def list_for_price_deviation(list, date='', duration=90, smooth=3):
'''
For a collection of intrested stocks, plot the price deviation graph and save figures
:param list: a list of stock code
:param date: str, date
:param duration: int, duration
:return: None
'''
h = al.PriceDeviation()
valid_code = ms.get_stock_basics().index.values.tolist()
for i in list:
if i in valid_code:
h.plot_difference(i, date, duration, type='save', smooth=smooth)
def __init__(self, code, date, duration, smooth, discover_mode=False):
h = al.PriceDeviation()
if discover_mode == True:
try:
self.origin_list = h.price_diff_list_load(
code, date, duration, smooth)
except:
h.price_diff_list_save(code, date, duration, smooth)
self.origin_list = h.price_diff_list_load(
code, date, duration, smooth)
else:
self.origin_list = h.show_difference_list(code, date, duration,
smooth)
self.code = code
self.smooth = smooth
self.date = date
self.criteria_list = []
self.action_list = []
def diff_line_double_duration(code_list, date_list, duration, smooth, amount=100000):
for code in code_list:
for date in date_list:
try:
p = al.PriceDeviation()
s = p.__diff_lists_multi_smoothing__(code, smooth, date, duration)
state = 'unhold'
list = []
i_hold_fast = s[0]['smoothed difference %s'%smooth[0]]
i_hold_slow = s[0]['smoothed difference %s'%smooth[1]]
for i in s:
if i['smoothed difference %s'%smooth[0]] >= i['smoothed difference %s'%smooth[1]]:
if i_hold_fast < i_hold_slow and state == 'unhold':
list.append({'date' : i['date'], 'signal': 'buy'})
state = 'hold'
if i['smoothed difference %s'%smooth[0]] < i['smoothed difference %s'%smooth[1]]:
if i_hold_fast > i_hold_slow and state == 'hold':
list.append({'date' : i['date'], 'signal': 'sell'})
state = 'unhold'
i_hold_fast = i['smoothed difference %s'%smooth[0]]
i_hold_slow = i['smoothed difference %s'%smooth[1]]
account = tr.StockAccount(time=at.next_opening_day(code, list[0]['date']))
account = tr.StockAccount(account.save())
account.deposit(amount, at.next_opening_day(code, list[0]['date']))
for i in range(len(list)):
if list[i]['signal'] == 'buy' and list[i]['date'] != date:
date_i = at.next_opening_day(code, list[i]['date'], default_shift=True)
account.buy(code, 1, ms.get_stock_hist_data(code, date_i, 'open'), date_i, True)
if list[i]['signal'] == 'sell' and list[i]['date'] != date:
date_i = at.next_opening_day(code, list[i]['date'], default_shift=True)
account.sell(code, 1, ms.get_stock_hist_data(code, date_i, 'open'), date_i)
if list[i] == list[-1]:
account.deposit(0.01, date)
account.plot_performance_with_index(method='save', id=code)
except:
pass
def diff_line_strategy(code_list, date_list, duration, smooth, bbar=0.0, sbar=0.0, amount=100000, text_only=False):
for code in code_list:
for date in date_list:
try:
p = al.PriceDeviation()
s = p.__diff_lists__(code, date=date, duration=duration, smooth=smooth)
state = 'unhold'
list = []
i_hold = 0.0
for i in s:
if i['smoothed difference'] >= bbar:
if i_hold < bbar and state == 'unhold':
list.append({'date' : i['date'], 'signal': 'buy'})
state = 'hold'
if i['smoothed difference'] < sbar:
if i_hold >= sbar and state == 'hold':
list.append({'date' : i['date'], 'signal': 'sell'})
state = 'unhold'
i_hold = i['smoothed difference']
account = tr.StockAccount(time=at.next_opening_day(code, list[0]['date']))
account = tr.StockAccount(account.save())
account.deposit(amount, at.next_opening_day(code, list[0]['date']))
for i in range(len(list)):
if list[i]['signal'] == 'buy' and list[i]['date'] != date:
date_i = at.next_opening_day(code, list[i]['date'], default_shift=True)
account.buy(code, 1, ms.get_stock_hist_data(code, date_i, 'open'), date_i, True)
if list[i]['signal'] == 'sell' and list[i]['date'] != date:
date_i = at.next_opening_day(code, list[i]['date'], default_shift=True)
account.sell(code, 1, ms.get_stock_hist_data(code, date_i, 'open'), date_i)
if list[i] == list[-1]:
account.deposit(0.01, date)
id = str(code) + '-' + str(smooth) + '-' + str(int(bbar*100)) + '-' + str(int(sbar*100))
account.plot_performance_with_index(method='save', id=id, text_only=text_only)
except:
pass
def diff_line_multi_line(code_list, date_list, buy_line=0.0, sell_line=0.0, exit_days=7, smooth=7, duration=300, amount=100000, text_only=False, discover_mode=False):
h = al.PriceDeviation()
for code in code_list:
for date in date_list:
try:
if discover_mode == True:
try:
origin_list = h.price_diff_list_load(code, date, duration, smooth)
except:
h.price_diff_list_save(code, date, duration, smooth)
origin_list = h.price_diff_list_load(code, date, duration, smooth)
else:
origin_list = h.show_difference_list(code, date, duration, smooth)
hold = False
through = False
exit_count = 0
action_list = []
pre_value = 0.0
for i in origin_list:
date = i['date']
value = i['smoothed difference']
exit_count += 1
if not hold:
if pre_value <= buy_line and value >= buy_line:
signal = 'buy'
line = {'date': date, 'signal': signal}
action_list.append(line)
exit_count = 0
hold = True
else:
if not through and pre_value >= sell_line:
through = True
if not through:
if value < buy_line:
signal = 'sell'
line = {'date': date, 'signal': signal}
action_list.append(line)
hold = False
else:
if value < sell_line:
signal = 'sell'
line = {'date': date, 'signal': signal}
action_list.append(line)
hold = False
through = False
'''
if exit_count >= exit_days:
if value <= sell_line:
signal = 'sell'
line = {'date': date, 'signal': signal}
action_list.append(line)
hold = False
'''
pre_value = value
account = tr.StockAccount(time=at.next_opening_day(code, action_list[0]['date']))
account = tr.StockAccount(account.save())
account.deposit(amount, at.next_opening_day(code, action_list[0]['date']))
for i in range(len(action_list)):
if action_list[i]['signal'] == 'buy' and action_list[i]['date'] != date:
date_i = at.next_opening_day(code, action_list[i]['date'], default_shift=True)
account.buy(code, 1, ms.get_stock_hist_data(code, date_i, 'open'), date_i, True)
if action_list[i]['signal'] == 'sell' and action_list[i]['date'] != date:
date_i = at.next_opening_day(code, action_list[i]['date'], default_shift=True)
account.sell(code, 1, ms.get_stock_hist_data(code, date_i, 'open'), date_i)
if action_list[i] == action_list[-1]:
account.deposit(0.01, date)
id = str(code) + '-' + str(smooth) + '-' + str(int(buy_line*100)) + '-' + str(int(sell_line*100))
account.plot_performance_with_index(method='save', id=id, text_only=text_only)
except:
pass
import messenger as ms
import analyst as al
import numpy as np
import assistant as at
import matplotlib.pyplot as plt
h = al.PriceDeviation()
h.price_diff_list_save('002415', date='2017-06-28', duration=600, smooth=3)
origin_data = h.price_diff_list_load('002415',
date='2017-06-28',
duration=600,
smooth=3)
origin_data = origin_data[-200:]
result = []
date_list = []
for i in range(30, len(origin_data)):
date = origin_data[i]['date']
sub_list = origin_data[i - 30:i]
diff_list = [i['smoothed difference'] for i in sub_list]
theo_list = [i['smoothed theoretical'] for i in sub_list]
corr = np.correlate(diff_list, theo_list)
print(date, corr)
result.append(corr)
date_list.append(at.date_encoding(date))
plt.plot(date_list, result)
plt.show()