def getNowEarningRate(df, preCount=0):
pricePositions = getPricePosiArray(df)
indexList = df[df.EMA60 == df.EMA60].index.tolist()
if preCount > 0:
pricePositions = pricePositions[0:-preCount - 1]
indexList = indexList[0:-preCount - 1]
closes = []
for index in indexList:
closes.append(df.loc[index, 'close'])
i = pricePositions.__len__() - 1
nowPricePosition = pricePositions[-1]
while (i - 1) > 0:
pp = pricePositions[i - 1]
if pp == nowPricePosition:
i = i - 1
else:
break
closes = closes[i:]
isDouing = getNearMaxClosePrice(df) is not None
startPrice = closes[0]
nowPrice = closes[-1]
if isDouing is True:
return util.getRate(startPrice, nowPrice)
else:
return util.getRate(nowPrice, startPrice)
def getDangerRate(df, preCount=0):
indexList = df[df.EMA60 == df.EMA60].index.tolist()
if preCount > 0:
indexList = indexList[0:-preCount - 1]
nowPrice = df.loc[indexList[-1], 'close']
maxClosePrice = getNearMaxClosePrice(df, preCount)
minClosePrice = getNearMinClosePrice(df, preCount)
if maxClosePrice is not None:
rate = util.getRate(fromPrice=maxClosePrice, toPrice=nowPrice)
else:
rate = util.getRate(fromPrice=nowPrice, toPrice=minClosePrice)
return rate
def get_bar_rates(df=None, len=20):
bar_rates = []
closes = [float(x) for x in df['close']]
opens = [float(x) for x in df['open']]
i = 0
while i < len:
rate = util.getRate(fromPrice=opens[-i - 1], toPrice=closes[-i - 1])
bar_rates.append(rate)
i = i + 1
return bar_rates
def getOpen2CloseRates(df):
opens = [float(x) for x in df['open']]
closes = [float(x) for x in df['close']]
arr = []
i = 0
for open in opens:
close = closes[i]
rate = util.getRate(open, close)
i = i + 1
arr.append(rate)
return arr
def loop(security=None, frequency=None, nowTimeString=None, msg=None):
df = msg.get('df')
position = msg.get('position')
force_waiting_count = msg.get('force_waiting_count')
open = msg.get('open')
real_open = msg.get('real_open')
clearRates = msg.get('clearRates')
tmp_rates_every_step = msg.get('tmp_rates_every_step')
open_after_next_change = msg.get('open_after_next_change')
df = getAdvancedData(df,
security=security,
frequency=frequency,
nowTimeString=nowTimeString)
# atr = getATR(df=df, len=20)
closes = [float(x) for x in df['close']]
if force_waiting_count > 0:
force_waiting_count = force_waiting_count - 1
print(nowTimeString + ": ForceWaiting...")
return {
'df': df,
'position': position,
'force_waiting_count': force_waiting_count,
'open': open,
'clearRates': clearRates,
'tmp_rates_every_step': tmp_rates_every_step,
'open_after_next_change': open_after_next_change
}
status = isChangeTo(df)
ADXs = [float(x) for x in df[df.ADX == df.ADX]['ADX']][-200:]
cfn_count = changeFromNowCount(df)
dangerRate = getDangerRate(
df) # dangerRate的容忍度应该由earningRate决定，两个是正相关。能容忍利润做筹码，厌恶本金损失
earningRate = 0
pricePosis = getPricePosiArray(df)
pricePosi = pricePosis[-1]
if open is not None and open != 0:
if pricePosis[-2] == 0:
earningRate = util.getRate(open, closes[-1])
else:
earningRate = util.getRate(closes[-1], open)
if real_open is not None and real_open != 0:
if pricePosis[-2] == 0:
earningRate = util.getRate(real_open, closes[-1])
else:
earningRate = util.getRate(closes[-1], real_open)
# 趋势持续
if status == 'STILL':
# 止损止盈平仓
if position != 0 and (
(earningRate <= cond_er and dangerRate < -cond_before_er) or
(earningRate > cond_er and dangerRate < -cond_after_er)):
if real_open != 0:
clearRates.append(round((1 + earningRate / 100), 4))
else:
clearRates.append(1)
tmp_rates_every_step.append(earningRate)
#print(str(tmp_rates_every_step.__len__()) + '@@@@@@@@@@tmp_rates_every_step: ' + str(tmp_rates_every_step))
appendTreses(tmp_rates_every_step)
tmp_rates_every_step = []
print('!***********************# clear Position 止损止盈平仓 -> ' +
str(earningRate) + ' r:' +
str(reduce(lambda x, y: x * y, clearRates)) +
'!!! ----- !!!')
position = 0
open = 0
real_open = 0
# open_after_next_change = True
open_after_next_change = False
# pushPosition(0)
else:
# 高位回落平仓后再此处等待，或瞬间变化时ADX条件不符合正在等待机会
if position == 0:
if open_after_next_change is False:
# 等到adx条件符合，开空仓
if pricePosi == 1 and (ADXs[-1] > adx_edge):
print(
' 平仓后再此处等待 adx条件符合，开空仓 ### ### ### ### ### ### ### ### ### ### ### ### Down Position'
+ ' adx:' + str(ADXs[-1]))
position = -1
open = closes[-1]
dangerRate = 0
# 等到adx条件符合，开多仓
elif pricePosi == 0 and (ADXs[-1] > adx_edge):
print(
' 平仓后再此处等待 adx条件符合，开多仓 ### ### ### ### ### ### ### ### ### ### ### ### Up Position'
+ ' adx:' + str(ADXs[-1]))
position = 1
open = closes[-1]
dangerRate = 0
else:
print(nowTimeString + ':' + " WAITING..." +
' close: ' + str(closes[-1]))
else:
print(nowTimeString + ':' + " WAITING..." + ' adx: ' +
str(ADXs[-1]))
# 持有多仓
if position > 0:
print(nowTimeString + ':' + " Still Holding DUO..." + " dr:" +
str(dangerRate) + ' er:' + str(earningRate) + ' adx:' +
str(ADXs[-1]))
tmp_rates_every_step.append(earningRate)
if earningRate > real_open_rate and real_open == 0:
closes = closes[-100:]
real_open = closes[-1]
print('!***********************#正式做多：' + str(closes[-1]))
# 持有空仓
if position < 0:
print(nowTimeString + ':' + " Still Holding KON..." + " dr:" +
str(dangerRate) + ' er:' + str(earningRate) + ' adx:' +
str(ADXs[-1]))
tmp_rates_every_step.append(earningRate)
if earningRate > real_open_rate and real_open == 0:
real_open = closes[-1]
print('!***********************#正式做空：' + str(closes[-1]))
# 瞬间 Down
elif status == 'DOWN':
# 前个趋势还在持仓，而现在趋势反转，应该反手做空
if position != 0:
position = 0
if real_open != 0:
clearRates.append(round((1 + earningRate / 100), 4))
else:
clearRates.append(1)
tmp_rates_every_step.append(earningRate)
#print(str(tmp_rates_every_step.__len__()) + '@@@@@@@@@@tmp_rates_every_step: ' + str(tmp_rates_every_step))
appendTreses(tmp_rates_every_step)
tmp_rates_every_step = []
print(nowTimeString +
':!***********************# clear Position 趋势反转 ------> ' +
str(earningRate) + ' r:' +
str(reduce(lambda x, y: x * y, clearRates)) +
'!!! ----- !!!')
if ADXs[-1] < adx_edge: force_waiting_count = 5
open = 0
real_open = 0
# -------------------------------------------------------------------
# 变为Down瞬间，adx也符合要求，开空仓
elif (ADXs[-1] > adx_edge and cfn_count < 10) and position == 0:
print(
' 变为Down瞬间，adx也符合要求，开空仓 ### ### ### ### ### ### ### ### ### ### ### ### Down Position'
+ ' adx:' + str(ADXs[-1]))
position = -1
open = closes[-1]
# pushPosition(1)
open_after_next_change = False
# 瞬间 Up
elif status == 'UP':
# 前个趋势还在持仓，而现在趋势反转，应该反手做多
if position != 0:
position = 0
if real_open != 0:
clearRates.append(round((1 + earningRate / 100), 4))
else:
clearRates.append(1)
print(nowTimeString +
':!***********************# clear Position 趋势反转 ------> ' +
str(earningRate) + ' r:' +
str(reduce(lambda x, y: x * y, clearRates)) +
'!!! ----- !!!')
tmp_rates_every_step.append(earningRate)
#print(str(tmp_rates_every_step.__len__()) + '@@@@@@@@@@tmp_rates_every_step: ' + str(tmp_rates_every_step))
appendTreses(tmp_rates_every_step)
tmp_rates_every_step = []
if ADXs[-1] < adx_edge: force_waiting_count = 5
open = 0
real_open = 0
if earningRate > 2:
print()
# -------------------------------------------------------------------
# 变为Up瞬间，adx也符合要求，开多仓
elif (ADXs[-1] > adx_edge and cfn_count < 10) and position == 0:
print(
' 变为Up瞬间，adx也符合要求，开多仓 ### ### ### ### ### ### ### ### ### ### ### ### Up Position'
+ ' adx:' + str(ADXs[-1]))
position = 1
open = closes[-1]
open_after_next_change = False
# pushPosition(-1)
if clearRates.__len__() > 500:
clearRates.pop(0)
return {
'df': df,
'position': position,
'force_waiting_count': force_waiting_count,
'open': open,
'real_open': real_open,
'clearRates': clearRates,
'tmp_rates_every_step': tmp_rates_every_step,
'open_after_next_change': open_after_next_change
}