def test_macd(): factor = TechnicalFactor(codes=['000338'], start_timestamp='2019-01-01', end_timestamp='2019-06-10', level=IntervalLevel.LEVEL_1DAY, provider=Provider.JoinQuant, computing_window=None, transformer=MacdTransformer(), adjust_type='qfq') print(factor.factor_df.tail()) # compare with east money manually diff = factor.factor_df['diff'] dea = factor.factor_df['dea'] macd = factor.factor_df['macd'] assert round(diff.loc[('stock_sz_000338', '2019-06-10')], 2) == -0.14 assert round(dea.loc[('stock_sz_000338', '2019-06-10')], 2) == -0.15 assert round(macd.loc[('stock_sz_000338', '2019-06-10')], 2) == 0.02 factor.move_on(to_timestamp='2019-06-17') diff = factor.factor_df['diff'] dea = factor.factor_df['dea'] macd = factor.factor_df['macd'] assert round(diff.loc[('stock_sz_000338', '2019-06-17')], 2) == 0.06 assert round(dea.loc[('stock_sz_000338', '2019-06-17')], 2) == -0.03 assert round(macd.loc[('stock_sz_000338', '2019-06-17')], 2) <= 0.19
def test_macd(): factor = TechnicalFactor(entity_type='stock', codes=['000338'], start_timestamp='2019-01-01', end_timestamp='2019-06-10', level=IntervalLevel.LEVEL_1DAY, provider='joinquant', indicators=['macd'], indicators_param=[{ 'slow': 26, 'fast': 12, 'n': 9 }], auto_load=True) print(factor.get_depth_df().tail()) # compare with east money manually diff = factor.get_depth_df()['diff'] dea = factor.get_depth_df()['dea'] macd = factor.get_depth_df()['macd'] assert round(diff.loc[('stock_sz_000338', '2019-06-10')], 2) == -0.14 assert round(dea.loc[('stock_sz_000338', '2019-06-10')], 2) == -0.15 assert round(macd.loc[('stock_sz_000338', '2019-06-10')], 2) == 0.02 factor.move_on(to_timestamp='2019-06-17') diff = factor.get_depth_df()['diff'] dea = factor.get_depth_df()['dea'] macd = factor.get_depth_df()['macd'] assert round(diff.loc[('stock_sz_000338', '2019-06-17')], 2) == 0.06 assert round(dea.loc[('stock_sz_000338', '2019-06-17')], 2) == -0.03 assert round(macd.loc[('stock_sz_000338', '2019-06-17')], 2) == 0.19
def test_ma(): factor = TechnicalFactor(codes=['000338'], start_timestamp='2019-01-01', end_timestamp='2019-06-10', level=IntervalLevel.LEVEL_1DAY, provider=Provider.JoinQuant, computing_window=30, transformer=MaTransformer(windows=[5, 10, 30]), adjust_type='qfq') print(factor.factor_df.tail()) # compare with east money manually ma5 = factor.factor_df['ma5'] ma10 = factor.factor_df['ma10'] ma30 = factor.factor_df['ma30'] assert round(ma5.loc[('stock_sz_000338', '2019-06-10')], 2) <= 11.23 assert round(ma10.loc[('stock_sz_000338', '2019-06-10')], 2) <= 11.43 assert round(ma30.loc[('stock_sz_000338', '2019-06-10')], 2) <= 11.52 factor.move_on(to_timestamp='2019-06-17') ma5 = factor.factor_df['ma5'] ma10 = factor.factor_df['ma10'] ma30 = factor.factor_df['ma30'] assert round(ma5.loc[('stock_sz_000338', '2019-06-17')], 2) <= 12.06 assert round(ma10.loc[('stock_sz_000338', '2019-06-17')], 2) <= 11.64 assert round(ma30.loc[('stock_sz_000338', '2019-06-17')], 2) <= 11.50
def test_ma(): factor = TechnicalFactor(security_type=SecurityType.stock, codes=['000338'], start_timestamp='2019-01-01', end_timestamp='2019-06-10', level=TradingLevel.LEVEL_1DAY, provider=Provider.JOINQUANT, indicators=['ma', 'ma', 'ma'], indicators_param=[{ 'window': 5 }, { 'window': 10 }, { 'window': 30 }]) print(factor.get_depth_df().tail()) # compare with east money manually ma5 = factor.get_depth_df()['ma5'] ma10 = factor.get_depth_df()['ma10'] ma30 = factor.get_depth_df()['ma30'] assert round(ma5.loc[('stock_sz_000338', '2019-06-10')], 2) == 11.48 assert round(ma10.loc[('stock_sz_000338', '2019-06-10')], 2) == 11.69 assert round(ma30.loc[('stock_sz_000338', '2019-06-10')], 2) == 11.79 factor.move_on(to_timestamp='2019-06-17') ma5 = factor.get_depth_df()['ma5'] ma10 = factor.get_depth_df()['ma10'] ma30 = factor.get_depth_df()['ma30'] assert round(ma5.loc[('stock_sz_000338', '2019-06-17')], 2) == 12.33 assert round(ma10.loc[('stock_sz_000338', '2019-06-17')], 2) == 11.91 assert round(ma30.loc[('stock_sz_000338', '2019-06-17')], 2) == 11.76
def test_macd(): factor = TechnicalFactor(security_type=SecurityType.stock, codes=['000338'], start_timestamp='2019-01-01', end_timestamp='2019-06-10', level=TradingLevel.LEVEL_1DAY, provider=Provider.JOINQUANT, indicators=['macd'], indicators_param=[{ 'slow': 26, 'fast': 12, 'n': 9 }]) print(factor.get_depth_df().tail()) # compare with east money manually diff = factor.get_depth_df()['diff'] dea = factor.get_depth_df()['dea'] macd = factor.get_depth_df()['macd'] assert round(diff.loc[('stock_sz_000338', '2019-06-10')], 2) == -0.15 assert round(dea.loc[('stock_sz_000338', '2019-06-10')], 2) == -0.16 assert round(macd.loc[('stock_sz_000338', '2019-06-10')], 2) == 0.02 factor.move_on(to_timestamp='2019-06-17') diff = factor.get_depth_df()['diff'] dea = factor.get_depth_df()['dea'] macd = factor.get_depth_df()['macd'] assert round(diff.loc[('stock_sz_000338', '2019-06-17')], 2) == 0.07 assert round(dea.loc[('stock_sz_000338', '2019-06-17')], 2) == -0.03 assert round(macd.loc[('stock_sz_000338', '2019-06-17')], 2) == 0.19
def test_macd(): factor = TechnicalFactor( provider="joinquant", codes=["000338"], start_timestamp="2019-01-01", end_timestamp="2019-06-10", level=IntervalLevel.LEVEL_1DAY, computing_window=None, transformer=MacdTransformer(), adjust_type="qfq", ) print(factor.factor_df.tail()) # compare with east money manually diff = factor.factor_df["diff"] dea = factor.factor_df["dea"] macd = factor.factor_df["macd"] assert round(diff.loc[("stock_sz_000338", "2019-06-10")], 2) == -0.14 assert round(dea.loc[("stock_sz_000338", "2019-06-10")], 2) == -0.15 assert round(macd.loc[("stock_sz_000338", "2019-06-10")], 2) == 0.02 factor.move_on(to_timestamp="2019-06-17") diff = factor.factor_df["diff"] dea = factor.factor_df["dea"] macd = factor.factor_df["macd"] assert round(diff.loc[("stock_sz_000338", "2019-06-17")], 2) == 0.06 assert round(dea.loc[("stock_sz_000338", "2019-06-17")], 2) == -0.03 assert round(macd.loc[("stock_sz_000338", "2019-06-17")], 2) <= 0.19
def test_ma(): factor = TechnicalFactor( provider="joinquant", codes=["000338"], start_timestamp="2019-01-01", end_timestamp="2019-06-10", level=IntervalLevel.LEVEL_1DAY, computing_window=30, transformer=MaTransformer(windows=[5, 10, 30]), adjust_type="qfq", ) print(factor.factor_df.tail()) # compare with east money manually ma5 = factor.factor_df["ma5"] ma10 = factor.factor_df["ma10"] ma30 = factor.factor_df["ma30"] assert round(ma5.loc[("stock_sz_000338", "2019-06-10")], 2) <= 11.23 assert round(ma10.loc[("stock_sz_000338", "2019-06-10")], 2) <= 11.43 assert round(ma30.loc[("stock_sz_000338", "2019-06-10")], 2) <= 11.52 factor.move_on(to_timestamp="2019-06-17") ma5 = factor.factor_df["ma5"] ma10 = factor.factor_df["ma10"] ma30 = factor.factor_df["ma30"] assert round(ma5.loc[("stock_sz_000338", "2019-06-17")], 2) <= 12.06 assert round(ma10.loc[("stock_sz_000338", "2019-06-17")], 2) <= 11.64 assert round(ma30.loc[("stock_sz_000338", "2019-06-17")], 2) <= 11.50
def test_ma(): factor = TechnicalFactor(entity_type='stock', codes=['000338'], start_timestamp='2019-01-01', end_timestamp='2019-06-10', level=IntervalLevel.LEVEL_1DAY, provider='joinquant', indicators=['ma', 'ma', 'ma'], indicators_param=[{ 'window': 5 }, { 'window': 10 }, { 'window': 30 }], auto_load=True) print(factor.get_depth_df().tail()) # compare with east money manually ma5 = factor.get_depth_df()['ma5'] ma10 = factor.get_depth_df()['ma10'] ma30 = factor.get_depth_df()['ma30'] assert round(ma5.loc[('stock_sz_000338', '2019-06-10')], 2) == 11.23 assert round(ma10.loc[('stock_sz_000338', '2019-06-10')], 2) == 11.43 assert round(ma30.loc[('stock_sz_000338', '2019-06-10')], 2) == 11.52 factor.move_on(to_timestamp='2019-06-17') ma5 = factor.get_depth_df()['ma5'] ma10 = factor.get_depth_df()['ma10'] ma30 = factor.get_depth_df()['ma30'] assert round(ma5.loc[('stock_sz_000338', '2019-06-17')], 2) == 12.06 assert round(ma10.loc[('stock_sz_000338', '2019-06-17')], 2) == 11.64 assert round(ma30.loc[('stock_sz_000338', '2019-06-17')], 2) == 11.50