def attack2(stock, xup=200): #
''' 盘中追第二个涨停
'''
linelog('%s:%s' % (attack2.__name__, stock.code))
t = stock.transaction
ama = fama(t[CLOSE])
rama = rollx(t[CLOSE] * 1000 / rollx(ama) >= 1030) #-284, p=342
lup1 = gand((limitup1(t[CLOSE])), t[OPEN] * 10000 / t[LOW] < 10050)
climit = xfollow(lup1, t[VOLUME])
#climit = xfollow(limitup2(t[HIGH],t[LOW]),t[VOLUME]) #一字板
#yup = rollx(gand(stock.slup2,climit,bnot(stock.slup1)),1) #昨日第二小时涨停并且收盘封住
yup = rollx(gand(stock.slup2, stock.stoped3, climit, bnot(stock.slup1)),
1) #昨日第二小时涨停并且至收盘都没打开过，含第一小时
#大盘因素
#smarket = rollx(gand(stock.ref.t2,stock.ref.t1,stock.ref.t0),1)
smarket = gand(stock.ref.t2, stock.ref.t1, stock.ref.t0)
#smarket = gand(strend(stock.ref.diff)>0,strend(stock.ref.diff-stock.ref.dea)>0)
#yup = gand(stock.slup3,bnot(stock.stoped4)) #前3小时涨停,并且在第四小时打开过
#yup2 = gand(stock.slup2,bnot(gand(stock.stoped3,stock.stoped4)),bnot(stock.slup1)) #第2小时开始涨停,并且在第3-4小时打开过，否则买不到
#yup3 = gand(stock.slup3,bnot(stock.stoped4),bnot(gand(stock.slup1,stock.slup2)))
#yup2 = gand(stock.touch2,bnot(stock.slup1)) #第2小时开始触及涨停
#yup3 = gand(stock.touch3,bnot(gand(stock.slup1,stock.slup2)))
#yup=gor(yup2,yup3)
cup = gand(stock.up1, yup,
bnot(gand(stock.stoped3, stock.stoped4, stock.stoped2)))
#因为此时追击点在下午开盘，所以可以观察大盘
#yup = gand(stock.slup1,bnot(gand(stock.stoped2,stock.stoped3,stock.stoped4))) #前1小时涨停,并且在第四小时打开过
#无法判断第四小时涨停的个股涨停后是否打开过
#必须是跳空且缺口不补
pre = rollx(t[CLOSE], 1)
tup = np.sign(t[OPEN] * 10000 / pre <= xup + 10000) #今日开盘大于xup,这个条件是反作用
#c_ex = lambda c,s:gand(c.g60>3000,s>3000)
#cs = catalog_signal_cs(stock.c60,c_ex)
signal = gand(cup, t[VOLUME] > 0, stock.ref.up1
) #smarket)#,rama) #,rama #,tt,peak)#,fmacd,xmacd) #rama
#signal = gand(cup,t[VOLUME]>0,rama,r1,smarket,tup)#,rama) #,tt,peak)#,fmacd,xmacd) #rama
dsignal = decover(signal, 3)
#stock.buyprice = select([dsignal>0],[t[HIGH]]) #涨停价
stock.buyprice = select([dsignal > 0], [stock.open2]) #第二小时开盘
#print signal
return dsignal
def attack2(stock,xup=200):#
''' 盘中追第二个涨停
'''
linelog('%s:%s' % (attack2.__name__,stock.code))
t = stock.transaction
ama = fama(t[CLOSE])
rama = rollx(t[CLOSE]*1000/rollx(ama)>=1030) #-284, p=342
lup1 = gand((limitup1(t[CLOSE])),t[OPEN]*10000/t[LOW]<10050)
climit = xfollow(lup1,t[VOLUME])
#climit = xfollow(limitup2(t[HIGH],t[LOW]),t[VOLUME]) #一字板
#yup = rollx(gand(stock.slup2,climit,bnot(stock.slup1)),1) #昨日第二小时涨停并且收盘封住
yup = rollx(gand(stock.slup2,stock.stoped3,climit,bnot(stock.slup1)),1) #昨日第二小时涨停并且至收盘都没打开过，含第一小时
#大盘因素
#smarket = rollx(gand(stock.ref.t2,stock.ref.t1,stock.ref.t0),1)
smarket = gand(stock.ref.t2,stock.ref.t1,stock.ref.t0)
#smarket = gand(strend(stock.ref.diff)>0,strend(stock.ref.diff-stock.ref.dea)>0)
#yup = gand(stock.slup3,bnot(stock.stoped4)) #前3小时涨停,并且在第四小时打开过
#yup2 = gand(stock.slup2,bnot(gand(stock.stoped3,stock.stoped4)),bnot(stock.slup1)) #第2小时开始涨停,并且在第3-4小时打开过，否则买不到
#yup3 = gand(stock.slup3,bnot(stock.stoped4),bnot(gand(stock.slup1,stock.slup2)))
#yup2 = gand(stock.touch2,bnot(stock.slup1)) #第2小时开始触及涨停
#yup3 = gand(stock.touch3,bnot(gand(stock.slup1,stock.slup2)))
#yup=gor(yup2,yup3)
cup = gand(stock.up1,yup,bnot(gand(stock.stoped3,stock.stoped4,stock.stoped2)))
#因为此时追击点在下午开盘，所以可以观察大盘
#yup = gand(stock.slup1,bnot(gand(stock.stoped2,stock.stoped3,stock.stoped4))) #前1小时涨停,并且在第四小时打开过
#无法判断第四小时涨停的个股涨停后是否打开过
#必须是跳空且缺口不补
pre=rollx(t[CLOSE],1)
tup = np.sign(t[OPEN] * 10000 / pre <= xup + 10000) #今日开盘大于xup,这个条件是反作用
#c_ex = lambda c,s:gand(c.g60>3000,s>3000)
#cs = catalog_signal_cs(stock.c60,c_ex)
signal = gand(cup,t[VOLUME]>0,stock.ref.up1)#smarket)#,rama) #,rama #,tt,peak)#,fmacd,xmacd) #rama
#signal = gand(cup,t[VOLUME]>0,rama,r1,smarket,tup)#,rama) #,tt,peak)#,fmacd,xmacd) #rama
dsignal = decover(signal,3)
#stock.buyprice = select([dsignal>0],[t[HIGH]]) #涨停价
stock.buyprice = select([dsignal>0],[stock.open2]) #第二小时开盘
#print signal
return dsignal
def heff(stock):
''' 效果不平衡
0501-0909
评估:总盈亏值=35014,交易次数=178 期望值=2684
总盈亏率(1/1000)=35014,平均盈亏率(1/1000)=196,盈利交易率(1/1000)=612
平均持仓时间=32,持仓效率(1/1000000)=6125
赢利次数=109,赢利总值=40100
亏损次数=69,亏损总值=5086
平盘次数=0
0711-0909
评估:总盈亏值=17918,交易次数=63 期望值=4437
总盈亏率(1/1000)=17918,平均盈亏率(1/1000)=284,盈利交易率(1/1000)=809
平均持仓时间=43,持仓效率(1/1000000)=6604
赢利次数=51,赢利总值=18686
亏损次数=12,亏损总值=768
平盘次数=0
'''
linelog(stock.code)
t = stock.transaction
ef = efficient_rate(stock.hour)
zx = cached_zeros(len(stock.hour))
efz = hour2day(gand(cross(zx, ef) > 0, strend(ef) > 0))
vma = ma(t[VOLUME], 30)
svma = ma(t[VOLUME], 3)
vfilter = gand(svma < vma * 3 / 4, t[VOLUME] < vma)
cf = (t[OPEN] - t[LOW] + t[HIGH] - t[CLOSE]) * 1000 / (t[HIGH] - t[LOW]
) #向下的动力
mcf = ma(cf, 7)
refn = gand(stock.ref.ma0 < stock.ref.ma1, stock.ref.ma1 < stock.ref.ma2,
bnot(stock.ref.t0), bnot(stock.ref.t1), bnot(stock.ref.t2))
sup = gand(stock.ma0 > stock.ma1, stock.ma1 > stock.ma2, stock.t1,
stock.t2)
s1 = gand(efz, bor(bnot(refn), sup))
s2 = sfollow(efz, bnot(refn), 10)
ss = bor(s1, s2)
s = stock
magic = gand(s.g20 >= s.g60, s.g60 >= s.g120, s.g120 >= s.g250,
s.g5 > s.g20, s.g20 <= 8000)
xatr = stock.atr * BASE / t[CLOSE]
#signal = gand(ss,stock.above,stock.t5,stock.t4,magic,vfilter,mcf<1000)
signal = gand(ss, stock.above, stock.t5, stock.t4, magic, vfilter,
mcf < 1000, xatr > 40, stock.ma1 > stock.ma3,
stock.diff < stock.dea)
return signal
def trade_maker(self,
tmaker,
dates,
stock,
sbuy,
ssell,
begin=0): #kwargs目的是吸收无用参数，便于cruiser
''' trade_strategy是对sbuy和ssell进行预处理，如买卖都是次日交易则为B1S1
'''
t = stock.transaction
#logger.debug('%s old ssell:%s' % (stock.code,ssell.tolist()))
#for t,sb,ss in zip(dates,sbuy,ssell):print t,sb,ss
sbuy, ssell = self.trade_strategy(t, sbuy, ssell)
sbuy = band(sbuy,
bnot(sresume(stock.transaction[VOLUME], 10,
covered=3))) #对停牌10日以上的的股票，消除其紧随3天的sbuy信号
#logger.debug(u'sbuy,after strategy:%s',sbuy.tolist())
#logger.debug(u'ssell,after strategy:%s',ssell.tolist())
ssignal = self.trade_signal_maker(sbuy, ssell)
#print stock.code,ssignal
#logger.debug('%s signals:%s' % (stock.code,ssignal.tolist()))
#logger.debug('%s seller:%s' % (stock.code,ssell.tolist()))
#for t,sb,ss,ssig in zip(dates,sbuy,ssell,ssignal):print t,sb,ss,ssig
return tmaker(stock,
ssignal,
dates,
self.buy_pricer(stock),
self.sell_pricer(stock),
begin=begin)
def fup60b(stock):
'''
60分钟从负数上来的有失败上叉先导的第一次成功上叉
'''
t = stock.transaction
linelog('%s:%s' % (fup60.__name__,stock.code))
hzero = cached_zeros(len(stock.hour))
pdiff,pdea = cmacd(stock.hour)
cross0 = cross(hzero,pdiff)
udcross = cross(pdea,pdiff)
#失败上叉：最近5个周期内被下叉信号抵消，或者最近5个周期内出现第二个上叉信号(导致msum仍然>0)
fcross = gand(udcross>0,gor(rollx(msum(udcross,5),-5)==0,rollx(msum(udcross>0,5),-5)>1))
ucross = gand(udcross>0,pdiff>0,bnot(fcross))
xsum1 = rsum(ucross,cross0) #此时，第一个cross>0和第二个之间的位置被填满1
xsum = rsum(xsum1,cross0) #此时，只有第一个发生位为1
signal = gand(equals(xsum,1),pdiff>0)
return hour2day(signal)
def fup60b(stock):
'''
60分钟从负数上来的有失败上叉先导的第一次成功上叉
'''
t = stock.transaction
linelog('%s:%s' % (fup60.__name__, stock.code))
hzero = cached_zeros(len(stock.hour))
pdiff, pdea = cmacd(stock.hour)
cross0 = cross(hzero, pdiff)
udcross = cross(pdea, pdiff)
#失败上叉：最近5个周期内被下叉信号抵消，或者最近5个周期内出现第二个上叉信号(导致msum仍然>0)
fcross = gand(
udcross > 0,
gor(
rollx(msum(udcross, 5), -5) == 0,
rollx(msum(udcross > 0, 5), -5) > 1))
ucross = gand(udcross > 0, pdiff > 0, bnot(fcross))
xsum1 = rsum(ucross, cross0) #此时，第一个cross>0和第二个之间的位置被填满1
xsum = rsum(xsum1, cross0) #此时，只有第一个发生位为1
signal = gand(equals(xsum, 1), pdiff > 0)
return hour2day(signal)
def hmxru(stock):
''' 成交量分配后的macd,采用supdown
vfilter = svma < vma * 2/3
评估:总盈亏值=4813,交易次数=14 期望值=5444
总盈亏率(1/1000)=4813,平均盈亏率(1/1000)=343,盈利交易率(1/1000)=928
平均持仓时间=50,持仓效率(1/1000000)=6860
赢利次数=13,赢利总值=4876
亏损次数=1,亏损总值=63
平盘次数=0
vfilter = gand(svma<vma*2/3,t[VOLUME]<=vma*2/3)
评估:总盈亏值=3810,交易次数=8 期望值=1000
总盈亏率(1/1000)=3810,平均盈亏率(1/1000)=476,盈利交易率(1/1000)=1000
平均持仓时间=65,持仓效率(1/1000000)=7323
赢利次数=8,赢利总值=3810
亏损次数=0,亏损总值=0
平盘次数=0
'''
t = stock.transaction
mxc = stock.xru
vma = ma(t[VOLUME],30)
svma = ma(t[VOLUME],3)
vfilter = gand(svma<vma*2/3,t[VOLUME]<=vma*2/3)
#vfilter = gand(svma<vma*2/3)
xatr = stock.atr * BASE / t[CLOSE]
ma0 = ma(t[CLOSE],3)
ndown = bnot(gand(t[CLOSE]<ma0,ma0<stock.ma1,stock.ma1<stock.ma2))
s = stock
sv = greater(msum(t[VOLUME] > 0,120),100) #确保新股上市前100天无信号
signal = gand(mxc,stock.above,vfilter,strend(stock.ma4)>0,stock.t5,xatr>=60,stock.magic,stock.ma1<stock.ma2,stock.ma1>stock.ma3,ndown)
linelog(stock.code)
return signal
def tsvama2sbv(stock,fast,slow,follow=7):
''' svama慢线下叉快线，follow日后再上叉回来
添加vfilter
'''
t = stock.transaction
svap,v2i = stock.svap_ma_67_2
ma_svapfast = ma(svap,fast)
ma_svapslow = ma(svap,slow)
trend_ma_svapfast = strend(ma_svapfast)
trend_ma_svapslow = strend(ma_svapslow)
cross_down = band(cross(ma_svapslow,ma_svapfast)<0,trend_ma_svapfast<0)
cross_up = band(cross(ma_svapslow,ma_svapfast)>0,trend_ma_svapfast>0)
sdown = transform(cross_down,v2i,len(t[VOLUME]))
sup = transform(cross_up,v2i,len(t[VOLUME]))
sync_down_up = sfollow(sdown,sup,follow)
linelog('%s:%s' % (tsvama2sbv.__name__,stock.code))
vma_s = ma(t[VOLUME],13)
vma_l = ma(t[VOLUME],30)
vfilter = vma_s < vma_l
ss = gand(bnot(sfollow(sync_down_up,stock.hup,10)),sfollow(sync_down_up,stock.hup,20))
return gand(ss,stock.above,stock.t5,stock.magic,vfilter)
def heff(stock):
''' 效果不平衡
0501-0909
评估:总盈亏值=35014,交易次数=178 期望值=2684
总盈亏率(1/1000)=35014,平均盈亏率(1/1000)=196,盈利交易率(1/1000)=612
平均持仓时间=32,持仓效率(1/1000000)=6125
赢利次数=109,赢利总值=40100
亏损次数=69,亏损总值=5086
平盘次数=0
0711-0909
评估:总盈亏值=17918,交易次数=63 期望值=4437
总盈亏率(1/1000)=17918,平均盈亏率(1/1000)=284,盈利交易率(1/1000)=809
平均持仓时间=43,持仓效率(1/1000000)=6604
赢利次数=51,赢利总值=18686
亏损次数=12,亏损总值=768
平盘次数=0
'''
linelog(stock.code)
t = stock.transaction
ef = efficient_rate(stock.hour)
zx = cached_zeros(len(stock.hour))
efz = hour2day(gand(cross(zx,ef)>0,strend(ef)>0))
vma = ma(t[VOLUME],30)
svma = ma(t[VOLUME],3)
vfilter = gand(svma<vma*3/4,t[VOLUME]<vma)
cf = (t[OPEN]-t[LOW] + t[HIGH]-t[CLOSE])*1000 / (t[HIGH]-t[LOW]) #向下的动力
mcf = ma(cf,7)
refn = gand(stock.ref.ma0<stock.ref.ma1,stock.ref.ma1<stock.ref.ma2,bnot(stock.ref.t0),bnot(stock.ref.t1),bnot(stock.ref.t2))
sup = gand(stock.ma0>stock.ma1,stock.ma1>stock.ma2,stock.t1,stock.t2)
s1 = gand(efz,bor(bnot(refn),sup))
s2 = sfollow(efz,bnot(refn),10)
ss = bor(s1,s2)
s = stock
magic = gand(s.g20 >= s.g60,s.g60 >= s.g120,s.g120 >= s.g250,s.g5>s.g20,s.g20<=8000)
xatr = stock.atr * BASE / t[CLOSE]
#signal = gand(ss,stock.above,stock.t5,stock.t4,magic,vfilter,mcf<1000)
signal = gand(ss,stock.above,stock.t5,stock.t4,magic,vfilter,mcf<1000,xatr>40,stock.ma1>stock.ma3,stock.diff<stock.dea)
return signal
def trade_maker(self,tmaker,dates,stock,sbuy,ssell,begin=0): #kwargs目的是吸收无用参数，便于cruiser
''' trade_strategy是对sbuy和ssell进行预处理，如买卖都是次日交易则为B1S1
'''
t = stock.transaction
#logger.debug('%s old ssell:%s' % (stock.code,ssell.tolist()))
#for t,sb,ss in zip(dates,sbuy,ssell):print t,sb,ss
sbuy,ssell = self.trade_strategy(t,sbuy,ssell)
sbuy = band(sbuy,bnot(sresume(stock.transaction[VOLUME],10,covered=3))) #对停牌10日以上的的股票，消除其紧随3天的sbuy信号
#logger.debug(u'sbuy,after strategy:%s',sbuy.tolist())
#logger.debug(u'ssell,after strategy:%s',ssell.tolist())
ssignal = self.trade_signal_maker(sbuy,ssell)
#print stock.code,ssignal
#logger.debug('%s signals:%s' % (stock.code,ssignal.tolist()))
#logger.debug('%s seller:%s' % (stock.code,ssell.tolist()))
#for t,sb,ss,ssig in zip(dates,sbuy,ssell,ssignal):print t,sb,ss,ssig
return tmaker(stock,ssignal,dates,self.buy_pricer(stock),self.sell_pricer(stock),begin=begin)
def up_in_hour4(stock,xup=200):#xup为涨停次日的开盘涨幅，万分位表示
'''第4小时涨停'''
linelog('%s:%s' % (up_in_hour4.__name__,stock.code))
t = stock.transaction
climit = xfollow(limitup1(t[CLOSE]),t[VOLUME])
y123 = gor(stock.slup1,stock.slup2,stock.slup3)
yup = rollx(gand(stock.slup4,climit,bnot(y123)),1) #昨日收盘最后一个小时涨停并且收盘封住
pre = rollx(t[CLOSE],1)
tup = np.sign(t[OPEN] * 10000 / pre >= xup + 10000) #今日开盘大于xup
tx = np.sign(t[LOW] * 10000 / pre <= 10990) #非一字涨停，追
tt = gand(stock.t5,stock.t4,strend(ma(t[CLOSE],250))>0) #不采用跳点法，可能这是一个敏感位置
signal = gand(yup,tup,tx,t[VOLUME]>0,tt)#,rama) #,tt,peak)#,fmacd,xmacd) #rama
dsignal = decover(signal,3)
stock.buyprice = select([dsignal>0],[t[OPEN]])
#print signal
return dsignal
def up_in_hour4(stock, xup=200): #xup为涨停次日的开盘涨幅，万分位表示
'''第4小时涨停'''
linelog('%s:%s' % (up_in_hour4.__name__, stock.code))
t = stock.transaction
climit = xfollow(limitup1(t[CLOSE]), t[VOLUME])
y123 = gor(stock.slup1, stock.slup2, stock.slup3)
yup = rollx(gand(stock.slup4, climit, bnot(y123)), 1) #昨日收盘最后一个小时涨停并且收盘封住
pre = rollx(t[CLOSE], 1)
tup = np.sign(t[OPEN] * 10000 / pre >= xup + 10000) #今日开盘大于xup
tx = np.sign(t[LOW] * 10000 / pre <= 10990) #非一字涨停，追
tt = gand(stock.t5, stock.t4,
strend(ma(t[CLOSE], 250)) > 0) #不采用跳点法，可能这是一个敏感位置
signal = gand(yup, tup, tx, t[VOLUME] > 0,
tt) #,rama) #,tt,peak)#,fmacd,xmacd) #rama
dsignal = decover(signal, 3)
stock.buyprice = select([dsignal > 0], [t[OPEN]])
#print signal
return dsignal
def attack2b(stock): #
''' 盘中第二小时追跳高不变者
使用fseller(信号次日卖出)
bo_pricer = (lambda s : s.buyprice,lambda s : s.transaction[OPEN])
myMediator=nmediator_factory(trade_strategy=B0S1,pricer = bo_pricer)
使用fseller_t(信号当日卖出)
my_pricer = (lambda s : s.buyprice,lambda s : s.sellprice)
myMediator=nmediator_factory(trade_strategy=B0S0_N,pricer = my_pricer)
使用follow_seller(信号当日卖出)
my_pricer = (lambda s : s.buyprice,lambda s : s.sellprice)
myMediator=nmediator_factory(trade_strategy=B0S0_N,pricer = my_pricer)
'''
linelog('%s:%s' % (attack2.__name__, stock.code))
t = stock.transaction
#第一个涨停 #确保没有稍长的下影线
cup = gand(stock.up1,
bnot(gand(stock.stoped2, stock.stoped3, stock.stoped4)))
#三线理顺
#tt = rollx(gand(stock.t4,stock.t5),1)
fm = rollx(gand(stock.diff < stock.dea))
g = rollx(gand(stock.g20 > stock.g60, stock.g60 > stock.g120))
tref = rollx(gand(stock.ref.t3))
signal = gand(cup, t[VOLUME] > 0, stock.ref.up1, tref,
strend(stock.ref.diff) > 0, fm,
g) #smarket)#,rama) #,rama #,tt,peak)#,fmacd,xmacd) #rama
dsignal = decover(signal, 3)
#stock.buyprice = select([dsignal>0],[t[HIGH]]) #涨停价
stock.buyprice = select([dsignal > 0], [stock.open2]) #第二小时开盘
#print signal
return dsignal
def fupf(stock):
'''
本次上叉比上次上叉的位置高，同时价格也高
'''
t = stock.transaction
linelog('%s:%s' % (fupf.__name__,stock.code))
pdiff,pdea = cmacd(stock.hour)
upcross2 = gand(cross(pdea,pdiff)>0,strend(pdiff)>0)
dsub = rsub(pdea,upcross2)
#csub = rsub(stock.hour,upcross2)
#ssub = rsub(rollx(strend(pdea)),upcross2) #上叉前一天的strend(pdea)
vz = tmax(np.abs(pdiff),60) / 5 #pdiff不能超过0线太高
hsignal = gand(dsub>0,pdiff<vz)
xatr = stock.atr * BASE / t[CLOSE]
mxatr = ma(xatr,13)
xr = gand(xatr<50,xatr<mxatr)#,strend(xatr-mxatr)<0)
nd = bnot(gand(stock.ma1<stock.ma2,stock.ma2<stock.ma3))
rt = gand(stock.ref.t3)
vma_s = ma(t[VOLUME],13)
vma_l = ma(t[VOLUME],30)
vfilter = vma_s < vma_l * 3/4
gr = gand(stock.g20<3000,stock.g20>stock.g60,stock.g60>stock.g120)
signal = gand(hour2day(hsignal),strend(stock.diff)>0,xr,rt,nd,vfilter,gr)
return signal
def fupf(stock):
'''
本次上叉比上次上叉的位置高，同时价格也高
'''
t = stock.transaction
linelog('%s:%s' % (fupf.__name__, stock.code))
pdiff, pdea = cmacd(stock.hour)
upcross2 = gand(cross(pdea, pdiff) > 0, strend(pdiff) > 0)
dsub = rsub(pdea, upcross2)
#csub = rsub(stock.hour,upcross2)
#ssub = rsub(rollx(strend(pdea)),upcross2) #上叉前一天的strend(pdea)
vz = tmax(np.abs(pdiff), 60) / 5 #pdiff不能超过0线太高
hsignal = gand(dsub > 0, pdiff < vz)
xatr = stock.atr * BASE / t[CLOSE]
mxatr = ma(xatr, 13)
xr = gand(xatr < 50, xatr < mxatr) #,strend(xatr-mxatr)<0)
nd = bnot(gand(stock.ma1 < stock.ma2, stock.ma2 < stock.ma3))
rt = gand(stock.ref.t3)
vma_s = ma(t[VOLUME], 13)
vma_l = ma(t[VOLUME], 30)
vfilter = vma_s < vma_l * 3 / 4
gr = gand(stock.g20 < 3000, stock.g20 > stock.g60, stock.g60 > stock.g120)
signal = gand(hour2day(hsignal),
strend(stock.diff) > 0, xr, rt, nd, vfilter, gr)
return signal
def attack2b(stock):#
''' 盘中第二小时追跳高不变者
使用fseller(信号次日卖出)
bo_pricer = (lambda s : s.buyprice,lambda s : s.transaction[OPEN])
myMediator=nmediator_factory(trade_strategy=B0S1,pricer = bo_pricer)
使用fseller_t(信号当日卖出)
my_pricer = (lambda s : s.buyprice,lambda s : s.sellprice)
myMediator=nmediator_factory(trade_strategy=B0S0_N,pricer = my_pricer)
使用follow_seller(信号当日卖出)
my_pricer = (lambda s : s.buyprice,lambda s : s.sellprice)
myMediator=nmediator_factory(trade_strategy=B0S0_N,pricer = my_pricer)
'''
linelog('%s:%s' % (attack2.__name__,stock.code))
t = stock.transaction
#第一个涨停 #确保没有稍长的下影线
cup = gand(stock.up1,bnot(gand(stock.stoped2,stock.stoped3,stock.stoped4)))
#三线理顺
#tt = rollx(gand(stock.t4,stock.t5),1)
fm = rollx(gand(stock.diff < stock.dea))
g = rollx(gand(stock.g20>stock.g60,stock.g60>stock.g120))
tref = rollx(gand(stock.ref.t3))
signal = gand(cup,t[VOLUME]>0,stock.ref.up1,tref,strend(stock.ref.diff)>0,fm,g)#smarket)#,rama) #,rama #,tt,peak)#,fmacd,xmacd) #rama
dsignal = decover(signal,3)
#stock.buyprice = select([dsignal>0],[t[HIGH]]) #涨停价
stock.buyprice = select([dsignal>0],[stock.open2]) #第二小时开盘
#print signal
return dsignal
def follow_up2(stock):
'''第n小时涨停，且涨停板在后两个小时打开过
第1/2/3小时涨停，后面打开过
第二小时最好，但仍然只有1/3的概率
1
评估:总盈亏值=-5945,交易次数=370 期望值=-396
总盈亏率(1/1000)=-5945,平均盈亏率(1/1000)=-17,盈利交易率(1/1000)=283
平均持仓时间=1,持仓效率(1/1000000)=-17000
赢利次数=105,赢利总值=5427
亏损次数=262,亏损总值=11372
平盘次数=3
2
评估:总盈亏值=-1925,交易次数=278 期望值=-185
总盈亏率(1/1000)=-1925,平均盈亏率(1/1000)=-7,盈利交易率(1/1000)=345
平均持仓时间=1,持仓效率(1/1000000)=-7000
赢利次数=96,赢利总值=5064
亏损次数=180,亏损总值=6989
平盘次数=2
3
评估:总盈亏值=-4560,交易次数=413 期望值=-325
总盈亏率(1/1000)=-4560,平均盈亏率(1/1000)=-12,盈利交易率(1/1000)=288
平均持仓时间=1,持仓效率(1/1000000)=-12000
赢利次数=119,赢利总值=6388
亏损次数=294,亏损总值=10948
平盘次数=0
'''
linelog('%s:%s' % (follow_up2.__name__, stock.code))
t = stock.transaction
#yup = gand(stock.slup2,bnot(stock.slup1),bnot(gand(stock.stoped3,stock.stoped4))) #开盘第二小时涨停,并且在第三四小时打开过
#yup = gand(stock.slup1,bnot(gand(stock.stoped2,stock.stoped3,stock.stoped4))) #开盘第1小时涨停,并且在第2三四小时打开过
#yup = gand(stock.slup3,bnot(gor(stock.slup1,stock.slup2)),bnot(stock.stoped4)) #第3小时涨停,并且在第四小时打开过
#开盘涨停
oup = t[OPEN] * 10000 / rollx(t[CLOSE], 1) >= 10990
cup = t[CLOSE] * 10000 / rollx(t[CLOSE], 1) >= 10990
hup = t[HIGH] * 10000 / rollx(t[CLOSE], 1) >= 10990
lup = t[LOW] * 10000 / rollx(t[CLOSE], 1) >= 10990
yup = gand(bnot(oup), cup)
#无法判断第四小时涨停的个股涨停后是否打开过
tt = gand(stock.t5, stock.t4,
strend(ma(t[CLOSE], 250)) > 0) #不采用跳点法，可能这是一个敏感位置
smarket = gand(stock.ref.t2, stock.ref.t1, stock.ref.t0) #使用当日的大盘情况，差别巨大
ama = fama(stock.ref.transaction[CLOSE])
#rama = stock.ref.transaction[CLOSE]*1000/rollx(ama)>=1000 #-284, p=342
c_ex = lambda c, s: gand(c.g60 > 5000, s > 8000)
cs = catalog_signal_cs(stock.c60, c_ex)
signal = gand(yup, t[VOLUME] > 0, smarket,
rollx(cs)) #,tt,peak)#,fmacd,xmacd) #rama
dsignal = decover(signal, 3)
stock.buyprice = select([dsignal > 0], [t[HIGH]]) #涨停价
#print signal
return dsignal
def follow_up2(stock):
'''第n小时涨停，且涨停板在后两个小时打开过
第1/2/3小时涨停，后面打开过
第二小时最好，但仍然只有1/3的概率
1
评估:总盈亏值=-5945,交易次数=370 期望值=-396
总盈亏率(1/1000)=-5945,平均盈亏率(1/1000)=-17,盈利交易率(1/1000)=283
平均持仓时间=1,持仓效率(1/1000000)=-17000
赢利次数=105,赢利总值=5427
亏损次数=262,亏损总值=11372
平盘次数=3
2
评估:总盈亏值=-1925,交易次数=278 期望值=-185
总盈亏率(1/1000)=-1925,平均盈亏率(1/1000)=-7,盈利交易率(1/1000)=345
平均持仓时间=1,持仓效率(1/1000000)=-7000
赢利次数=96,赢利总值=5064
亏损次数=180,亏损总值=6989
平盘次数=2
3
评估:总盈亏值=-4560,交易次数=413 期望值=-325
总盈亏率(1/1000)=-4560,平均盈亏率(1/1000)=-12,盈利交易率(1/1000)=288
平均持仓时间=1,持仓效率(1/1000000)=-12000
赢利次数=119,赢利总值=6388
亏损次数=294,亏损总值=10948
平盘次数=0
'''
linelog('%s:%s' % (follow_up2.__name__,stock.code))
t = stock.transaction
#yup = gand(stock.slup2,bnot(stock.slup1),bnot(gand(stock.stoped3,stock.stoped4))) #开盘第二小时涨停,并且在第三四小时打开过
#yup = gand(stock.slup1,bnot(gand(stock.stoped2,stock.stoped3,stock.stoped4))) #开盘第1小时涨停,并且在第2三四小时打开过
#yup = gand(stock.slup3,bnot(gor(stock.slup1,stock.slup2)),bnot(stock.stoped4)) #第3小时涨停,并且在第四小时打开过
#开盘涨停
oup = t[OPEN]*10000 / rollx(t[CLOSE],1) >= 10990
cup = t[CLOSE]*10000 / rollx(t[CLOSE],1) >= 10990
hup = t[HIGH]*10000 / rollx(t[CLOSE],1) >= 10990
lup = t[LOW]*10000 / rollx(t[CLOSE],1) >= 10990
yup = gand(bnot(oup),cup)
#无法判断第四小时涨停的个股涨停后是否打开过
tt = gand(stock.t5,stock.t4,strend(ma(t[CLOSE],250))>0) #不采用跳点法，可能这是一个敏感位置
smarket = gand(stock.ref.t2,stock.ref.t1,stock.ref.t0) #使用当日的大盘情况，差别巨大
ama = fama(stock.ref.transaction[CLOSE])
#rama = stock.ref.transaction[CLOSE]*1000/rollx(ama)>=1000 #-284, p=342
c_ex = lambda c,s:gand(c.g60>5000,s>8000)
cs = catalog_signal_cs(stock.c60,c_ex)
signal = gand(yup,t[VOLUME]>0,smarket,rollx(cs)) #,tt,peak)#,fmacd,xmacd) #rama
dsignal = decover(signal,3)
stock.buyprice = select([dsignal>0],[t[HIGH]]) #涨停价
#print signal
return dsignal