def if_buy(self, context): data = context.db.select_data_by_number(context.asset_code, 70, context.date) ohlc = OHLCVD(data) ohlc.add_ma(60) ohlc.add_ma(10) data_frame = ohlc.get_dataframe() ma60_value = data_frame.ma60.values[-1] low = data_frame.low.values[-1] price = data_frame.close.values[-1] # print 'ma60 value:', ma60_value # print "current price :", price rate = (ma60_value - low)/ma60_value # self.logger.info("ma60 value :" + str(ma60_value) + " current price "+ # str(price)+" rate is :" + str(rate)) # print "this is the rate of the ma60 minus low", rate if (ma60_value - low) / ma60_value >= 0.1: order = context.account.create_buy_order(name=context.asset_code, price=price, context=context ) if order.number > 0: return order else: self.logger.info("can not create order") return None return None
def if_buy(self, context): data = context.db.select_data_by_number(context.asset_code, 70, context.date) ohlc = OHLCVD(data) ohlc.add_ma(60) ohlc.add_ma(10) data_frame = ohlc.get_dataframe() ma60_value = data_frame.ma60.values[-1] low = data_frame.low.values[-1] price = data_frame.close.values[-1] # print 'ma60 value:', ma60_value # print "current price :", price rate = (ma60_value - low) / ma60_value # self.logger.info("ma60 value :" + str(ma60_value) + " current price "+ # str(price)+" rate is :" + str(rate)) # print "this is the rate of the ma60 minus low", rate if (ma60_value - low) / ma60_value >= 0.1: order = context.account.create_buy_order(name=context.asset_code, price=price, context=context) if order.number > 0: return order else: self.logger.info("can not create order") return None return None
def test_ohlc_add_all_feature(self): data = pd.read_csv('d:/stock/new-data/SH600741.TXT', sep='\t') ohlc = OHLCVD(data.values) ohlc.add_all_ta_feature() data = ohlc.get_dataframe() result = data.replace(np.nan, -1.0).replace(np.inf, -2.0).replace(-np.inf, -3.0) sql_line = '''insert into stock_with_feature values('sh600741', '%s', %s )'''%(result.values[1, 0], ','.join([str(x) for x in result.values[1, 1:]]), ) print sql_line db = MySQLUtils('root', '1988', 'stock', 'stock_with_feature') db.execute_sql(sql_line) self.assertEqual(ohlc.data.shape[1], 149)
def test_ohlc_add_all_feature(self): data = pd.read_csv('d:/stock/new-data/SH600741.TXT', sep='\t') ohlc = OHLCVD(data.values) ohlc.add_all_ta_feature() data = ohlc.get_dataframe() result = data.replace(np.nan, -1.0).replace(np.inf, -2.0).replace(-np.inf, -3.0) sql_line = '''insert into stock_with_feature values('sh600741', '%s', %s )''' % ( result.values[1, 0], ','.join([str(x) for x in result.values[1, 1:]]), ) print sql_line db = MySQLUtils('root', '1988', 'stock', 'stock_with_feature') db.execute_sql(sql_line) self.assertEqual(ohlc.data.shape[1], 149)
def if_buy(self, context): data = context.db.select_data_by_number(context.asset_code, 1, context.date) ohlc = OHLCVD(data) data = ohlc.get_dataframe() low_value = data.low.values[-1] if data.open.values[-1] > data.close.values[-1]: min_value = data.close.values[-1] else: min_value = data.open.values[-1] if (min_value - low_value) / data.close.values[-1] > 0.05: order = context.account.create_buy_order(context.asset_code, price=data.close.values[-1], context=context) if order is not None and order.number > 0: return order else: self.logger.info("can not create order") return None return None
def if_buy(self, context): data = context.db.select_data_by_number(context.asset_code, 1, context.date) ohlc = OHLCVD(data) data = ohlc.get_dataframe() low_value = data.low.values[-1] if data.open.values[-1] > data.close.values[-1]: min_value = data.close.values[-1] else: min_value = data.open.values[-1] if (min_value - low_value) / data.close.values[-1] > 0.05: order = context.account.create_buy_order( context.asset_code, price=data.close.values[-1], context=context) if order is not None and order.number > 0: return order else: self.logger.info("can not create order") return None return None
# coding=utf-8 __author__ = 'squall' import numpy as np from backtest.utils.mysql import MySQLUtils from data.ohlc import OHLCVD if __name__ == '__main__': db = MySQLUtils('root', '1988', 'stock', 'stock') result = db.get_array('sh600741', begin='2007-10-10', end='2015-12-12') ohlc = OHLCVD(data=result) print result print ohlc.get_dataframe() ohlc.add_macd() ohlc.add_ma(60) print ohlc.get_array().shape print ohlc.get_dataframe() vol_values = ohlc.data_frame.volume.values kernel = np.ones(20)*0.05 result = np.convolve(kernel, vol_values, mode='valid') # plt.plot(result) # plt.show()