def select_2():
stock_list = []
#stock_list += StockFilter.find_kdj_jx('sha', kline_type=StockConfig.kline_type_day, x_position=-1, k_max=50)
stock_list += StockFilter.find_kdj_jx(
'sha', kline_type=StockConfig.kline_type_day, x_position=-2, k_max=50)
stock_list = StockFilter.sma_close(stock_list,
kline_type=StockConfig.kline_type_week)
return stock_list
def select_1():
"""
周线即将jx, 收于5日均线之上
:return:
"""
stock_list = StockFilter.find_kdj_jx(
'sha', kline_type=StockConfig.kline_type_week, x_position=-1, k_max=50)
stock_list += StockFilter.find_kdj_jx(
'sza', kline_type=StockConfig.kline_type_week, x_position=-1, k_max=50)
stock_list = StockFilter.sma_close(stock_list,
kline_type=StockConfig.kline_type_week)
stock_list = StockFilter.sma_close(stock_list,
kline_type=StockConfig.kline_type_day)
return stock_list
def select_6():
"""
jx后的微调
:return:
"""
stock_list = StockFilter.find_kdj_jx(
'sha',
kline_type=StockConfig.kline_type_week,
x_position=-3,
about=False)
stock_list = StockFilter.updown(stock_list,
kline_type=StockConfig.kline_type_week,
x_position=-2)
return stock_list
def select_3():
stock_list = []
stock_list += StockFilter.find_kdj_jx(
'sha',
kline_type=StockConfig.kline_type_week,
x_position=-3,
about=True)
stock_list = StockFilter.sma_close(stock_list,
kline_type=StockConfig.kline_type_week,
x_position=-3)
stock_list = StockFilter.sma_close(stock_list,
kline_type=StockConfig.kline_type_week,
x_position=-2,
reverse=True)
return stock_list
def select_7(date):
"""
还有about=False等
:return:
"""
filter_date = date
fileter_x_position = None
stock_list = StockFilter.find_kdj_jx('sza',
kline_type=StockConfig.kline_type_day,
x_position=fileter_x_position,
date=filter_date,
about=False)
result = []
hit = False
for stock in stock_list:
x_position = StockIndicator.position(
filter_date, stock.stock_code, StockConfig.kline_type_day
) if filter_date is not None else fileter_x_position
kline = StockIO.get_kline(stock.stock_code,
kline_type=StockConfig.kline_type_day)
open = kline[:, 1].astype(np.float)
close = kline[:, 2].astype(np.float)
vol = kline[:, 5].astype(np.float)
sma5 = StockIndicator.sma(kline, 5)[0]
if sma5.shape[0] < 5 + abs(x_position):
continue
if sma5[x_position] < open[x_position] < close[x_position] \
and sma5[x_position - 2] > close[x_position - 2] \
and sma5[x_position - 3] > close[x_position - 3] \
and sma5[x_position - 4] > close[x_position - 4] \
and sma5[x_position - 5] < close[x_position - 5] :
result.append(stock)
return result
def report(p, Rf, Rm):
res = pd.DataFrame()
for i in p:
Rf = Rf.loc[getR(i).index]
Rm = Rm.loc[getR(i).index]
result = dict()
result['Sharpe Ratio'] = round(getSharpe(getR(i), Rf), 3)
result['Treynor Ratio'] = round(sf.Treynor(getR(i), Rm), 5)
result['Alpha_CAPM'] = round(
sf.Factor_AB(pd.DataFrame(Rm - Rf), getR(i) - Rf, get='a'), 5)
result['M2'] = round(sf.M2(getR(i), Rm, Rf), 3)
result['Information Ratio'] = round(sf.InfoR(getR(i), Rf), 3)
result['Sortino Ratio'] = round(sf.Sortino(getR(i), Rf), 3)
result = pd.DataFrame((result), index=[0])
res = pd.concat([res, result])
res = res.T
res.columns = ['Benchmark', 'Stocks', 'Portfolio', 'S&P']
return res
def f_wrapper(stock_list):
stock_list = func(stock_list)
return [
stock for stock in stock_list
if StockFilter.kdj_is_in(stock,
kline_type,
position=position,
k_min=k_min,
k_max=k_max)
]
def select_4():
"""
downdown
:return:
"""
stock_list = StockIO.get_stock('sha')
stock_list = StockFilter.downdown(stock_list,
kline_type=StockConfig.kline_type_week,
count=5)
return stock_list
def select_5():
"""
upup
:return:
"""
stock_list = StockIO.get_stock('sha')
stock_list = StockFilter.upup(stock_list,
kline_type=StockConfig.kline_type_week,
count=1,
x_position=-1)
return stock_list
def select_5_1():
"""
upup
:return:
"""
x_position = -1
kline_type = StockConfig.kline_type_week
stock_list = StockIO.get_stock('sza')
stock_list = StockFilter.upup(stock_list,
kline_type=kline_type,
count=1,
x_position=x_position)
result = []
for stock in stock_list:
k, d = StockIndicator.kd(
StockIO.get_kline(stock.stock_code,
kline_type=StockConfig.kline_type_day), 9)
if StockFilter.is_jx(k, d, x_position=-3, about=True):
if StockFilter.between(k[x_position], 0, 100):
result.append(stock)
return result
def select(stock_list,
kline_type=StockConfig.kline_type_week,
x_position=-1,
period=4,
count_limit=3,
min_vb=0,
max_vb=100,
min_item=120):
"""
通过统计一段时间内振幅较大出现的次数， 然后对支撑价与压力价进行监测
:param stock_list:
:param kline_type:
:param x_position:
:param min_vb:
:param max_vb:
:param min_item:
:return:
"""
result = []
for stock in stock_list:
try:
kline = StockIO.get_kline(stock.stock_code, kline_type=kline_type)
close = kline[:, 2].astype(np.float)
except Exception as e:
print(e)
continue
if kline.shape[0] < min_item:
continue
vb = StockIndicator.vibration(kline)
count = 0
for vb_value in vb[x_position - period:x_position]:
if StockFilter.between(vb_value, min_vb, max_vb):
count += 1
if count > count_limit:
print(stock)
result.append(stock)
return result