def attack2c(stock):# ''' 跳空高开并且全日收盘未补缺口,且收盘大于开盘,并收于相对高位 ''' linelog('%s:%s' % (attack2.__name__,stock.code)) t = stock.transaction last = rollx(t[CLOSE],1) #CLOSE? tk = gand(t[OPEN] > last*102/100,t[LOW]>last) down = t[HIGH]-t[CLOSE] < (t[CLOSE]-t[OPEN])*2/3 ol = t[CLOSE] > t[OPEN] cup = gand(tk,down,ol) #三线理顺 #tt = rollx(gand(stock.t4,stock.t5),1) fm = rollx(gand(stock.diff < stock.dea)) g = rollx(gand(stock.g20>stock.g60,stock.g60>stock.g120)) smarket = gand(stock.ref.t2,stock.ref.t1,stock.ref.t0) signal = gand(cup,t[VOLUME]>0,g)#smarket)#,rama) #,rama #,tt,peak)#,fmacd,xmacd) #rama dsignal = decover(signal,3) #stock.buyprice = select([dsignal>0],[t[HIGH]]) #涨停价 #stock.buyprice = select([dsignal>0],[stock.open2]) #第二小时开盘 #print signal return dsignal
def attack2c(stock): # ''' 跳空高开并且全日收盘未补缺口,且收盘大于开盘,并收于相对高位 ''' linelog('%s:%s' % (attack2.__name__, stock.code)) t = stock.transaction last = rollx(t[CLOSE], 1) #CLOSE? tk = gand(t[OPEN] > last * 102 / 100, t[LOW] > last) down = t[HIGH] - t[CLOSE] < (t[CLOSE] - t[OPEN]) * 2 / 3 ol = t[CLOSE] > t[OPEN] cup = gand(tk, down, ol) #三线理顺 #tt = rollx(gand(stock.t4,stock.t5),1) fm = rollx(gand(stock.diff < stock.dea)) g = rollx(gand(stock.g20 > stock.g60, stock.g60 > stock.g120)) smarket = gand(stock.ref.t2, stock.ref.t1, stock.ref.t0) signal = gand(cup, t[VOLUME] > 0, g) #smarket)#,rama) #,rama #,tt,peak)#,fmacd,xmacd) #rama dsignal = decover(signal, 3) #stock.buyprice = select([dsignal>0],[t[HIGH]]) #涨停价 #stock.buyprice = select([dsignal>0],[stock.open2]) #第二小时开盘 #print signal return dsignal
def hmxru(stock): ''' 成交量分配后的macd,采用supdown vfilter = svma < vma * 2/3 评估:总盈亏值=4813,交易次数=14 期望值=5444 总盈亏率(1/1000)=4813,平均盈亏率(1/1000)=343,盈利交易率(1/1000)=928 平均持仓时间=50,持仓效率(1/1000000)=6860 赢利次数=13,赢利总值=4876 亏损次数=1,亏损总值=63 平盘次数=0 vfilter = gand(svma<vma*2/3,t[VOLUME]<=vma*2/3) 评估:总盈亏值=3810,交易次数=8 期望值=1000 总盈亏率(1/1000)=3810,平均盈亏率(1/1000)=476,盈利交易率(1/1000)=1000 平均持仓时间=65,持仓效率(1/1000000)=7323 赢利次数=8,赢利总值=3810 亏损次数=0,亏损总值=0 平盘次数=0 ''' t = stock.transaction mxc = stock.xru vma = ma(t[VOLUME],30) svma = ma(t[VOLUME],3) vfilter = gand(svma<vma*2/3,t[VOLUME]<=vma*2/3) #vfilter = gand(svma<vma*2/3) xatr = stock.atr * BASE / t[CLOSE] ma0 = ma(t[CLOSE],3) ndown = bnot(gand(t[CLOSE]<ma0,ma0<stock.ma1,stock.ma1<stock.ma2)) s = stock sv = greater(msum(t[VOLUME] > 0,120),100) #确保新股上市前100天无信号 signal = gand(mxc,stock.above,vfilter,strend(stock.ma4)>0,stock.t5,xatr>=60,stock.magic,stock.ma1<stock.ma2,stock.ma1>stock.ma3,ndown) linelog(stock.code) return 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 hmacd2(stock): ''' 无大用 ''' t = stock.transaction linelog(stock.code) vma = ma(t[VOLUME],30) svma = ma(t[VOLUME],3) vfilter = gand(svma<vma*2/3) #vfilter = gand(svma<vma*3/4,t[VOLUME]<vma) #vfilter = gand(svma<vma*3/5,t[VOLUME]>0,t[VOLUME]>vma*1/2)#,t[VOLUME]<vma*3/2) #2/3 xatr = stock.atr * BASE / t[CLOSE] cf = (t[OPEN]-t[LOW] + t[HIGH]-t[CLOSE])*1000 / (t[HIGH]-t[LOW]) #向下的动力 mcf = ma(cf,7) #ma3 = ma(t[CLOSE],3) #ma7 = ma(t[CLOSE],7) #c37 = gand(cross(ma7,ma3)>0,strend(ma3)>0) #sc = sfollow(stock.hdev,c37,3) ss = gand(msum(stock.hup,5)>1,stock.hup) #5日内的第二次上叉 s=stock #signal = gand(stock.hdev,stock.t5,vfilter,mcf>1000,stock.g5<stock.g60,s.g20 >= s.g60,s.g60 >= s.g120,s.g120 >= s.g250,s.g20<=8000) #magic = gand(s.g20 >= s.g60,s.g60 <= s.g120,s.g120 <= s.g250)#,s.g20<=8000) magic = gand(s.g5>s.g60,s.g20 >= s.g60,s.g60 <= s.g120,s.g20<=8000) signal = gand(ss,stock.t5,stock.t4,vfilter,mcf<900,xatr>60,magic) return signal
def hdev(stock): ''' 2005-2009无法找到好的策略 ''' t = stock.transaction linelog(stock.code) vma = ma(t[VOLUME],30) svma = ma(t[VOLUME],3) vfilter = gand(svma<vma*3/5) #vfilter = gand(svma<vma*3/5,t[VOLUME]>0,t[VOLUME]>vma*1/2)#,t[VOLUME]<vma*3/2) #2/3 xatr = stock.atr * BASE / t[CLOSE] cf = (t[OPEN]-t[LOW] + t[HIGH]-t[CLOSE])*1000 / (t[HIGH]-t[LOW]) #向下的动力 mcf = ma(cf,7) ma3 = ma(t[CLOSE],3) ma7 = ma(t[CLOSE],7) c37 = gand(cross(ma7,ma3)>0,strend(ma3)>0) sc = sfollow(stock.hdev,c37,3) s=stock #signal = gand(stock.hdev,stock.t5,vfilter,mcf>1000,stock.g5<stock.g60,s.g20 >= s.g60,s.g60 >= s.g120,s.g120 >= s.g250,s.g20<=8000) magic = gand(stock.g5<stock.g20,s.g20 >= s.g60,s.g60 >= s.g120,s.g120 >= s.g250,s.g20<=8000,s.g20>=3000) signal = gand(sc,stock.t5,strend(stock.ma4)>0,vfilter,mcf<900) return signal
def mxru3(stock): ''' 成交量分配后的macd,采用supdown3 sfollow = 15 评估:总盈亏值=5596,交易次数=21 期望值=5782 总盈亏率(1/1000)=5596,平均盈亏率(1/1000)=266,盈利交易率(1/1000)=904 平均持仓时间=46,持仓效率(1/1000000)=5782 赢利次数=19,赢利总值=5689 亏损次数=2,亏损总值=93 平盘次数=0 sfollow = 30 评估:总盈亏值=7176,交易次数=27 期望值=6973 总盈亏率(1/1000)=7176,平均盈亏率(1/1000)=265,盈利交易率(1/1000)=888 平均持仓时间=46,持仓效率(1/1000000)=5760 赢利次数=24,赢利总值=7292 亏损次数=3,亏损总值=116 平盘次数=0 ''' t = stock.transaction mdiff,mdea = macd_ruv3(t[OPEN],t[CLOSE],t[HIGH],t[LOW],t[VOLUME]) mxc = cross(mdea,mdiff) > 0 vma = ma(t[VOLUME],30) svma = ma(t[VOLUME],3) #vfilter = gand(svma<vma*7/8,svma>vma/2,t[VOLUME]<=vma,t[CLOSE]>stock.ma1,cf) vfilter = gand(svma<vma*2/3,t[VOLUME]<=vma*4/3) xatr = stock.atr * BASE / t[CLOSE] signal = gand(mxc) linelog(stock.code) signal = sfollow(signal,stock.hup,30) return gand(signal,vfilter,stock.magic,strend(stock.ma4)>0,stock.t5,xatr>=50,t[CLOSE]>stock.ma3)
def up_in_day(stock, xup=200): #xup为涨停次日的开盘涨幅,万分位表示 ''' 次日开盘小于x%则不追,追进次日开盘小于2%则卖出,收盘未涨停也卖出 需要屏蔽一字涨停的情况 my_pricer = (lambda s : s.buyprice,lambda s : s.sellprice) myMediator=nmediator_factory(trade_strategy=B0S0_N,pricer = my_pricer) 200/-25,-50 评估:总盈亏值=-10690,交易次数=1194 期望值=-237 总盈亏率(1/1000)=-10690,平均盈亏率(1/1000)=-9,盈利交易率(1/1000)=268 平均持仓时间=1,持仓效率(1/1000000)=-9000 赢利次数=321,赢利总值=22580 亏损次数=862,亏损总值=33270 平盘次数=11 最后发现,第一小时涨停的,第二天追击的风险最大,第二小时涨停的最好,但也都是负的 ''' linelog('%s:%s' % (up_in_day.__name__, stock.code)) t = stock.transaction climit = xfollow(limitup1(t[CLOSE]), t[VOLUME]) #yup = rollx(gand(stock.slup1,climit),1) #昨日开盘前两小时涨停并且收盘封住 yup = rollx(climit, 1) pre = rollx(t[CLOSE], 1) tup = np.sign(t[OPEN] * 10000 / pre >= xup + 10000) #今日开盘大于xup tx = np.sign(t[LOW] * 10000 / pre <= 10990) #非一字涨停,追 #tv = xfollow(t[VOLUME].copy(),t[VOLUME]) #不能更改t[VOLUME]本身 #xmacd = rollx((stock.diff-stock.dea) * 1000 / stock.ma3 > 10,1) #fmacd = rollx(stock.diff > stock.dea,1) #tdea = strend(stock.dea) < 30 #u30 = rollx(t[CLOSE]>stock.ma3,1) #fma = rollx(gand(stock.ma1 > stock.ma2),1)#,stock.ma2>stock.ma4,stock.ma3>stock.ma4),1) #lol = rollx( t[OPEN] * 97 < t[LOW]*100,1) #昨日涨停,但反向震荡不超过3% #tlimit = tv / 6 < rollx(tv,1) #量不能超过前日6倍,越等于开盘量小于前日1/3? #tt = rollx(gand(stock.t5,stock.t4,stock.t3,strend(ma(t[CLOSE],250))>0),1) #以昨日趋势为准 tt = gand(stock.t5, stock.t4, strend(ma(t[CLOSE], 250)) > 0) #不采用跳点法,可能这是一个敏感位置 #mg5 = ma(stock.g5,5) #xcross = gand(cross(mg5,stock.g5)>0,strend(stock.g5)>0) #g = rollx(gand(stock.g60>9000,stock.g20>9000,xcross),1) #涨停需要领袖群雄10天 #hh10 = tmax(t[HIGH],10) #peak = pre > rollx(hh10,2) ama = fama(t[CLOSE]) rama = rollx(ama * 1000 / rollx(ama) > 995) #-284, p=342 signal = gand(yup, tup, tx, t[VOLUME] > 0, tt) #,rama) #,tt,peak)#,fmacd,xmacd) #rama dsignal = decover(signal, 3) stock.buyprice = select([dsignal > 0], [t[OPEN]]) #print signal return dsignal
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 tsvama2sbv(stock,fast,slow,follow=7): ''' svama慢线下叉快线,follow日后再上叉回来 添加vfilter ''' t = stock.transaction svap,v2i = stock.svap_ma_67_2 ma_svapfast = ma(svap,fast) ma_svapslow = ma(svap,slow) trend_ma_svapfast = strend(ma_svapfast) trend_ma_svapslow = strend(ma_svapslow) cross_down = band(cross(ma_svapslow,ma_svapfast)<0,trend_ma_svapfast<0) cross_up = band(cross(ma_svapslow,ma_svapfast)>0,trend_ma_svapfast>0) sdown = transform(cross_down,v2i,len(t[VOLUME])) sup = transform(cross_up,v2i,len(t[VOLUME])) sync_down_up = sfollow(sdown,sup,follow) linelog('%s:%s' % (tsvama2sbv.__name__,stock.code)) vma_s = ma(t[VOLUME],13) vma_l = ma(t[VOLUME],30) vfilter = vma_s < vma_l ss = gand(bnot(sfollow(sync_down_up,stock.hup,10)),sfollow(sync_down_up,stock.hup,20)) return gand(ss,stock.above,stock.t5,stock.magic,vfilter)
def _calc(self, tmaker, sdata, dates, begin=0, **kwargs): trades = [] ibegin = dates.searchsorted(begin) for s in sdata.values(): try: #捕捉某些异常,如未划入任何板块的股票在计算板块相关信号时会出错 self.prepare(s, **kwargs) sbuy = self.buy_signal_maker(s) sbuy[: ibegin] = 0 #去掉之前的信号,便于mm的对tbegin的一致性,而trade因为已经自身处理了时段,无此处也无影响 ssell = self.sell_signal_maker( s, self.trade_strategy.bshift(sbuy)) #logger.debug('sbuy:%s',sbuy.tolist()) #sbuy,ssell = smooth2(s.transaction[VOLUME],sbuy,ssell) #这个处理被划入limit_adjust trades.extend( self.trade_maker(tmaker, dates, s, sbuy, ssell, begin=begin)) self.finishing(s, sbuy, ssell) except Exception, inst: #print u'mediator _calc %s except : %s' % (s.code,inst) linelog(u'mediator _calc %s except : %s' % (s.code, inst)) logger.exception(u'%s calc error : %s', s.code, inst)
def up_in_day(stock,xup=200):#xup为涨停次日的开盘涨幅,万分位表示 ''' 次日开盘小于x%则不追,追进次日开盘小于2%则卖出,收盘未涨停也卖出 需要屏蔽一字涨停的情况 my_pricer = (lambda s : s.buyprice,lambda s : s.sellprice) myMediator=nmediator_factory(trade_strategy=B0S0_N,pricer = my_pricer) 200/-25,-50 评估:总盈亏值=-10690,交易次数=1194 期望值=-237 总盈亏率(1/1000)=-10690,平均盈亏率(1/1000)=-9,盈利交易率(1/1000)=268 平均持仓时间=1,持仓效率(1/1000000)=-9000 赢利次数=321,赢利总值=22580 亏损次数=862,亏损总值=33270 平盘次数=11 最后发现,第一小时涨停的,第二天追击的风险最大,第二小时涨停的最好,但也都是负的 ''' linelog('%s:%s' % (up_in_day.__name__,stock.code)) t = stock.transaction climit = xfollow(limitup1(t[CLOSE]),t[VOLUME]) #yup = rollx(gand(stock.slup1,climit),1) #昨日开盘前两小时涨停并且收盘封住 yup = rollx(climit,1) pre = rollx(t[CLOSE],1) tup = np.sign(t[OPEN] * 10000 / pre >= xup + 10000) #今日开盘大于xup tx = np.sign(t[LOW] * 10000 / pre <= 10990) #非一字涨停,追 #tv = xfollow(t[VOLUME].copy(),t[VOLUME]) #不能更改t[VOLUME]本身 #xmacd = rollx((stock.diff-stock.dea) * 1000 / stock.ma3 > 10,1) #fmacd = rollx(stock.diff > stock.dea,1) #tdea = strend(stock.dea) < 30 #u30 = rollx(t[CLOSE]>stock.ma3,1) #fma = rollx(gand(stock.ma1 > stock.ma2),1)#,stock.ma2>stock.ma4,stock.ma3>stock.ma4),1) #lol = rollx( t[OPEN] * 97 < t[LOW]*100,1) #昨日涨停,但反向震荡不超过3% #tlimit = tv / 6 < rollx(tv,1) #量不能超过前日6倍,越等于开盘量小于前日1/3? #tt = rollx(gand(stock.t5,stock.t4,stock.t3,strend(ma(t[CLOSE],250))>0),1) #以昨日趋势为准 tt = gand(stock.t5,stock.t4,strend(ma(t[CLOSE],250))>0) #不采用跳点法,可能这是一个敏感位置 #mg5 = ma(stock.g5,5) #xcross = gand(cross(mg5,stock.g5)>0,strend(stock.g5)>0) #g = rollx(gand(stock.g60>9000,stock.g20>9000,xcross),1) #涨停需要领袖群雄10天 #hh10 = tmax(t[HIGH],10) #peak = pre > rollx(hh10,2) ama = fama(t[CLOSE]) rama = rollx(ama*1000/rollx(ama)>995) #-284, p=342 signal = gand(yup,tup,tx,t[VOLUME]>0,tt)#,rama) #,tt,peak)#,fmacd,xmacd) #rama dsignal = decover(signal,3) stock.buyprice = select([dsignal>0],[t[OPEN]]) #print signal return dsignal
def prepare_up1(stock): linelog('prepare hour:%s' % stock.code) #up = stock.hour * 10000 / rollx(stock.hour,1) >= 10200 down =stock.hour_high - stock.hour < (stock.hour-stock.hour_open)*2/3 ol = stock.hour > stock.hour_open tk = stock.hour_low > rollx(stock.hour_high) up = stock.hour * 10000 / gmin(rollx(stock.hour,1),stock.hour_open) > 10200 stock.up1 = xfollow(hour2day1(gand(up,down,ol,tk)),stock.transaction[VOLUME]) stock.open2 = hour2day2(stock.hour_open)
def hmacd_b(stock): linelog(stock.code) t = stock.transaction asignal = stock.hmacda signal = gand(asignal) return signal
def attack2(stock, xup=200): # ''' 盘中追第二个涨停 ''' linelog('%s:%s' % (attack2.__name__, stock.code)) t = stock.transaction ama = fama(t[CLOSE]) rama = rollx(t[CLOSE] * 1000 / rollx(ama) >= 1030) #-284, p=342 lup1 = gand((limitup1(t[CLOSE])), t[OPEN] * 10000 / t[LOW] < 10050) climit = xfollow(lup1, t[VOLUME]) #climit = xfollow(limitup2(t[HIGH],t[LOW]),t[VOLUME]) #一字板 #yup = rollx(gand(stock.slup2,climit,bnot(stock.slup1)),1) #昨日第二小时涨停并且收盘封住 yup = rollx(gand(stock.slup2, stock.stoped3, climit, bnot(stock.slup1)), 1) #昨日第二小时涨停并且至收盘都没打开过,含第一小时 #大盘因素 #smarket = rollx(gand(stock.ref.t2,stock.ref.t1,stock.ref.t0),1) smarket = gand(stock.ref.t2, stock.ref.t1, stock.ref.t0) #smarket = gand(strend(stock.ref.diff)>0,strend(stock.ref.diff-stock.ref.dea)>0) #yup = gand(stock.slup3,bnot(stock.stoped4)) #前3小时涨停,并且在第四小时打开过 #yup2 = gand(stock.slup2,bnot(gand(stock.stoped3,stock.stoped4)),bnot(stock.slup1)) #第2小时开始涨停,并且在第3-4小时打开过,否则买不到 #yup3 = gand(stock.slup3,bnot(stock.stoped4),bnot(gand(stock.slup1,stock.slup2))) #yup2 = gand(stock.touch2,bnot(stock.slup1)) #第2小时开始触及涨停 #yup3 = gand(stock.touch3,bnot(gand(stock.slup1,stock.slup2))) #yup=gor(yup2,yup3) cup = gand(stock.up1, yup, bnot(gand(stock.stoped3, stock.stoped4, stock.stoped2))) #因为此时追击点在下午开盘,所以可以观察大盘 #yup = gand(stock.slup1,bnot(gand(stock.stoped2,stock.stoped3,stock.stoped4))) #前1小时涨停,并且在第四小时打开过 #无法判断第四小时涨停的个股涨停后是否打开过 #必须是跳空且缺口不补 pre = rollx(t[CLOSE], 1) tup = np.sign(t[OPEN] * 10000 / pre <= xup + 10000) #今日开盘大于xup,这个条件是反作用 #c_ex = lambda c,s:gand(c.g60>3000,s>3000) #cs = catalog_signal_cs(stock.c60,c_ex) signal = gand(cup, t[VOLUME] > 0, stock.ref.up1 ) #smarket)#,rama) #,rama #,tt,peak)#,fmacd,xmacd) #rama #signal = gand(cup,t[VOLUME]>0,rama,r1,smarket,tup)#,rama) #,tt,peak)#,fmacd,xmacd) #rama dsignal = decover(signal, 3) #stock.buyprice = select([dsignal>0],[t[HIGH]]) #涨停价 stock.buyprice = select([dsignal > 0], [stock.open2]) #第二小时开盘 #print signal return dsignal
def tsvama2_old(stock,fast,slow): t = stock.transaction svap,v2i = stock.svap_ma_67 ma_svapfast = ma(svap,fast) ma_svapslow = ma(svap,slow) trend_ma_svapfast = strend(ma_svapfast) > 0 trend_ma_svapslow = strend(ma_svapslow) > 0 cross_fast_slow = gand(cross(ma_svapslow,ma_svapfast)>0,trend_ma_svapfast,trend_ma_svapslow) msvap = transform(cross_fast_slow,v2i,len(t[VOLUME])) linelog('%s:%s' % (tsvama2.__name__,stock.code)) return gand(stock.golden,msvap,stock.above)
def prepare_up1(stock): linelog('prepare hour:%s' % stock.code) #up = stock.hour * 10000 / rollx(stock.hour,1) >= 10200 down = stock.hour_high - stock.hour < (stock.hour - stock.hour_open) * 2 / 3 ol = stock.hour > stock.hour_open tk = stock.hour_low > rollx(stock.hour_high) up = stock.hour * 10000 / gmin(rollx(stock.hour, 1), stock.hour_open) > 10200 stock.up1 = xfollow(hour2day1(gand(up, down, ol, tk)), stock.transaction[VOLUME]) stock.open2 = hour2day2(stock.hour_open)
def prepare_index(stock,begin,end): linelog('prepare hour:%s' % stock.code) t = get_hour(stock.code,begin,end) stock.hour = t[CLOSE].copy() stock.hour_open = t[OPEN].copy() stock.hour_low = t[LOW].copy() stock.hour_high = t[HIGH].copy() stock.hour_v = t[VOLUME].copy() stock.hour[range4(len(stock.hour))] = np.cast['int32'](stock.transaction[CLOSE]) #消除第4小时数据收盘与当日收盘价的差异,日收盘价为最后均价 down =stock.hour_high - stock.hour < (stock.hour-stock.hour_open)*2/3 ol = stock.hour > stock.hour_open stock.up1 = xfollow(hour2day1(gand(down,ol)),stock.transaction[VOLUME]) stock.open2 = hour2day2(stock.hour_open)
def attack2(stock,xup=200):# ''' 盘中追第二个涨停 ''' linelog('%s:%s' % (attack2.__name__,stock.code)) t = stock.transaction ama = fama(t[CLOSE]) rama = rollx(t[CLOSE]*1000/rollx(ama)>=1030) #-284, p=342 lup1 = gand((limitup1(t[CLOSE])),t[OPEN]*10000/t[LOW]<10050) climit = xfollow(lup1,t[VOLUME]) #climit = xfollow(limitup2(t[HIGH],t[LOW]),t[VOLUME]) #一字板 #yup = rollx(gand(stock.slup2,climit,bnot(stock.slup1)),1) #昨日第二小时涨停并且收盘封住 yup = rollx(gand(stock.slup2,stock.stoped3,climit,bnot(stock.slup1)),1) #昨日第二小时涨停并且至收盘都没打开过,含第一小时 #大盘因素 #smarket = rollx(gand(stock.ref.t2,stock.ref.t1,stock.ref.t0),1) smarket = gand(stock.ref.t2,stock.ref.t1,stock.ref.t0) #smarket = gand(strend(stock.ref.diff)>0,strend(stock.ref.diff-stock.ref.dea)>0) #yup = gand(stock.slup3,bnot(stock.stoped4)) #前3小时涨停,并且在第四小时打开过 #yup2 = gand(stock.slup2,bnot(gand(stock.stoped3,stock.stoped4)),bnot(stock.slup1)) #第2小时开始涨停,并且在第3-4小时打开过,否则买不到 #yup3 = gand(stock.slup3,bnot(stock.stoped4),bnot(gand(stock.slup1,stock.slup2))) #yup2 = gand(stock.touch2,bnot(stock.slup1)) #第2小时开始触及涨停 #yup3 = gand(stock.touch3,bnot(gand(stock.slup1,stock.slup2))) #yup=gor(yup2,yup3) cup = gand(stock.up1,yup,bnot(gand(stock.stoped3,stock.stoped4,stock.stoped2))) #因为此时追击点在下午开盘,所以可以观察大盘 #yup = gand(stock.slup1,bnot(gand(stock.stoped2,stock.stoped3,stock.stoped4))) #前1小时涨停,并且在第四小时打开过 #无法判断第四小时涨停的个股涨停后是否打开过 #必须是跳空且缺口不补 pre=rollx(t[CLOSE],1) tup = np.sign(t[OPEN] * 10000 / pre <= xup + 10000) #今日开盘大于xup,这个条件是反作用 #c_ex = lambda c,s:gand(c.g60>3000,s>3000) #cs = catalog_signal_cs(stock.c60,c_ex) signal = gand(cup,t[VOLUME]>0,stock.ref.up1)#smarket)#,rama) #,rama #,tt,peak)#,fmacd,xmacd) #rama #signal = gand(cup,t[VOLUME]>0,rama,r1,smarket,tup)#,rama) #,tt,peak)#,fmacd,xmacd) #rama dsignal = decover(signal,3) #stock.buyprice = select([dsignal>0],[t[HIGH]]) #涨停价 stock.buyprice = select([dsignal>0],[stock.open2]) #第二小时开盘 #print signal return dsignal
def hmacd(stock): t = stock.transaction linelog(stock.code) vma = ma(t[VOLUME],30) svma = ma(t[VOLUME],3) vfilter = gand(svma<vma*3/2,svma>vma*2/3) s=stock magic = gand(s.g20 >= s.g120,s.g60 >= s.g120,s.g120 >= s.g250,s.g5<s.g20,s.g20<=8000,s.g20>=3000) xatr = stock.atr * BASE / t[CLOSE] cf = (t[OPEN]-t[LOW] + t[HIGH]-t[CLOSE])*1000 / (t[HIGH]-t[LOW]) #向下的动力 mcf = ma(cf,7) signal = gand(stock.above,stock.t5,stock.hup,vfilter,magic,xatr>45,xatr<60,mcf<900,stock.ma4_up) 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 _calc(self,tmaker,sdata,dates,begin=0,**kwargs): trades = [] ibegin = dates.searchsorted(begin) for s in sdata.values(): try: #捕捉某些异常,如未划入任何板块的股票在计算板块相关信号时会出错 self.prepare(s,**kwargs) sbuy = self.buy_signal_maker(s) sbuy[:ibegin] = 0 #去掉之前的信号,便于mm的对tbegin的一致性,而trade因为已经自身处理了时段,无此处也无影响 ssell = self.sell_signal_maker(s,self.trade_strategy.bshift(sbuy)) #logger.debug('sbuy:%s',sbuy.tolist()) #sbuy,ssell = smooth2(s.transaction[VOLUME],sbuy,ssell) #这个处理被划入limit_adjust trades.extend(self.trade_maker(tmaker,dates,s,sbuy,ssell,begin=begin)) self.finishing(s,sbuy,ssell) except Exception,inst: #print u'mediator _calc %s except : %s' % (s.code,inst) linelog(u'mediator _calc %s except : %s' % (s.code,inst)) logger.exception(u'%s calc error : %s',s.code,inst)
def up_in_hour1(stock,xup=200):#xup为涨停次日的开盘涨幅,万分位表示 '''第1小时涨停''' linelog('%s:%s' % (up_in_hour1.__name__,stock.code)) t = stock.transaction climit = xfollow(limitup1(t[CLOSE]),t[VOLUME]) yup = rollx(gand(stock.slup1,climit),1) #昨日开盘第一小时涨停并且收盘封住 pre = rollx(t[CLOSE],1) tup = np.sign(t[OPEN] * 10000 / pre >= xup + 10000) #今日开盘大于xup tx = np.sign(t[LOW] * 10000 / pre <= 10990) #非一字涨停,追 tt = gand(stock.t5,stock.t4,strend(ma(t[CLOSE],250))>0) #不采用跳点法,可能这是一个敏感位置 signal = gand(yup,tup,tx,t[VOLUME]>0,tt)#,rama) #,tt,peak)#,fmacd,xmacd) #rama dsignal = decover(signal,3) stock.buyprice = select([dsignal>0],[t[OPEN]]) #print signal return dsignal
def gmacd5(stock,ldown=30,astart=60): # t = stock.transaction mdiff,mdea = cmacd(stock.g5) xcross = gand(cross(mdea,mdiff) > 0) linelog(stock.code) #ss = sfollow(xcross,stock.mup,3) ss = band(xcross,stock.mup) #gf1 = gand(stock.g20>5000,stock.g20<9500) xatr = stock.atr * BASE / t[CLOSE] signal = gand(ss,stock.above,stock.t5,strend(stock.ma4)>0,t[VOLUME]>0,mdiff>=mdea,strend(stock.ref.ma4)>0,xatr>=astart) return signal
def run(self): ''' 调度过程 ''' while(self.get_itime()<2359): self.prepare_data() #print u'读取数据成功,最新时间:%s' % self.dyn_datas[self.names[0]].transaction[ITIME][-1] today = dt.date.today() tt = today.year*10000 + today.month*100 + today.day ct = self.dyn_datas[self.names.keys()[0]].transaction if len(ct[IDATE])==0 or ct[IDATE][-1] < tt: win32api.MessageBox(0,u'请检查时间是否正确......',u'提示',0x00001000L) if len(ct[IDATE])>0: linelog(u'读取数据成功,%s-%s:%s-%s,%s-%s' % (ct[IDATE][-1],ct[ITIME][-1],ct[IOPEN][-1],ct[ICLOSE][-1],ct[IHIGH][-1],ct[ILOW][-1])) #print u'读取数据成功,%s-%s:%s-%s,%s-%s' % (ct[IDATE][-1],ct[ITIME][-1],ct[IOPEN][-1],ct[ICLOSE][-1],ct[IHIGH][-1],ct[ILOW][-1]) self.check_signal() else: linelog(u'无当日动态数据') time.sleep(9) #计算需要10秒,因此总延迟19秒
def gup(stock,percent=8500): linelog('%s:%s' % (gup.__name__,stock.code)) t = stock.transaction sp = cached_ints(len(t[CLOSE]),percent) xcross = gand(cross(sp,stock.g60)>0,strend(stock.g60)>0,t[VOLUME]>0) gs = gand(xcross,stock.g20<stock.g60,strend(stock.g20)>0) vma_s = ma(t[VOLUME],13) vma_l = ma(t[VOLUME],60) vfilter = rollx(vma_s < vma_l * 4/5,1) xatr = stock.atr * BASE / t[CLOSE] xref = stock.ref.transaction[CLOSE] >= stock.ref.ma0 signal = gand(gs,xatr<50,stock.t4,stock.t5,vfilter,stock.ma4>stock.ma5,strend(stock.diff)>0,stock.xup,xref) return signal
def hxud(stock): ''' vfilter = gand(svma<vma*3/5,t[VOLUME]>0,t[VOLUME]>vma*1/2)#,t[VOLUME]<vma*3/2) #2/3 评估:总盈亏值=9798,交易次数=18 期望值=9714 总盈亏率(1/1000)=9798,平均盈亏率(1/1000)=544,盈利交易率(1/1000)=777 平均持仓时间=50,持仓效率(1/1000000)=10880 赢利次数=14,赢利总值=10024 亏损次数=4,亏损总值=226 平盘次数=0 vfilter = gand(svma<vma*2/3,t[VOLUME]>0,t[VOLUME]>vma*1/2)#,t[VOLUME]<vma*3/2) #无意义 评估:总盈亏值=10410,交易次数=25 期望值=6500 总盈亏率(1/1000)=10410,平均盈亏率(1/1000)=416,盈利交易率(1/1000)=760 平均持仓时间=43,持仓效率(1/1000000)=9674 赢利次数=19,赢利总值=10799 亏损次数=6,亏损总值=389 平盘次数=0 vfilter = gand(svma<vma*1/2,t[VOLUME]>0,t[VOLUME]>vma*1/2)#,t[VOLUME]<vma*3/2) #说明svma越小越好,最近越缩量越好 评估:总盈亏值=2785,交易次数=5 期望值=1000 总盈亏率(1/1000)=2785,平均盈亏率(1/1000)=557,盈利交易率(1/1000)=1000 平均持仓时间=57,持仓效率(1/1000000)=9771 赢利次数=5,赢利总值=2785 亏损次数=0,亏损总值=0 平盘次数=0 ''' t = stock.transaction linelog(stock.code) xatr = stock.atr * BASE / t[CLOSE] ss = syntony(stock.hup,stock.hmxc,3) #ss = sfollow(stock.hup,stock.hmxc,3) vma = ma(t[VOLUME],30) svma = ma(t[VOLUME],3) vfilter = gand(svma<vma*3/5,t[VOLUME]>0,t[VOLUME]>vma*1/2)#,t[VOLUME]<vma*3/2) #2/3 cf = (t[OPEN]-t[LOW] + t[HIGH]-t[CLOSE])*1000 / (t[HIGH]-t[LOW]) #向下的动力 mcf = ma(cf,7) s=stock signal = gand(ss,vfilter,mcf>1000,mcf<1050,stock.t5,stock.above,strend(stock.ma4)>0,strend(stock.ma3)>0,xatr>45,xatr<60,stock.ma1<stock.ma2,stock.ma1>stock.ma3,s.g20 >= s.g60,s.g60 >= s.g120,s.g120 >= s.g250,s.g20<=8000,s.g5<s.g20,s.g20>=3000) 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 up_in_hour1(stock, xup=200): #xup为涨停次日的开盘涨幅,万分位表示 '''第1小时涨停''' linelog('%s:%s' % (up_in_hour1.__name__, stock.code)) t = stock.transaction climit = xfollow(limitup1(t[CLOSE]), t[VOLUME]) yup = rollx(gand(stock.slup1, climit), 1) #昨日开盘第一小时涨停并且收盘封住 pre = rollx(t[CLOSE], 1) tup = np.sign(t[OPEN] * 10000 / pre >= xup + 10000) #今日开盘大于xup tx = np.sign(t[LOW] * 10000 / pre <= 10990) #非一字涨停,追 tt = gand(stock.t5, stock.t4, strend(ma(t[CLOSE], 250)) > 0) #不采用跳点法,可能这是一个敏感位置 signal = gand(yup, tup, tx, t[VOLUME] > 0, tt) #,rama) #,tt,peak)#,fmacd,xmacd) #rama dsignal = decover(signal, 3) stock.buyprice = select([dsignal > 0], [t[OPEN]]) #print signal return dsignal
def hemv1b(stock,fast=15,base=120): t = stock.transaction em = emv(t[HIGH],t[LOW],t[VOLUME]) mv1 = msum2(em,fast) mvbase = msum2(em,base) vma = ma(t[VOLUME],30) svma = ma(t[VOLUME],3) vfilter = gand(svma<=vma*3/4) baseline = cached_zeros(len(t[CLOSE])) thumb = gand(stock.magic,stock.g20>3000) ss = sfollow(cross(baseline,mv1)>0,stock.hup,30) ecross = gand(ss,thumb,strend(mv1)>0,stock.t5,stock.above,strend(mvbase)>0,vfilter) linelog(stock.code) return ecross
def run(self): ''' 调度过程 ''' while (self.get_itime() < 2359): self.prepare_data() #print u'读取数据成功,最新时间:%s' % self.dyn_datas[self.names[0]].transaction[ITIME][-1] today = dt.date.today() tt = today.year * 10000 + today.month * 100 + today.day ct = self.dyn_datas[self.names.keys()[0]].transaction if len(ct[IDATE]) == 0 or ct[IDATE][-1] < tt: win32api.MessageBox(0, u'请检查时间是否正确......', u'提示', 0x00001000L) if len(ct[IDATE]) > 0: linelog(u'读取数据成功,%s-%s:%s-%s,%s-%s' % (ct[IDATE][-1], ct[ITIME][-1], ct[IOPEN][-1], ct[ICLOSE][-1], ct[IHIGH][-1], ct[ILOW][-1])) #print u'读取数据成功,%s-%s:%s-%s,%s-%s' % (ct[IDATE][-1],ct[ITIME][-1],ct[IOPEN][-1],ct[ICLOSE][-1],ct[IHIGH][-1],ct[ILOW][-1]) self.check_signal() else: linelog(u'无当日动态数据') time.sleep(9) #计算需要10秒,因此总延迟19秒
def hspring(stock,threshold=-30): ''' 对于结果 下影越短越好,close-low/close 也是越短越好 ''' t = stock.transaction linelog('spring:%s' % stock.code) s11 = gand(stock.ks >=-5,stock.ks<0,stock.ref.ks<=threshold) s12 = gand(stock.ks >=5,stock.ks<20,stock.ref.ks<=threshold) s1 = bor(s11,s12) s21 = gand(stock.ks>=5,stock.ks<75,stock.ref.ks<=threshold) signals = bor(s1,s21) ss = sfollow(signals,stock.hup,10) vma = ma(t[VOLUME],30) svma = ma(t[VOLUME],3) vfilter = gand(svma<vma*7/8,svma>vma/2,t[VOLUME]<=vma*2/3) return gand(ss,stock.magic,stock.above,vfilter)
def hmacd_a(stock): linelog(stock.code) t = stock.transaction shour = stock.hour pdiff1,pdea1 = cmacd(stock.hour) pdiffd,pdead = cmacd(stock.hour,48,104,36) #signal = gand(cross(pdea1,pdiff1)>0,pdiffd>pdead,pdiffd>0,pdiff1>0) #至少一日前还在下面 msignal = gand(cross(cached_zeros(len(pdiff1)),pdiffd)>0,strend(pdiff1-pdea1)>3) #nsignal = gand(pdiff1<pdea1) signal = gand(hour2day(msignal)) stock.hmacda = signal #signal = gand(signal,stock.t5,stock.t4) return signal
def xudh(stock,xfunc=xc0s,astart=45): ''' 评估:总盈亏值=5146,交易次数=21 期望值=3223 总盈亏率(1/1000)=5146,平均盈亏率(1/1000)=245,盈利交易率(1/1000)=952 平均持仓时间=47,持仓效率(1/1000000)=5212 赢利次数=20,赢利总值=5222 亏损次数=1,亏损总值=76 平盘次数=0 原: 牺牲效率提高成功率 评估:总盈亏值=7295,交易次数=21 期望值=2496 总盈亏率(1/1000)=7295,平均盈亏率(1/1000)=347,盈利交易率(1/1000)=904 平均持仓时间=48,持仓效率(1/1000000)=7229 赢利次数=19,赢利总值=7573 亏损次数=2,亏损总值=278 平盘次数=0 ''' t = stock.transaction mxc = xfunc(t[OPEN],t[CLOSE],t[HIGH],t[LOW],ma1=13) > 0 vma = ma(t[VOLUME],30) svma = ma(t[VOLUME],3) vfilter = gand(svma<vma*2/3) cf = (t[OPEN]-t[LOW] + t[HIGH]-t[CLOSE])*1000 / (t[HIGH]-t[LOW]) #向下的动力 mcf = ma(cf,7) stdea = strend(stock.dea) stdiff = strend(stock.diff) st = gand(stdea<=-3,stdea>=-4,stdiff<=-5,stdiff>=-6) xatr = stock.atr * BASE / t[CLOSE] #logger.debug('tlen,hlen=%s,%s' %(len(mxc),len(stock.hup))) ss = sfollow(mxc,stock.hup,3) signal = gand(ss,vfilter,stock.thumb,stock.above,stock.t5,mcf>1000,stock.ma1<stock.ma2,stock.ma1>stock.ma3,st,xatr>=astart) linelog(stock.code) return signal
def mxru(stock): ''' 成交量分配后的macd,采用supdown 评估:总盈亏值=6744,交易次数=18 期望值=12466 总盈亏率(1/1000)=6744,平均盈亏率(1/1000)=374,盈利交易率(1/1000)=944 平均持仓时间=54,持仓效率(1/1000000)=6925 赢利次数=17,赢利总值=6774 亏损次数=1,亏损总值=30 平盘次数=0 ''' t = stock.transaction mdiff,mdea = macd_ruv(t[OPEN],t[CLOSE],t[HIGH],t[LOW],t[VOLUME]) mxc = cross(mdea,mdiff) > 0 vma = ma(t[VOLUME],30) svma = ma(t[VOLUME],3) #vfilter = gand(svma<vma*7/8,svma>vma/2,t[VOLUME]<=vma,t[CLOSE]>stock.ma1,cf) vfilter = gand(svma<vma*2/3,t[VOLUME]<=vma*2/3) xatr = stock.atr * BASE / t[CLOSE] signal = gand(mxc) linelog(stock.code) signal = sfollow(signal,stock.hup,30) return gand(signal,vfilter,stock.magic,strend(stock.ma4)>0,stock.t5,xatr>=50,t[CLOSE]>stock.ma4)
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 attack2b(stock): # ''' 盘中第二小时追跳高不变者 使用fseller(信号次日卖出) bo_pricer = (lambda s : s.buyprice,lambda s : s.transaction[OPEN]) myMediator=nmediator_factory(trade_strategy=B0S1,pricer = bo_pricer) 使用fseller_t(信号当日卖出) my_pricer = (lambda s : s.buyprice,lambda s : s.sellprice) myMediator=nmediator_factory(trade_strategy=B0S0_N,pricer = my_pricer) 使用follow_seller(信号当日卖出) my_pricer = (lambda s : s.buyprice,lambda s : s.sellprice) myMediator=nmediator_factory(trade_strategy=B0S0_N,pricer = my_pricer) ''' linelog('%s:%s' % (attack2.__name__, stock.code)) t = stock.transaction #第一个涨停 #确保没有稍长的下影线 cup = gand(stock.up1, bnot(gand(stock.stoped2, stock.stoped3, stock.stoped4))) #三线理顺 #tt = rollx(gand(stock.t4,stock.t5),1) fm = rollx(gand(stock.diff < stock.dea)) g = rollx(gand(stock.g20 > stock.g60, stock.g60 > stock.g120)) tref = rollx(gand(stock.ref.t3)) signal = gand(cup, t[VOLUME] > 0, stock.ref.up1, tref, strend(stock.ref.diff) > 0, fm, g) #smarket)#,rama) #,rama #,tt,peak)#,fmacd,xmacd) #rama dsignal = decover(signal, 3) #stock.buyprice = select([dsignal>0],[t[HIGH]]) #涨停价 stock.buyprice = select([dsignal > 0], [stock.open2]) #第二小时开盘 #print signal return dsignal
def hmxru3(stock): ''' 成交量分配后的macd,采用supdown3 评估:总盈亏值=6163,交易次数=22 期望值=3733 总盈亏率(1/1000)=6163,平均盈亏率(1/1000)=280,盈利交易率(1/1000)=863 平均持仓时间=48,持仓效率(1/1000000)=5833 赢利次数=19,赢利总值=6389 亏损次数=3,亏损总值=226 平盘次数=0 ''' t = stock.transaction mxc = stock.xru3 vma = ma(t[VOLUME],30) svma = ma(t[VOLUME],3) vfilter = gand(svma<vma*2/3,svma>vma/2,t[VOLUME]<=vma*2/3) xatr = stock.atr * BASE / t[CLOSE] cf = (t[OPEN]-t[LOW] + t[HIGH]-t[CLOSE])*1000 / (t[HIGH]-t[LOW]) #向下的动力 mcf = ma(cf,7) s = stock signal = gand(s.above,mxc,vfilter,strend(stock.ma4)>0,stock.t5,xatr>=50,stock.magic,stock.ma1<stock.ma2,stock.ma1>stock.ma3,mcf<1000) linelog(stock.code) return signal
def hxudl(stock): ''' 恶劣 ''' t = stock.transaction linelog(stock.code) xatr = stock.atr * BASE / t[CLOSE] ss = syntony(stock.hup,stock.hmxc,3) #ss = sfollow(stock.hup,stock.hmxc,3) vma = ma(t[VOLUME],30) svma = ma(t[VOLUME],3) vfilter = gand(svma<vma*3/5,t[VOLUME]>0,t[VOLUME]>vma*1/2)#,t[VOLUME]<vma*3/2) #2/3 cf = (t[OPEN]-t[LOW] + t[HIGH]-t[CLOSE])*1000 / (t[HIGH]-t[LOW]) #向下的动力 mcf = ma(cf,7) s=stock spos = gand(ma(stock.ref.transaction[CLOSE],250) > stock.ref.ma5,stock.ref.ma5>stock.ref.ma4,stock.ref.t4>0,stock.ref.ma1>stock.ref.ma2,stock.ref.ma1>stock.ref.ma3) #spos2 = gand(ma(t[CLOSE],250) > stock.ma5,stock.ma5>stock.ma4,stock.t4>0) signal = gand(stock.hmxc,vfilter,spos,strend(stock.ma3)>0,xatr>45,xatr<60,stock.ma1>stock.ma2,stock.ma1>stock.ma3,s.g20 >= s.g60,s.g60 >= s.g120,s.g120 >= s.g250,s.g20<=8000,s.g5<s.g20,s.g20>=3000) return signal
def prepare_hour(stock,begin,end): linelog('prepare hour:%s' % stock.code) t = get_hour(stock.code,begin,end) stock.hour = t[CLOSE].copy() #stock.hour_open = t[OPEN].copy() #stock.hour_low = t[LOW].copy() #stock.hour_high = t[HIGH].copy() #stock.hour_v = t[VOLUME].copy() stock.hour[range4(len(stock.hour))] = stock.transaction[CLOSE] #消除第4小时数据收盘与当日收盘价的差异,日收盘价为最后均价 prepare_hmacd(stock) stock.hmxc = hour2day(xc0s(t[OPEN],stock.hour,t[HIGH],t[LOW],ma1=13) > 0) mdiff,mdea = macd_ruv3(t[OPEN],stock.hour,t[HIGH],t[LOW],t[VOLUME]) mxc = cross(mdea,mdiff) > 0 stock.xru3 = hour2day(mxc) mdiff,mdea = macd_ruv(t[OPEN],stock.hour,t[HIGH],t[LOW],t[VOLUME]) mxc = cross(mdea,mdiff) > 0 stock.xru = hour2day(mxc) ma3 = ma(stock.hour,3) ma7 = ma(stock.hour,7) ma13 = ma(stock.hour,13) ma30 = ma(stock.hour,30) stock.ma4_up = hour2day(gand((ma3>ma7),gand(ma7>ma13),gand(ma13>ma30),strend(ma3)>0,strend(ma7)>0,strend(ma13)>0,strend(ma30)>0))
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 gup(stock, percent=8500): linelog('%s:%s' % (gup.__name__, stock.code)) t = stock.transaction sp = cached_ints(len(t[CLOSE]), percent) xcross = gand( cross(sp, stock.g60) > 0, strend(stock.g60) > 0, t[VOLUME] > 0) gs = gand(xcross, stock.g20 < stock.g60, strend(stock.g20) > 0) vma_s = ma(t[VOLUME], 13) vma_l = ma(t[VOLUME], 60) vfilter = rollx(vma_s < vma_l * 4 / 5, 1) xatr = stock.atr * BASE / t[CLOSE] xref = stock.ref.transaction[CLOSE] >= stock.ref.ma0 signal = gand(gs, xatr < 50, stock.t4, stock.t5, vfilter, stock.ma4 > stock.ma5, strend(stock.diff) > 0, stock.xup, xref) return signal
def prepare_slup4(stock): linelog('prepare hour:%s' % stock.code) slup4 = np.sign(stock.hour * 10000 / rollx(stock.hour, 4) >= 10990) stock.slup4 = xfollow(hour2day4(slup4), stock.transaction[VOLUME]) #第1小时涨停. 确保第二天停盘也能够使信号延递
def follow_up2(stock): '''第n小时涨停,且涨停板在后两个小时打开过 第1/2/3小时涨停,后面打开过 第二小时最好,但仍然只有1/3的概率 1 评估:总盈亏值=-5945,交易次数=370 期望值=-396 总盈亏率(1/1000)=-5945,平均盈亏率(1/1000)=-17,盈利交易率(1/1000)=283 平均持仓时间=1,持仓效率(1/1000000)=-17000 赢利次数=105,赢利总值=5427 亏损次数=262,亏损总值=11372 平盘次数=3 2 评估:总盈亏值=-1925,交易次数=278 期望值=-185 总盈亏率(1/1000)=-1925,平均盈亏率(1/1000)=-7,盈利交易率(1/1000)=345 平均持仓时间=1,持仓效率(1/1000000)=-7000 赢利次数=96,赢利总值=5064 亏损次数=180,亏损总值=6989 平盘次数=2 3 评估:总盈亏值=-4560,交易次数=413 期望值=-325 总盈亏率(1/1000)=-4560,平均盈亏率(1/1000)=-12,盈利交易率(1/1000)=288 平均持仓时间=1,持仓效率(1/1000000)=-12000 赢利次数=119,赢利总值=6388 亏损次数=294,亏损总值=10948 平盘次数=0 ''' linelog('%s:%s' % (follow_up2.__name__, stock.code)) t = stock.transaction #yup = gand(stock.slup2,bnot(stock.slup1),bnot(gand(stock.stoped3,stock.stoped4))) #开盘第二小时涨停,并且在第三四小时打开过 #yup = gand(stock.slup1,bnot(gand(stock.stoped2,stock.stoped3,stock.stoped4))) #开盘第1小时涨停,并且在第2三四小时打开过 #yup = gand(stock.slup3,bnot(gor(stock.slup1,stock.slup2)),bnot(stock.stoped4)) #第3小时涨停,并且在第四小时打开过 #开盘涨停 oup = t[OPEN] * 10000 / rollx(t[CLOSE], 1) >= 10990 cup = t[CLOSE] * 10000 / rollx(t[CLOSE], 1) >= 10990 hup = t[HIGH] * 10000 / rollx(t[CLOSE], 1) >= 10990 lup = t[LOW] * 10000 / rollx(t[CLOSE], 1) >= 10990 yup = gand(bnot(oup), cup) #无法判断第四小时涨停的个股涨停后是否打开过 tt = gand(stock.t5, stock.t4, strend(ma(t[CLOSE], 250)) > 0) #不采用跳点法,可能这是一个敏感位置 smarket = gand(stock.ref.t2, stock.ref.t1, stock.ref.t0) #使用当日的大盘情况,差别巨大 ama = fama(stock.ref.transaction[CLOSE]) #rama = stock.ref.transaction[CLOSE]*1000/rollx(ama)>=1000 #-284, p=342 c_ex = lambda c, s: gand(c.g60 > 5000, s > 8000) cs = catalog_signal_cs(stock.c60, c_ex) signal = gand(yup, t[VOLUME] > 0, smarket, rollx(cs)) #,tt,peak)#,fmacd,xmacd) #rama dsignal = decover(signal, 3) stock.buyprice = select([dsignal > 0], [t[HIGH]]) #涨停价 #print signal return dsignal
def prepare_touch4(stock): linelog('prepare hour:%s' % stock.code) touch4 = np.sign(stock.hour_high * 10000 / rollx(stock.hour, 4) >= 10990) stock.touch4 = xfollow(hour2day4(touch4), stock.transaction[VOLUME]) #第1小时涨停. 确保第二天停盘也能够使信号延递
def up_in_hour2(stock, xup=200): #xup为涨停次日的开盘涨幅,万分位表示 '''第2小时涨停,接近有利可图 评估:总盈亏值=-172,交易次数=268 期望值=-27 总盈亏率(1/1000)=-172,平均盈亏率(1/1000)=-1,盈利交易率(1/1000)=309 平均持仓时间=1,持仓效率(1/1000000)=-1000 赢利次数=83,赢利总值=6739 亏损次数=180,亏损总值=6911 平盘次数=5 12. 评估:总盈亏值=-8219,交易次数=700 期望值=-286 总盈亏率(1/1000)=-8219,平均盈亏率(1/1000)=-12,盈利交易率(1/1000)=255 平均持仓时间=1,持仓效率(1/1000000)=-12000 赢利次数=179,赢利总值=13627 亏损次数=515,亏损总值=21846 平盘次数=6 前面如果是一字涨停,则可忽略大盘 ''' linelog('%s:%s' % (up_in_hour2.__name__, stock.code)) t = stock.transaction climit = xfollow(limitup1(t[CLOSE]), t[VOLUME]) #climit = xfollow(limitup2(t[HIGH],t[LOW]),t[VOLUME]) #一字板 #yup = rollx(gand(stock.slup2,climit,bnot(stock.slup1)),1) #昨日第二小时涨停并且收盘封住 yup = rollx(gand(stock.slup2, climit), 1) #昨日第二小时涨停并且至收盘都没打开过,含第一小时 #yup = rollx(climit,1) pre = rollx(t[CLOSE], 1) tup = np.sign(t[OPEN] * 10000 / pre >= xup + 10000) #今日开盘大于xup tx = np.sign(t[LOW] * 10000 / pre < 10990) #非一字涨停,追 #tt = gand(stock.t5,stock.t4,stock.t3,strend(ma(t[CLOSE],250))>0) #不采用跳点法,可能这是一个敏感位置 tt = gand(stock.t5, stock.t4, strend(ma(t[CLOSE], 250)) > 0) #不采用跳点法,可能这是一个敏感位置 ama = fama(t[CLOSE]) rama = rollx(ama * 1000 / rollx(ama) <= 1000) #-284, p=342 #cswing = t[CLOSE] * 1000 / pre - 1000 #涨幅 #cup = select([cswing>0],[cswing]) #mcup1 = ma(cup,13) #mcup2 = ma(cup,30) #sm = rollx(gand(mcup1<mcup2),1) rlimit = limitup1(t[CLOSE]) times = msum2(rlimit, 5) r1 = rollx(gand(times == 2), 1) #第n个涨停 #大盘因素 #smarket = rollx(gand(stock.ref.t2,stock.ref.t1,stock.ref.t0),1) #smarket = gand(stock.ref.t2,stock.ref.t1,stock.ref.t0) #使用当日的大盘情况,差别巨大 smarket = rollx(gand(stock.ref.t2, stock.ref.t1, stock.ref.t0), 1) #使用当日的大盘情况,差别巨大 #smart优于tt,这两类条件貌似重合,叠加无效果 #signal = gand(yup,tup,tx,t[VOLUME]>0,smarket,tt)#,r1) #,tt,peak)#,fmacd,xmacd) #rama signal = gand(yup, tup, tx, t[VOLUME] > 0, smarket, r1, rama) #,tt,peak)#,fmacd,xmacd) #rama #一字涨停,忽略大盘 pup = rollx(t[LOW] * 10000 / pre >= 10990, 1) psignal = gand(yup, tup, tx, t[VOLUME] > 0, r1, rama, pup) signal = gor(signal, psignal) dsignal = decover(signal, 3) stock.buyprice = select([dsignal > 0], [t[OPEN]]) #print signal return dsignal