V0.9.21 更新一批代码 (waditu#151)

* 0.9.21 first commit

* 0.9.21 first commit

* 0.9.21 update

* 0.9.21 新增信号分析

* 0.9.21 新增 CTAResearch 模块

* 0.9.21 update

* 0.9.21 update

* 0.9.21 update

* add vscode settings

* 0.9.21 update

* 0.9.21 update

* 0.9.21 update cmd

* 0.9.21 优化代码格式

* 0.9.21 update

* 0.9.21 fix test

* 0.9.21 update

* 0.9.21 update

* 0.9.21 update

* 0.9.21 更新琅盎共享的信号函数

* 0.9.21 update

* 0.9.21 update coo_td_V221111

* 0.9.21 新增CCI基础策略

* update

* update

* 0.9.21 update

* 0.9.21 fix bug: 合并K线后，会出现 high_ubi 大于 bi.high，这是正常的

* 0.9.21 update

* 0.9.21 update

* 0.9.21 优化价值发现算法

* fix divide by 0

* 0.9.21 新增阿里云OSS操作类

* update

* update

* update

* update

.github/workflows/pythonpackage.yml

@@ -5,7 +5,7 @@ name: Python package
 
 on:
   push:
-    branches: [ master, V0.9.20 ]
+    branches: [ master, V0.9.21 ]
   pull_request:
     branches: [ master ]
 
@@ -15,7 +15,7 @@ jobs:
     runs-on: ubuntu-latest
     strategy:
       matrix:
-        python-version: [3.7, 3.8, 3.9, 3.10.11, 3.11.3]
+        python-version: [3.7, 3.8, 3.9, '3.10', '3.11']
 
     steps:
     - uses: actions/checkout@v2

.vscode/settings.json

@@ -0,0 +1,20 @@
+{
+    "python.testing.pytestArgs": [
+        "test"
+    ],
+    "python.testing.unittestEnabled": false,
+    "python.testing.pytestEnabled": true,
+    "python.formatting.provider": "none",
+    "python.formatting.autopep8Args": [
+        "--max-line-length",
+        "120"
+    ],
+    "[python]": {
+        "editor.defaultFormatter": "ms-python.black-formatter"
+    },
+    "python.formatting.blackArgs": [
+        "--line-length",
+        "120"
+    ],
+    "typescript.locale": "zh-CN",
+}

czsc/__init__.py

@@ -21,13 +21,14 @@
 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, SignalsPerformance, CTAResearch
+from czsc.sensors import holds_concepts_effect, CTAResearch
+from czsc.utils.signal_analyzer import SignalAnalyzer, SignalPerformance
 
 
-__version__ = "0.9.20"
+__version__ = "0.9.21"
 __author__ = "zengbin93"
 __email__ = "[email protected]"
-__date__ = "20230524"
+__date__ = "20230601"
 
 
 def welcome():

czsc/analyze.py

@@ -27,7 +27,7 @@ def remove_include(k1: NewBar, k2: NewBar, k3: RawBar):
         direction = Direction.Down
     else:
         k4 = NewBar(symbol=k3.symbol, id=k3.id, freq=k3.freq, dt=k3.dt, open=k3.open,
-                    close=k3.close, high=k3.high, low=k3.low, vol=k3.vol, elements=[k3])
+                    close=k3.close, high=k3.high, low=k3.low, vol=k3.vol, amount=k3.amount, elements=[k3])
         return False, k4
 
     # 判断 k2 和 k3 之间是否存在包含关系，有则处理
@@ -45,15 +45,16 @@ def remove_include(k1: NewBar, k2: NewBar, k3: RawBar):
 
         open_, close = (high, low) if k3.open > k3.close else (low, high)
         vol = k2.vol + k3.vol
+        amount = k2.amount + k3.amount
         # 这里有一个隐藏Bug，len(k2.elements) 在一些及其特殊的场景下会有超大的数量，具体问题还没找到；
         # 临时解决方案是直接限定len(k2.elements)<=100
         elements = [x for x in k2.elements[:100] if x.dt != k3.dt] + [k3]
         k4 = NewBar(symbol=k3.symbol, id=k2.id, freq=k2.freq, dt=dt, open=open_,
-                    close=close, high=high, low=low, vol=vol, elements=elements)
+                    close=close, high=high, low=low, vol=vol, amount=amount, elements=elements)
         return True, k4
     else:
         k4 = NewBar(symbol=k3.symbol, id=k3.id, freq=k3.freq, dt=k3.dt, open=k3.open,
-                    close=k3.close, high=k3.high, low=k3.low, vol=k3.vol, elements=[k3])
+                    close=k3.close, high=k3.high, low=k3.low, vol=k3.vol, amount=k3.amount, elements=[k3])
         return False, k4
 
 
@@ -75,7 +76,7 @@ def check_fxs(bars: List[NewBar]) -> List[FX]:
     """输入一串无包含关系K线，查找其中所有分型"""
     fxs = []
     for i in range(1, len(bars)-1):
-        fx: FX = check_fx(bars[i-1], bars[i], bars[i+1])
+        fx = check_fx(bars[i-1], bars[i], bars[i+1])
         if isinstance(fx, FX):
             # 这里可能隐含Bug，默认情况下，fxs本身是顶底交替的，但是对于一些特殊情况下不是这样，这是不对的。
             # 临时处理方案，强制要求fxs序列顶底交替
@@ -94,7 +95,7 @@ def check_fxs(bars: List[NewBar]) -> List[FX]:
     return fxs
 
 
-def check_bi(bars: List[NewBar], benchmark: float = None):
+def check_bi(bars: List[NewBar], benchmark=None):
     """输入一串无包含关系K线，查找其中的一笔
 
     :param bars: 无包含关系K线列表
@@ -151,22 +152,15 @@ def check_bi(bars: List[NewBar], benchmark: float = None):
     if (not ab_include) and (len(bars_a) >= min_bi_len or power_enough):
         fxs_ = [x for x in fxs if fx_a.elements[0].dt <= x.dt <= fx_b.elements[2].dt]
         bi = BI(symbol=fx_a.symbol, fx_a=fx_a, fx_b=fx_b, fxs=fxs_, direction=direction, bars=bars_a)
-
-        low_ubi = min([x.low for y in bars_b for x in y.raw_bars])
-        high_ubi = max([x.high for y in bars_b for x in y.raw_bars])
-        if (bi.direction == Direction.Up and high_ubi > bi.high) \
-                or (bi.direction == Direction.Down and low_ubi < bi.low):
-            return None, bars
-        else:
-            return bi, bars_b
+        return bi, bars_b
     else:
         return None, bars
 
 
 class CZSC:
     def __init__(self,
                  bars: List[RawBar],
-                 get_signals: Callable = None,
+                 get_signals = None,
                  max_bi_num=envs.get_max_bi_num(),
                  ):
         """
@@ -223,7 +217,8 @@ def __update_bi(self):
             logger.info(f"{self.symbol} - {self.freq} - {bars_ubi[-1].dt} 未完成笔延伸数量: {len(bars_ubi)}")
 
         if envs.get_bi_change_th() > 0.5 and len(self.bi_list) >= 5:
-            benchmark = min(self.bi_list[-1].power_price, np.mean([x.power_price for x in self.bi_list[-5:]]))
+            price_seq = [x.power_price for x in self.bi_list[-5:]]
+            benchmark = min(self.bi_list[-1].power_price, sum(price_seq) / len(price_seq))
         else:
             benchmark = None
 
@@ -261,7 +256,7 @@ def update(self, bar: RawBar):
         for bar in last_bars:
             if len(bars_ubi) < 2:
                 bars_ubi.append(NewBar(symbol=bar.symbol, id=bar.id, freq=bar.freq, dt=bar.dt,
-                                       open=bar.open, close=bar.close,
+                                       open=bar.open, close=bar.close, amount=bar.amount,
                                        high=bar.high, low=bar.low, vol=bar.vol, elements=[bar]))
             else:
                 k1, k2 = bars_ubi[-2:]
@@ -292,7 +287,7 @@ def update(self, bar: RawBar):
         else:
             self.signals = OrderedDict()
 
-    def to_echarts(self, width: str = "1400px", height: str = '580px', bs=None):
+    def to_echarts(self, width: str = "1400px", height: str = '580px', bs=[]):
         """绘制K线分析图
 
         :param width: 宽
@@ -306,8 +301,8 @@ def to_echarts(self, width: str = "1400px", height: str = '580px', bs=None):
                  [{'dt': self.bi_list[-1].fx_b.dt, "bi": self.bi_list[-1].fx_b.fx}]
             fx = [{'dt': x.dt, "fx": x.fx} for x in self.fx_list]
         else:
-            bi = None
-            fx = None
+            bi = []
+            fx = []
         chart = kline_pro(kline, bi=bi, fx=fx, width=width, height=height, bs=bs,
                           title="{}-{}".format(self.symbol, self.freq.value))
         return chart

czsc/cmd.py

@@ -23,42 +23,3 @@ def aphorism():
     from czsc.aphorism import print_one
 
     print_one()
-
-
-@czsc.command()
-@click.option('-f', '--file_strategy', type=str, required=True, help="Python择时策略文件路径")
-def dummy(file_strategy):
-    """使用 CzscDummyTrader 进行快速的择时策略研究"""
-    pass
-
-
-@czsc.command()
-@click.option('-f', '--file_strategy', type=str, required=True, help="Python择时策略文件路径")
-def replay(file_strategy):
-    """执行择时策略在某个品种上的交易回放"""
-    pass
-
-
-@czsc.command()
-@click.option('-f', '--file_strategy', type=str, required=True, help="Python信号检查文件路径")
-@click.option('-d', '--delta_days', type=int, required=False, default=1, help="两次相同信号之间的间隔天数")
-def check(file_strategy, delta_days):
-    """执行择时策略中使用的信号在某个品种上的校验"""
-    from czsc.traders import check_signals_acc
-    from czsc.utils import get_py_namespace
-
-    py = get_py_namespace(file_strategy)
-    get_signals = py['get_signals']
-    check_params = py.get('check_params', None)
-
-    if not check_params:
-        logger.warning(f"{file_strategy} 中没有设置策略回放参数，将使用默认参数执行")
-
-    # 获取单个品种的基础周期K线
-    symbol = check_params.get('symbol', "000001.SZ#E")
-    sdt = check_params.get('sdt', '20200101')
-    edt = check_params.get('edt', '20220101')
-    bars = py['read_bars'](symbol, sdt, edt)
-    logger.info(f"信号检查参数 | {symbol} - sdt: {sdt} - edt: {edt}")
-
-    check_signals_acc(bars, get_signals=get_signals, delta_days=delta_days)

czsc/connectors/qmt_connector.py

@@ -138,6 +138,9 @@ def get_raw_bars(symbol, freq, sdt, edt, fq='前复权', **kwargs):
 
     kline = get_kline(symbol, period, sdt, edt, dividend_type=dividend_type,
                       download_hist=kwargs.get("download_hist", True), df=True)
+    if kline.empty:
+        return []
+
     kline['dt'] = pd.to_datetime(kline['time'])
     kline['vol'] = kline['volume']
     bars = resample_bars(kline, freq, raw_bars=True)

czsc/connectors/research.py

@@ -52,6 +52,8 @@ def get_raw_bars(symbol, freq, sdt, edt, fq='前复权', **kwargs):
     if 'dt' not in kline.columns:
         kline['dt'] = pd.to_datetime(kline['datetime'])
     kline = kline[(kline['dt'] >= pd.to_datetime(sdt)) & (kline['dt'] <= pd.to_datetime(edt))]
+    if kline.empty:
+        return []
     _bars = czsc.resample_bars(kline, freq, raw_bars=True)
     return _bars