hikyuu2/hikyuu/trade_sys/trade_sys.py

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# -*- coding: utf8 -*-
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from hikyuu.core import (
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System, SystemPart, ConditionBase, EnvironmentBase, MoneyManagerBase,
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ProfitGoalBase, SelectorBase, SignalBase, SlippageBase, StoplossBase, AllocateFundsBase,
MultiFactorBase
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)
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def part_iter(self):
for i in range(len(self)):
yield self[i]
ConditionBase.__iter__ = part_iter
def part_init(self, name='', params={}):
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super(self.__class__, self).__init__(name)
self._name = name
self._params = params
for k, v in params.items():
self.set_param(k, v)
def part_clone(self):
cloned = self.__class__.__new__(self.__class__)
self.__class__.__init__(cloned, self)
cloned.__dict__.update(self.__dict__)
return cloned
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# ------------------------------------------------------------------
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# System
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# ------------------------------------------------------------------
System.Part = SystemPart
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System.ENVIRONMENT = System.Part.ENVIRONMENT
System.CONDITION = System.Part.CONDITION
System.SIGNAL = System.Part.SIGNAL
System.STOPLOSS = System.Part.STOPLOSS
System.TAKEPROFIT = System.Part.TAKEPROFIT
System.MONEYMANAGER = System.Part.MONEYMANAGER
System.PROFITGOAL = System.Part.PROFITGOAL
System.SLIPPAGE = System.Part.SLIPPAGE
System.INVALID = System.Part.INVALID
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# ------------------------------------------------------------------
# condition
# ------------------------------------------------------------------
def crtCN(func, params={}, name='crtCN'):
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"""
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快速创建系统有效条件
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:param func: 系统有效条件函数
:param {} params: 参数字典
:param str name: 自定义名称
:return: 自定义系统有效条件实例
"""
meta_x = type(name, (ConditionBase, ), {'__init__': part_init, '_clone': part_clone})
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meta_x._calculate = func
return meta_x(name, params)
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# ------------------------------------------------------------------
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# environment
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# ------------------------------------------------------------------
def crtEV(func, params={}, name='crtEV'):
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"""
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快速创建市场环境判断策略
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:param func: 市场环境判断策略函数
:param {} params: 参数字典
:param str name: 自定义名称
:return: 自定义市场环境判断策略实例
"""
meta_x = type(name, (EnvironmentBase, ), {'__init__': part_init, '_clone': part_clone})
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meta_x._calculate = func
return meta_x(name, params)
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# ------------------------------------------------------------------
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# moneymanager
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# ------------------------------------------------------------------
def crtMM(func, params={}, name='crtMM'):
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"""
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快速创建资金管理策略
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:param func: 资金管理策略计算函数
:param {} params: 参数字典
:param str name: 自定义名称
:return: 自定义资金管理策略实例
"""
meta_x = type(name, (MoneyManagerBase, ), {'__init__': part_init, '_clone': part_clone})
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meta_x._calculate = func
return meta_x(name, params)
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# ------------------------------------------------------------------
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# profitgoal
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# ------------------------------------------------------------------
def crtPG(func, params={}, name='crtPG'):
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"""
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快速创建盈利目标策略
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:param func: 盈利目标策略函数
:param {} params: 参数字典
:param str name: 自定义名称
:return: 盈利目标策略实例
"""
meta_x = type(name, (ProfitGoalBase, ), {'__init__': part_init, '_clone': part_clone})
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meta_x._calculate = func
return meta_x(name, params)
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# ------------------------------------------------------------------
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# signal
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# ------------------------------------------------------------------
def crtSG(func, params={}, name='crtSG'):
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"""
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快速创建信号指示器
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:param func: 信号策略函数
:param {} params: 参数字典
:param str name: 自定义名称
:return: 自定义信号指示器实例
"""
meta_x = type(name, (SignalBase, ), {'__init__': part_init, '_clone': part_clone})
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meta_x._calculate = func
return meta_x(name, params)
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# ------------------------------------------------------------------
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# Selector
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# ------------------------------------------------------------------
def crtSE(calculate, get_selected, is_match_af=None, params={}, name='crtSE'):
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"""
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快速创建交易对象选择算法
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:param calculate function: 计算函数
:param get_selected_on_close function: 收盘时刻选择算法
:param get_selected_on_open function: 开盘时刻选择算法
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:param {} params: 参数字典
:param str name: 自定义名称
:return: 自定义交易对象选择算法实例
"""
meta_x = type(name, (SelectorBase, ), {'__init__': part_init, '_clone': part_clone})
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meta_x._calculate = calculate
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meta_x.get_selected = get_selected
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meta_x.is_match_af = (lambda self, af: True) if is_match_af is None else is_match_af
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return meta_x(name, params)
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# ------------------------------------------------------------------
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# allocatefunds
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# ------------------------------------------------------------------
def crtAF(allocate_weight_func, params={}, name='crtAF'):
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"""
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快速创建资产分配算法
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:param allocate_weight_func: 资产分配算法
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:param {} params: 参数字典
:param str name: 自定义名称
:return: 自定义资产分配算法实例
"""
meta_x = type(name, (AllocateFundsBase, ), {'__init__': part_init, '_clone': part_clone})
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meta_x._allocate_weight = allocate_weight_func
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return meta_x(name, params)
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# ------------------------------------------------------------------
# multi_factor
# ------------------------------------------------------------------
def crtMF(calculate_func, params={}, name='crtMF'):
"""
快速多因子合成算法
:param calculate_func: 合成算法
:param {} params: 参数字典
:param str name: 自定义名称
:return: 自定义多因子合成算法实例
"""
meta_x = type(name, (MultiFactorBase, ), {'__init__': part_init, '_clone': part_clone})
meta_x._calculate = calculate_func
return meta_x(name, params)
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# ------------------------------------------------------------------
# slippage
# ------------------------------------------------------------------
def crtSL(func, params={}, name='crtSL'):
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"""
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快速创建移滑价差算法
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:param func: 移滑价差算法函数
:param {} params: 参数字典
:param str name: 自定义名称
:return: 移滑价差算法实例
"""
meta_x = type(name, (SlippageBase, ), {'__init__': part_init, '_clone': part_clone})
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meta_x._calculate = func
return meta_x(name, params)
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# ------------------------------------------------------------------
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# stoploss
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# ------------------------------------------------------------------
def crtST(func, params={}, name='crtST'):
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"""
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快速创建止损/止盈策略
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:param func: 止损/止盈策略函数
:param {} params: 参数字典
:param str name: 自定义名称
:return: 止损/止盈策略实例
"""
meta_x = type(name, (StoplossBase, ), {'__init__': part_init, '_clone': part_clone})
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meta_x._calculate = func
return meta_x(name, params)