2017年11月5日 星期日 晴
最近也不知道干啥，然后在网上瞎看，研究了一下tushare，又看了看别人根据MA20买入卖出回测的例子，于是我也写了一个感受一下。
写程序真的也不算啥，关键是要有策略，我没有策略，还得继续研究。下面程序的主要思想是当天是涨的，然后成交量大于前面N天一定比例，如果没买过的，就可以买入；当天是跌的，然后成交量大于前面N天一定比例，如果有持有的，需要卖出。最后算一下能赚多少钱，选出一个最大比例和最小比例。（程序是瞎写的，真实肯定用不了，只是练习）
[code] #! /usr/bin/env python #coding=utf-8 #author = “yyobin@gmail.com”
import tushare as ts
def parse(stock, start_date,end_date): print ‘—parse()—’ df = ts.get_h_data(stock,start=start_date,end=end_date,autype=‘qfq’, index=False, retry_count=3, pause=0.001, drop_factor=True ) df = df[::-1] open = df[u’open’] close = df[u’close’] volume = df[u’volume’] amount = df[u’amount’] high = df[u’high’] low = df[u’low’]
total = len(amount)
print 'total = %d' % (total)
maxrate = 1.0
max_buybili = 1.0
max_sellbili = 1.0
minrate = 1.0
min_buybili = 1.0
min_sellbili = 1.0
BUY_BILI = 1.0 #系数应该通过如阶梯法这样的逼近求解
for offset in xrange(50):
BUY_BILI += 0.1
SELL_BILI = 1.0 #系数应该通过如阶梯法这样的逼近求解
for offset2 in xrange(50):
SELL_BILI += 0.1
is_buy = 0
buy_val = []
buy_date = []
sell_val = []
sell_date = []
rate = 1.0
CYCLE = 30
AMOUNT7 = []
VOL7 = []
AV7 = []
idx = 0
while idx < total:
#处理VOL7
count = idx
loop = 0
tmp_amount = 0.0
tmp_vol = 0.0
while count >= 0 and loop < CYCLE:
tmp_amount += float(amount[count])
tmp_vol += float(volume[count])
count -= 1
loop += 1
am7 = float('%.2f' % (tmp_amount / loop))
AMOUNT7.append(am7)
vol7 = float('%.2f' % (tmp_vol / loop))
VOL7.append(vol7)
av7 = float('%.2f' % (am7 / vol7))
AV7.append(av7)
close_val = close[idx]
if idx == 0:
idx += 1
continue
if av7 > open[idx]:#如果上涨
if float(amount[idx]) / AMOUNT7[idx-1] >= BUY_BILI:
if is_buy == 0:
is_buy = 1
buy_val.append(close[idx])
buy_date.append(close.keys()[idx])
elif av7 < open[idx]:
if float(amount[idx]) / AMOUNT7[idx-1] >= SELL_BILI:
if is_buy == 1:
is_buy = 0
sell_val.append(close[idx])
sell_date.append(close.keys()[idx])
idx += 1
print ("stock number: %s" %stock)
print ("buy count : %d" %len(buy_val))
print ("sell count : %d" %len(sell_val) )
loop = 0
for i in range(len(sell_val)):
rate = rate * (sell_val[i] * (1 - 0.002) / buy_val[i])
print ("buy date : %s, buy price : %.2f" %(buy_date[i], buy_val[i]))
print ("sell date: %s, sell price: %.2f" %(sell_date[i], sell_val[i]))
loop = i
if len(buy_date) > len(sell_date):
print ("buy date : %s, buy price : %.2f" %(buy_date[loop], buy_val[loop]))
print ("BUY_BILI=%.2f,SELL_BILI=%.2f,rate: %.2f" % (BUY_BILI,SELL_BILI,rate))
print ("min_buybili=%.2f,min_sellbili=%.2f,rate: %.2f" % (min_buybili,min_sellbili,minrate))
print ("max_buybili=%.2f,max_sellbili=%.2f,rate: %.2f" % (max_buybili,max_sellbili,maxrate))
if rate > maxrate:
maxrate = rate
max_buybili = BUY_BILI
max_sellbili = SELL_BILI
if rate < minrate:
minrate = rate
min_buybili = BUY_BILI
min_sellbili = SELL_BILI
print ("min_buybili=%.2f,min_sellbili=%.2f,rate: %.2f" % (min_buybili,min_sellbili,minrate))
print ("max_buybili=%.2f,max_sellbili=%.2f,rate: %.2f" % (max_buybili,max_sellbili,maxrate))
if name == ‘main’: stock_pool = [‘600406’] start_date_list = [‘2015-11-02’,] end_date = ‘2017-11-02’ for stock in stock_pool: for start_date in start_date_list: parse(stock, start_date,end_date) [/code]
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