogen.MA20]].index.size > 0:
logger.debug("Invalid pick-trade at %s" % kdata.index[pick_index])
return None
pass
### 特征二
heap_rises = 0
take_index = None
if pick_index + 1 < pick_start:
if pick_index == 1 and kdata.iloc[pick_index][
dogen.R_CLOSE] < -3 and kdata.iloc[pick_index -
1][dogen.R_CLOSE] > 0:
take_index = pick_index
for temp_index in range(pick_index - 1, -1, -1):
if kdata.iloc[temp_index][dogen.P_CLOSE] >= dogen.caculate_l_high(
kdata.iloc[pick_index][dogen.P_CLOSE]):
take_index = temp_index
pass
rise_range = dogen.get_last_rise_range(kdata, 5, eIdx=pick_index + 1)
if (rise_range
is not None) and (dogen.forecast_macd(kdata[dogen.MACD]) >= 0):
[min_index, max_index, inc_close, get_lhigh, tmpIdx] = rise_range
if take_index is None or take_index > max_index:
take_index = max_index
pass
pass
else:
rise_range = dogen.get_last_rise_range(kdata, 5, eIdx=pick_index + 1)
if rise_range is not None:
[min_index, max_index, inc_close, get_lhigh, tmpIdx] = rise_range
if take_index is None or take_index > max_index:
take_index = max_index
pass
for temp_index in range(pick_index, -1, -1):
if kdata.iloc[temp_index][dogen.R_CLOSE] >= 3:
if take_index is None or take_index > temp_index:
take_index = temp_index
pass
if kdata.iloc[temp_index][dogen.R_AMP] >= 5 and kdata.iloc[
temp_index][dogen.R_CLOSE] >= 0:
if take_index is None or take_index > temp_index:
take_index = temp_index
pass
pass
### MACD点校验
temp_index = 0
if (kdata.iloc[temp_index][dogen.MACD] <=
-0.01) and (dogen.forecast_macd(
kdata[temp_index:-1][dogen.MACD]) >= -0.01):
if take_index is None or take_index > temp_index:
take_index = temp_index
pass
if (kdata.iloc[temp_index][dogen.MACD] >= 0.01) and (
dogen.forecast_macd(kdata[temp_index:-1][dogen.MACD]) <= 0.01):
if take_index is None or take_index > temp_index:
take_index = temp_index
pass
if take_index is not None:
### take_index之后缩量下跌(限一个交易日)，也符合策略
if take_index == 1\
and kdata.iloc[take_index-1][dogen.R_CLOSE] < 0\
and kdata.iloc[take_index-1][dogen.VOLUME] < kdata.iloc[take_index][dogen.VOLUME]:
take_index -= 1
### 最近收盘价比take_index(不能取更新后值)高更新
elif kdata.iloc[0][dogen.R_CLOSE] >= 0\
and kdata.iloc[0][dogen.P_CLOSE] >= kdata.iloc[0][dogen.P_OPEN]\
and kdata.iloc[0][dogen.P_CLOSE] >= kdata.iloc[take_index][dogen.P_CLOSE]:
take_index = 0
### MACD点校验
if (kdata.iloc[0][dogen.MACD] <= -0.01) and (dogen.forecast_macd(
kdata[dogen.MACD]) >= -0.01):
take_index = 0
pass
if take_index is None or take_index > take_valid:
logger.debug("Don't get valid take-trade since %s" %
kdata.index[pick_index])
return None
return [pick_index, take_index, fall_range]