def part_test_fun(instrument):
adj_close_df = FutData().load_act_adj_fut_data(instrument, 'Close', active_df, aadj_factor_df)
adj_high_df = FutData().load_act_adj_fut_data(instrument, 'High', active_df, aadj_factor_df)
adj_low_df = FutData().load_act_adj_fut_data(instrument, 'Low', active_df, aadj_factor_df)
adj_return_df = adj_close_df/adj_close_df.shift(1) - 1
for n in window_list:
raw_factor = FutIndex.boll_fun(adj_close_df, n)
for limit in limit_list:
signal = Signal.fun_1(raw_factor, limit)
pos = Position.fun_1(signal)
pnl_df = (pos.shift(2) * adj_return_df).fillna(0)
sp = bt.AZ_Sharpe_y(pnl_df)
pot = bt.AZ_Pot(pos, pnl_df.sum())
print(instrument, sp, pot, n, limit)
if abs(sp) > 1.4:
print('!!!!!!!!!!!!!!!!')
import sys
sys.path.append('/mnt/mfs')
from work_whs.loc_lib.pre_load import *
from work_whs.loc_lib.pre_load import log
from work_whs.loc_lib.pre_load.plt import savfig_send
from work_whs.test_future.FutDataLoad import FutData, FutClass
from work_whs.test_future.signal_fut_fun import FutIndex, Signal, Position
fut_data = FutData()
def plot_send(con_id, begin_time, end_time, n=15):
data_df = fut_data.load_intra_data(con_id, ['Close'])['Close']
part_df = data_df.truncate(begin_time, end_time)
plt.figure(figsize=[80, 10])
plt.plot(range(len(part_df)), part_df.values)
plt.xticks([
int(len(part_df.index.strftime('%Y-%m-%d %H:%M')) / (n - 1)) * i
for i in range(n)
],
part_df.index.strftime('%Y-%m-%d %H:%M')[[[
int(len(part_df.index) / (n - 1)) * i for i in range(n)
]]],
rotation=45)
plt.grid()
savfig_send()
plot_send('I2001.DCE', datetime(2019, 8, 10), datetime(2019, 11, 28), 80)
SignalAnalysis.CDF_c(signal_df,
raw_return_df,
hold_time=1,
title=f'{fut_name} {col_name} CDF Figure',
lag=0)
ana_fun(data_df, fut_name, 'Volume_zscore')
ana_fun(data_df, fut_name, 'past_min_pct_change')
ana_fun(data_df, fut_name, 'trend_signal')
return data_df
if __name__ == '__main__':
root_path = '/mnt/mfs/DAT_FUT'
fut_data = FutData(root_path)
fut_name_list = FutClass['黑色']
ban_name_list = [
'WR', 'BB', 'ZC', 'SF', 'SM', 'FU', 'TA', 'SC', 'MA', 'OI', 'RS', 'IC'
]
data_df = main()
for x, part_data_df in data_df.groupby(['weekday']):
part_pnl = part_data_df['pnl'].fillna(0).values
print(x, part_pnl.sum())
plt.plot(part_pnl.cumsum())
savfig_send(subject=f'{x} {bt.AZ_Sharpe_y(part_pnl)}')
for x, part_data_df in data_df.groupby(['month']):
part_pnl = part_data_df['pnl'].fillna(0).values
print(x, part_pnl.sum())
for limit in limit_list:
signal = Signal.fun_1(raw_factor, limit)
pos = Position.fun_1(signal)
pnl_df = (pos.shift(2) * adj_return_df).fillna(0)
sp = bt.AZ_Sharpe_y(pnl_df)
pot = bt.AZ_Pot(pos, pnl_df.sum())
print(instrument, sp, pot, n, limit)
if abs(sp) > 1.4:
print('!!!!!!!!!!!!!!!!')
window_list = [10, 20, 40, 100]
limit_list = [1, 1.5, 2]
for instrument in instrument_list:
# part_test_fun(instrument)
adj_close_df = FutData().load_act_adj_fut_data(instrument, 'Close', active_df, aadj_factor_df)
adj_high_df = FutData().load_act_adj_fut_data(instrument, 'High', active_df, aadj_factor_df)
adj_low_df = FutData().load_act_adj_fut_data(instrument, 'Low', active_df, aadj_factor_df)
adj_return_df = adj_close_df / adj_close_df.shift(1) - 1
month_signal = pd.DataFrame(adj_return_df.index.strftime('%m'), index=adj_return_df.index, columns=['month'])
for n in window_list:
raw_factor = FutIndex.boll_fun(adj_close_df, n)
for limit in limit_list:
signal = Signal.fun_1(raw_factor, limit)
pos = Position.fun_1(signal)
pnl_df = (pos.shift(2) * adj_return_df).fillna(0)
sp = bt.AZ_Sharpe_y(pnl_df)
pot = bt.AZ_Pot(pos, pnl_df.sum())
'RS',
'OI',
'ZC',
'SM',
'BB',
'FB',
'B',
]
instrument_list = sorted(list(set(instrument_list) - set(error_list)))
data_name = 'OpenInterest'
active_df, aadj_factor_df = get_active_df(data_name)
# FutIndex.CCI_fun(high, low, close, n)
# FutIndex.boll_fun(close, n)
fut_data = FutData()
act_info_df = fut_data.act_info_df
# instrument_list = ['SC', 'C', 'J', 'JD']
# for fut_name in ['FG']:
for fut_name in instrument_list:
c12 = act_info_df[[fut_name + '01', fut_name + '02']]
OI_01 = fut_data.load_act_fut_data_r(fut_name,
'OpenInterest',
act_info_df,
active_num='01')
OI_02 = fut_data.load_act_fut_data_r(fut_name,
'OpenInterest',
act_info_df,
import sys
sys.path.append('/mnt/mfs')
import string
from work_whs.loc_lib.pre_load import *
from work_whs.loc_lib.pre_load.plt import plot_send_result
from work_whs.test_future.FutDataLoad import FutData
fut_data = FutData('/mnt/mfs/DAT_FUT')
# data_df = fut_data.load_intra_data('IC1906.CFE', ['Close', 'Volume'])
data = fut_data.load_intra_data('IC1906.CFE', ['Close'])
class FutReport:
def __init__(self):
self.fut_pos_bkt_path = '/mnt/mfs/AAFUTPOS/BKT'
self.fut_pos_exe_path = '/mnt/mfs/AAFUTPOS/EXE'
# all_pos_file = os.listdir(fut_pos_root_path)
# all_pos_file = ['RZJ19Q10101.pos']
def deal_contract(self, part_pos_sr, contract_id):
close_df = fut_data.load_intra_data(contract_id, ['Close'])
if close_df is not None:
diff_sr = close_df.reindex(index=part_pos_sr.index)['Close'].diff()
part_pnl_sr = part_pos_sr * diff_sr
part_pnl_sr.name = contract_id
return part_pnl_sr
else:
return pd.Series(index=part_pos_sr.index, name=contract_id)
def generation(self, begin_time=None, end_time=None):