V0.9.19 更新一批代码 (#148)

* 0.9.19 start coding * 0.9.19 update * 0.9.19 update * 0.9.19 update * 0.9.19 update * 0.9.19 update * 0.9.19 新增信号函数 * 0.9.19 新增截面评价方法 * 0.9.19 update * 0.9.19 新增 streamlit 页面 * 0.9.19 新增信号函数 * 0.9.19 更新文档 * 0.9.19 更新文档
waditu · May 13, 2023 · ff668fa · ff668fa
1 parent 9ddd04e
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Showing 30 changed files with 1,094 additions and 2,373 deletions.
diff --git a/czsc/__init__.py b/czsc/__init__.py
@@ -20,13 +20,14 @@
 from czsc.utils import KlineChart, BarGenerator, resample_bars, dill_dump, dill_load, read_json, save_json
 from czsc.utils import get_sub_elements, get_py_namespace, freqs_sorted, x_round, import_by_name, create_grid_params
 from czsc.utils import cal_trade_price, cross_sectional_ic, update_bbars, update_tbars, update_nbars
+from czsc.utils import CrossSectionalPerformance
 from czsc.sensors import holds_concepts_effect, StocksDaySensor, ThsConceptsSensor, SignalsPerformance
 
 
-__version__ = "0.9.18"
+__version__ = "0.9.19"
 __author__ = "zengbin93"
 __email__ = "[email protected]"
-__date__ = "20230419"
+__date__ = "20230428"
 
 
 def welcome():

diff --git a/czsc/analyze.py b/czsc/analyze.py
@@ -412,6 +412,6 @@ def fx_list(self) -> List[FX]:
             fxs.extend(bi_.fxs[1:])
         ubi = self.ubi_fxs
         for x in ubi:
-            if not fxs or x.dt > fxs[-1].raw_bars[0].dt:
+            if not fxs or x.dt > fxs[-1].dt:
                 fxs.append(x)
         return fxs
diff --git a/czsc/connectors/qmt_connector.py b/czsc/connectors/qmt_connector.py
@@ -163,6 +163,9 @@ def get_symbols(step):
                  '510300.SH', '510500.SH', '510050.SH', '159992.SZ', '159985.SZ',
                  '159981.SZ', '159949.SZ', '159915.SZ'],
     }
+    if step.upper() == 'ALL':
+        return stocks_map['index'] + stocks_map['stock'] + stocks_map['etfs']
+
     return stocks_map[step]
 
 

diff --git a/czsc/connectors/research.py b/czsc/connectors/research.py
@@ -26,7 +26,10 @@ def get_symbols(name, **kwargs):
     :param kwargs:
     :return:
     """
-    files = glob.glob(os.path.join(cache_path, name, "*.parquet"))
+    if name.upper() == 'ALL':
+        files = glob.glob(os.path.join(cache_path, "*", "*.parquet"))
+    else:
+        files = glob.glob(os.path.join(cache_path, name, "*.parquet"))
     return [os.path.basename(x).replace('.parquet', '') for x in files]
 
 

diff --git a/czsc/data/ts_cache.py b/czsc/data/ts_cache.py
@@ -344,6 +344,7 @@ def trade_cal(self):
             df = pd.read_feather(file_cache)
         else:
             df = pro.trade_cal(exchange='', start_date='19900101', end_date="20300101")
+            df = df.sort_values('cal_date', ascending=True).reset_index(drop=True)
             df.to_feather(file_cache)
         return df
 

diff --git a/czsc/signals/__init__.py b/czsc/signals/__init__.py
@@ -79,6 +79,8 @@
     bar_weekday_V230328,
     bar_r_breaker_V230326,
     bar_dual_thrust_V230403,
+    bar_single_V230506,
+    bar_triple_V230506,
 )
 
 from czsc.signals.jcc import (
@@ -133,6 +135,7 @@
     tas_ma_base_V230313,
     tas_ma_round_V221206,
     tas_double_ma_V221203,
+    tas_double_ma_V230511,
 
     tas_boll_power_V221112,
     tas_boll_bc_V221118,
@@ -160,4 +163,6 @@
 
 from czsc.signals.pos import (
     pos_fx_stop_V230414,
+    pos_ma_V230414,
+    pos_holds_V230414,
 )
diff --git a/czsc/signals/bar.py b/czsc/signals/bar.py
@@ -5,6 +5,7 @@
 create_dt: 2022/11/11 20:18
 describe: bar 作为前缀，代表信号属于基础 K 线信号
 """
+import pandas as pd
 import numpy as np
 from datetime import datetime
 from typing import List
@@ -18,6 +19,105 @@
 from czsc.signals.tas import update_ma_cache
 
 
+def bar_single_V230506(c: CZSC, **kwargs) -> OrderedDict:
+    """单K趋势因子辅助判断买卖点
+
+    参数模板："{freq}_D{di}单K趋势N{n}_BS辅助V230506"
+
+     **信号逻辑：**
+
+    1. 定义趋势因子：(收盘价 / 开盘价 -1) / 成交量
+    2. 选取最近100根K线，计算趋势因子，分成n层
+
+     **信号列表：**
+
+    - Signal('15分钟_D1单K趋势N5_BS辅助V230506_第3层_任意_任意_0')
+    - Signal('15分钟_D1单K趋势N5_BS辅助V230506_第4层_任意_任意_0')
+    - Signal('15分钟_D1单K趋势N5_BS辅助V230506_第2层_任意_任意_0')
+    - Signal('15分钟_D1单K趋势N5_BS辅助V230506_第1层_任意_任意_0')
+    - Signal('15分钟_D1单K趋势N5_BS辅助V230506_第5层_任意_任意_0')
+
+    :param c: CZSC对象
+    :param kwargs: 参数字典
+     :return: 返回信号结果
+    """
+    di = int(kwargs.get("di", 1))
+    n = int(kwargs.get("n", 5))
+    assert n <= 20, "n 的取值范围为 1~20，分层数量不宜太多"
+    freq = c.freq.value
+    k1, k2, k3 = f"{freq}_D{di}单K趋势N{n}_BS辅助V230506".split('_')
+    v1 = '其他'
+    if len(c.bars_raw) < 100 + di:
+        return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
+
+    bars = get_sub_elements(c.bars_raw, di=di, n=100)
+    factors = [(x.close / x.open - 1) / x.vol for x in bars]
+    q = pd.cut(factors, n, labels=list(range(1, n+1)), precision=5, duplicates='drop')[-1]
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=f"第{q}层")
+
+
+def bar_triple_V230506(c: CZSC, **kwargs) -> OrderedDict:
+    """三K加速形态配合成交量变化
+
+    参数模板："{freq}_D{di}三K加速_裸K形态V230506"
+
+     **信号逻辑：**
+
+    1. 连续三根阳线，【三连涨】，如果高低点不断创新高，【新高涨】
+    2. 连续三根阴线，【三连跌】，如果高低点不断创新低，【新低跌】
+    3. 加入成交量变化的判断，成交量逐渐放大 或 成交量逐渐缩小
+
+     **信号列表：**
+
+    - Signal('15分钟_D1三K加速_裸K形态V230506_三连涨_量柱无序_任意_0')
+    - Signal('15分钟_D1三K加速_裸K形态V230506_三连跌_量柱无序_任意_0')
+    - Signal('15分钟_D1三K加速_裸K形态V230506_新高涨_依次放量_任意_0')
+    - Signal('15分钟_D1三K加速_裸K形态V230506_新低跌_依次缩量_任意_0')
+    - Signal('15分钟_D1三K加速_裸K形态V230506_新低跌_量柱无序_任意_0')
+    - Signal('15分钟_D1三K加速_裸K形态V230506_三连涨_依次放量_任意_0')
+    - Signal('15分钟_D1三K加速_裸K形态V230506_三连跌_依次放量_任意_0')
+    - Signal('15分钟_D1三K加速_裸K形态V230506_新低跌_依次放量_任意_0')
+    - Signal('15分钟_D1三K加速_裸K形态V230506_三连跌_依次缩量_任意_0')
+    - Signal('15分钟_D1三K加速_裸K形态V230506_新高涨_依次缩量_任意_0')
+    - Signal('15分钟_D1三K加速_裸K形态V230506_新高涨_量柱无序_任意_0')
+    - Signal('15分钟_D1三K加速_裸K形态V230506_三连涨_依次缩量_任意_0')
+
+    :param c: CZSC对象
+    :param kwargs: 参数字典
+     :return: 返回信号结果
+    """
+    di = int(kwargs.get("di", 1))
+    freq = c.freq.value
+    k1, k2, k3 = f"{freq}_D{di}三K加速_裸K形态V230506".split('_')
+    v1 = '其他'
+    if len(c.bars_raw) < 7:
+        return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
+
+    b3, b2, b1 = get_sub_elements(c.bars_raw, di=di, n=3)
+
+    if b1.close > b1.open and b2.close > b2.open and b3.close > b3.open:
+        v1 = '三连涨'
+        if b1.high > b2.high > b3.high and b1.low > b2.low > b3.low:
+            v1 = "新高涨"
+
+    if b1.close < b1.open and b2.close < b2.open and b3.close < b3.open:
+        v1 = '三连跌'
+        if b1.high < b2.high < b3.high and b1.low < b2.low < b3.low:
+            v1 = "新低跌"
+
+    if v1 == '其他':
+        return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
+
+    if b1.vol > b2.vol > b3.vol:
+        v2 = '依次放量'
+    elif b1.vol < b2.vol < b3.vol:
+        v2 = '依次缩量'
+    else:
+        v2 = '量柱无序'
+
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1, v2=v2)
+
+
 def bar_end_V221111(c: CZSC, k1='60分钟') -> OrderedDict:
     """分钟 K 线结束
 

diff --git a/czsc/signals/pos.py b/czsc/signals/pos.py
@@ -9,6 +9,68 @@
 from czsc.traders.base import CzscTrader
 from czsc.utils import create_single_signal
 from czsc.objects import Operate, Direction, Mark
+from czsc.signals.tas import update_ma_cache
+
+
+def pos_ma_V230414(cat: CzscTrader, **kwargs) -> OrderedDict:
+    """判断开仓后是否升破MA均线或跌破MA均线
+
+    参数模板："{pos_name}_{freq1}#{ma_type}#{timeperiod}_持有状态V230414"
+
+    **信号逻辑：**
+
+    多头止损逻辑如下，反之为空头止损逻辑：
+
+    1. 从多头开仓点开始，在给定对的K线周期 freq1 上向前找 N 个底分型，记为 F1
+    2. 将这 N 个底分型的最低点，记为 L1，如果 L1 的价格低于开仓点的价格，则止损
+
+    **信号列表：**
+
+    - Signal('日线三买多头N1_60分钟#SMA#5_持有状态V230414_多头_升破均线_任意_0')
+    - Signal('日线三买多头N1_60分钟#SMA#5_持有状态V230414_空头_跌破均线_任意_0')
+
+    :param cat: CzscTrader对象
+    :param kwargs: 参数字典
+        - pos_name: str，开仓信号的名称
+        - freq1: str，给定的K线周期
+        - n: int，向前找的分型个数，默认为 3
+    :return:
+    """
+    pos_name = kwargs["pos_name"]
+    freq1 = kwargs["freq1"]
+    ma_type = kwargs.get("ma_type", "SMA").upper()
+    timeperiod = int(kwargs.get("timeperiod", 5))
+    k1, k2, k3 = f"{pos_name}_{freq1}#{ma_type}#{timeperiod}_持有状态V230414".split("_")
+    v1, v2 = '其他', '其他'
+    key = update_ma_cache(cat.kas[freq1], ma_type=ma_type, timeperiod=timeperiod)
+    # 如果没有持仓策略，则不产生信号
+    if not hasattr(cat, "positions"):
+        return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
+
+    pos = [x for x in cat.positions if x.name == pos_name][0]
+    if len(pos.operates) == 0 or pos.operates[-1]['op'] in [Operate.SE, Operate.LE]:
+        return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
+
+    c = cat.kas[freq1]
+    op = pos.operates[-1]
+
+    # 多头止损逻辑
+    if op['op'] == Operate.LO:
+        bars = [x for x in c.bars_raw[-100:] if x.dt > op['dt']]
+        for x in bars:
+            if x.close > x.cache[key]:
+                v1, v2 = '多头', '升破均线'
+                break
+
+    # 空头止损逻辑
+    if op['op'] == Operate.SO:
+        bars = [x for x in c.bars_raw[-100:] if x.dt > op['dt']]
+        for x in bars:
+            if x.close < x.cache[key]:
+                v1, v2 = '空头', '跌破均线'
+                break
+
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1, v2=v2)
 
 
 def pos_fx_stop_V230414(cat: CzscTrader, **kwargs) -> OrderedDict:
@@ -64,4 +126,59 @@ def pos_fx_stop_V230414(cat: CzscTrader, **kwargs) -> OrderedDict:
         if cat.latest_price > max([x.high for x in fxs]):
             v1 = '空头止损'
 
-    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)\
+
+
+
+def pos_holds_V230414(cat: CzscTrader, **kwargs) -> OrderedDict:
+    """开仓后N根K线涨幅小于M%%，则平仓
+
+    参数模板："{pos_name}_{freq1}N{n}M{m}_趋势判断V230414"
+
+    **信号逻辑：**
+
+    1. 找出开仓后的 N 根K线，计算涨幅，如果涨幅小于 M%%，则平仓
+    2. 这里面的逻辑是，如果开仓后的 N 根K线涨幅小于 M%%，则说明趋势不明朗，平仓等待
+
+    **信号列表：**
+
+    - Signal('日线三买多头N1_60分钟N5M100_趋势判断V230414_多头存疑_任意_任意_0')
+    - Signal('日线三买多头N1_60分钟N5M100_趋势判断V230414_多头良好_任意_任意_0')
+
+    :param cat: CzscTrader对象
+    :param kwargs: 参数字典
+        - pos_name: str，开仓信号的名称
+        - freq1: str，给定的K线周期
+        - n: int，最少持有K线数量，默认为 5，表示5根K线之后开始判断趋势
+        - m: int，涨幅阈值，默认为 100，表示涨幅小于 100BP 时，平仓
+    :return:
+    """
+    pos_name = kwargs["pos_name"]
+    freq1 = kwargs["freq1"]
+    n = int(kwargs.get('n', 5))
+    m = int(kwargs.get('m', 100))
+    k1, k2, k3 = f"{pos_name}_{freq1}N{n}M{m}_趋势判断V230414".split("_")
+    v1 = '其他'
+    # 如果没有持仓策略，则不产生信号
+    if not hasattr(cat, "positions"):
+        return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
+
+    pos = [x for x in cat.positions if x.name == pos_name][0]
+    if len(pos.operates) == 0 or pos.operates[-1]['op'] in [Operate.SE, Operate.LE]:
+        return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
+
+    c = cat.kas[freq1]
+    op = pos.operates[-1]
+    bars = [x for x in c.bars_raw[-100:] if x.dt > op['dt']]
+    if len(bars) < n:
+        return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
+
+    if op['op'] == Operate.LO:
+        zdf = (bars[-1].close - op['price']) / op['price'] * 10000
+        v1 = '多头存疑' if zdf < m else '多头良好'
+
+    if op['op'] == Operate.SO:
+        zdf = (op['price'] - bars[-1].close) / op['price'] * 10000
+        v1 = '空头存疑' if zdf < m else '空头良好'
+
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)