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更新SG系列，优化移除OP后的一些修改
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fasiondog
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@ -40,7 +40,7 @@ Hikyuu Quant Framework是一款基于C++/Python的开源量化交易研究框架
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my_tm = crtTM(init_cash = 300000)
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#创建信号指示器（以5日EMA为快线，5日EMA自身的10日EMA作为慢线，快线向上穿越慢线时买入，反之卖出）
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my_sg = SG_Flex(OP(EMA(n=5)), slow_n=10)
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my_sg = SG_Flex(EMA(CLOSE(), n=5), slow_n=10)
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#固定每次买入1000股
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my_mm = MM_FixedCount(1000)
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@ -11,7 +11,7 @@ Hikyuu Quant Framework是一款基于C++/Python的开源量化交易研究框架
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my_tm = crtTM(init_cash = 300000)
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#创建信号指示器（以5日EMA为快线，5日EMA自身的10日EMA作为慢线，快线向上穿越慢线时买入，反之卖出）
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my_sg = SG_Flex(OP(EMA(n=5)), slow_n=10)
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my_sg = SG_Flex(EMA(CLOSE(), n=5), slow_n=10)
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#固定每次买入1000股
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my_mm = MM_FixedCount(1000)
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@ -25,7 +25,7 @@ Python中的订单代理包装
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my_tm.broke_last_datetime=Datetime(201706010000)
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#创建信号指示器（以5日EMA为快线，5日EMA自身的10日EMA作为慢线，快线向上穿越慢线时买入，反之卖出）
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my_sg = SG_Flex(OP(EMA(n=5)), slow_n=10)
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my_sg = SG_Flex(EMA(CLOSE(), n=5), slow_n=10)
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#固定每次买入1000股
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my_mm = MM_FixedCount(1000)
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@ -19,38 +19,36 @@
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双线交叉信号指示器
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^^^^^^^^^^^^^^^^^^
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.. py:function:: SG_Cross(fast, slow[, kpart = "CLOSE"])
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.. py:function:: SG_Cross(fast, slow)
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双线交叉指示器，当快线从下向上穿越慢线时，买入；当快线从上向下穿越慢线时，卖出。如：5日MA上穿10日MA时买入，5日MA线下穿MA10日线时卖出::
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SG_Cross(OP(MA(n=10)), OP(MA(n=30)))
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SG_Cross(MA(CLOSE(), n=10), OP(MA(n=30)))
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:param Indicator fast: 快线
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:param Indicator slow: 慢线
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:param string kpart: OPEN|HIGH|LOW|CLOSE|AMO|VOL|KDATA
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:return: 信号指示器
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金叉信号指示器
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^^^^^^^^^^^^^^^
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.. py:function:: SG_CrossGold(fast, slow[, kpart = "CLOSE"])
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.. py:function:: SG_CrossGold(fast, slow)
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金叉指示器，当快线从下向上穿越慢线且快线和慢线的方向都是向上时为金叉，买入；
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当快线从上向下穿越慢线且快线和慢线的方向都是向下时死叉，卖出。::
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SG_CrossGold(OP(MA(n=10)), OP(MA(n=30)))
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SG_CrossGold(MA(CLOSE(), n=10), MA(CLOSE(), n=30))
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:param Indicator fast: 快线
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:param Indicator slow: 慢线
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:param string kpart: OPEN|HIGH|LOW|CLOSE|AMO|VOL|KDATA
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:return: 信号指示器
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单线拐点信号指示器
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^^^^^^^^^^^^^^^^^^
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.. py:function:: SG_Single(ind[, filter_n = 10, filter_p = 0.1, kpart='CLOSE'])
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.. py:function:: SG_Single(ind[, filter_n = 10, filter_p = 0.1])
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生成单线拐点信号指示器。使用《精明交易者》 [BOOK1]_ 中给出的曲线拐点算法判断曲线趋势，公式见下::
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@ -63,10 +61,9 @@
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:param Indicator ind:
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:param int filer_n: N日周期
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:param float filter_p: 过滤器百分比
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:param string kpart: KDATA|OPEN|HIGH|LOW|CLOSE|AMO|VOL
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:return: 信号指示器
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.. py:function:: SG_Single2(ind[, filter_n = 10, filter_p = 0.1, kpart='CLOSE'])
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.. py:function:: SG_Single2(ind[, filter_n = 10, filter_p = 0.1])
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生成单线拐点信号指示器2 [BOOK1]_::
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@ -78,31 +75,28 @@
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:param Indicator ind:
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:param int filer_n: N日周期
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:param float filter_p: 过滤器百分比
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:param string kpart: KDATA|OPEN|HIGH|LOW|CLOSE|AMO|VOL
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:return: 信号指示器
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自交叉单线拐点指示器
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^^^^^^^^^^^^^^^^^^^^
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.. py:function:: SG_Flex(ind, slow_n[, kpart = 'CLOSE'])
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.. py:function:: SG_Flex(ind, slow_n)
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使用自身的EMA(slow_n)作为慢线，自身作为快线，快线向上穿越慢线买入，快线向下穿越慢线卖出。
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:param Indicator ind:
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:param int slow_n: 慢线EMA周期
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:param string kpart: KDATA|OPEN|HIGH|LOW|CLOSE|AMO|VOL
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:return: 信号指示器
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布尔信号指示器
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^^^^^^^^^^^^^^^^
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.. py:function:: SG_Bool(buy, sell[, kpart='CLOSE'])
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.. py:function:: SG_Bool(buy, sell)
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布尔信号指示器，使用运算结果为类似bool数组的Indicator分别作为买入、卖出指示。
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:param Indicator buy: 买入指示（结果Indicator中相应位置>0则代表买入）
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:param Indicator sell: 卖出指示（结果Indicator中相应位置>0则代表卖出）
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:param string kpart: KDATA|OPEN|HIGH|LOW|CLOSE|AMO|VOL
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:return: 信号指示器
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@ -32,7 +32,7 @@
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my_tm = crtTM(init_cash = 300000)
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#创建信号指示器（以5日EMA为快线，5日EMA自身的10日EMA作为慢线，快线向上穿越慢线时买入，反之卖出）
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my_sg = SG_Flex(OP(EMA(n=5)), slow_n=10)
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my_sg = SG_Flex(EMA(CLOSE(), n=5), slow_n=10)
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#固定每次买入1000股
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my_mm = MM_FixedCount(1000)
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@ -41,7 +41,7 @@ Hikyuu Quant Framework是一款基于C++/Python的开源量化交易研究框架
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my_tm = crtTM(init_cash = 300000)
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#创建信号指示器（以5日EMA为快线，5日EMA自身的10日EMA作为慢线，快线向上穿越慢线时买入，反之卖出）
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my_sg = SG_Flex(OP(EMA(n=5)), slow_n=10)
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my_sg = SG_Flex(EMA(CLOSE(), n=5), slow_n=10)
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#固定每次买入1000股
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my_mm = MM_FixedCount(1000)
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@ -34,23 +34,14 @@
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"""
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from hikyuu import (
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Query, StockManager, AMA, STDEV, CVAL, PRICELIST, EMA, CLOSE, HIGH, LOW, OPEN, KDATA, POS,
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SG_Single, SG_Cross, SG_Flex, BUSINESS
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)
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from .drawplot import (
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show_gcf, create_figure, ax_set_locator_formatter, adjust_axes_show, ax_draw_macd
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Query, StockManager, AMA, STDEV, CVAL, PRICELIST, EMA, CLOSE, HIGH, LOW, OPEN, KDATA, POS, SG_Single, SG_Cross,
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SG_Flex, BUSINESS
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)
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from .drawplot import (show_gcf, create_figure, ax_set_locator_formatter, adjust_axes_show, ax_draw_macd)
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def draw(
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stock,
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query=Query(-130),
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n=10,
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filter_n=20,
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filter_p=0.1,
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sg_type="CROSS",
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show_high_low=False,
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arrow_style=1
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stock, query=Query(-130), n=10, filter_n=20, filter_p=0.1, sg_type="CROSS", show_high_low=False, arrow_style=1
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):
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"""绘制佩里.J.考夫曼（Perry J.Kaufman） 自适应移动平均系统(AMA)"""
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kdata = stock.get_kdata(query)
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@ -77,7 +68,7 @@ def draw(
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lama.plot(axes=ax1, color='g', legend_on=True, kref=kdata)
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if sg_type == 'CROSS':
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fast_op = AMA(n=n)
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fast_op = AMA(CLOSE(), n=n)
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slow_op = EMA(n=2 * n)(fast_op)
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sg = SG_Cross(fast_op, slow_op)
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sg.plot(axes=ax1, kdata=kdata)
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@ -170,10 +161,10 @@ def draw2(
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else:
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print("sg_type only in ('CORSS', 'SINGLE')")
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a = POS(block, query, SG_Flex(AMA(n=3), 6))
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a = POS(block, query, SG_Flex(AMA(CLOSE(), n=3), 6))
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a.name = "POS(3)"
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a.plot(axes=ax2, color='b', marker='.', legend_on=True, kref=kdata)
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a = POS(block, query, SG_Flex(AMA(n=30), 60))
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a = POS(block, query, SG_Flex(AMA(CLOSE(), n=30), 60))
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a.name = "POS(30)"
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a.plot(axes=ax2, color='g', marker='.', legend_on=True, kref=kdata)
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@ -35,22 +35,11 @@ from hikyuu.util.mylog import spend_time
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from hikyuu import Query
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from hikyuu.indicator import Indicator, IF, MA, CLOSE, VOL, CVAL, PRICELIST, SG_Cross
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from .drawplot import (
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create_figure, get_current_draw_engine, ax_set_locator_formatter, adjust_axes_show,
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ax_draw_macd, show_gcf
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create_figure, get_current_draw_engine, ax_set_locator_formatter, adjust_axes_show, ax_draw_macd, show_gcf
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)
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def draw(
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stock,
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query=Query(-130),
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ma1_n=5,
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ma2_n=10,
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ma3_n=20,
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ma4_n=60,
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ma5_n=100,
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vma1_n=5,
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vma2_n=10
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):
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def draw(stock, query=Query(-130), ma1_n=5, ma2_n=10, ma3_n=20, ma4_n=60, ma5_n=100, vma1_n=5, vma2_n=10):
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"""绘制普通K线图 + 成交量（成交金额）"""
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kdata = stock.get_kdata(query)
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close = CLOSE(kdata, )
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@ -68,7 +57,7 @@ def draw(
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ma4.plot(axes=ax1, legend_on=True, kref=kdata)
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ma5.plot(axes=ax1, legend_on=True, kref=kdata)
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sg = SG_Cross(MA(n=ma1_n), MA(n=ma2_n))
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sg = SG_Cross(MA(CLOSE(), n=ma1_n), MA(CLOSE(), n=ma2_n))
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sg.to = kdata
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sg.plot(axes=ax1, kdata=kdata)
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@ -94,17 +83,7 @@ def draw(
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return show_gcf()
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def draw2(
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stock,
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query=Query(-130),
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ma1_n=7,
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ma2_n=20,
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ma3_n=30,
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ma4_n=42,
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ma5_n=100,
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vma1_n=5,
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vma2_n=10
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):
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def draw2(stock, query=Query(-130), ma1_n=7, ma2_n=20, ma3_n=30, ma4_n=42, ma5_n=100, vma1_n=5, vma2_n=10):
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"""绘制普通K线图 + 成交量（成交金额）+ MACD"""
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kdata = stock.get_kdata(query)
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close = CLOSE(kdata)
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@ -68,9 +68,9 @@
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"name": "python",
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"nbconvert_exporter": "python",
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"pygments_lexer": "ipython3",
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"version": "3.9.7"
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"version": "3.9.16"
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}
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},
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"nbformat": 4,
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"nbformat_minor": 1
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"nbformat_minor": 4
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}
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File diff suppressed because one or more lines are too long
@ -9,17 +9,20 @@
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"warning: can't import TA-Lib, will be ignored! You can fetch ta-lib from https://www.lfd.uci.edu/~gohlke/pythonlibs/#ta-lib\n",
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"std::cout are redirected to python::stdout\n",
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"std::cerr are redirected to python::stderr\n",
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"2021-02-10 22:54:27.023 [HKU-I] - Using SQLITE3 BaseInfoDriver (BaseInfoDriver.cpp:58)\n",
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"2021-02-10 22:54:27.025 [HKU-I] - Loading market information... (StockManager.cpp:473)\n",
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"2021-02-10 22:54:27.026 [HKU-I] - Loading stock type information... (StockManager.cpp:486)\n",
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"2021-02-10 22:54:27.027 [HKU-I] - Loading stock information... (StockManager.cpp:422)\n",
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"2021-02-10 22:54:27.130 [HKU-I] - Loading stock weight... (StockManager.cpp:503)\n",
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"2021-02-10 22:54:28.440 [HKU-I] - Loading KData... (StockManager.cpp:138)\n",
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"2021-02-10 22:54:28.446 [HKU-I] - Preloading all day kdata to buffer! (StockManager.cpp:161)\n",
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"2021-02-10 22:54:28.468 [HKU-I] - 0.03s Loaded Data. (StockManager.cpp:149)\n",
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"Wall time: 2.72 s\n"
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"2023-10-14 02:21:14.516 [HKU-I] - Using SQLITE3 BaseInfoDriver (BaseInfoDriver.cpp:58)\n",
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"2023-10-14 02:21:14.517 [HKU-I] - Loading market information... (StockManager.cpp:499)\n",
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"2023-10-14 02:21:14.517 [HKU-I] - Loading stock type information... (StockManager.cpp:512)\n",
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"2023-10-14 02:21:14.518 [HKU-I] - Loading stock information... (StockManager.cpp:426)\n",
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"2023-10-14 02:21:14.572 [HKU-I] - Loading stock weight... (StockManager.cpp:529)\n",
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"2023-10-14 02:21:14.988 [HKU-I] - Loading KData... (StockManager.cpp:134)\n",
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"2023-10-14 02:21:14.993 [HKU-I] - Preloading all day kdata to buffer! (StockManager.cpp:157)\n",
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"2023-10-14 02:21:14.994 [HKU-I] - Preloading all week kdata to buffer! (StockManager.cpp:160)\n",
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"2023-10-14 02:21:14.994 [HKU-I] - Preloading all month kdata to buffer! (StockManager.cpp:163)\n",
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"2023-10-14 02:21:15.008 [HKU-I] - 0.02s Loaded Data. (StockManager.cpp:145)\n",
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"Wall time: 1.2 s\n"
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]
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}
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],
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@ -71,21 +74,19 @@
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{
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"cell_type": "code",
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"execution_count": 3,
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"metadata": {
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"scrolled": false
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},
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"全部数量: 6067\n"
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"全部数量: 7928\n"
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]
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},
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{
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"data": {
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"text/plain": [
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"6067"
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"7928"
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]
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},
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"execution_count": 3,
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@ -125,8 +126,16 @@
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"output_type": "stream",
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"text": [
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"Stock(SH, 600175, 美都能源, A股, 0, 1999-04-08 00:00:00, +infinity)\n",
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"Stock(SH, 600260, *ST凯乐, A股, 0, 2000-07-06 00:00:00, +infinity)\n",
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||||
"Stock(SH, 600240, *ST华业, A股, 0, 2000-06-28 00:00:00, +infinity)\n",
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"Stock(SH, 600270, 外运发展, A股, 0, 2000-12-28 00:00:00, +infinity)\n"
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"Stock(SH, 600614, *ST鹏起, A股, 0, 1992-08-28 00:00:00, +infinity)\n",
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"Stock(SH, 600687, *ST刚泰, A股, 0, 1993-11-08 00:00:00, +infinity)\n",
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"Stock(SH, 600093, 退市易见, A股, 0, 1997-06-26 00:00:00, +infinity)\n",
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"Stock(SH, 600122, *ST宏图, A股, 0, 1998-04-20 00:00:00, +infinity)\n",
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"Stock(SH, 600393, ST粤泰, A股, 0, 2001-03-19 00:00:00, +infinity)\n",
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"Stock(SH, 600978, *ST宜生, A股, 0, 2004-08-24 00:00:00, +infinity)\n",
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"Stock(SH, 600270, 外运发展, A股, 0, 2000-12-28 00:00:00, +infinity)\n",
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"Stock(SH, 600856, 退市中天, A股, 0, 1994-04-25 00:00:00, +infinity)\n"
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]
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}
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],
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@ -159,7 +168,7 @@
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"Stock(SZ, 002685, 华东重机, A股, 1, 2012-06-12 00:00:00, +infinity)\n",
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"Stock(SZ, 002339, 积成电子, A股, 1, 2010-01-22 00:00:00, +infinity)\n",
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"Stock(SZ, 000728, 国元证券, A股, 1, 1997-05-22 00:00:00, +infinity)\n",
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"Stock(SZ, 000958, 东方能源, A股, 1, 1999-12-23 00:00:00, +infinity)\n",
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"Stock(SZ, 000958, 电投产融, A股, 1, 1999-12-23 00:00:00, +infinity)\n",
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"Stock(SZ, 000001, 平安银行, A股, 1, 1991-01-02 00:00:00, +infinity)\n",
|
||||
"Stock(SH, 600601, 方正科技, A股, 1, 1990-12-19 00:00:00, +infinity)\n",
|
||||
"Stock(SH, 600050, 中国联通, A股, 1, 2002-10-09 00:00:00, +infinity)\n",
|
||||
@ -247,7 +256,11 @@
|
||||
"Weight(2019-06-30 00:00:00, 0, 0, 0, 0, 0, 1.71704e+06, 1.71702e+06)\n",
|
||||
"Weight(2019-09-18 00:00:00, 0, 0, 0, 0, 0, 1.94059e+06, 1.94058e+06)\n",
|
||||
"Weight(2020-05-28 00:00:00, 0, 0, 0, 2.18, 0, 1.94059e+06, 1.94058e+06)\n",
|
||||
"Weight(2020-12-31 00:00:00, 0, 0, 0, 0, 0, 1.94059e+06, 1.94058e+06)\n"
|
||||
"Weight(2020-12-31 00:00:00, 0, 0, 0, 0, 0, 1.94059e+06, 1.94058e+06)\n",
|
||||
"Weight(2021-05-14 00:00:00, 0, 0, 0, 1.799, 0, 1.94059e+06, 1.94058e+06)\n",
|
||||
"Weight(2021-12-31 00:00:00, 0, 0, 0, 0, 0, 1.94059e+06, 1.94055e+06)\n",
|
||||
"Weight(2022-07-22 00:00:00, 0, 0, 0, 2.279, 0, 1.94059e+06, 1.94055e+06)\n",
|
||||
"Weight(2023-06-14 00:00:00, 0, 0, 0, 2.849, 0, 1.94059e+06, 1.94055e+06)\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
@ -267,7 +280,7 @@
|
||||
],
|
||||
"metadata": {
|
||||
"kernelspec": {
|
||||
"display_name": "Python 3",
|
||||
"display_name": "Python 3 (ipykernel)",
|
||||
"language": "python",
|
||||
"name": "python3"
|
||||
},
|
||||
@ -281,9 +294,9 @@
|
||||
"name": "python",
|
||||
"nbconvert_exporter": "python",
|
||||
"pygments_lexer": "ipython3",
|
||||
"version": "3.8.3"
|
||||
"version": "3.9.16"
|
||||
}
|
||||
},
|
||||
"nbformat": 4,
|
||||
"nbformat_minor": 1
|
||||
"nbformat_minor": 4
|
||||
}
|
||||
|
||||
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
@ -9,19 +9,20 @@
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"warning: can't import TA-Lib, will be ignored! You can fetch ta-lib from https://www.lfd.uci.edu/~gohlke/pythonlibs/#ta-lib\n",
|
||||
"std::cout are redirected to python::stdout\n",
|
||||
"std::cerr are redirected to python::stderr\n",
|
||||
"2022-06-30 00:49:42.300 [HKU-I] - Using SQLITE3 BaseInfoDriver (BaseInfoDriver.cpp:58)\n",
|
||||
"2022-06-30 00:49:42.301 [HKU-I] - Loading market information... (StockManager.cpp:497)\n",
|
||||
"2022-06-30 00:49:42.301 [HKU-I] - Loading stock type information... (StockManager.cpp:510)\n",
|
||||
"2022-06-30 00:49:42.301 [HKU-I] - Loading stock information... (StockManager.cpp:424)\n",
|
||||
"2022-06-30 00:49:42.348 [HKU-I] - Loading stock weight... (StockManager.cpp:527)\n",
|
||||
"2022-06-30 00:49:42.714 [HKU-I] - Loading KData... (StockManager.cpp:139)\n",
|
||||
"2022-06-30 00:49:42.717 [HKU-I] - Preloading all day kdata to buffer! (StockManager.cpp:162)\n",
|
||||
"2022-06-30 00:49:42.717 [HKU-I] - Preloading all week kdata to buffer! (StockManager.cpp:165)\n",
|
||||
"2022-06-30 00:49:42.717 [HKU-I] - Preloading all month kdata to buffer! (StockManager.cpp:168)\n",
|
||||
"2022-06-30 00:49:42.729 [HKU-I] - 0.01s Loaded Data. (StockManager.cpp:150)\n",
|
||||
"Wall time: 1.08 s\n"
|
||||
"2023-10-14 02:24:00.639 [HKU-I] - Using SQLITE3 BaseInfoDriver (BaseInfoDriver.cpp:58)\n",
|
||||
"2023-10-14 02:24:00.640 [HKU-I] - Loading market information... (StockManager.cpp:499)\n",
|
||||
"2023-10-14 02:24:00.640 [HKU-I] - Loading stock type information... (StockManager.cpp:512)\n",
|
||||
"2023-10-14 02:24:00.641 [HKU-I] - Loading stock information... (StockManager.cpp:426)\n",
|
||||
"2023-10-14 02:24:00.691 [HKU-I] - Loading stock weight... (StockManager.cpp:529)\n",
|
||||
"2023-10-14 02:24:01.039 [HKU-I] - Loading KData... (StockManager.cpp:134)\n",
|
||||
"2023-10-14 02:24:01.043 [HKU-I] - Preloading all day kdata to buffer! (StockManager.cpp:157)\n",
|
||||
"2023-10-14 02:24:01.043 [HKU-I] - Preloading all week kdata to buffer! (StockManager.cpp:160)\n",
|
||||
"2023-10-14 02:24:01.044 [HKU-I] - Preloading all month kdata to buffer! (StockManager.cpp:163)\n",
|
||||
"2023-10-14 02:24:01.055 [HKU-I] - 0.02s Loaded Data. (StockManager.cpp:145)\n",
|
||||
"Wall time: 1.09 s\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
@ -32,9 +33,7 @@
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {
|
||||
"collapsed": true
|
||||
},
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"# 1 利用 TM 实现简单的记账本\n",
|
||||
"\n",
|
||||
@ -73,7 +72,7 @@
|
||||
" current borrow_cash: 0.00,\n",
|
||||
" current borrow_asset: 0.00,\n",
|
||||
" Position: \n",
|
||||
" SZ000001 平安银行 2017-01-03 00:00:00 1333 100.00 911.00 1464.00 553.00 60.70% 0.55%\n",
|
||||
" SZ000001 平安银行 2017-01-03 00:00:00 1646 100.00 911.00 1100.00 189.00 20.75% 0.19%\n",
|
||||
" Short Position: \n",
|
||||
" Borrow Stock: \n",
|
||||
"}\n"
|
||||
@ -143,12 +142,12 @@
|
||||
" <th>SZ000001</th>\n",
|
||||
" <td>平安银行</td>\n",
|
||||
" <td>2017-01-03</td>\n",
|
||||
" <td>1333</td>\n",
|
||||
" <td>1646</td>\n",
|
||||
" <td>100</td>\n",
|
||||
" <td>911.0</td>\n",
|
||||
" <td>1464.0</td>\n",
|
||||
" <td>553.0</td>\n",
|
||||
" <td>60.702525</td>\n",
|
||||
" <td>1100.0</td>\n",
|
||||
" <td>189.0</td>\n",
|
||||
" <td>20.746432</td>\n",
|
||||
" </tr>\n",
|
||||
" </tbody>\n",
|
||||
"</table>\n",
|
||||
@ -157,7 +156,7 @@
|
||||
"text/plain": [
|
||||
" 证券名称 买入日期 已持仓天数 持仓数量 投入金额 当前市值 盈亏金额 盈亏比例\n",
|
||||
"证券代码 \n",
|
||||
"SZ000001 平安银行 2017-01-03 1333 100 911.0 1464.0 553.0 60.702525"
|
||||
"SZ000001 平安银行 2017-01-03 1646 100 911.0 1100.0 189.0 20.746432"
|
||||
]
|
||||
},
|
||||
"execution_count": 3,
|
||||
@ -300,19 +299,18 @@
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"买入：SZ000001 18.300 1000\n",
|
||||
"卖出：SZ000001 17.510 1000\n",
|
||||
"买入：SZ000001 17.410 1000\n",
|
||||
"卖出：SZ000001 17.000 1000\n",
|
||||
"买入：SZ000001 17.340 1000\n",
|
||||
"卖出：SZ000001 16.500 1000\n",
|
||||
"买入：SZ000001 17.030 1000\n",
|
||||
"卖出：SZ000001 16.350 1000\n",
|
||||
"买入：SZ000001 15.110 1000\n",
|
||||
"卖出：SZ000001 14.880 1000\n",
|
||||
"买入：SZ000001 14.740 1000\n",
|
||||
"卖出：SZ000001 14.090 1000\n",
|
||||
"买入：SZ000001 14.470 1000\n"
|
||||
"买入：SZ000001 12.930 1000\n",
|
||||
"卖出：SZ000001 12.480 1000\n",
|
||||
"买入：SZ000001 12.940 1000\n",
|
||||
"卖出：SZ000001 12.580 1000\n",
|
||||
"买入：SZ000001 11.410 1000\n",
|
||||
"卖出：SZ000001 11.230 1000\n",
|
||||
"买入：SZ000001 11.330 1000\n",
|
||||
"卖出：SZ000001 11.450 1000\n",
|
||||
"买入：SZ000001 11.650 1000\n",
|
||||
"卖出：SZ000001 11.690 1000\n",
|
||||
"买入：SZ000001 11.400 1000\n",
|
||||
"卖出：SZ000001 11.280 1000\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
@ -328,7 +326,7 @@
|
||||
"my_tm.broker_last_datetime=Datetime(201701010000)\n",
|
||||
"\n",
|
||||
"#创建信号指示器（以5日EMA为快线，5日EMA自身的10日EMA作为慢线，快线向上穿越慢线时买入，反之卖出）\n",
|
||||
"my_sg = SG_Flex(EMA(n=5), slow_n=10)\n",
|
||||
"my_sg = SG_Flex(EMA(C, n=5), slow_n=10)\n",
|
||||
"\n",
|
||||
"#固定每次买入1000股\n",
|
||||
"my_mm = MM_FixedCount(1000)\n",
|
||||
@ -362,9 +360,9 @@
|
||||
"name": "python",
|
||||
"nbconvert_exporter": "python",
|
||||
"pygments_lexer": "ipython3",
|
||||
"version": "3.9.7"
|
||||
"version": "3.9.16"
|
||||
}
|
||||
},
|
||||
"nbformat": 4,
|
||||
"nbformat_minor": 1
|
||||
"nbformat_minor": 4
|
||||
}
|
||||
|
||||
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
@ -56,7 +56,7 @@ def SYS_Simple(tm=None, mm=None, ev=None, cn=None, sg=None, st=None, tp=None, pg
|
||||
|
||||
#创建信号指示器（以5日EMA为快线，5日EMA自身的10日EMA作为慢线，快线向上穿越
|
||||
#慢线时买入，反之卖出）
|
||||
my_sg = SG_Flex(EMA(n=5), slow_n=10)
|
||||
my_sg = SG_Flex(EMA(C, n=5), slow_n=10)
|
||||
|
||||
#固定每次买入1000股
|
||||
my_mm = MM_FixedCount(1000)
|
||||
|
||||
@ -13,8 +13,7 @@
|
||||
|
||||
namespace hku {
|
||||
|
||||
SignalPtr HKU_API SG_Band(const Indicator& sig, price_t lower, price_t upper,
|
||||
const string& kpart = "CLOSE");
|
||||
SignalPtr HKU_API SG_Band(const Indicator& sig, price_t lower, price_t upper);
|
||||
|
||||
} /* namespace hku */
|
||||
|
||||
|
||||
@ -18,12 +18,10 @@ namespace hku {
|
||||
* 双线交叉指示器，当快线从下向上穿越慢线时，买入；当快线从上向下穿越慢线时，卖出。
|
||||
* @param fast 快线
|
||||
* @param slow 慢线
|
||||
* @param kpart KDATA|OPEN|HIGH|LOW|CLOSE|AMO|VOL
|
||||
* @return 信号指示器
|
||||
* @ingroup Signal
|
||||
*/
|
||||
SignalPtr HKU_API SG_Cross(const Indicator& fast, const Indicator& slow,
|
||||
const string& kpart = "CLOSE");
|
||||
SignalPtr HKU_API SG_Cross(const Indicator& fast, const Indicator& slow);
|
||||
|
||||
} /* namespace hku */
|
||||
|
||||
|
||||
@ -19,12 +19,10 @@ namespace hku {
|
||||
* 当快线从上向下穿越慢线且快线和慢线的方向都是向下时死叉，卖出。
|
||||
* @param fast 快线
|
||||
* @param slow 慢线
|
||||
* @param kpart KDATA|OPEN|HIGH|LOW|CLOSE|AMO|VOL
|
||||
* @return 信号指示器
|
||||
* @ingroup Signal
|
||||
*/
|
||||
SignalPtr HKU_API SG_CrossGold(const Indicator& fast, const Indicator& slow,
|
||||
const string& kpart = "CLOSE");
|
||||
SignalPtr HKU_API SG_CrossGold(const Indicator& fast, const Indicator& slow);
|
||||
|
||||
} /* namespace hku */
|
||||
|
||||
|
||||
@ -10,8 +10,8 @@
|
||||
|
||||
namespace hku {
|
||||
|
||||
SignalPtr HKU_API SG_Flex(const Indicator& op, int slow_n, const string& kpart) {
|
||||
SignalPtr sg = SG_Cross(op, EMA(slow_n)(op), kpart);
|
||||
SignalPtr HKU_API SG_Flex(const Indicator& op, int slow_n) {
|
||||
SignalPtr sg = SG_Cross(op, EMA(slow_n)(op));
|
||||
sg->name("SG_Flex");
|
||||
return sg;
|
||||
}
|
||||
|
||||
@ -19,11 +19,10 @@ namespace hku {
|
||||
* 使用自身的EMA(slow_n)作为慢线，自身作为快线，快线向上穿越慢线买入，快线向下穿越慢线卖出。
|
||||
* @param op
|
||||
* @param slow_n 慢线EMA周期
|
||||
* @param kpart KDATA|OPEN|HIGH|LOW|CLOSE|AMO|VOL
|
||||
* @return 信号指示器
|
||||
* @ingroup Signal
|
||||
*/
|
||||
SignalPtr HKU_API SG_Flex(const Indicator& op, int slow_n, const string& kpart = "CLOSE");
|
||||
SignalPtr HKU_API SG_Flex(const Indicator& op, int slow_n);
|
||||
|
||||
} /* namespace hku */
|
||||
|
||||
|
||||
@ -28,12 +28,10 @@ namespace hku {
|
||||
* @param ind
|
||||
* @param filter_n N日周期
|
||||
* @param filter_p 过滤器百分比
|
||||
* @param kpart KDATA|OPEN|HIGH|LOW|CLOSE|AMO|VOL
|
||||
* @return
|
||||
* @ingroup Signal
|
||||
*/
|
||||
SignalPtr HKU_API SG_Single(const Indicator& ind, int filter_n = 20, double filter_p = 0.1,
|
||||
const string& kpart = "CLOSE");
|
||||
SignalPtr HKU_API SG_Single(const Indicator& ind, int filter_n = 20, double filter_p = 0.1);
|
||||
|
||||
/**
|
||||
* 单线拐点信号指示器2
|
||||
@ -48,12 +46,10 @@ SignalPtr HKU_API SG_Single(const Indicator& ind, int filter_n = 20, double filt
|
||||
* @param ind
|
||||
* @param filter_n N日周期
|
||||
* @param filter_p 过滤器百分比
|
||||
* @param kpart KDATA|OPEN|HIGH|LOW|CLOSE|AMO|VOL
|
||||
* @return
|
||||
* @ingroup Signal
|
||||
*/
|
||||
SignalPtr HKU_API SG_Single2(const Indicator& ind, int filter_n = 20, double filter_p = 0.1,
|
||||
const string& kpart = "CLOSE");
|
||||
SignalPtr HKU_API SG_Single2(const Indicator& ind, int filter_n = 20, double filter_p = 0.1);
|
||||
|
||||
} /* namespace hku */
|
||||
|
||||
|
||||
@ -9,13 +9,10 @@
|
||||
|
||||
namespace hku {
|
||||
|
||||
BandSignal::BandSignal() : SignalBase("SG_Band") {
|
||||
setParam<string>("kpart", "CLOSE");
|
||||
}
|
||||
BandSignal::BandSignal() : SignalBase("SG_Band") {}
|
||||
|
||||
BandSignal::BandSignal(const Indicator& ind, price_t lower, price_t upper, const string& kpart)
|
||||
BandSignal::BandSignal(const Indicator& ind, price_t lower, price_t upper)
|
||||
: SignalBase("SG_Band"), m_ind(ind), m_lower(lower), m_upper(upper) {
|
||||
setParam<string>("kpart", kpart);
|
||||
HKU_ERROR_IF(m_lower > m_upper, "BandSignal: lower track is greater than upper track");
|
||||
}
|
||||
|
||||
@ -30,10 +27,7 @@ SignalPtr BandSignal::_clone() {
|
||||
}
|
||||
|
||||
void BandSignal::_calculate() {
|
||||
string kpart = getParam<string>("kpart");
|
||||
Indicator kdata = KDATA_PART(m_kdata, kpart);
|
||||
|
||||
Indicator ind = m_ind(kdata);
|
||||
Indicator ind = m_ind(m_kdata);
|
||||
size_t discard = ind.discard();
|
||||
size_t total = ind.size();
|
||||
|
||||
@ -46,9 +40,8 @@ void BandSignal::_calculate() {
|
||||
}
|
||||
}
|
||||
|
||||
SignalPtr HKU_API SG_Band(const Indicator& sig, price_t lower, price_t upper,
|
||||
const string& kpart = "CLOSE") {
|
||||
return SignalPtr(new BandSignal(sig, lower, upper, kpart));
|
||||
SignalPtr HKU_API SG_Band(const Indicator& sig, price_t lower, price_t upper) {
|
||||
return SignalPtr(new BandSignal(sig, lower, upper));
|
||||
}
|
||||
|
||||
} // namespace hku
|
||||
@ -17,7 +17,7 @@ namespace hku {
|
||||
class BandSignal : public SignalBase {
|
||||
public:
|
||||
BandSignal();
|
||||
BandSignal(const Indicator& sig, price_t lower, price_t upper, const string& kpart);
|
||||
BandSignal(const Indicator& sig, price_t lower, price_t upper);
|
||||
virtual ~BandSignal();
|
||||
|
||||
virtual SignalPtr _clone() override;
|
||||
|
||||
@ -10,14 +10,10 @@
|
||||
|
||||
namespace hku {
|
||||
|
||||
CrossGoldSignal::CrossGoldSignal() : SignalBase("SG_CrossGold") {
|
||||
setParam<string>("kpart", "CLOSE");
|
||||
}
|
||||
CrossGoldSignal::CrossGoldSignal() : SignalBase("SG_CrossGold") {}
|
||||
|
||||
CrossGoldSignal::CrossGoldSignal(const Indicator& fast, const Indicator& slow, const string& kpart)
|
||||
: SignalBase("SG_CrossGold"), m_fast(fast), m_slow(slow) {
|
||||
setParam<string>("kpart", kpart);
|
||||
}
|
||||
CrossGoldSignal::CrossGoldSignal(const Indicator& fast, const Indicator& slow)
|
||||
: SignalBase("SG_CrossGold"), m_fast(fast), m_slow(slow) {}
|
||||
|
||||
CrossGoldSignal::~CrossGoldSignal() {}
|
||||
|
||||
@ -29,10 +25,8 @@ SignalPtr CrossGoldSignal::_clone() {
|
||||
}
|
||||
|
||||
void CrossGoldSignal::_calculate() {
|
||||
string kpart = getParam<string>("kpart");
|
||||
Indicator kdata = KDATA_PART(m_kdata, kpart);
|
||||
Indicator fast = m_fast(kdata);
|
||||
Indicator slow = m_slow(kdata);
|
||||
Indicator fast = m_fast(m_kdata);
|
||||
Indicator slow = m_slow(m_kdata);
|
||||
HKU_ERROR_IF_RETURN(fast.size() != slow.size(), void(), "fast.size() != slow.size()");
|
||||
|
||||
size_t discard = fast.discard() > slow.discard() ? fast.discard() : slow.discard();
|
||||
@ -48,8 +42,8 @@ void CrossGoldSignal::_calculate() {
|
||||
}
|
||||
}
|
||||
|
||||
SignalPtr HKU_API SG_CrossGold(const Indicator& fast, const Indicator& slow, const string& kpart) {
|
||||
return SignalPtr(new CrossGoldSignal(fast, slow, kpart));
|
||||
SignalPtr HKU_API SG_CrossGold(const Indicator& fast, const Indicator& slow) {
|
||||
return SignalPtr(new CrossGoldSignal(fast, slow));
|
||||
}
|
||||
|
||||
} /* namespace hku */
|
||||
|
||||
@ -17,7 +17,7 @@ namespace hku {
|
||||
class CrossGoldSignal : public SignalBase {
|
||||
public:
|
||||
CrossGoldSignal();
|
||||
CrossGoldSignal(const Indicator& fast, const Indicator& slow, const string& kpart);
|
||||
CrossGoldSignal(const Indicator& fast, const Indicator& slow);
|
||||
virtual ~CrossGoldSignal();
|
||||
|
||||
virtual SignalPtr _clone() override;
|
||||
|
||||
@ -10,14 +10,10 @@
|
||||
|
||||
namespace hku {
|
||||
|
||||
CrossSignal::CrossSignal() : SignalBase("SG_Cross") {
|
||||
setParam<string>("kpart", "CLOSE");
|
||||
}
|
||||
CrossSignal::CrossSignal() : SignalBase("SG_Cross") {}
|
||||
|
||||
CrossSignal::CrossSignal(const Indicator& fast, const Indicator& slow, const string& kpart)
|
||||
: SignalBase("SG_Cross"), m_fast(fast), m_slow(slow) {
|
||||
setParam<string>("kpart", kpart);
|
||||
}
|
||||
CrossSignal::CrossSignal(const Indicator& fast, const Indicator& slow)
|
||||
: SignalBase("SG_Cross"), m_fast(fast), m_slow(slow) {}
|
||||
|
||||
CrossSignal::~CrossSignal() {}
|
||||
|
||||
@ -29,10 +25,8 @@ SignalPtr CrossSignal::_clone() {
|
||||
}
|
||||
|
||||
void CrossSignal::_calculate() {
|
||||
string kpart = getParam<string>("kpart");
|
||||
Indicator kdata = KDATA_PART(m_kdata, kpart);
|
||||
Indicator fast = m_fast(kdata);
|
||||
Indicator slow = m_slow(kdata);
|
||||
Indicator fast = m_fast(m_kdata);
|
||||
Indicator slow = m_slow(m_kdata);
|
||||
HKU_ERROR_IF_RETURN(fast.size() != slow.size(), void(), "fast.size() != slow.size()");
|
||||
|
||||
size_t discard = fast.discard() > slow.discard() ? fast.discard() : slow.discard();
|
||||
@ -46,8 +40,8 @@ void CrossSignal::_calculate() {
|
||||
}
|
||||
}
|
||||
|
||||
SignalPtr HKU_API SG_Cross(const Indicator& fast, const Indicator& slow, const string& kpart) {
|
||||
return SignalPtr(new CrossSignal(fast, slow, kpart));
|
||||
SignalPtr HKU_API SG_Cross(const Indicator& fast, const Indicator& slow) {
|
||||
return SignalPtr(new CrossSignal(fast, slow));
|
||||
}
|
||||
|
||||
} /* namespace hku */
|
||||
|
||||
@ -17,7 +17,7 @@ namespace hku {
|
||||
class CrossSignal : public SignalBase {
|
||||
public:
|
||||
CrossSignal();
|
||||
CrossSignal(const Indicator& fast, const Indicator& slow, const string& kpart);
|
||||
CrossSignal(const Indicator& fast, const Indicator& slow);
|
||||
virtual ~CrossSignal();
|
||||
|
||||
virtual SignalPtr _clone() override;
|
||||
|
||||
@ -15,13 +15,11 @@ namespace hku {
|
||||
SingleSignal::SingleSignal() : SignalBase("SG_Single") {
|
||||
setParam<int>("filter_n", 10);
|
||||
setParam<double>("filter_p", 0.1);
|
||||
setParam<string>("kpart", "CLOSE");
|
||||
}
|
||||
|
||||
SingleSignal::SingleSignal(const Indicator& ind) : SignalBase("SG_Single"), m_ind(ind) {
|
||||
setParam<int>("filter_n", 10);
|
||||
setParam<double>("filter_p", 0.1);
|
||||
setParam<string>("kpart", "CLOSE");
|
||||
}
|
||||
|
||||
SingleSignal::~SingleSignal() {}
|
||||
@ -35,9 +33,8 @@ SignalPtr SingleSignal::_clone() {
|
||||
void SingleSignal::_calculate() {
|
||||
int filter_n = getParam<int>("filter_n");
|
||||
double filter_p = getParam<double>("filter_p");
|
||||
string kpart(getParam<string>("kpart"));
|
||||
|
||||
Indicator ind = m_ind(KDATA_PART(m_kdata, kpart));
|
||||
Indicator ind = m_ind(m_kdata);
|
||||
Indicator dev = STDEV(DIFF(ind), filter_n);
|
||||
|
||||
size_t start = dev.discard();
|
||||
@ -57,12 +54,10 @@ void SingleSignal::_calculate() {
|
||||
}
|
||||
}
|
||||
|
||||
SignalPtr HKU_API SG_Single(const Indicator& ind, int filter_n, double filter_p,
|
||||
const string& kpart) {
|
||||
SignalPtr HKU_API SG_Single(const Indicator& ind, int filter_n, double filter_p) {
|
||||
SingleSignal* p = new SingleSignal(ind);
|
||||
p->setParam<int>("filter_n", filter_n);
|
||||
p->setParam<double>("filter_p", filter_p);
|
||||
p->setParam<string>("kpart", kpart);
|
||||
return SignalPtr(p);
|
||||
}
|
||||
|
||||
|
||||
@ -18,13 +18,11 @@ namespace hku {
|
||||
SingleSignal2::SingleSignal2() : SignalBase("SG_Single2") {
|
||||
setParam<int>("filter_n", 10);
|
||||
setParam<double>("filter_p", 0.1);
|
||||
setParam<string>("kpart", "CLOSE");
|
||||
}
|
||||
|
||||
SingleSignal2::SingleSignal2(const Indicator& ind) : SignalBase("SG_Single2"), m_ind(ind) {
|
||||
setParam<int>("filter_n", 10);
|
||||
setParam<double>("filter_p", 0.1);
|
||||
setParam<string>("kpart", "CLOSE");
|
||||
}
|
||||
|
||||
SingleSignal2::~SingleSignal2() {}
|
||||
@ -38,9 +36,8 @@ SignalPtr SingleSignal2::_clone() {
|
||||
void SingleSignal2::_calculate() {
|
||||
int filter_n = getParam<int>("filter_n");
|
||||
double filter_p = getParam<double>("filter_p");
|
||||
string kpart(getParam<string>("kpart"));
|
||||
|
||||
Indicator ind = m_ind(KDATA_PART(m_kdata, kpart));
|
||||
Indicator ind = m_ind(m_kdata);
|
||||
Indicator dev = REF(STDEV(DIFF(ind), filter_n), 1);
|
||||
|
||||
size_t start = dev.discard();
|
||||
@ -59,12 +56,10 @@ void SingleSignal2::_calculate() {
|
||||
}
|
||||
}
|
||||
|
||||
SignalPtr HKU_API SG_Single2(const Indicator& ind, int filter_n, double filter_p,
|
||||
const string& kpart) {
|
||||
SignalPtr HKU_API SG_Single2(const Indicator& ind, int filter_n, double filter_p) {
|
||||
SingleSignal2* p = new SingleSignal2(ind);
|
||||
p->setParam<int>("filter_n", filter_n);
|
||||
p->setParam<double>("filter_p", filter_p);
|
||||
p->setParam<string>("kpart", kpart);
|
||||
return SignalPtr(p);
|
||||
}
|
||||
|
||||
|
||||
@ -15,6 +15,7 @@
|
||||
#include <hikyuu/trade_sys/system/crt/SYS_Simple.h>
|
||||
#include <hikyuu/trade_sys/signal/crt/SG_CrossGold.h>
|
||||
#include <hikyuu/trade_sys/moneymanager/crt/MM_FixedCount.h>
|
||||
#include <hikyuu/indicator/crt/KDATA.h>
|
||||
#include <hikyuu/indicator/crt/EMA.h>
|
||||
|
||||
using namespace hku;
|
||||
@ -30,13 +31,13 @@ TEST_CASE("test_PF_for_delay_and_no_adjust") {
|
||||
StockManager& sm = StockManager::instance();
|
||||
|
||||
SYSPtr sys = SYS_Simple();
|
||||
sys->setSG(SG_CrossGold(EMA(12), EMA(26)));
|
||||
sys->setSG(SG_CrossGold(EMA(CLOSE(), 12), EMA(CLOSE(), 26)));
|
||||
sys->setMM(MM_FixedCount(100));
|
||||
SYSPtr pro_sys = sys->clone();
|
||||
|
||||
TMPtr tm = crtTM(Datetime(199001010000L), 500000);
|
||||
SEPtr se = SE_Fixed();
|
||||
se->addStockList({sm["sz000001"], sm["sz000063"],sm["sz000651"]}, sys);
|
||||
se->addStockList({sm["sz000001"], sm["sz000063"], sm["sz000651"]}, sys);
|
||||
AFPtr af = AF_EqualWeight();
|
||||
PFPtr pf = PF_Simple(tm, se, af);
|
||||
|
||||
|
||||
@ -11,6 +11,7 @@
|
||||
#include <hikyuu/trade_sys/selector/crt/SE_Fixed.h>
|
||||
#include <hikyuu/trade_sys/signal/crt/SG_Cross.h>
|
||||
#include <hikyuu/trade_sys/moneymanager/crt/MM_FixedCount.h>
|
||||
#include <hikyuu/indicator/crt/KDATA.h>
|
||||
#include <hikyuu/indicator/crt/MA.h>
|
||||
|
||||
using namespace hku;
|
||||
@ -39,7 +40,7 @@ TEST_CASE("test_SE_Fixed") {
|
||||
CHECK_EQ(result.size(), 0);
|
||||
|
||||
/** @arg 试图加入一个缺少MM的系统策略原型 */
|
||||
SGPtr sg = SG_Cross(MA(5), MA(10), "CLOSE");
|
||||
SGPtr sg = SG_Cross(MA(CLOSE(), 5), MA(CLOSE(), 10));
|
||||
MMPtr mm = MM_FixedCount(100);
|
||||
CHECK_UNARY(!se->addStock(sm["sh600000"], sys));
|
||||
|
||||
|
||||
@ -14,6 +14,7 @@
|
||||
#include <boost/archive/xml_iarchive.hpp>
|
||||
#include <hikyuu/StockManager.h>
|
||||
#include <hikyuu/trade_sys/signal/build_in.h>
|
||||
#include <hikyuu/indicator/crt/KDATA.h>
|
||||
#include <hikyuu/indicator/crt/AMA.h>
|
||||
|
||||
using namespace hku;
|
||||
@ -30,7 +31,7 @@ TEST_CASE("test_SG_AMA_export") {
|
||||
string filename(sm.tmpdir());
|
||||
filename += "/SG_AMA.xml";
|
||||
|
||||
SignalPtr sg1 = SG_Single(AMA());
|
||||
SignalPtr sg1 = SG_Single(AMA(CLOSE()));
|
||||
{
|
||||
std::ofstream ofs(filename);
|
||||
boost::archive::xml_oarchive oa(ofs);
|
||||
|
||||
@ -15,6 +15,7 @@
|
||||
#include <hikyuu/trade_sys/moneymanager/crt/MM_FixedCount.h>
|
||||
#include <hikyuu/trade_sys/stoploss/crt/ST_FixedPercent.h>
|
||||
#include <hikyuu/trade_sys/stoploss/crt/ST_Indicator.h>
|
||||
#include <hikyuu/indicator/crt/KDATA.h>
|
||||
|
||||
using namespace hku;
|
||||
|
||||
@ -31,19 +32,19 @@ TEST_CASE("test_SYS_Simple_for_base") {
|
||||
|
||||
StockManager& sm = StockManager::instance();
|
||||
|
||||
//初始参数
|
||||
Datetime init_date(199001010000LL); //账户初始日期
|
||||
price_t init_cash = 100000; //账户初始金额
|
||||
TradeCostPtr costfunc = TC_Zero(); //零成本函数
|
||||
Stock stk = sm["sh600000"]; //选定标的
|
||||
Datetime start_date(199911100000LL); //测试起始日期
|
||||
Datetime end_date(200002250000LL); //测试结束日期
|
||||
// 初始参数
|
||||
Datetime init_date(199001010000LL); // 账户初始日期
|
||||
price_t init_cash = 100000; // 账户初始金额
|
||||
TradeCostPtr costfunc = TC_Zero(); // 零成本函数
|
||||
Stock stk = sm["sh600000"]; // 选定标的
|
||||
Datetime start_date(199911100000LL); // 测试起始日期
|
||||
Datetime end_date(200002250000LL); // 测试结束日期
|
||||
|
||||
KQuery query = KQueryByDate(start_date, end_date, KQuery::DAY);
|
||||
|
||||
//构建系统部件
|
||||
// 构建系统部件
|
||||
TMPtr tm = crtTM(init_date, init_cash, costfunc, "TEST_TM");
|
||||
SGPtr sg = SG_Cross(MA(5), MA(10), "CLOSE");
|
||||
SGPtr sg = SG_Cross(MA(CLOSE(), 5), MA(CLOSE(), 10));
|
||||
MMPtr mm = MM_FixedCount(100);
|
||||
SYSPtr sys;
|
||||
|
||||
|
||||
@ -15,6 +15,7 @@
|
||||
#include <hikyuu/trade_sys/moneymanager/crt/MM_FixedCount.h>
|
||||
#include <hikyuu/trade_sys/stoploss/crt/ST_FixedPercent.h>
|
||||
#include <hikyuu/trade_sys/stoploss/crt/ST_Indicator.h>
|
||||
#include <hikyuu/indicator/crt/KDATA.h>
|
||||
|
||||
using namespace hku;
|
||||
|
||||
@ -31,22 +32,22 @@ TEST_CASE("test_SYS_Simple_for_cn") {
|
||||
|
||||
StockManager& sm = StockManager::instance();
|
||||
|
||||
//初始参数
|
||||
Datetime init_date(199001010000LL); //账户初始日期
|
||||
price_t init_cash = 100000; //账户初始金额
|
||||
TradeCostPtr costfunc = TC_Zero(); //零成本函数
|
||||
Stock stk = sm["sh600000"]; //选定标的
|
||||
Datetime start_date(199911100000LL); //测试起始日期
|
||||
Datetime end_date(200002250000LL); //测试结束日期
|
||||
// 初始参数
|
||||
Datetime init_date(199001010000LL); // 账户初始日期
|
||||
price_t init_cash = 100000; // 账户初始金额
|
||||
TradeCostPtr costfunc = TC_Zero(); // 零成本函数
|
||||
Stock stk = sm["sh600000"]; // 选定标的
|
||||
Datetime start_date(199911100000LL); // 测试起始日期
|
||||
Datetime end_date(200002250000LL); // 测试结束日期
|
||||
|
||||
KQuery query = KQueryByDate(start_date, end_date, KQuery::DAY);
|
||||
|
||||
//构建系统部件
|
||||
// 构建系统部件
|
||||
TMPtr tm = crtTM(init_date, init_cash, costfunc, "TEST_TM");
|
||||
SGPtr sg = SG_Cross(MA(5), MA(10), "CLOSE");
|
||||
SGPtr sg = SG_Cross(MA(CLOSE(), 5), MA(CLOSE(), 10));
|
||||
MMPtr mm = MM_FixedCount(100);
|
||||
STPtr st = ST_FixedPercent(0.01);
|
||||
TPPtr tp = ST_Indicator(MA(5), "CLOSE");
|
||||
TPPtr tp = ST_Indicator(MA(CLOSE(), 5));
|
||||
SYSPtr sys;
|
||||
|
||||
EVPtr ev1 = make_shared<TestEV1>();
|
||||
|
||||
@ -15,6 +15,7 @@
|
||||
#include <hikyuu/trade_sys/moneymanager/crt/MM_FixedCount.h>
|
||||
#include <hikyuu/trade_sys/stoploss/crt/ST_FixedPercent.h>
|
||||
#include <hikyuu/trade_sys/stoploss/crt/ST_Indicator.h>
|
||||
#include <hikyuu/indicator/crt/KDATA.h>
|
||||
|
||||
using namespace hku;
|
||||
|
||||
@ -31,22 +32,22 @@ TEST_CASE("test_SYS_Simple_for_ev") {
|
||||
|
||||
StockManager& sm = StockManager::instance();
|
||||
|
||||
//初始参数
|
||||
Datetime init_date(199001010000LL); //账户初始日期
|
||||
price_t init_cash = 100000; //账户初始金额
|
||||
TradeCostPtr costfunc = TC_Zero(); //零成本函数
|
||||
Stock stk = sm["sh600000"]; //选定标的
|
||||
Datetime start_date(199911100000LL); //测试起始日期
|
||||
Datetime end_date(200002250000LL); //测试结束日期
|
||||
// 初始参数
|
||||
Datetime init_date(199001010000LL); // 账户初始日期
|
||||
price_t init_cash = 100000; // 账户初始金额
|
||||
TradeCostPtr costfunc = TC_Zero(); // 零成本函数
|
||||
Stock stk = sm["sh600000"]; // 选定标的
|
||||
Datetime start_date(199911100000LL); // 测试起始日期
|
||||
Datetime end_date(200002250000LL); // 测试结束日期
|
||||
|
||||
KQuery query = KQueryByDate(start_date, end_date, KQuery::DAY);
|
||||
|
||||
//构建系统部件
|
||||
// 构建系统部件
|
||||
TMPtr tm = crtTM(init_date, init_cash, costfunc, "TEST_TM");
|
||||
SGPtr sg = SG_Cross(MA(5), MA(10), "CLOSE");
|
||||
SGPtr sg = SG_Cross(MA(CLOSE(), 5), MA(CLOSE(), 10));
|
||||
MMPtr mm = MM_FixedCount(100);
|
||||
STPtr st = ST_FixedPercent(0.01);
|
||||
TPPtr tp = ST_Indicator(MA(5), "CLOSE");
|
||||
TPPtr tp = ST_Indicator(MA(CLOSE(), 5));
|
||||
SYSPtr sys;
|
||||
|
||||
EVPtr ev1 = make_shared<TestEV1>();
|
||||
|
||||
@ -16,6 +16,7 @@
|
||||
#include <hikyuu/trade_sys/stoploss/crt/ST_FixedPercent.h>
|
||||
#include <hikyuu/trade_sys/stoploss/crt/ST_Indicator.h>
|
||||
#include <hikyuu/trade_sys/profitgoal/crt/PG_FixedPercent.h>
|
||||
#include <hikyuu/indicator/crt/KDATA.h>
|
||||
|
||||
using namespace hku;
|
||||
|
||||
@ -32,22 +33,22 @@ TEST_CASE("test_SYS_Simple_for_pg") {
|
||||
|
||||
StockManager& sm = StockManager::instance();
|
||||
|
||||
//初始参数
|
||||
Datetime init_date(199001010000LL); //账户初始日期
|
||||
price_t init_cash = 100000; //账户初始金额
|
||||
TradeCostPtr costfunc = TC_Zero(); //零成本函数
|
||||
Stock stk = sm["sh600000"]; //选定标的
|
||||
Datetime start_date(199911100000LL); //测试起始日期
|
||||
Datetime end_date(200002250000LL); //测试结束日期
|
||||
// 初始参数
|
||||
Datetime init_date(199001010000LL); // 账户初始日期
|
||||
price_t init_cash = 100000; // 账户初始金额
|
||||
TradeCostPtr costfunc = TC_Zero(); // 零成本函数
|
||||
Stock stk = sm["sh600000"]; // 选定标的
|
||||
Datetime start_date(199911100000LL); // 测试起始日期
|
||||
Datetime end_date(200002250000LL); // 测试结束日期
|
||||
|
||||
KQuery query = KQueryByDate(start_date, end_date, KQuery::DAY);
|
||||
|
||||
//构建系统部件
|
||||
// 构建系统部件
|
||||
TMPtr tm = crtTM(init_date, init_cash, costfunc, "TEST_TM");
|
||||
SGPtr sg = SG_Cross(MA(5), MA(10), "CLOSE");
|
||||
SGPtr sg = SG_Cross(MA(CLOSE(), 5), MA(CLOSE(), 10));
|
||||
MMPtr mm = MM_FixedCount(100);
|
||||
STPtr st = ST_FixedPercent(0.01);
|
||||
TPPtr tp = ST_Indicator(MA(5), "CLOSE");
|
||||
TPPtr tp = ST_Indicator(MA(CLOSE(), 5));
|
||||
PGPtr pg = PG_FixedPercent(0.01);
|
||||
SYSPtr sys;
|
||||
|
||||
|
||||
@ -15,6 +15,7 @@
|
||||
#include <hikyuu/trade_sys/moneymanager/crt/MM_FixedCount.h>
|
||||
#include <hikyuu/trade_sys/stoploss/crt/ST_FixedPercent.h>
|
||||
#include <hikyuu/trade_sys/stoploss/crt/ST_Indicator.h>
|
||||
#include <hikyuu/indicator/crt/KDATA.h>
|
||||
|
||||
using namespace hku;
|
||||
|
||||
@ -31,19 +32,19 @@ TEST_CASE("test_SYS_Simple_for_st") {
|
||||
|
||||
StockManager& sm = StockManager::instance();
|
||||
|
||||
//初始参数
|
||||
Datetime init_date(199001010000LL); //账户初始日期
|
||||
price_t init_cash = 100000; //账户初始金额
|
||||
TradeCostPtr costfunc = TC_Zero(); //零成本函数
|
||||
Stock stk = sm["sh600000"]; //选定标的
|
||||
Datetime start_date(199911100000LL); //测试起始日期
|
||||
Datetime end_date(200002250000LL); //测试结束日期
|
||||
// 初始参数
|
||||
Datetime init_date(199001010000LL); // 账户初始日期
|
||||
price_t init_cash = 100000; // 账户初始金额
|
||||
TradeCostPtr costfunc = TC_Zero(); // 零成本函数
|
||||
Stock stk = sm["sh600000"]; // 选定标的
|
||||
Datetime start_date(199911100000LL); // 测试起始日期
|
||||
Datetime end_date(200002250000LL); // 测试结束日期
|
||||
|
||||
KQuery query = KQueryByDate(start_date, end_date, KQuery::DAY);
|
||||
|
||||
//构建系统部件
|
||||
// 构建系统部件
|
||||
TMPtr tm = crtTM(init_date, init_cash, costfunc, "TEST_TM");
|
||||
SGPtr sg = SG_Cross(MA(5), MA(10), "CLOSE");
|
||||
SGPtr sg = SG_Cross(MA(CLOSE(), 5), MA(CLOSE(), 10));
|
||||
MMPtr mm = MM_FixedCount(100);
|
||||
STPtr st = ST_FixedPercent(0.01);
|
||||
SYSPtr sys;
|
||||
|
||||
@ -15,6 +15,7 @@
|
||||
#include <hikyuu/trade_sys/moneymanager/crt/MM_FixedCount.h>
|
||||
#include <hikyuu/trade_sys/stoploss/crt/ST_FixedPercent.h>
|
||||
#include <hikyuu/trade_sys/stoploss/crt/ST_Indicator.h>
|
||||
#include <hikyuu/indicator/crt/KDATA.h>
|
||||
|
||||
using namespace hku;
|
||||
|
||||
@ -31,22 +32,22 @@ TEST_CASE("test_SYS_Simple_for_tp") {
|
||||
|
||||
StockManager& sm = StockManager::instance();
|
||||
|
||||
//初始参数
|
||||
Datetime init_date(199001010000LL); //账户初始日期
|
||||
price_t init_cash = 100000; //账户初始金额
|
||||
TradeCostPtr costfunc = TC_Zero(); //零成本函数
|
||||
Stock stk = sm["sh600000"]; //选定标的
|
||||
Datetime start_date(199911100000LL); //测试起始日期
|
||||
Datetime end_date(200002250000LL); //测试结束日期
|
||||
// 初始参数
|
||||
Datetime init_date(199001010000LL); // 账户初始日期
|
||||
price_t init_cash = 100000; // 账户初始金额
|
||||
TradeCostPtr costfunc = TC_Zero(); // 零成本函数
|
||||
Stock stk = sm["sh600000"]; // 选定标的
|
||||
Datetime start_date(199911100000LL); // 测试起始日期
|
||||
Datetime end_date(200002250000LL); // 测试结束日期
|
||||
|
||||
KQuery query = KQueryByDate(start_date, end_date, KQuery::DAY);
|
||||
|
||||
//构建系统部件
|
||||
// 构建系统部件
|
||||
TMPtr tm = crtTM(init_date, init_cash, costfunc, "TEST_TM");
|
||||
SGPtr sg = SG_Cross(MA(5), MA(10), "CLOSE");
|
||||
SGPtr sg = SG_Cross(MA(CLOSE(), 5), MA(CLOSE(), 10));
|
||||
MMPtr mm = MM_FixedCount(100);
|
||||
STPtr st = ST_FixedPercent(0.01);
|
||||
TPPtr tp = ST_Indicator(MA(5), "CLOSE");
|
||||
TPPtr tp = ST_Indicator(MA(CLOSE(), 5));
|
||||
SYSPtr sys;
|
||||
|
||||
/** @arg 指定了TM、SG、MM、ST、TP，但未指定其他策略组件，非延迟操作 */
|
||||
|
||||
@ -152,9 +152,8 @@ void export_Signal() {
|
||||
:param Indicator sell: 卖出指示（结果Indicator中相应位置>0则代表卖出）
|
||||
:return: 信号指示器)");
|
||||
|
||||
def("SG_Single", SG_Single,
|
||||
(arg("ind"), arg("filter_n") = 10, arg("filter_p") = 0.1, arg("kpart") = "CLOSE"),
|
||||
R"(SG_Single(ind[, filter_n = 10, filter_p = 0.1, kpart='CLOSE'])
|
||||
def("SG_Single", SG_Single, (arg("ind"), arg("filter_n") = 10, arg("filter_p") = 0.1),
|
||||
R"(SG_Single(ind[, filter_n = 10, filter_p = 0.1])
|
||||
|
||||
生成单线拐点信号指示器。使用《精明交易者》 [BOOK1]_ 中给出的曲线拐点算法判断曲线趋势，公式见下::
|
||||
|
||||
@ -167,12 +166,10 @@ void export_Signal() {
|
||||
:param Indicator ind:
|
||||
:param int filer_n: N日周期
|
||||
:param float filter_p: 过滤器百分比
|
||||
:param string kpart: KDATA|OPEN|HIGH|LOW|CLOSE|AMO|VOL
|
||||
:return: 信号指示器)");
|
||||
|
||||
def("SG_Single2", SG_Single2,
|
||||
(arg("ind"), arg("filter_n") = 10, arg("filter_p") = 0.1, arg("kpart") = "CLOSE"),
|
||||
R"(SG_Single2(ind[, filter_n = 10, filter_p = 0.1, kpart='CLOSE'])
|
||||
def("SG_Single2", SG_Single2, (arg("ind"), arg("filter_n") = 10, arg("filter_p") = 0.1),
|
||||
R"(SG_Single2(ind[, filter_n = 10, filter_p = 0.1])
|
||||
|
||||
生成单线拐点信号指示器2 [BOOK1]_::
|
||||
|
||||
@ -184,49 +181,45 @@ void export_Signal() {
|
||||
:param Indicator ind:
|
||||
:param int filer_n: N日周期
|
||||
:param float filter_p: 过滤器百分比
|
||||
:param string kpart: KDATA|OPEN|HIGH|LOW|CLOSE|AMO|VOL
|
||||
:return: 信号指示器)");
|
||||
|
||||
def("SG_Cross", SG_Cross, (arg("fast"), arg("slow"), arg("kpart") = "CLOSE"),
|
||||
R"(SG_Cross(fast, slow[, kpart = "CLOSE"])
|
||||
def("SG_Cross", SG_Cross, (arg("fast"), arg("slow")),
|
||||
R"(SG_Cross(fast, slow)
|
||||
|
||||
双线交叉指示器，当快线从下向上穿越慢线时，买入；当快线从上向下穿越慢线时，卖出。如：5日MA上穿10日MA时买入，5日MA线下穿MA10日线时卖出::
|
||||
|
||||
SG_Cross(OP(MA(n=10)), OP(MA(n=30)))
|
||||
SG_Cross(MA(C, n=10), MA(C, n=30))
|
||||
|
||||
:param Indicator fast: 快线
|
||||
:param Indicator slow: 慢线
|
||||
:param string kpart: OPEN|HIGH|LOW|CLOSE|AMO|VOL|KDATA
|
||||
:return: 信号指示器)");
|
||||
|
||||
def("SG_CrossGold", SG_CrossGold, (arg("fast"), arg("slow"), arg("kpart") = "CLOSE"),
|
||||
R"(SG_CrossGold(fast, slow[, kpart = "CLOSE"])
|
||||
def("SG_CrossGold", SG_CrossGold, (arg("fast"), arg("slow")),
|
||||
R"(SG_CrossGold(fast, slow)
|
||||
|
||||
金叉指示器，当快线从下向上穿越慢线且快线和慢线的方向都是向上时为金叉，买入；
|
||||
当快线从上向下穿越慢线且快线和慢线的方向都是向下时死叉，卖出。::
|
||||
|
||||
SG_CrossGold(OP(MA(n=10)), OP(MA(n=30)))
|
||||
SG_CrossGold(MA(C, n=10), MA(C, n=30))
|
||||
|
||||
:param Indicator fast: 快线
|
||||
:param Indicator slow: 慢线
|
||||
:param string kpart: OPEN|HIGH|LOW|CLOSE|AMO|VOL|KDATA
|
||||
:return: 信号指示器)");
|
||||
|
||||
def("SG_Flex", SG_Flex, (arg("op"), arg("slow_n"), arg("kpart") = "CLOSE"),
|
||||
R"(SG_Flex(ind, slow_n[, kpart = 'CLOSE'])
|
||||
def("SG_Flex", SG_Flex, (arg("op"), arg("slow_n")),
|
||||
R"(SG_Flex(ind, slow_n)
|
||||
|
||||
使用自身的EMA(slow_n)作为慢线，自身作为快线，快线向上穿越慢线买入，快线向下穿越慢线卖出。
|
||||
|
||||
:param Indicator ind:
|
||||
:param int slow_n: 慢线EMA周期
|
||||
:param string kpart: KDATA|OPEN|HIGH|LOW|CLOSE|AMO|VOL
|
||||
:return: 信号指示器)");
|
||||
|
||||
def("SG_Band", SG_Band, (arg("ind"), arg("lower"), arg("upper"), arg("kpart") = "CLOSE"),
|
||||
R"(SG_Band(ind, lower, upper[, kpart = 'CLOSE'])
|
||||
def("SG_Band", SG_Band, (arg("ind"), arg("lower"), arg("upper")),
|
||||
R"(SG_Band(ind, lower, upper)
|
||||
指标区间指示器, 当指标超过上轨时，买入；
|
||||
当指标低于下轨时，卖出。::
|
||||
|
||||
SG_Band(OP(MA(n=10)), 100, 200)
|
||||
SG_Band(MA(C, n=10), 100, 200)
|
||||
)");
|
||||
}
|
||||
|
||||
@ -45,7 +45,7 @@ void export_System() {
|
||||
my_tm = crtTM(init_cash = 300000)
|
||||
|
||||
#创建信号指示器（以5日EMA为快线，5日EMA自身的10日EMA作为慢线，快线向上穿越慢线时买入，反之卖出）
|
||||
my_sg = SG_Flex(EMA(n=5), slow_n=10)
|
||||
my_sg = SG_Flex(EMA(C, n=5), slow_n=10)
|
||||
|
||||
#固定每次买入1000股
|
||||
my_mm = MM_FixedCount(1000)
|
||||
|
||||
Loading…
Reference in New Issue
Block a user