stockNum = 0.0
state = False
execList.append((date, "sell", cap))
if state:
cap = stockData.iloc[-1].adjclose * stockNum
roi = (cap - oriCap) / oriCap
result = {str(executeDict.keys()[0]): (roi, execList)}
return result
if __name__ == "__main__":
# 由于这个QueueManager只从网络上获取Queue，所以注册时只提供名字:
QueueManager.register('get_task_queue')
QueueManager.register('get_result_queue')
stockData = utils.getStockDataTrain('2018', False)
stockData = stockData.set_index("datetime")
stockData.index = stockData.index.map(unicode)
# 连接到服务器，也就是运行taskmanager.py的机器:
server_addr = '127.0.0.1'
print('Connect to server %s...' % server_addr)
# 端口和验证码注意保持与taskmanager.py设置的完全一致:
m = QueueManager(address=(server_addr, 5000), authkey='abc')
# 从网络连接:
m.connect()
# 获取Queue的对象:
task = m.get_task_queue()
result = m.get_result_queue()
while (1):
try:
os = kwargs.get('os')
for i in n:
aveU = pd.Series(stockData['adjclose'].rolling(i).apply(
self.calcUp, raw=True).values,
index=stockData['datetime'])
# print aveU
aveD = pd.Series(stockData['adjclose'].rolling(i).apply(
self.calcDown, raw=True).values,
index=stockData['datetime'])
# print aveU, aveD
rsi = 100 - 100 / (1 + (aveU.values / aveD.values))
stockData['rsi'] = rsi
# print i
for b in ob:
for s in os:
scoreRes[str(i) + '_' + str(b) + '_' +
str(s)] = stockData.apply(
lambda row: self.score(row, b, s), axis=1)
cnt = cnt + 1
# print stockData
scoreRes['datetime'] = stockData['datetime']
scoreRes = scoreRes.set_index('datetime')
return scoreRes, cnt
if __name__ == "__main__":
stockDataTrain = utils.getStockDataTrain("0005", True)
rsi = RelativeStrengthIndex()
params = rsi.defaultParam()
rsi.run(stockDataTrain, **params)
})
i = i + 1
# log.debug( "runtimes: " + str(i))
#if allRate = True, then there is only 1 result use to get the SharpeRatio.
# calculate buy-and-hold roi
buyAndHold = (stockData.iloc[-1].adjclose -
stockData.iloc[0].adjclose) / stockData.iloc[0].adjclose
bestRes = (bestParam, bestRoi, buyAndHold)
# bestRes = (bestParam, bestRoi)
return strategyResList, bestRes
if __name__ == "__main__":
module = importlib.import_module("BollingerBandsStrategy")
class_ = getattr(module, "BollingerBandsStrategy")
strategy = class_()
params = strategy.defaultParam()
print(params)
# params['stockData'] = stockData
isTrain = True
stockDataTrain = utils.getStockDataTrain("0005", isTrain)
bStratRes, bBstRes = runbackTest(stockDataTrain, strategy, **params)
print(bStratRes, bBstRes)
bParam = strategy.parseparams(bBstRes[0])
print(bParam)
stockDataTest = utils.getStockDataTrain("0005", not isTrain)
print(runbackTest(stockDataTest, strategy, **bParam))
# runbackTest('0005', "BollingerBands", False, **params)