def get_gz(self):
gz = [0, 0]
for f in self.funds:
east = EastFund(f['fid'])
fprice = east.get_gz()
if fprice[0] == 0:
continue
gz[0] = gz[0] + fprice[0] * f['p'] / 100
gz[1] = gz[1] + fprice[1] * f['p'] / 100
for i in range(1, 30):
d = datetime.datetime.now()
d = datetime.datetime(d.year, d.month, d.day, 0, 0, 0) - datetime.timedelta(days=i)
if d in self.xnjz and d in self.price_list:
ratio0 = self.xnjz[d][0] / self.price_list[d][0]
ratio1 = self.xnjz[d][1] / self.price_list[d][1]
break
gz[0] = round(gz[0] / ratio0, 4)
gz[1] = round(gz[1] / ratio1, 4)
return gz
def load_fundprice(self):
fr = open(self.record_path, 'r')
for line in fr.readlines():
arr = line.strip().split(',')
d = datetime.datetime.strptime(arr[1], '%Y-%m-%d')
self.price_list[d] = (float(arr[2]), float(arr[2]))
fr.close()
jz = {}
prices = []
for f in self.funds:
east = EastFund(f['fid'])
fprice = east.load_fundprice()
for k in fprice.keys():
if k not in jz:
jz[k] = [0, 0]
jz[k][0] = jz[k][0] + fprice[k][0] * f['p'] / 100
jz[k][1] = jz[k][1] + fprice[k][1] * f['p'] / 100
for k in jz:
jz[k][0] = round(jz[k][0], 4)
jz[k][1] = round(jz[k][1], 4)
self.xnjz = jz
return jz
def __init__(self, index_key):
""" 初始化数据结构 """
index_list = {
'hs300': {
'index': {'code': 'SH000300', 'name': u'沪深300', 'vq': 'pe'},
'fund': {'fid': '100038', 'byear': 2011 }},
'sh50': {
'index': {'code': 'SH000016', 'name': u'上证50', 'vq': 'pe'},
'fund': {'fid': '001548', 'byear': 2016 }},
'zzbonus': {
'index': {'code': 'SH000922', 'name': u'中证红利', 'vq': 'pe'},
'fund': {'fid': '090010', 'byear': 2011 }},
'gem': {
'index': {'code': 'SZ399006', 'name': u'创业板', 'vq': 'pe'},
'fund': {'fid': '003765', 'byear': 2018 }},
'zz500': {
'index': {'code': 'SH000905', 'name': u'中证500', 'vq': 'pe'},
'fund': {'fid': '003986', 'byear': 2018 }},
'zzbank': {
'index': {'code': 'SZ399986', 'name': u'中证银行', 'vq': 'pb'},
'fund': {'fid': '001594', 'byear': 2016 }},
'zzhouse': {
'index': {'code': 'SZ399393', 'name': u'国证地产', 'vq': 'pb'},
'fund': {'fid': '160218', 'byear': 2014 }},
'zzzq': {
'index': {'code': 'SZ399975', 'name': u'全指证券', 'vq': 'pb'},
'fund': {'fid': '004069', 'byear': 2018 }},
'zzxf': {
'index': {'code': 'SH000932', 'name': u'主要消费', 'vq': 'pe'},
'fund': {'fid': '000248', 'byear': 2016 }},
'food': {
'index': {'code': 'SZ399396', 'name': u'食品饮料', 'vq': 'pe'},
'fund': {'fid': '001631', 'byear': 2016 }},
'zzwine': {
'index': {'code': 'SZ399997', 'name': u'中证白酒', 'vq': 'pe'},
'fund': {'fid': '161725', 'byear': 2016 }},
'hkhs': {
'index': {'code': 'HKHSI', 'name': u'香港恒生', 'vq': 'pe'},
'fund': {'fid': '000948', 'byear': 2016 }},
'sz60': {
'index': {'code': 'SZ399701', 'name': u'深证基本面60', 'vq': 'pe'},
'fund': {'fid': '530015', 'byear': 2012 }},
'yy100': {
'index': {'code': 'SH000978', 'name': u'医药100', 'vq': 'pe'},
'fund': {'fid': '001550', 'byear': 2016 }},
'zzyl': {
'index': {'code': 'SZ399989', 'name': u'中证医疗', 'vq': 'pe'},
'fund': {'fid': '162412', 'byear': 2016 }},
'300value': {
'index': {'code': 'SH000919', 'name': u'300价值', 'vq': 'pe'},
'fund': {'fid': '310398', 'byear': 2011 }},
'zz100': {
'index': {'code': 'SH000903', 'name': u'中证100', 'vq': 'pe'},
'fund': {'fid': '213010', 'byear': 2011 }},
'base50': {
'index': {'code': 'SH000925', 'name': u'基本面50', 'vq': 'pe'},
'fund': {'fid': '160716', 'byear': 2011 }},
'car': {
'index': {'code': 'SZ399417', 'name': u'新能源车', 'vq': 'pe'},
'fund': {'fid': '501057', 'byear': 2019 }},
}
self.index_pbe = {}
self.fund_jz = {}
self.trade_days = {}
self.index = index_list[index_key]['index']
self.fund = index_list[index_key]['fund']
self.fid = self.fund['fid']
self.buylog_path = './buylog.' + self.fid
self.dj = Danjuan(self.index['code'], self.index['vq'])
self.east = EastFund(self.fid)
class FundValue():
""" 从蛋卷基金获取指数信息。
Attributes:
index_list: 字典，保存所有指数和对应基金的信息，key为助记符
index_pbe: 字典，保存指数的历史pe/pb，{datetime: pe}
fund_jz: 字典, 保存基金的历史价格，{datetime: (nav, nav2)}
fid 为基金编码，nav为基金净值，nav2为累计净值。
trade_days: 所有交易日的集合，各个基金可能不同，每计算一个基金则需要取一次交集。
east: 对象，根据 fid 和东方财富 api 获取基金净值信息。
dj: 对象，根据 index_code 和蛋卷 api 获取指数估值信息。
"""
def __init__(self, index_key):
""" 初始化数据结构 """
index_list = {
'hs300': {
'index': {'code': 'SH000300', 'name': u'沪深300', 'vq': 'pe'},
'fund': {'fid': '100038', 'byear': 2011 }},
'sh50': {
'index': {'code': 'SH000016', 'name': u'上证50', 'vq': 'pe'},
'fund': {'fid': '001548', 'byear': 2016 }},
'zzbonus': {
'index': {'code': 'SH000922', 'name': u'中证红利', 'vq': 'pe'},
'fund': {'fid': '090010', 'byear': 2011 }},
'gem': {
'index': {'code': 'SZ399006', 'name': u'创业板', 'vq': 'pe'},
'fund': {'fid': '003765', 'byear': 2018 }},
'zz500': {
'index': {'code': 'SH000905', 'name': u'中证500', 'vq': 'pe'},
'fund': {'fid': '003986', 'byear': 2018 }},
'zzbank': {
'index': {'code': 'SZ399986', 'name': u'中证银行', 'vq': 'pb'},
'fund': {'fid': '001594', 'byear': 2016 }},
'zzhouse': {
'index': {'code': 'SZ399393', 'name': u'国证地产', 'vq': 'pb'},
'fund': {'fid': '160218', 'byear': 2014 }},
'zzzq': {
'index': {'code': 'SZ399975', 'name': u'全指证券', 'vq': 'pb'},
'fund': {'fid': '004069', 'byear': 2018 }},
'zzxf': {
'index': {'code': 'SH000932', 'name': u'主要消费', 'vq': 'pe'},
'fund': {'fid': '000248', 'byear': 2016 }},
'food': {
'index': {'code': 'SZ399396', 'name': u'食品饮料', 'vq': 'pe'},
'fund': {'fid': '001631', 'byear': 2016 }},
'zzwine': {
'index': {'code': 'SZ399997', 'name': u'中证白酒', 'vq': 'pe'},
'fund': {'fid': '161725', 'byear': 2016 }},
'hkhs': {
'index': {'code': 'HKHSI', 'name': u'香港恒生', 'vq': 'pe'},
'fund': {'fid': '000948', 'byear': 2016 }},
'sz60': {
'index': {'code': 'SZ399701', 'name': u'深证基本面60', 'vq': 'pe'},
'fund': {'fid': '530015', 'byear': 2012 }},
'yy100': {
'index': {'code': 'SH000978', 'name': u'医药100', 'vq': 'pe'},
'fund': {'fid': '001550', 'byear': 2016 }},
'zzyl': {
'index': {'code': 'SZ399989', 'name': u'中证医疗', 'vq': 'pe'},
'fund': {'fid': '162412', 'byear': 2016 }},
'300value': {
'index': {'code': 'SH000919', 'name': u'300价值', 'vq': 'pe'},
'fund': {'fid': '310398', 'byear': 2011 }},
'zz100': {
'index': {'code': 'SH000903', 'name': u'中证100', 'vq': 'pe'},
'fund': {'fid': '213010', 'byear': 2011 }},
'base50': {
'index': {'code': 'SH000925', 'name': u'基本面50', 'vq': 'pe'},
'fund': {'fid': '160716', 'byear': 2011 }},
'car': {
'index': {'code': 'SZ399417', 'name': u'新能源车', 'vq': 'pe'},
'fund': {'fid': '501057', 'byear': 2019 }},
}
self.index_pbe = {}
self.fund_jz = {}
self.trade_days = {}
self.index = index_list[index_key]['index']
self.fund = index_list[index_key]['fund']
self.fid = self.fund['fid']
self.buylog_path = './buylog.' + self.fid
self.dj = Danjuan(self.index['code'], self.index['vq'])
self.east = EastFund(self.fid)
def init_index_pbe(self, time='all'):
""" 获取pe/pb的通用接口，time可以为1y, 3y """
self.index_pbe = self.dj.init_pbe(time)
if self.trade_days == {}:
self.trade_days = set(self.index_pbe.keys())
else:
self.trade_days = self.trade_days & set(self.index_pbe.keys())
return self.index_pbe
def init_fund_jz(self):
""" 获取指定基金的价格，可以获取当前净值和累计净值 """
self.fund_jz = self.east.load_fundprice()
if self.trade_days == {}:
self.trade_days = set(self.fund_jz.keys())
else:
self.trade_days = self.trade_days & set(self.fund_jz.keys())
return self.fund_jz
def get_weight_pe(self, cur_pe, w30, n=2):
""" 获取 pe 权重，以30水位线做基准，超过30水位线则不买。否则越低越买。
经回测上证50，此参数对购买影响不大。
"""
if n < 0:
return 1
if cur_pe > w30 or cur_pe <= 0:
return 0
# 加强 pe 的权重，越低越买
return (w30/cur_pe) ** n
def get_weight_price(self, cur_price, wprice, n=4):
""" 获取 price 权重，实际采用前365天的平均价格。
超过该价格，则不买，否则多买。
"""
if cur_price > wprice or cur_price <= 0:
return 0
# 加强 price 的权重，越低越买
return (wprice/cur_price) ** n
def get_buylog_water(self, buy_log):
""" 长期购买一段时间，计算当前购买的水位线。利用水位线进一步提高购买比例，事实证明没用。
"""
if len(buy_log) <= 50:
return (0, len(buy_log))
else:
fprice = buy_log[-1]
if fprice == 0:
return (0, len(buy_log))
sorted_log = sorted(buy_log)
weight = 1.0 * sorted_log.index(fprice) / len(sorted_log)
return (round(weight, 4), len(buy_log))
def get_buylog(self, end_date=None, days=365*5, n_pe=2, n_price=4, base=100):
buylog = self.load_buylog(end_date, n_pe, n_price, base)
buylist = []
if end_date is None:
end_date = datetime.datetime.combine(datetime.date.today(), datetime.datetime.min.time()) - datetime.timedelta(days=1)
begin_date = end_date - datetime.timedelta(days=days)
dt = begin_date
for i in range(days + 1):
dt = begin_date + datetime.timedelta(days=i)
if dt not in self.trade_days or dt not in buylog:
continue
if buylog[dt]['capital'] > 0:
buylist.append(buylog[dt]['capital'])
return buylist
def load_buylog(self, end_date=None, n_pe=2, n_price=4, base=100):
buylog = {}
if end_date is None:
n = datetime.datetime.now() - datetime.timedelta(days=1)
end_date = datetime.datetime(n.year, n.month, n.day, 0, 0, 0)
max_dt = datetime.datetime(1970, 1, 1)
try:
fr = open(self.buylog_path, 'r')
for line in fr.readlines():
arr = line.strip().split(',')
d = datetime.datetime.strptime(arr[1], '%Y-%m-%d')
max_dt = d if d > max_dt else max_dt
buylog[d] = {}
buylog[d]['capital'] = int(arr[2])
buylog[d]['amount'] = float(arr[3])
fr.close()
if end_date <= max_dt:
return buylog
else:
print('Need fetch new buylog')
newlog = {}
begin_date = max_dt
for i in range((end_date - begin_date).days + 1):
dt = begin_date + datetime.timedelta(days=i)
res = self.buy_1day(dt, n_pe, n_price, base)
newlog[dt] = {
'capital': res['capital'],
'amount': res['amount']
}
buylog = self.save_buylog(newlog)
print(newlog)
return buylog
except Exception as e:
print('First fetch buylog')
newlog = {}
begin_date = datetime.datetime(self.fund['byear'], 1, 1, 0, 0, 0)
for i in range((end_date - begin_date).days + 1):
dt = begin_date + datetime.timedelta(days=i)
res = self.buy_1day(dt, n_pe, n_price, base)
newlog[dt] = {
'capital': res['capital'],
'amount': res['amount']
}
buylog = self.save_buylog(newlog)
return buylog
def save_buylog(self, newlog):
buylog = {}
try:
fr = open(self.buylog_path, 'r')
for line in fr.readlines():
arr = line.strip().split(',')
d = datetime.datetime.strptime(arr[1], '%Y-%m-%d')
buylog[d] = {}
buylog[d]['capital'] = int(arr[2])
buylog[d]['amount'] = float(arr[3])
fr.close()
buylog.update(newlog)
with open(self.buylog_path, 'w') as fw:
for d in sorted(buylog.keys()):
result = []
result.append(self.fid)
result.append(d.strftime('%Y-%m-%d'))
result.append(str(buylog[d]['capital']))
result.append(str(buylog[d]['amount']))
line = ','.join(result)
fw.write(line)
fw.write('\n')
return buylog
except Exception as e:
print('First create buylog')
with open(self.buylog_path, 'w') as fw:
for d in sorted(newlog.keys()):
result = []
result.append(self.fid)
result.append(d.strftime('%Y-%m-%d'))
result.append(str(newlog[d]['capital']))
result.append(str(newlog[d]['amount']))
line = ','.join(result)
fw.write(line)
fw.write('\n')
return newlog
def buy_1day(self, dt=None, n_pe=2, n_price=4, base=100):
""" 对指定的某一天进行购买，用于测试，默认买100块钱。
dt is None，表示今天购买，否则校验是否为交易日。
"""
res = {
'is_today': False,
'fid': self.fid,
'index_name': self.index['name']
}
if len(self.trade_days) < 600:
res['capital'] = 0
res['amount'] = 0
return res
# 非今天申购，且非交易日，则不予购买。
if dt is not None and dt not in self.trade_days:
res['capital'] = 0
res['amount'] = 0
return res
# 如果当天购买，则采用实时最新估值。
if dt is None:
res['is_today'] = True
dt = datetime.datetime.combine(datetime.date.today(), datetime.datetime.min.time())
res['price'] = self.east.get_gz()
(real_price, cur_price) = (res['price'][0], res['price'][1])
# 如果取估值有问题，可能是假日，不申购。
if real_price < 0:
res['capital'] = 0
res['amount'] = 0
# 否则采用当天的净值来计算
else:
res['price'] = self.fund_jz.get(dt)
(real_price, cur_price) = (res['price'][0], res['price'][1])
# 计算 pe 权重，由于 pe 无法预估，因此采用前一天的 pe 计算
# 考虑到波动周期性，pe 标准改用最近5年的30水位线（好买评估依据），也可以采用10年，保证指数经历一轮牛熊（蛋卷评估依据）
# 不宜采用1-2年方案，受行业周期影响较大。
res['pe30'] = self.dj.get_pbe_nwater(dt, 30, 365*5)
res['pe50'] = self.dj.get_pbe_nwater(dt, 50, 365*5)
res['pe70'] = self.dj.get_pbe_nwater(dt, 70, 365*5)
res['pe90'] = self.dj.get_pbe_nwater(dt, 90, 365*5)
for i in range(30):
res['pe'] = self.index_pbe.get(dt - datetime.timedelta(days=i), -1)
if res['pe'] > 0:
break
weight_pe = self.get_weight_pe(res['pe'], res['pe30'], n_pe)
# 为更安全，price 标准采用最近1年的均值，时间过长，可能无法申购。也可以考虑采用最近1年，2年均值的最小值。
# res['avg_price'] = min(self.get_avg_price(dt)[1], self.get_avg_price(dt, 50, 365*2)[1])
res['avg_price'] = self.east.get_avg_price(dt)
weight_price = self.get_weight_price(cur_price, res['avg_price'][1], n_price)
weight = weight_pe * weight_price
res['capital'] = int(math.ceil(base*weight))
# 以累计净值计算购买数量，不准确。
res['amount'] = 0
if cur_price > 0:
res['amount'] = round(res['capital'] / cur_price, 2)
del(res['is_today'])
res['price'] = list(res['price'])
res['avg_price'] = list(res['avg_price'])
res['price'][0] = round(res['price'][0], 4)
res['price'][1] = round(res['price'][1], 4)
res['avg_price'][0] = round(res['avg_price'][0], 4)
res['avg_price'][1] = round(res['avg_price'][1], 4)
return res
def buy_longtime(self, begin_date, end_date, n_pe=2, n_price=4, base=100):
""" 长期购买一段时间，用于测试。默认买100块钱。以最后一天累计净值为基准计算盈利。
"""
fid = self.fid
buylog = self.load_buylog(end_date)
b_capital = 0
b_amount = 0
# 获取最高盈利点
maxg = [0, begin_date]
for i in range((end_date - begin_date).days + 1):
dt = begin_date + datetime.timedelta(days=i)
if dt not in self.trade_days:
continue
# 按购买金额的水位线加权购买，效果略有提升。
# 可参考水位线进行一次性投入，不宜作为长期购买指标。
# buylist = self.get_buylog(dt)
# buylist.append(buylog[dt]['capital'])
# buyw = int(self.get_buylog_water(buylist)[0] * 100)
# if buyw <= 40:
# weight = 0
# elif 40 < buyw and buyw < 70:
# weight = 2
# elif buyw >= 70:
# weight = 4
weight = 1
b_capital = b_capital + buylog[dt]['capital'] * weight
b_amount = b_amount + buylog[dt]['amount'] * weight
fprice = float(self.fund_jz[dt][1])
if b_capital > 0:
g = round((fprice * b_amount - b_capital) / b_capital * 100, 2)
if g > maxg[0]:
maxg[0] = g
maxg[1] = dt.strftime('%Y-%m-%d')
win = 0 if b_capital == 0 else (
b_amount * fprice - b_capital) * 100 / b_capital
win = str(round(win, 2)) + '%'
avg_price = 0 if b_amount == 0 else (b_capital / b_amount)
return (round(b_capital, 2), round(b_amount, 2), maxg, win, round(avg_price, 4), fprice)
def __init__(self, fid=''):
EastFund.__init__(self, fid)
self.xnjz = {}
if fid == 'njbqg':
self.funds = [
{
'fid': '001975',
'p': 12
},
{
'fid': '001714',
'p': 11
},
{
'fid': '001764',
'p': 11
},
{
'fid': '001856',
'p': 11
},
{
'fid': '005354',
'p': 11
},
{
'fid': '009277',
'p': 11
},
{
'fid': '160133',
'p': 11
},
{
'fid': '163415',
'p': 11
},
{
'fid': '450009',
'p': 11
},
]
elif fid == 'njbcz':
self.funds = [
{
'fid': '003328',
'p': 15
},
{
'fid': '003847',
'p': 15
},
{
'fid': '001764',
'p': 10
},
{
'fid': '001975',
'p': 10
},
{
'fid': '004241',
'p': 10
},
{
'fid': '005354',
'p': 10
},
{
'fid': '009277',
'p': 10
},
{
'fid': '163415',
'p': 10
},
{
'fid': '450009',
'p': 10
},
]
elif fid == 'wwxf':
self.funds = [
{
'fid': '519718',
'p': 12.9
},
{
'fid': '164902',
'p': 11.92
},
{
'fid': '519723',
'p': 11.92
},
{
'fid': '519782',
'p': 9.91
},
{
'fid': '006793',
'p': 6.4
},
{
'fid': '008204',
'p': 5.96
},
{
'fid': '519755',
'p': 12.78
},
{
'fid': '519752',
'p': 10.41
},
{
'fid': '519738',
'p': 9.7
},
{
'fid': '519772',
'p': 3.62
},
{
'fid': '519704',
'p': 2.68
},
{
'fid': '005001',
'p': 1.8
},
]
else:
self.funds = []
fv.init_index_pbe()
fv.init_fund_jz()
today = fv.buy_1day(base=base)
buylog = fv.get_buylog()
buylog.append(today['capital'])
today['buy_water'] = fv.get_buylog_water(buylog)
if today['capital'] > 0:
cmd = 'echo {},{},{} >>~/buy_fund_log.csv'.format(
datetime.datetime.now().strftime('%Y-%m-%d'), fv.fid, today['capital'])
os.system(cmd)
(sub, con) = create_email(today)
subject += sub
content += con
for i in ('000215',):
ef = EastFund(i)
ef.load_fundprice()
today = ef.buy_1day2(base=base)
buylog = ef.get_buylog()
buylog.append(today['capital'])
today['buy_water'] = ef.get_buylog_water(buylog)
today['fid'] = i
(sub, con) = create_1fund_email(today)
subject += sub
content += con
for i in ('qg',):
n = Njb('qg')
n.init_xnjz()
today = n.buy_1day(n=10, base=base)
buylog = n.get_buylog()