扩展 SG_Band, 支持3指标

hikyuu_cpp/hikyuu/trade_sys/signal/crt/SG_Band.h

@@ -13,7 +13,24 @@
 
 namespace hku {
 
-SignalPtr HKU_API SG_Band(const Indicator& sig, price_t lower, price_t 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。
+ * @note 适用于 RSI 类，有绝对值区间的指标
+ * @param ind 指标
+ * @param lower 下轨
+ * @param upper 上轨
+ * @return SignalPtr
+ */
+SignalPtr HKU_API SG_Band(const Indicator& ind, price_t lower, price_t upper);
+
+/**
+ * 指标区间指示器, 当指标超过上轨指标时，买入；当指标低于下轨指标时，卖出。
+ * @param ind 指标
+ * @param lower 下轨指标
+ * @param upper 上轨指标
+ * @return SignalPtr
+ */
+SignalPtr HKU_API SG_Band(const Indicator& ind, const Indicator& lower, const Indicator& upper);
 
 } /* namespace hku */
 

hikyuu_cpp/hikyuu/trade_sys/signal/imp/BandSignal.cpp

@@ -16,7 +16,7 @@ namespace hku {
 BandSignal::BandSignal() : SignalBase("SG_Band") {}
 
 BandSignal::BandSignal(const Indicator& ind, price_t lower, price_t upper)
-: SignalBase("SG_Band"), m_ind(ind), m_lower(lower), m_upper(upper) {
+: SignalBase("SG_Band"), m_ind(ind.clone()), m_lower(lower), m_upper(upper) {
     HKU_CHECK(lower > upper, "BandSignal: lower track is greater than upper track");
 }
 

hikyuu_cpp/hikyuu/trade_sys/signal/imp/BandSignal2.cpp

@@ -0,0 +1,63 @@
+/*
+ * BandSignal2.cpp
+ *
+ *   Created on: 2023年09月23日
+ *       Author: yangrq1018
+ */
+#include "../../../indicator/crt/KDATA.h"
+#include "BandSignal2.h"
+
+#if HKU_SUPPORT_SERIALIZATION
+BOOST_CLASS_EXPORT(hku::BandSignal2)
+#endif
+
+namespace hku {
+
+BandSignal2::BandSignal2() : SignalBase("SG_Band") {}
+
+BandSignal2::BandSignal2(const Indicator& ind, const Indicator& lower, const Indicator& upper)
+: SignalBase("SG_Band"), m_ind(ind.clone()), m_lower(lower.clone()), m_upper(upper.clone()) {}
+
+BandSignal2::~BandSignal2() {}
+
+SignalPtr BandSignal2::_clone() {
+    BandSignal2* p = new BandSignal2();
+    p->m_upper = m_upper.clone();
+    p->m_lower = m_lower.clone();
+    p->m_ind = m_ind.clone();
+    return SignalPtr(p);
+}
+
+void BandSignal2::_calculate(const KData& kdata) {
+    Indicator ind = m_ind(kdata);
+    Indicator upper = m_upper(kdata);
+    Indicator lower = m_lower(kdata);
+    HKU_ASSERT(ind.size() == upper.size() && ind.size() == lower.size());
+
+    size_t discard = ind.discard();
+    if (discard < upper.discard()) {
+        discard = upper.discard();
+    }
+    if (discard < lower.discard()) {
+        discard = lower.discard();
+    }
+    size_t total = ind.size();
+
+    auto const* inddata = ind.data();
+    auto const* upperdata = upper.data();
+    auto const* lowerdata = lower.data();
+    auto const* ks = kdata.data();
+    for (size_t i = discard; i < total; ++i) {
+        if (inddata[i] > upperdata[i]) {
+            _addBuySignal(ks[i].datetime);
+        } else if (inddata[i] < lowerdata[i]) {
+            _addSellSignal(ks[i].datetime);
+        }
+    }
+}
+
+SignalPtr HKU_API SG_Band(const Indicator& sig, const Indicator& lower, const Indicator& upper) {
+    return SignalPtr(new BandSignal2(sig, lower, upper));
+}
+
+}  // namespace hku

hikyuu_cpp/hikyuu/trade_sys/signal/imp/BandSignal2.h

@@ -0,0 +1,47 @@
+/*
+ * BandSignal2.h
+ *
+ *   Created on: 2023年09月23日
+ *       Author: yangrq1018
+ */
+
+#pragma once
+#ifndef TRADE_SYS_SIGNAL_IMP_BANDSIGNAL_H_
+#define TRADE_SYS_SIGNAL_IMP_BANDSIGNAL_H_
+
+#include "../../../indicator/Indicator.h"
+#include "../SignalBase.h"
+
+namespace hku {
+
+class BandSignal2 : public SignalBase {
+public:
+    BandSignal2();
+    BandSignal2(const Indicator& sig, const Indicator& lower, const Indicator& upper);
+    virtual ~BandSignal2();
+
+    virtual SignalPtr _clone() override;
+    virtual void _calculate(const KData& kdata) override;
+
+private:
+    Indicator m_ind;
+    Indicator m_lower;
+    Indicator m_upper;
+
+//============================================
+// 序列化支持
+//============================================
+#if HKU_SUPPORT_SERIALIZATION
+    friend class boost::serialization::access;
+    template <class Archive>
+    void serialize(Archive& ar, const unsigned int version) {
+        ar& BOOST_SERIALIZATION_BASE_OBJECT_NVP(SignalBase);
+        ar& BOOST_SERIALIZATION_NVP(m_ind);
+        ar& BOOST_SERIALIZATION_NVP(m_lower);
+        ar& BOOST_SERIALIZATION_NVP(m_upper);
+    }
+#endif
+};
+}  // namespace hku
+
+#endif

hikyuu_pywrap/trade_sys/_Signal.cpp

@@ -204,14 +204,18 @@ void export_Signal(py::module& m) {
     :param int slow_n: 慢线EMA周期
     :return: 信号指示器)");
 
-    m.def("SG_Band", SG_Band, py::arg("ind"), py::arg("lower"), py::arg("upper"),
+    m.def("SG_Band",
+          py::overload_cast<const Indicator&, const Indicator&, const Indicator&>(SG_Band),
+          py::arg("ind"), py::arg("lower"), py::arg("upper"));
+    m.def("SG_Band", py::overload_cast<const Indicator&, price_t, price_t>(SG_Band), py::arg("ind"),
+          py::arg("lower"), py::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(MA(C, n=10), 100, 200)
-      )");
+        SG_Band(CLOSE, MA(LOW), MA(HIGH)))");
 
     m.def("SG_AllwaysBuy", SG_AllwaysBuy, R"(SG_AllwaysBuy()