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https://gitee.com/fasiondog/hikyuu.git
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276 lines
8.8 KiB
C++
276 lines
8.8 KiB
C++
# -*- coding: utf8 -*-
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from hikyuu.util.slice import list_getitem
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from hikyuu.cpp.core import SYS_Simple as cpp_SYS_Simple
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from hikyuu.cpp.core import (
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System, SystemPart, SystemList, SystemWeightList, ConditionBase, EnvironmentBase, MoneyManagerBase,
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ProfitGoalBase, SelectorBase, SignalBase, SlippageBase, StoplossBase
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)
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# ------------------------------------------------------------------
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# System
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# ------------------------------------------------------------------
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System.Part = SystemPart
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System.ENVIRONMENT = System.Part.ENVIRONMENT
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System.CONDITION = System.Part.CONDITION
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System.SIGNAL = System.Part.SIGNAL
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System.STOPLOSS = System.Part.STOPLOSS
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System.TAKEPROFIT = System.Part.TAKEPROFIT
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System.MONEYMANAGER = System.Part.MONEYMANAGER
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System.PROFITGOAL = System.Part.PROFITGOAL
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System.SLIPPAGE = System.Part.SLIPPAGE
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System.INVALID = System.Part.INVALID
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def SYS_Simple(tm=None, mm=None, ev=None, cn=None, sg=None, st=None, tp=None, pg=None, sp=None):
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"""
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创建简单系统实例（每次交易不进行多次加仓或减仓，即每次买入后在卖出时全部卖出），
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系统实例在运行时(调用run方法），至少需要一个配套的交易管理实例、一个资金管理策略
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和一个信号指示器），可以在创建系统实例后进行指定。如果出现调用run时没有任何输出，
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且没有正确结果的时候，可能是未设置tm、sg、mm。进行回测时，使用 run 方法，如::
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#创建模拟交易账户进行回测，初始资金30万
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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
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#慢线时买入，反之卖出）
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my_sg = SG_Flex(EMA(C, 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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#创建交易系统并运行
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sys = SYS_Simple(tm = my_tm, sg = my_sg, mm = my_mm)
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sys.run(sm['sz000001'], Query(-150))
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:param TradeManager tm: 交易管理实例
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:param MoneyManager mm: 资金管理策略
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:param EnvironmentBase ev: 市场环境判断策略
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:param ConditionBase cn: 系统有效条件
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:param SignalBase sg: 信号指示器
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:param StoplossBase st: 止损策略
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:param StoplossBase tp: 止盈策略
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:param ProfitGoalBase pg: 盈利目标策略
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:param SlippageBase sp: 移滑价差算法
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:return: system实例
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"""
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sys_ins = cpp_SYS_Simple()
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if tm:
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sys_ins.tm = tm
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if mm:
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sys_ins.mm = mm
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if ev:
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sys_ins.ev = ev
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if cn:
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sys_ins.cn = cn
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if sg:
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sys_ins.sg = sg
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if st:
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sys_ins.st = st
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if tp:
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sys_ins.tp = tp
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if pg:
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sys_ins.pg = pg
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if sp:
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sys_ins.sp = sp
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return sys_ins
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# ------------------------------------------------------------------
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# condition
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# ------------------------------------------------------------------
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def cn_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.set_param(k, v)
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def crtCN(func, params={}, name='crtCN'):
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"""
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快速创建自定义不带私有属性的系统有效条件
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:param func: 系统有效条件函数
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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: 自定义系统有效条件实例
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"""
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meta_x = type(name, (ConditionBase, ), {'__init__': cn_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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# environment
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# ------------------------------------------------------------------
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def ev_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.set_param(k, v)
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def crtEV(func, params={}, name='crtEV'):
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"""
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快速创建自定义不带私有属性的市场环境判断策略
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:param func: 市场环境判断策略函数
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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: 自定义市场环境判断策略实例
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"""
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meta_x = type(name, (EnvironmentBase, ), {'__init__': ev_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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# moneymanager
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# ------------------------------------------------------------------
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def mm_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.set_param(k, v)
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def crtMM(func, params={}, name='crtMM'):
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"""
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快速创建自定义不带私有属性的资金管理策略
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:param func: 资金管理策略计算函数
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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: 自定义资金管理策略实例
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"""
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meta_x = type(name, (MoneyManagerBase, ), {'__init__': mm_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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# profitgoal
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# ------------------------------------------------------------------
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def pg_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.set_param(k, v)
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def crtPG(func, params={}, name='crtPG'):
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"""
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快速创建自定义不带私有属性的盈利目标策略
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:param func: 盈利目标策略函数
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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: 盈利目标策略实例
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"""
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meta_x = type(name, (ProfitGoalBase, ), {'__init__': pg_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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# signal
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# ------------------------------------------------------------------
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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.set_param(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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# Selector
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# ------------------------------------------------------------------
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def se_add_stock_list(self, stk_list, proto_sys):
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result = True
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for stk in stk_list:
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success = self.add_stock(stk, proto_sys)
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if not success:
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result = False
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break
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return result
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SelectorBase.add_stock_list = se_add_stock_list
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# ------------------------------------------------------------------
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# slippage
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# ------------------------------------------------------------------
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def sl_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.set_param(k, v)
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def crtSL(func, params={}, name='crtSL'):
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"""
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快速创建自定义不带私有属性的移滑价差算法
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:param func: 移滑价差算法函数
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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: 移滑价差算法实例
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"""
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meta_x = type(name, (SlippageBase, ), {'__init__': sl_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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# stoploss
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# ------------------------------------------------------------------
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def st_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.set_param(k, v)
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def crtST(func, params={}, name='crtST'):
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"""
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快速创建自定义不带私有属性的止损/止盈策略
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:param func: 止损/止盈策略函数
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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: 止损/止盈策略实例
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"""
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meta_x = type(name, (StoplossBase, ), {'__init__': st_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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