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359 lines
10 KiB
C++
359 lines
10 KiB
C++
#!/usr/bin/python
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# -*- coding: utf8 -*-
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# cp936
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#
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# The MIT License (MIT)
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#
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# Copyright (c) 2010-2017 fasiondog
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#
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# Permission is hereby granted, free of charge, to any person obtaining a copy
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# of this software and associated documentation files (the "Software"), to deal
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# in the Software without restriction, including without limitation the rights
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# to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
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# copies of the Software, and to permit persons to whom the Software is
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# furnished to do so, subject to the following conditions:
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#
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# The above copyright notice and this permission notice shall be included in all
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# copies or substantial portions of the Software.
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#
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# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
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# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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# SOFTWARE.
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from ._trade_sys import (SignalBase,
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SG_Bool,
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SG_Single,
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SG_Single2,
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SG_Cross,
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SG_CrossGold,
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SG_Flex)
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from hikyuu.util.unicode import (unicodeFunc, reprFunc)
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SignalBase.__unicode__ = unicodeFunc
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SignalBase.__repr__ = reprFunc
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def sig_init(self, name, params):
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super(self.__class__, self).__init__(name)
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self._name = name
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self._params = params
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for k,v in params.items():
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self.setParam(k, v)
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def crtSG(func, params={}, name='crtSG'):
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"""
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快速创建自定义不带私有属性的信号指示器
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:param func: 信号策略函数
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:param {} params: 参数字典
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:param str name: 自定义名称
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:return: 自定义信号指示器实例
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"""
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meta_x = type(name, (SignalBase,), {'__init__': sig_init})
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meta_x._clone = lambda self: meta_x(self._name, self._params)
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meta_x._calculate = func
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return meta_x(name, params)
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#------------------------------------------------------------------
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# add doc-string
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#------------------------------------------------------------------
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SignalBase.__doc__ = """
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信号指示器负责产生买入、卖出信号。
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公共参数：
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alternate (bool|True) ：买入和卖出信号是否交替出现。单线型的信号通常通过拐点、
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斜率等判断信号的产生，此种情况下可能出现连续出现买入
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信号或连续出现卖出信号的情况，此时可通过该参数控制买入、
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卖出信号是否交替出现。而双线交叉型的信号通常本身买入和
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卖出已经是交替出现，此时该参数无效。
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自定义的信号指示器接口：
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SignalBase._calculate() - 【必须】子类计算接口
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SignalBase._clone() - 【必须】克隆接口
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SignalBase._reset() - 【可选】重载私有变量
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示例1（不含私有变量，海龟交易策略）:
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from hikyuu.trade_sys.signal import SignalBase
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from hikyuu.indicator import HHV, LLV, CLOSE, REF
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class TurtleSignal(SignalBase):
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def __init__(self, n = 20):
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super(TurtleSignal, self).__init__("TurtleSignal")
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self.setParam("n", 20)
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def _clone(self):
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return TurtleSignal()
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def _calculate(self):
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n = self.getParam("n")
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k = self.getTO()
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c = CLOSE(k)
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h = REF(HHV(c, n), 1) #前n日高点
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L = REF(LLV(c, n), 1) #前n日低点
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for i in range(h.discard, len(k)):
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if (c[i] >= h[i]):
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self._addBuySignal(k[i].datetime)
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elif (c[i] <= L[i]):
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self._addSellSignal(k[i].datetime)
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if __name__ == "__main__":
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from examples_init import *
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sg = TurtleSignal()
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s = getStock("sh000001")
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k = s.getKData(Query(-500))
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#只有设置交易对象时，才会开始实际计算
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sg.setTO(k)
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dates = k.getDatetimeList()
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for d in dates:
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if (sg.shouldBuy(d)):
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print("买入：%s" % d)
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elif (sg.shouldSell(d)):
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print("卖出: %s" % d)
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示例2（含私有属性）:
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class SignalPython(SignalBase):
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def __init__(self):
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super(SignalPython, self).__init__("SignalPython")
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self._x = 0 #私有属性
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self.setParam("test", 30)
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def _reset(self):
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self._x = 0
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def _clone(self):
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p = SignalPython()
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p._x = self._x
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return p
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def _calculate(self):
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self._addBuySignal(Datetime(201201210000))
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self._addSellSignal(Datetime(201201300000))
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"""
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SignalBase.name.__doc__ = """名称"""
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SignalBase.__init__.__doc__ = """
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__init__(self[, name="SignalBase"])
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:param str name: 名称
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"""
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SignalBase.getParam.__doc__ = """
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getParam(self, name)
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获取指定的参数
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:param str name: 参数名称
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:return: 参数值
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:raises out_of_range: 无此参数
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"""
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SignalBase.setParam.__doc__ = """
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setParam(self, name, value)
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设置参数
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:param str name: 参数名称
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:param value: 参数值
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:type value: int | bool | float | string
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:raises logic_error: Unsupported type! 不支持的参数类型
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"""
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SignalBase.setTO.__doc__ = """
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setTO(self, k)
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:param KData k: 设置交易对象
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"""
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SignalBase.getTO.__doc__ = """
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getTO(self)
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:return: 交易对象
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:rtype: KData
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"""
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SignalBase.shouldBuy.__doc__ = """
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shouldBuy(self, datetime)
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指定时刻是否可以买入
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:param Datetime datetime: 指定时刻
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:rtype: bool
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"""
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SignalBase.shouldSell.__doc__ = """
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shouldSell(self, datetime)
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指定时刻是否可以卖出
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:param Datetime datetime: 指定时刻
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:rtype: bool
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"""
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SignalBase.getBuySignal.__doc__ = """
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getBuySignal(self)
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获取所有买入指示日期列表
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:rtype: DatetimeList
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"""
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SignalBase.getSellSignal.__doc__ = """
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getSellSignal(self)
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获取所有卖出指示日期列表
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:rtype: DatetimeList
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"""
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SignalBase._addBuySignal.__doc__ = """
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_addBuySignal(self, datetime)
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加入买入信号，在_calculate中调用
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:param Datetime datetime: 指示买入的日期
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"""
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SignalBase._addSellSignal.__doc__ = """
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_addSellSignal(self, datetime)
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加入卖出信号，在_calculate中调用
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:param Datetime datetime: 指示卖出的日期
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"""
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SignalBase.reset.__doc__ = """
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reset(self)
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复位操作
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"""
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SignalBase.clone.__doc__ = """
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clone(self)
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克隆操作
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"""
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SignalBase._calculate.__doc__ = """
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_calculate(self)
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【重载接口】子类计算接口
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"""
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SignalBase._reset.__doc__ = """
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_reset(self)
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【重载接口】子类复位接口，复位内部私有变量
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"""
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SignalBase._clone.__doc__ = """
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_clone(self)
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【重载接口】子类克隆接口
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"""
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#------------------------------------------------------------------
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# add doc-string for build_in func
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#------------------------------------------------------------------
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SG_Flex.__doc__ = """
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SG_Flex(ind, slow_n[, kpart = 'CLOSE'])
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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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"""
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SG_Cross.__doc__ = """
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SG_Cross(fast, slow[, kpart = "CLOSE"])
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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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: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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"""
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SG_CrossGold.__doc__ = """
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SG_CrossGold(fast, slow[, kpart = "CLOSE"])
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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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: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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"""
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SG_Single.__doc__ = """
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SG_Single(ind[, filter_n = 10, filter_p = 0.1, kpart='CLOSE'])
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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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filter = percentage * STDEV((AMA-AMA[1], N)
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Buy When AMA - AMA[1] > filter
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or Buy When AMA - AMA[2] > filter
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or Buy When AMA - AMA[3] > filter
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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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"""
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SG_Single2.__doc__ = """
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SG_Single2(ind[, filter_n = 10, filter_p = 0.1, kpart='CLOSE'])
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生成单线拐点信号指示器2 [BOOK1]_::
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filter = percentage * STDEV((AMA-AMA[1], N)
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Buy When AMA - @lowest(AMA,n) > filter
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Sell When @highest(AMA, n) - AMA > filter
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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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"""
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SG_Bool.__doc__ = """
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SG_Bool(buy, sell[, kpart='CLOSE'])
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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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"""
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