waditu#52 0.7.3 add scripts_gm

scripts_gm/check_bs.py

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+# -*- coding: utf-8 -*-
+"""
+author: zengbin93
+email: [email protected]
+create_dt: 2021/6/28 22:11
+"""
+
+from scripts_gm.gm_utils import *
+
+# ct = GmCzscTrader("SZSE.002414", end_dt='2021-06-25 14:38:00+08:00')
+ct = GmCzscTrader("SZSE.002414", end_dt='2021-06-25 14:38:00+08:00')
+ct.open_in_browser()

scripts_gm/gm_backtest_1min.py

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+# coding: utf-8
+import inspect
+from czsc.analyze import *
+from czsc.utils.log import create_logger
+from scripts_gm.gm_utils import *
+from scripts_gm.strategy import get_signals_share_f15_v1 as get_user_signals
+from scripts_gm.strategy import get_events_share_f15_v1 as get_user_events
+from scripts_gm.strategy import freqs_share_f15_v1 as user_freqs
+
+
+def adjust_position(context, symbol):
+    bars = context.data(symbol=symbol, frequency='60s', count=100, fields='symbol,eob,open,close,high,low,volume')
+    trader: CzscTrader = context.symbols_map[symbol]['trader']
+    mp = context.symbols_map[symbol]['mp']
+    bars = format_kline(bars, freq=Freq.F1)
+    bars_new = [x for x in bars if x.dt > trader.kg.end_dt]
+    if bars_new:
+        for k in bars_new:
+            trader.check_operate(k, context.stoploss, context.timeout)
+    context.symbols_map[symbol]['trader'] = trader
+    last_bar = bars[-1]
+    if last_bar.dt.minute % 30 == 0:
+        print(trader.op)
+
+    exchange = symbol.split(".")[0]
+    if exchange in ["SZSE", "SHSE"]:
+        adjust_share_position(context, symbol, trader, mp)
+    else:
+        adjust_future_position(context, symbol, trader, mp)
+
+
+def init(context):
+    data_path = "C:/gm_logs/1min_{}".format(datetime.now().strftime("%Y_%m_%d_%H_%M_%S"))
+
+    # 填写企业微信群聊机器人的 key，会发送消息到对应企业微信群聊
+    context.wx_key = "2daec96b-f3f1-****-****-2952fe2731c0"
+
+    cache_path = os.path.join(data_path, "cache")
+    os.makedirs(cache_path, exist_ok=False)
+    context.logger = create_logger(os.path.join(data_path, "backtest.log"), cmd=True, name="gm")
+    context.data_path = data_path
+    context.cache_path = cache_path
+    context.file_orders = os.path.join(data_path, "orders.txt")
+
+    context.stoploss = 0.05     # 止损条件设定
+    context.timeout = 600      # 超时条件设定
+
+    # 仓位控制[0, 1]，按资金百分比控制，1表示满仓，仅在开仓的时候控制
+    context.max_total_position = 0.3
+    context.max_share_position = 0.3
+    assert 0 <= context.max_total_position <= 1
+    assert 0 <= context.max_share_position <= 1
+    assert context.max_total_position >= context.max_share_position >= 0
+
+    context.logger.info("回测配置：")
+    context.logger.info("backtest_start_time = " + str(context.backtest_start_time))
+    context.logger.info("backtest_end_time = " + str(context.backtest_end_time))
+    context.logger.info(f"异常退出条件：stoploss = {context.stoploss}; timeout = {context.timeout}")
+    context.logger.info("交易使用的信号定义如下：\n" + inspect.getsource(get_user_signals))
+    context.logger.info("交易使用的买卖点定义如下：\n" + inspect.getsource(get_user_events))
+
+    symbols = [
+        'SHSE.510500',
+        'SZSE.300014',
+        'SHSE.600143'
+    ]
+    context.logger.info(f"交易标的数量：{len(symbols)}")
+
+    symbols_map = {symbol: dict() for symbol in symbols}
+    for symbol in symbols:
+        try:
+            symbols_map[symbol]['mp'] = context.max_share_position
+            kg = get_init_kg(symbol, context.now, max_count=2000, adjust=ADJUST_POST, freqs=user_freqs)
+            trader = CzscTrader(kg, get_signals=get_user_signals, events=get_user_events())
+            symbols_map[symbol]['trader'] = trader
+            context.logger.info("{} 初始化完成，当前时间：{}".format(symbol, trader.end_dt))
+        except:
+            traceback.print_exc()
+            context.logger.info("{} 初始化失败".format(symbol))
+
+    subscribe(",".join(symbols_map.keys()), frequency='60s', count=300, wait_group=True)
+    context.logger.info(f"交易标的配置：{symbols_map}")
+    context.symbols_map = symbols_map
+
+
+def on_bar(context, bars):
+    context.unfinished_orders = get_unfinished_orders()
+
+    for bar in bars:
+        symbol = bar['symbol']
+        try:
+            adjust_position(context, symbol)
+        except:
+            traceback.print_exc()
+
+    if context.now.hour == 13 and context.now.minute == 59:
+        report_account_status(context)
+
+
+if __name__ == '__main__':
+    run(filename='gm_backtest_1min.py', token=gm_token,
+        strategy_id='692dc7b5-d19f-11eb-af0a-38f3abf8ed06',
+        mode=MODE_BACKTEST,
+        backtest_start_time='2020-01-06 14:30:00',
+        backtest_end_time='2020-12-31 15:30:00',
+        backtest_initial_cash=100000000,
+        backtest_transaction_ratio=1,
+        backtest_commission_ratio=0.001,
+        backtest_slippage_ratio=0.0005,
+        backtest_adjust=ADJUST_POST,
+        backtest_check_cache=1)

scripts_gm/gm_selector.py

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+# coding: utf-8
+import numpy as np
+from tqdm import tqdm
+from czsc.utils.ta import SMA
+from czsc.analyze import *
+from scripts_gm.gm_utils import *
+
+
+def is_up_gap(bars: List[RawBar]):
+    """判断 bars 中是否有向上跳空缺口不补事件出现
+
+    :param bars:
+    :return:
+    """
+    ma5 = SMA(np.array([x.close for x in bars]), timeperiod=5)
+
+    # 收盘价跌破 MA5 是不允许的
+    if bars[-1].close < ma5[-1]:
+        return False
+
+    max_id = bars[-1].id
+    for i in [4, 3, 2, 1]:   # 近五个K线中找缺口
+        bar1 = bars[max_id-i-1]
+        bar2 = bars[max_id-i]
+        max_high = max([x.high for x in bars[:max_id-i-1]])
+
+        # 缺口创新高
+        if bar2.high > max_high > bar1.high and bar2.low > bar1.high:
+            qid = max_id - i
+            p_high = bar1.high
+            after_q = [x for x in bars if x.id >= qid]
+
+            if min([x.low for x in after_q]) > p_high \
+                    and after_q[0].close > after_q[-1].low:
+                return True
+            else:
+                return False
+
+    return False
+
+def is_up_big(bars: List[RawBar]):
+    """判断 bars 中是否有光头阳线突破不补事件出现
+
+    :param bars:
+    :return:
+    """
+    ma5 = SMA(np.array([x.close for x in bars]), timeperiod=5)
+
+    # 收盘价跌破 MA5 是不允许的
+    if bars[-1].close < ma5[-1]:
+        return False
+
+    max_id = bars[-1].id
+    for i in [5, 4, 3, 2]:   # 最近K线中找光头阳线
+        bar = bars[max_id - i]
+        max_high = max([x.high for x in bars[:max_id-i-1]])
+        # 光头大阳线定义：1）涨幅超过7个点；2）开盘价不高于最低价一个点；3）收盘价不低于最高价0.5个点
+        if bar.open < bar.low * 1.01 and bar.close < bar.high * 0.995 and (bar.close - bar.open) / bar.open > 0.07:
+            qid = max_id - i
+            after_q = [x for x in bars if x.id > qid]
+
+            # 三买验证：1）光头阳线创新高；2）新高后的走势不跌破光头阳线的实体中部；3）在光头阳线后一根K线价格范围盘整
+            if bar.high > max_high \
+                    and min([x.low for x in after_q]) > bar.open + (bar.close - bar.open) / 2 \
+                    and after_q[0].close > after_q[-1].low:
+                return True
+            else:
+                return False
+
+    return False
+
+
+def run_selector(context=None, end_date: [str, datetime] = datetime.now()):
+    key = context.wx_key
+    symbols = get_index_shares('上证指数')
+    if isinstance(end_date, str):
+        end_date = pd.to_datetime(end_date)
+    push_text(content="start running selector", key=key)
+    for symbol in tqdm(symbols, desc=f"{end_date}"):
+        try:
+            count = 30
+            k0 = get_kline(symbol, end_time=end_date, freq='1d', count=count, adjust=ADJUST_PREV)
+            print("\n", k0[-1])
+            if len(k0) != count:
+                continue
+
+            last_vols = [k_.open * k_.vol for k_ in k0[-10:]]
+            if sum(last_vols) < 1e9:
+                print(f"{symbol} 近10个交易日累计成交金额小于10亿")
+                continue
+            if min(last_vols) < 5e7:
+                print(f"{symbol} 近10个交易日最低成交额小于5000万")
+                continue
+
+            if is_up_gap(k0):
+                msg = f"symbol: {symbol}\nreason: 日线跳空创新高"
+                push_text(content=msg, key=key)
+            elif is_up_big(k0):
+                msg = f"symbol: {symbol}\nreason: 日线光大阳突破"
+                push_text(content=msg, key=key)
+        except:
+            print("fail on {}".format(symbol))
+            traceback.print_exc()
+    push_text(content="end running selector", key=key)
+
+
+if __name__ == '__main__':
+    run_selector()
+
+