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 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 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 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 fup60(stock):
'''
60分钟从负数上来的第一次上叉
#或从负数上来的成功地第一次上叉(不到5个周期就下叉计作失败)
'''
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)
ucross = gand(cross(pdea, pdiff) > 0)
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 fup60(stock):
'''
60分钟从负数上来的第一次上叉
#或从负数上来的成功地第一次上叉(不到5个周期就下叉计作失败)
'''
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)
ucross = gand(cross(pdea,pdiff)>0)
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)
