def get_forward(strategyName, symbolinfo, K_MIN, parasetlist, rawdatapath,
startdate, enddate, colslist, result_para_dic, indexcolsFlag,
resultfilesuffix):
forward_window_set = range(Parameter.forwardWinStart,
Parameter.forwardWinEnd + 1) # 白区窗口值
nextmonth = enddate[0:7]
symbol = symbolinfo.domain_symbol
forwordresultpath = rawdatapath + '\\ForwardResults\\'
forwardrankpath = rawdatapath + '\\ForwardRank\\'
monthlist = [
datetime.strftime(x, '%Y-%m')
for x in list(pd.date_range(start=startdate, end=enddate, freq='M'))
]
monthlist.append(nextmonth)
os.chdir(rawdatapath)
try:
os.mkdir('ForwardResults')
except:
print 'ForwardResults already exist!'
try:
os.mkdir('ForwardRank')
except:
print 'ForwardRank already exist!'
try:
os.mkdir('ForwardOprAnalyze')
except:
print 'ForwardOprAnalyze already exist!'
starttime = datetime.now()
print starttime
# 多进程优化，启动一个对应CPU核心数量的进程池
initialCash = result_para_dic['initialCash']
positionRatio = result_para_dic['positionRatio']
pool = multiprocessing.Pool(multiprocessing.cpu_count() - 1)
l = []
for whiteWindows in forward_window_set:
# l.append(mtf.runPara(strategyName, whiteWindows, symbolinfo, K_MIN, parasetlist, monthlist, rawdatapath, forwordresultpath, forwardrankpath, colslist, resultfilesuffix))
l.append(
pool.apply_async(
mtf.runPara,
(strategyName, whiteWindows, symbolinfo, K_MIN, parasetlist,
monthlist, rawdatapath, forwordresultpath, forwardrankpath,
colslist, resultfilesuffix)))
pool.close()
pool.join()
mtf.calGrayResult(strategyName, symbol, K_MIN, forward_window_set,
forwardrankpath, rawdatapath)
indexcols = Parameter.ResultIndexDic
# rawdata = DC.getBarData(symbol, K_MIN, monthlist[12] + '-01 00:00:00', enddate + ' 23:59:59').reset_index(drop=True)
cols = [
'open', 'high', 'low', 'close', 'strtime', 'utc_time', 'utc_endtime'
]
barxmdic = DI.getBarDicAfterDomain(symbolinfo, K_MIN, cols)
mtf.calOprResult(strategyName, rawdatapath, symbolinfo, K_MIN, nextmonth,
colslist, barxmdic, positionRatio, initialCash, indexcols,
indexcolsFlag, resultfilesuffix)
endtime = datetime.now()
print starttime
print endtime
symbol_info = DI.SymbolInfo(domain_symbol, startdate, enddate)
symbol_bar_folder_name = strategy_folder + "%s %s %s %d" % (
strategy_name, exchange_id, sec_id, bar_type)
os.chdir(symbol_bar_folder_name)
paraset_name = "%s %s %s %d Parameter.csv" % (
strategy_name, exchange_id, sec_id, bar_type)
# 读取已有参数表
parasetlist = pd.read_csv(paraset_name)['Setname'].tolist()
cols = [
'open', 'high', 'low', 'close', 'strtime', 'utc_time',
'utc_endtime'
]
#bar1m_dic = DI.getBarBySymbolList(domain_symbol, symbol_info.getSymbolList(), 60, startdate, enddate, cols)
bar1m_dic = DI.getBarDicAfterDomain(symbol_info, 60, cols)
barxm_dic = DI.getBarBySymbolList(domain_symbol,
symbol_info.getSymbolList(),
bar_type, startdate, enddate,
cols)
if 'multi_sl' in stop_loss_dic.keys():
# 混合止损模式
sltlist = []
price_tick = symbol_info.getPriceTick()
for sl_name, stop_loss in stop_loss_dic.items():
if sl_name != 'multi_sl':
stop_loss[
'price_tick'] = price_tick # 传入的止损参数中加入price_tick，部分止损方式定价时要用到
stop_loss_class = StopLoss.strategy_mapping_dic[
sl_name](stop_loss)
