crypto_quant/trade_ma_strategy_main.py

import core.logger as logging
from datetime import datetime
from time import sleep
import pandas as pd
from core.biz.market_data import MarketData
from core.trade.ma_break_statistics import MaBreakStatistics
from core.db.db_market_data import DBMarketData
from core.biz.metrics_calculation import MetricsCalculation
from core.utils import (
    datetime_to_timestamp,
    timestamp_to_datetime,
    transform_date_time_to_timestamp,
)
from trade_data_main import TradeDataMain
from config import (
    API_KEY,
    SECRET_KEY,
    PASSPHRASE,
    SANDBOX,
    OKX_MONITOR_CONFIG,
    BAR_THRESHOLD,
)

logger = logging.logger


class TradeMaStrategyMain:
    def __init__(
        self,
        is_us_stock: bool = False,
        is_astock: bool = False,
        is_aindex: bool = True,
        is_binance: bool = False,
        commission_per_share: float = 0,
        buy_by_long_period: dict = {"by_week": False, "by_month": False},
        long_period_condition: dict = {"ma5>ma10": False, "ma10>ma20": False, "macd_diff>0": False, "macd>0": False},
    ):
        self.ma_break_statistics = MaBreakStatistics(
            is_us_stock=is_us_stock,
            is_astock=is_astock,
            is_aindex=is_aindex,
            is_binance=is_binance,
            commission_per_share=commission_per_share,
            buy_by_long_period=buy_by_long_period,
            long_period_condition=long_period_condition,
        )

    def batch_ma_break_statistics(self):
        """
        批量计算MA突破统计
        """
        logger.info("开始批量计算MA突破统计")
        strategy_dict = self.ma_break_statistics.main_strategy
        account_value_chg_df_list = []
        for strategy_name, strategy_info in strategy_dict.items():
            if "macd" in strategy_name:
                # 只计算macd策略
                account_value_chg_df = self.ma_break_statistics.batch_statistics(
                    strategy_name=strategy_name
                )
                account_value_chg_df_list.append(account_value_chg_df)

        total_account_value_chg_df = pd.concat(account_value_chg_df_list)
        return total_account_value_chg_df

    def statistics_account_value_chg(self, account_value_chg_df: pd.DataFrame):
        logger.info("开始统计account_value_chg")


def test_single_symbol():
    ma_break_statistics = MaBreakStatistics(
        is_us_stock=False,
        is_astock=True,
        is_aindex=False,
        is_binance=False,
        commission_per_share=0,
    )
    symbol = "600111.SH"
    bar = "1D"
    ma_break_statistics.trade_simulate(symbol=symbol, bar=bar, strategy_name="均线macd结合策略2")


if __name__ == "__main__":
    commission_per_share_list = [0, 0.0008]
    buy_by_long_period_list = [{"by_week": True, "by_month": True}, 
    {"by_week": True, "by_month": False}, 
    {"by_week": False, "by_month": True},
    {"by_week": False, "by_month": False}]
    long_period_condition_list = [{"ma5>ma10": True, "ma10>ma20": True, "macd_diff>0": True, "macd>0": True},
    {"ma5>ma10": True, "ma10>ma20": False, "macd_diff>0": True, "macd>0": True},
    {"ma5>ma10": False, "ma10>ma20": True, "macd_diff>0": True, "macd>0": True}]
    
    for commission_per_share in commission_per_share_list:
        for buy_by_long_period in buy_by_long_period_list:
            for long_period_condition in long_period_condition_list:
                logger.info(f"开始计算, 主要参数：commission_per_share: {commission_per_share}, buy_by_long_period: {buy_by_long_period}, long_period_condition: {long_period_condition}")
                trade_ma_strategy_main = TradeMaStrategyMain(
                    is_us_stock=False,
                    is_astock=False,
                    is_aindex=True,
                    is_binance=False,
                    commission_per_share=commission_per_share,
                    buy_by_long_period=buy_by_long_period,
                    long_period_condition=long_period_condition,
                )
                trade_ma_strategy_main.batch_ma_break_statistics()

                trade_ma_strategy_main = TradeMaStrategyMain(
                    is_us_stock=False,
                    is_astock=True,
                    is_aindex=False,
                    is_binance=False,
                    commission_per_share=commission_per_share,
                    buy_by_long_period=buy_by_long_period,
                    long_period_condition=long_period_condition,
                )
                trade_ma_strategy_main.batch_ma_break_statistics()