降低以周期策略的编写冗余

abupy/FactorBuyBu/ABuFactorBuyBase.py

@@ -220,3 +220,62 @@ def fit_day(self, today):
 
     # def fit_month(self, *args, **kwargs):
     #     pass
+
+
+class AbuFactorBuyXD(AbuFactorBuyBase):
+    """以周期为重要参数的策略，xd代表参数'多少天'如已周期为参数可直接继承使用"""
+
+    def read_fit_day(self, today):
+        """
+        覆盖base函数完成过滤统计周期内前xd天以及为fit_day中切片周期金融时间序列数据
+        :param today: 当前驱动的交易日金融时间序列数据
+        :return: 生成的交易订单AbuOrder对象
+        """
+        if self.skip_days > 0:
+            self.skip_days -= 1
+            return None
+
+        # 今天这个交易日在整个金融时间序列的序号
+        self.today_ind = int(today.key)
+        # 回测中默认忽略最后一个交易日
+        if self.today_ind >= self.kl_pd.shape[0] - 1:
+            return None
+
+        # 忽略不符合买入的天（统计周期内前xd天）
+        if self.today_ind < self.xd - 1:
+            return None
+
+        # 完成为fit_day中切片周期金融时间序列数据
+        self.xd_kl = self.kl_pd[self.today_ind - self.xd + 1:self.today_ind + 1]
+
+        return self.fit_day(today)
+
+    def buy_tomorrow(self):
+        """
+        覆盖base函数，明天进行买入操作，比如突破策略使用了今天收盘的价格做为参数，发出了买入信号，
+        需要进行明天买入操作，不能执行今天买入操作，使用周期参数xd赋予skip_days
+        :return 生成的交易订单AbuOrder对象
+        """
+
+        self.skip_days = self.xd
+        return self.make_buy_order(self.today_ind)
+
+    def buy_today(self):
+        """
+        覆盖base函数，今天即进行买入操作，需要不能使用今天的收盘数据等做为fit_day中信号判断，
+        适合如比特币非明确一天交易日时间或者特殊情况的买入信号，，使用周期参数xd赋予skip_days
+        :return 生成的交易订单AbuOrder对象
+        """
+        self.skip_days = self.xd
+        return self.make_buy_order(self.today_ind - 1)
+
+    def _init_self(self, **kwargs):
+        """子类因子针对可扩展参数的初始化"""
+        # 突破周期参数 xd， 比如20，30，40天...突破, 不要使用kwargs.pop('xd', 20), 明确需要参数xq
+        self.xd = kwargs['xd']
+        # 在输出生成的orders_pd中显示的名字
+        self.factor_name = '{}:{}'.format(self.__class__.__name__, self.xd)
+
+    def fit_day(self, today):
+        """raise NotImplementedError"""
+        raise NotImplementedError('NotImplementedError fit_day')

abupy/FactorBuyBu/ABuFactorBuyBreak.py

@@ -7,7 +7,7 @@
 from __future__ import print_function
 from __future__ import division
 
-from .ABuFactorBuyBase import AbuFactorBuyBase, BuyCallMixin, BuyPutMixin
+from .ABuFactorBuyBase import AbuFactorBuyBase, AbuFactorBuyXD, BuyCallMixin, BuyPutMixin
 
 __author__ = '阿布'
 __weixin__ = 'abu_quant'
@@ -43,6 +43,21 @@ def fit_day(self, today):
         return None
 
 
+# noinspection PyAttributeOutsideInit
+class AbuFactorBuyXDBK(AbuFactorBuyXD, BuyCallMixin):
+    """示例继承AbuFactorBuyXD完成正向突破买入择时类"""
+    def fit_day(self, today):
+        """
+        针对每一个交易日拟合买入交易策略，寻找向上突破买入机会
+        :param today: 当前驱动的交易日金融时间序列数据
+        :return:
+        """
+        # 今天的收盘价格达到xd天内最高价格则符合买入条件
+        if today.close == self.xd_kl.close.max():
+            return self.buy_tomorrow()
+        return None
+
+
 # noinspection PyAttributeOutsideInit
 class AbuFactorBuyPutBreak(AbuFactorBuyBase, BuyPutMixin):
     """示例反向突破买入择时类，混入BuyPutMixin，即向下突破触发买入event，详情请查阅期货回测示例demo"""
@@ -70,3 +85,18 @@ def fit_day(self, today):
             self.skip_days = self.xd
             return self.buy_tomorrow()
         return None
+
+
+# noinspection PyAttributeOutsideInit
+class AbuFactorBuyPutXDBK(AbuFactorBuyXD, BuyPutMixin):
+    """示例继承AbuFactorBuyXD完成反向突破买入择时类"""
+    def fit_day(self, today):
+        """
+        针对每一个交易日拟合买入交易策略，寻找向上突破买入机会
+        :param today: 当前驱动的交易日金融时间序列数据
+        :return:
+        """
+        # 与AbuFactorBuyBreak区别就是买向下突破的，即min()
+        if today.close == self.xd_kl.close.min():
+            return self.buy_tomorrow()
+        return None

abupy/FactorBuyBu/__init__.py

@@ -1,12 +1,13 @@
 from __future__ import absolute_import
 
-from .ABuFactorBuyBase import AbuFactorBuyBase, BuyCallMixin, BuyPutMixin
+from .ABuFactorBuyBase import AbuFactorBuyBase, AbuFactorBuyXD, BuyCallMixin, BuyPutMixin
 from .ABuFactorBuyBreak import AbuFactorBuyBreak, AbuFactorBuyPutBreak
 from .ABuFactorBuyDemo import AbuSDBreak, AbuTwoDayBuy, AbuFactorBuyBreakUmpDemo
 from .ABuFactorBuyDemo import AbuFactorBuyBreakReocrdHitDemo, AbuFactorBuyBreakHitPredictDemo
 
 __all__ = [
     'AbuFactorBuyBase',
+    'AbuFactorBuyXD',
     'BuyCallMixin',
     'BuyPutMixin',
     'AbuFactorBuyBreak',

abupy/FactorSellBu/ABuFactorSellBase.py

@@ -172,3 +172,41 @@ def make_sell_order_ml_feature(self, day_ind):
 
     # def fit_month(self, *args, **kwargs):
     #     pass
+
+
+class AbuFactorSellXD(AbuFactorSellBase):
+    """以周期为重要参数的策略，xd代表参数'多少天'如已周期为参数可直接继承使用 """
+
+    def _init_self(self, **kwargs):
+        """kwargs中必须包含: 突破参数xd 比如20，30，40天...突破"""
+        # 向下突破参数 xd， 比如20，30，40天...突破
+        self.xd = kwargs['xd']
+        # 在输出生成的orders_pd中显示的名字
+        self.sell_type_extra = '{}:{}'.format(self.__class__.__name__, self.xd)
+
+    def read_fit_day(self, today, orders):
+        """
+        覆盖base函数, 为fit_day中切片周期金融时间序列数据
+        :param today: 当前驱动的交易日金融时间序列数据
+        :param orders: 买入择时策略中生成的订单序列
+        :return: 生成的交易订单AbuOrder对象
+        """
+        # 今天这个交易日在整个金融时间序列的序号
+        self.today_ind = int(today.key)
+        # 回测中默认忽略最后一个交易日
+        if self.today_ind >= self.kl_pd.shape[0] - 1:
+            return
+        orders = list(filter(lambda order: order.expect_direction in self.support_direction(), orders))
+
+        # 完成为fit_day中切片周期金融时间序列数据
+        self.xd_kl = self.kl_pd[self.today_ind - self.xd + 1:self.today_ind + 1]
+
+        return self.fit_day(today, orders)
+
+    def support_direction(self):
+        """raise NotImplementedError"""
+        raise NotImplementedError('NotImplementedError support_direction')
+
+    def fit_day(self, today, orders):
+        """raise NotImplementedError"""
+        raise NotImplementedError('NotImplementedError support_direction')

abupy/FactorSellBu/ABuFactorSellBreak.py

@@ -7,7 +7,7 @@
 from __future__ import print_function
 from __future__ import division
 
-from .ABuFactorSellBase import AbuFactorSellBase, ESupportDirection
+from .ABuFactorSellBase import AbuFactorSellBase, AbuFactorSellXD, ESupportDirection
 
 __author__ = '阿布'
 __weixin__ = 'abu_quant'
@@ -33,9 +33,27 @@ def fit_day(self, today, orders):
         寻找向下突破作为策略卖出驱动event
         :param today: 当前驱动的交易日金融时间序列数据
         :param orders: 买入择时策略中生成的订单序列
-        :return:
         """
         # 今天的收盘价格达到xd天内最低价格则符合条件
         if today.close == self.kl_pd.close[self.today_ind - self.xd + 1:self.today_ind + 1].min():
             for order in orders:
                 self.sell_tomorrow(order)
+
+
+class AbuFactorSellXDBK(AbuFactorSellXD):
+    """示例继承AbuFactorBuyXD, 向下突破卖出择时因子"""
+
+    def support_direction(self):
+        """支持的方向，只支持正向"""
+        return [ESupportDirection.DIRECTION_CAll.value]
+
+    def fit_day(self, today, orders):
+        """
+        寻找向下突破作为策略卖出驱动event
+        :param today: 当前驱动的交易日金融时间序列数据
+        :param orders: 买入择时策略中生成的订单序列
+        """
+        # 今天的收盘价格达到xd天内最低价格则符合条件
+        if today.close == self.xd_kl.close.min():
+            for order in orders:
+                self.sell_tomorrow(order)

abupy/FactorSellBu/__init__.py

@@ -1,6 +1,6 @@
 from __future__ import absolute_import
 
-from .ABuFactorSellBase import AbuFactorSellBase, ESupportDirection
+from .ABuFactorSellBase import AbuFactorSellBase, AbuFactorSellXD, ESupportDirection
 from .ABuFactorPreAtrNStop import AbuFactorPreAtrNStop
 from .ABuFactorAtrNStop import AbuFactorAtrNStop
 from .ABuFactorCloseAtrNStop import AbuFactorCloseAtrNStop
@@ -11,6 +11,7 @@
 
 __all__ = [
     'AbuFactorSellBase',
+    'AbuFactorSellXD',
     'ESupportDirection',
     'AbuFactorPreAtrNStop',
     'AbuFactorAtrNStop',

abupy_lecture/11-期货市场的回测(ABU量化使用文档).ipynb

@@ -720,32 +720,17 @@
    },
    "outputs": [],
    "source": [
-    "from abupy import AbuFactorBuyBase, BuyPutMixin\n",
-    "\n",
-    "class AbuFactorBuyPutBreak(AbuFactorBuyBase, BuyPutMixin):\n",
-    "    \"\"\"示例反向突破买入择时类，混入BuyPutMixin，即向下突破触发买入event，详情请查阅期货回测示例demo\"\"\"\n",
-    "\n",
-    "    def _init_self(self, **kwargs):\n",
-    "        \"\"\"kwargs中必须包含: 突破参数xd 比如20，30，40天...突破\"\"\"\n",
-    "\n",
-    "        # 突破参数 xd， 比如20，30，40天...突破, 不要使用kwargs.pop('xd', 20), 明确需要参数xq\n",
-    "        self.xd = kwargs['xd']\n",
-    "        self.factor_name = '{}:{}'.format(self.__class__.__name__, self.xd)\n",
+    "from abupy import AbuFactorBuyXD, BuyPutMixin\n",
     "\n",
+    "class AbuFactorBuyPutXDBK(AbuFactorBuyXD, BuyPutMixin):\n",
+    "    \"\"\"示例继承AbuFactorBuyXD完成反向突破买入择时类\"\"\"\n",
     "    def fit_day(self, today):\n",
     "        \"\"\"\n",
-    "        针对每一个交易日拟合买入交易策略，寻找向下突破买入机会\n",
+    "        针对每一个交易日拟合买入交易策略，寻找向上突破买入机会\n",
     "        :param today: 当前驱动的交易日金融时间序列数据\n",
-    "        :return:\n",
-    "        \"\"\"\n",
-    "        # 忽略不符合买入的天（统计周期内前xd天）\n",
-    "        if self.today_ind < self.xd - 1:\n",
-    "            return None\n",
-    "        \"\"\"\n",
-    "            与AbuFactorBuyBreak区别就是买向下突破的，即min()\n",
     "        \"\"\"\n",
-    "        if today.close == self.kl_pd.close[self.today_ind - self.xd + 1:self.today_ind + 1].min():\n",
-    "            self.skip_days = self.xd\n",
+    "        # 与AbuFactorBuyBreak区别就是买向下突破的，即min()\n",
+    "        if today.close == self.xd_kl.close.min():\n",
     "            return self.buy_tomorrow()\n",
     "        return None\n",
     "    \n",