def OnCalcTech(self, df_hisdat, df_five, df_fenshi):
"""df : kline
后面两个参数可能为None
"""
closes = df_hisdat['c']
self.calc_tech['four'] = stock.FOUR(closes)
self.calc_tech['boll'] = stock.TDX_BOLL2(closes)
self.calc_tech['adx'] = stock.TDX_ADX(df_hisdat['h'], df_hisdat['l'], closes)
def Order_At_Boll():
upper, middle, lower = stock.TDX_BOLL(df_five_hisdat['c'])
highs, lows, closes = df_five_hisdat['h'], df_five_hisdat[
'l'], df_five_hisdat['c']
adx = stock.TDX_ADX(highs, lows, closes)
self._log('boll : %.2f,%.2f,%.2f' %
(upper[-1], middle[-1], lower[-1]))
boll_w = abs(upper[-1] - lower[-1]) / middle[-1] * 100
boll_poss = [
upper[-1],
(upper[-1] - middle[-1]) / 2 + middle[-1],
middle[-1],
(middle[-1] - lower[-1]) / 2 + lower[-1],
lower[-1],
]
self._log('boll_poss: %.2f, %.2f boll_w=%.2f adx=%.2f' %
(boll_poss[0], boll_poss[1], boll_w, adx[-1]))
user_datas = mydatas[mydatas['symbol'] == code]
if price > boll_poss[1] * 1.001:
num = int(user_datas['trade1'])
if self.order(1, code, price, num):
self._log(
agl.utf8_to_ascii('一档卖出%s, %.2f, %d' %
(code, price, num)))
if price > boll_poss[0] * 0.998:
num = int(user_datas['trade2'])
if self.order(1, code, price, num):
self._log(
agl.utf8_to_ascii('二档卖出%s, %.2f, %d' %
(code, price, num)))
if price < boll_poss[-2] * 0.999:
num = int(user_datas['trade1'])
if self.order(0, code, price, num):
self._log(
agl.utf8_to_ascii('一档买入%s, %.2f, %d' %
(code, price, num)))
if price < boll_poss[-1] * 1.001:
num = int(user_datas['trade2'])
if self.order(0, code, price, num):
self._log(
agl.utf8_to_ascii('二档买入%s, %.2f, %d' %
(code, price, num)))
#信号发生时语音播报, 并通知界面回显
if not self.is_backtesting and (price > boll_poss[1]
or price < boll_poss[-2]):
codename = stock.GetCodeName(code)
s = '%s, %.2f' % (codename, price)
self.data.show(codename) #通知界面显示
self.data.speak2(s) #语音播报
def Order_At_Boll():
upper, middle, lower = stock.TDX_BOLL(df_five_hisdat['c'])
highs, lows, closes = df_five_hisdat['h'], df_five_hisdat['l'], df_five_hisdat['c']
adx = stock.TDX_ADX(highs, lows, closes)
self._log('boll : %.2f,%.2f,%.2f'%(upper[-1], middle[-1],lower[-1]))
boll_w = abs(upper[-1]-lower[-1])/middle[-1]*100
boll_poss = [
upper[-1],
(upper[-1] - middle[-1])/2+middle[-1],
middle[-1],
(middle[-1] - lower[-1])/2+lower[-1],
lower[-1],
]
self._log('boll_poss: %.2f, %.2f boll_w=%.2f adx=%.2f'%(boll_poss[0], boll_poss[1], boll_w, adx[-1]))
user_datas = mydatas[mydatas['symbol']==code]
if price > boll_poss[1]*1.001:
num = int(user_datas['trade1'])
if self.order(1, code, price, num):
self._log(agl.utf8_to_ascii('一档卖出%s, %.2f, %d'%(code, price, num)))
if price > boll_poss[0]*0.998:
num = int(user_datas['trade2'])
if self.order(1, code, price, num):
self._log(agl.utf8_to_ascii('二档卖出%s, %.2f, %d'%(code, price, num)))
if price < boll_poss[-2]*0.999:
num = int(user_datas['trade1'])
if self.order(0, code, price, num):
self._log(agl.utf8_to_ascii('一档买入%s, %.2f, %d'%(code, price, num)))
if price < boll_poss[-1]*1.001:
num = int(user_datas['trade2'])
if self.order(0, code, price, num):
self._log(agl.utf8_to_ascii('二档买入%s, %.2f, %d'%(code, price, num)))
def Run(self):
"""
"""
#self._log('Strategy_Boll_Pre')
#以下为交易测试
code = self.data.get_code() #当前策略处理的股票
self.code = code
if not self.is_backtesting and not self.AllowCode(code):
return
df_hisdat = self.data.get_hisdat(code) #日k线
df_five_hisdat = self.data.get_hisdat(code, dtype='5min') #5分钟k线
df_fenshi = self.data.get_fenshi(code) #日分时
if len(df_fenshi) == 0:
self.data.log(code + u"未取到分时数据")
return
account = self._getAccount() #获取交易账户
price = float(df_fenshi.tail(1)['p']) #当前股价
closes = df_hisdat['c']
yestoday_close = closes[-2] #昨日收盘价
zhangfu = stock.ZhangFu(price, yestoday_close)
self._log(
'price=%.2f %s %s' %
(price, str(df_fenshi.index[-1]), str(df_five_hisdat.iloc[-1])))
account_mgr = ac.AccountMgr(account, price, code)
trade_num = ac.ShouShu(account_mgr.init_money() *
self.trade_num_use_money_percent / price)
trade_num = max(100, trade_num)
# 信号计算
four = stock.FOUR(closes)
four = four[-1]
upper, middle, lower = stock.TDX_BOLL(df_five_hisdat['c'])
highs, lows, closes = df_five_hisdat['h'], df_five_hisdat[
'l'], df_five_hisdat['c']
adx = stock.TDX_ADX(highs, lows, closes)
self._log('boll : %.2f,%.2f,%.2f' % (upper[-1], middle[-1], lower[-1]))
boll_w = abs(upper[-1] - lower[-1]) / middle[-1] * 100
#50个周期内最高值
is_high = abs(price - max(df_five_hisdat[-1000:]['h'])) / price < 0.005
boll_poss = [
upper[-1],
(upper[-1] - middle[-1]) / 2 + middle[-1],
middle[-1],
(middle[-1] - lower[-1]) / 2 + lower[-1],
lower[-1],
]
self._log('boll_poss: %.2f, %.2f boll_w=%.2f adx=%.2f' %
(boll_poss[0], boll_poss[1], boll_w, adx[-1]))
#上一个成交的价位
pre_price = account_mgr.last_chengjiao_price()
pre_pre_price = account_mgr.last_chengjiao_price(index=-2)
sell_count = account_mgr.queryTradeCount(1)
buy_count = account_mgr.queryTradeCount(0)
#买入均价
adx = adx[-1]
boll_up_ratio = 0.02
#信号判断
num = 0
if so.assemble(
price > boll_poss[1],
price > pre_price * (1 + self.trade_ratio),
#price > boll_poss[2],
#price > self.max_buy_price*(1+self.trade_ratio),
#boll_w > 3.5,
#adx > 60,
#sell_count < 2,
#pr.horizontal(df_five_hisdat),
0,
):
num = -trade_num
self.trade_status = self.enum.boll_up_mid
#if self.order(1, code, price, num):
#self._log(agl.utf8_to_ascii('一档卖出%s, %.2f, %d'%(code, price, num)))
if so.assemble(
price > boll_poss[0],
price > pre_price * (1 + self.trade_ratio),
#price > self.max_buy_price*(1+self.trade_ratio),
#boll_w > 3,
adx > 60,
is_high,
#four > self.trade_four[1],
#sell_count < 2,
#self.trade_status == self.enum.nothing,
#0,
):
num = -trade_num * 3
self.trade_status = self.enum.boll_up
#if self.order(1, code, price, num):
#self._log(agl.utf8_to_ascii('二档卖出%s, %.2f, %d'%(code, price, num)))
if so.assemble(
price < boll_poss[-2] * (1 + boll_up_ratio),
price < pre_price * (1 - self.trade_ratio),
#price < boll_poss[2],
#price < self.min_sell_price*(1-0.03),
#boll_w > 3.5,
#adx>60,
#buy_count < 2,
#pr.horizontal(df_five_hisdat),
0,
):
num = trade_num
self.trade_status = self.enum.boll_down_mid
#if boll_w > 6:
#num *= self.trade_num_ratio
#if self.order(0, code, price, num):
#self._log(agl.utf8_to_ascii('一档买入%s, %.2f, %d'%(code, price, num)))
if so.assemble(
price < boll_poss[-1],
price < pre_price * (1 - self.trade_ratio),
#price < self.min_sell_price*(1-0.03),
#boll_w > 3,
#buy_count < 2,
#self.trade_status == self.enum.nothing,
#adx>70,
#four < self.trade_four[0],
#0,
):
num = trade_num * 3
#num = account_mgr.last_chengjiao_num()
self.trade_status = self.enum.boll_down
#if self.order(0, code, price, num):
#self._log(agl.utf8_to_ascii('二档买入%s, %.2f, %d'%(code, price, num)))
#成本区间
if so.assemble(
price < pre_price * (1 - 0.05),
four < -0.1,
self.trade_status == self.enum.boll_up,
0,
):
num = trade_num * self.trade_num_ratio
self.trade_status = self.enum.nothing
if so.assemble(
price > pre_price * (1 + 0.05),
four > 0.1,
self.trade_status == self.enum.boll_down,
0,
):
num = -trade_num * self.trade_num_ratio
self.trade_status = self.enum.nothing
#zz顶抛出后回补
if so.assemble(
price < pre_price * (1 - 0.02),
#sell_count >= 2,
self.trade_status == self.enum.zz_up,
0,
):
#上次zz卖出的数量
num = account_mgr.last_chengjiao_num()
self.trade_status = self.enum.zz_hui_bu
if so.assemble(
price > pre_price * (1 + 0.02),
#sell_count >= 2,
self.trade_status == self.enum.zz_down,
0,
):
#上次zz卖出的数量
num = account_mgr.last_chengjiao_num()
self.trade_status = self.enum.zz_hui_bu
#计算分时zz
zz_sign = 0
closes = df_five_hisdat['c'][-200:].values
zz = stock.ZigZag(closes)
if len(zz) > 2:
zz_result = stock.analyzeZZ(zz)
zz_line_ratio = zz_result[1] / zz_result[0] #线段比率
#扑捉大涨回头的信号
if abs(zz_result[0]) > 0.05 and abs(zz_line_ratio) > 0.05 and abs(
zz_line_ratio) < 0.2 and abs(zz_result[0]) > 0.04:
zz_sign = agl.where(zz_result[1] > 0, 1, -1)
if num != 0:
bSell = agl.where(num > 0, 0, 1)
num = abs(num)
#if bSell:
#num = self._compensate(num, bSell, code)
#基本上每天的振幅都在1个点以上
if abs(stock.ZhangFu(price, yestoday_close)) > 0.01:
self.order(bSell, code, price, num)
zz_pre_price = myredis.createRedisVal('policy_basesign_zz_pre_price',
price)
if so.assemble(
zz_sign != 0,
0,
):
#print self.price, getZZPrePrice(self.price),abs(self.price-getZZPrePrice(self.price))/self.price
num = trade_num * 12
bSell = agl.where(zz_sign > 0, 0, 1)
num = self._compensate(num, bSell, code)
bCanOrder = False
if so.assemble(
bSell,
price > zz_pre_price.get() * (1 + 0.03),
#price > pre_price*(1+self.trade_ratio),
):
bCanOrder = True
self.trade_status = self.enum.zz_up
if so.assemble(
(not bSell),
price < zz_pre_price.get() * (1 - 0.03),
#price < pre_price*(1-self.trade_ratio)
):
bCanOrder = True
self.trade_status = self.enum.zz_down
if bCanOrder:
self._getAccount().Order(bSell, code, price, num)
zz_pre_price.set(price)
#信号发生时语音播报, 并通知界面回显
if not self.is_backtesting and (price > boll_poss[1]
or price < boll_poss[-2]):
codename = stock.GetCodeName(code)
s = '%s, %.2f' % (codename, price)
self.data.show(codename) #通知界面显示
self.data.speak2(s) #语音播报
#tick report
if self.is_backtesting and self.is_tick_report:
self._getAccount().TickReport(df_five_hisdat, 'win')
return
def ExePolicy(self, code):
code = agl.unicode_to_utf8(code)
live_data = LiveData()
df_hisdat = live_data.getHisdat(code)
df_fenshi = live_data.getFenshi(code)
df_five_hisdat = live_data.getFiveMinHisdat(code)
if agl.IsNone(df_five_hisdat):
#print code ,'没有5分钟'
return
if len(df_fenshi) == 0:
return
if len(df_five_hisdat) < 30:
return
price = float(agl.FloatToStr(float(df_fenshi.tail(1)['p'])))
yclose = df_hisdat.ix[df_hisdat.index[-1]]['c']
zhangfu = stock.ZhangFu(price, yclose)
rsi = stock.RSI(df_five_hisdat['c'])
#ui.DrawClosesAndVolumes(pl, df_five_hisdat['c'], rsi)
upper, middle, lower = stock.TDX_BOLL(df_five_hisdat['c'])
#ui.DrawTs(pl, df_five_hisdat['c'],mid=middle, high=upper, low=lower)
highs, lows, closes = df_five_hisdat['h'], df_five_hisdat[
'l'], df_five_hisdat['c']
#atr = stock.ATR(highs, lows, closes)
adx = stock.TDX_ADX(highs, lows, closes)
closes = np.array(df_hisdat['c'])
if help.MyDate(agl.datetime_to_date(df_hisdat.index[-1])).d < \
help.MyDate(agl.CurDay()).d:
closes = agl.array_insert(closes, len(closes), price)
four = stock.FOUR(closes)
#print code, four[-1]
self._dict_four[code] = four[-1]
#return
#ui.DrawClosesAndVolumes(pl, df_five_hisdat['c'], adx)
boll_up = (price - upper[-1]) / upper[-1]
boll_mid = (price - middle[-1]) / middle[-1]
boll_down = (lower[-1] - price) / lower[-1]
boll_width = upper[-1] - lower[-1]
if abs(zhangfu) > 0.098 or boll_width < 0.01:
return
if code == '300033':
codename = stock.GetCodeName(code)
s = 'rsi = %d %s %s' % (rsi[-1], codename, str(price))
print s
if (rsi[-1] > 65 or rsi[-1] < 35) and adx[-1] > 60:
codename = stock.GetCodeName(code)
s = '%s %s' % (codename, str(price))
sign = False
#if code in ['300033','510050']:
#sign = True
#if adx[-1] > 55:
#s += ' ADX=%d'%(adx[-1])
#sign = True
if boll_up > -0.003:
s += ' 越过布林上轨'
#sign = True
if abs(boll_mid) < 0.003:
s += ' 布林中轨'
#sign = True
if boll_down > -0.003:
s += ' 越过布林下轨'
sign = True
if four[-1] > 0.1:
sign = False
#sign = False
if sign:
#ui.DrawTs(pl, df_five_hisdat['c'],mid=middle, high=upper, low=lower)
sInfo = self.calcInfo(code, price, zhangfu)
help.myprint(s, sInfo)
help.myprint(
'[%s,%s] %.3f,%.3f,%.3f,%.2f, four=%.2f, adx=%.2f' %
(code, stock.GetCodeName(code), boll_up, boll_mid,
boll_down, boll_width, four[-1], adx[-1]))
self.NotifyAutoxdShow(code)
self.Speak(s)
def OnCalcTech(self, df_hisdat, df_five_hisdat, df_fenshi):
self.calc_tech['four'] = stock.FOUR(df_five_hisdat['c'])
self.calc_tech['boll'] = stock.TDX_BOLL(df_five_hisdat['c'])
highs, lows, closes = df_five_hisdat['h'], df_five_hisdat[
'l'], df_five_hisdat['c']
self.calc_tech['adx'] = stock.TDX_ADX(highs, lows, closes)
def Run(self): account = self._getAccount() code = self.data.get_code() hisdat = self.data.get_hisdat(code) closes = hisdat['c'].dropna() if len(closes)<60: return #计算技术指标 four = stock.FOUR(closes) boll_up, boll_mid, boll_low ,boll_w= stock.TDX_BOLL2(closes) adx = stock.TDX_ADX(hisdat['h'], hisdat['l'], closes) #收集使用过的技术指标，为了报告使用 self.tech = closes, four, boll_up, boll_mid, boll_low ,boll_w, adx four = four[-1] price = hisdat.iloc[-1]['c'] #print self.getCurTime(), four, price, boll_low[-1], boll_w[-1] #基于价值回归及成本控制，加上技术指标择时 #缺点， 资金利用率低， 选股必须选好， 否则碰到一直下跌的情况就会造成亏损 #优点, 成本在相对安全区域 #当成本亏base_ratio%时加倍买入 df_stock_list = account.StockList() df_stock_list = df_stock_list[df_stock_list['证券代码'] == code] #第一次买 if so.assemble(four<self.base_four[0] ,len(df_stock_list) == 0 , adx[-1] > 60, #price<boll_low[-1] , #boll_w[-1]>2 ): if hasattr(self, 'base_num_ratio'): total_money = ac.AccountMgr(self._getAccount(), price, code).init_money() self.base_num = ac.ShouShu(total_money*self.base_num_ratio/price) self._getAccount().Order(0, code, price, self.base_num) if len(df_stock_list) > 0: chengben = float(df_stock_list['参考盈亏成本价'].loc[0]) changwei = int(df_stock_list['库存数量'].loc[0]) yinkui = calcYinKui(price, chengben) #agl.Print( '盈亏:', chengben, yinkui, changwei, '频繁') if price < chengben*(1-self.base_ratio): #如果仓位大于总资金的70%， 那么仓位为剩余资金的一半 df_zhijing = account.ZhiJing() canuse_money = float(df_zhijing['可用'][-1]) total_money = canuse_money + changwei*price if canuse_money/total_money<self.base_rhombus_mid_ratio: num = ac.ShouShu(canuse_money/2/price) #这里开始就按上次交易的价格来作为判断, 最后一个买入 df_chengjiao = account.ChengJiao() df_chengjiao = df_chengjiao[df_chengjiao['买0卖1'] == '0'] last_buy_price = float(df_chengjiao['成交价格'][-1]) if price > last_buy_price*(1-self.base_ratio): num = 0 else: num = changwei*self.base_pramid_ratio if num>0: account.Order(0, code, price, num) #当赚base_ratio%时加倍卖出 chengben = float(df_stock_list['买入均价'].loc[0]) sell_avg_price = myredis.createRedisVal(self.key_sell_avg_price, chengben) sell_num = myredis.createRedisVal(self.key_sell_num, 0) if price>chengben*(1+self.base_ratio) and four>self.base_four[1]: #第一次卖 if sell_num.get() == 0: account.Order(1, code, price, self.base_num) sell_avg_price.set(price) sell_num.set(self.base_num) #print '--',chengben, sell_avg_price.get()*(1+self.base_ratio) if price > sell_avg_price.get()*(1+self.base_ratio): num = int(df_stock_list['可卖数量'].loc[0]) num = min(sell_num.get() * self.base_pramid_ratio, num) num = ac.ShouShu(num) if num > 0: account.Order(1, code, price, num) #更新卖出均价 new_sell_avg_price = (sell_avg_price.get() * sell_num.get()+price*num)/(sell_num.get()+num) sell_avg_price.set(new_sell_avg_price) sell_num.set(sell_num.get()+num)
def Run(self):
"""
"""
#self._log('Strategy_Boll_Pre')
#以下为交易测试
code = self.data.get_code() #当前策略处理的股票
self.code = code
if not self.is_backtesting and not self.AllowCode(code):
return
self._log(self.getCurTime())
df_hisdat = self.data.get_hisdat(code) #日k线
df_five_hisdat = self.data.get_hisdat(code, dtype='5min') #5分钟k线
account = self._getAccount() #获取交易账户
price = float(df_five_hisdat.tail(1)['c']) #当前股价
closes = df_hisdat['c']
yestoday_close = closes[-2] #昨日收盘价
account_mgr = ac.AccountMgr(account, price, code)
trade_num = ac.ShouShu(account_mgr.init_money() *
self.trade_num_use_money_percent / price)
# 信号计算
four = stock.FOUR(df_hisdat['c'])[-1]
upper, middle, lower = stock.TDX_BOLL(df_five_hisdat['c'])
highs, lows, closes = df_five_hisdat['h'], df_five_hisdat[
'l'], df_five_hisdat['c']
adx = stock.TDX_ADX(highs, lows, closes)
adx = adx[-1]
self._log('boll : %.2f,%.2f,%.2f' % (upper[-1], middle[-1], lower[-1]))
boll_w = abs(upper[-1] - lower[-1]) / middle[-1] * 100
boll_poss = [
upper[-1],
(upper[-1] - middle[-1]) / 2 + middle[-1],
middle[-1],
(middle[-1] - lower[-1]) / 2 + lower[-1],
lower[-1],
]
self._log('boll_poss: %.2f, %.2f boll_w=%.2f adx=%.2f' %
(boll_poss[0], boll_poss[1], boll_w, adx))
pre_price = account_mgr.last_chengjiao_price(is_sell=-1) #上一个成交的价位
pre_buy_price = account_mgr.last_chengjiao_price(is_sell=0)
if np.isnan(pre_buy_price):
pre_buy_price = pre_price
pre_sell_num = account_mgr.last_chengjiao_num() #上次的成交数量
pre_pre_price = account_mgr.last_chengjiao_price(index=-2)
sell_count = account_mgr.queryTradeCount(1)
buy_count = account_mgr.queryTradeCount(0)
chen_ben = account_mgr.get_BuyAvgPrice() #买入成本
yin_kui = account_mgr.yin_kui() #盈亏成本
canwei = account_mgr.getCurCanWei()
#信号判断
num = 0
if so.assemble(
price > boll_poss[1] * 1.001,
price > pre_price * (1 + self.trade_ratio),
#price > boll_poss[2],
#price > self.max_buy_price*(1+self.trade_ratio),
#boll_w < 2.5,
#adx > 45,
#sell_count < 2,
#pr.horizontal(df_five_hisdat),
#0,
):
num = trade_num
#account.Order(1, code, price, num)
if so.assemble(
price > boll_poss[0],
price > pre_price * (1 + self.trade_ratio),
#price > self.max_buy_price*(1+self.trade_ratio),
#boll_w > 3,
#adx>60,
four > self.trade_four[1],
#sell_count < 2,
#self.trade_status == self.enum.nothing,
#0,
):
if pre_sell_num > 0:
num = (pre_sell_num * self.trade_num_ratio)
else:
num = ac.ShouShu(account_mgr.getCurCanWei() * 0.5)
#self.trade_status = self.enum.boll_up
if num > 0 and self.order(1, code, price, num):
self._log(
agl.utf8_to_ascii('二档卖出%s, %.2f, %d' % (code, price, num)))
if so.assemble(
price < boll_poss[-2] * 0.999,
price < pre_price * (1 - self.trade_ratio),
#price < boll_poss[2],
#price < self.min_sell_price*(1-0.03),
#boll_w > 2.5,
#adx>45,
#buy_count < 2,
#pr.horizontal(df_five_hisdat),
#0,
):
num = trade_num
#account.Order(0, code, price, num)
if so.assemble(
price < boll_poss[-1],
price < pre_buy_price * (1 - self.trade_ratio),
#price < self.min_sell_price*(1-0.03),
#boll_w > 3,
#buy_count < 2,
#self.trade_status == self.enum.nothing,
#adx>60,
four < self.trade_four[0],
#0,
):
#加仓买入
num = account_mgr.getCurCanWei() * self.trade_num_ratio
#self.trade_status = self.enum.boll_down
if num > 0 and self.order(0, code, price, num):
self._log(
agl.utf8_to_ascii('二档买入%s, %.2f, %d' % (code, price, num)))
#建首仓
if so.assemble(
four < self.trade_four[0],
canwei == 0,
):
num = ac.ShouShu(account_mgr.total_money() * self.lowerhold /
price)
bSell = 0
self.order(bSell, code, price, num)
#tick report
if self.is_backtesting and self.is_tick_report:
self._getAccount().TickReport(df_five_hisdat, 'win')
return