118 lines
4.4 KiB
Python
118 lines
4.4 KiB
Python
import core.logger as logging
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from datetime import datetime
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from time import sleep
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import pandas as pd
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from core.biz.market_data import MarketData
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from core.trade.ma_break_statistics import MaBreakStatistics
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from core.db.db_market_data import DBMarketData
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from core.biz.metrics_calculation import MetricsCalculation
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from core.utils import (
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datetime_to_timestamp,
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timestamp_to_datetime,
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transform_date_time_to_timestamp,
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)
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from trade_data_main import TradeDataMain
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from config import (
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API_KEY,
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SECRET_KEY,
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PASSPHRASE,
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SANDBOX,
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OKX_MONITOR_CONFIG,
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BAR_THRESHOLD,
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)
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logger = logging.logger
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class TradeMaStrategyMain:
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def __init__(
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self,
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is_us_stock: bool = False,
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is_astock: bool = False,
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is_aindex: bool = True,
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is_binance: bool = False,
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commission_per_share: float = 0,
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buy_by_long_period: dict = {"by_week": False, "by_month": False},
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long_period_condition: dict = {"ma5>ma10": False, "ma10>ma20": False, "macd_diff>0": False, "macd>0": False},
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):
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self.ma_break_statistics = MaBreakStatistics(
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is_us_stock=is_us_stock,
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is_astock=is_astock,
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is_aindex=is_aindex,
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is_binance=is_binance,
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commission_per_share=commission_per_share,
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buy_by_long_period=buy_by_long_period,
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long_period_condition=long_period_condition,
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)
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def batch_ma_break_statistics(self):
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"""
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批量计算MA突破统计
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"""
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logger.info("开始批量计算MA突破统计")
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strategy_dict = self.ma_break_statistics.main_strategy
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account_value_chg_df_list = []
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for strategy_name, strategy_info in strategy_dict.items():
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if "macd" in strategy_name:
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# 只计算macd策略
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account_value_chg_df = self.ma_break_statistics.batch_statistics(
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strategy_name=strategy_name
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)
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account_value_chg_df_list.append(account_value_chg_df)
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total_account_value_chg_df = pd.concat(account_value_chg_df_list)
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return total_account_value_chg_df
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def statistics_account_value_chg(self, account_value_chg_df: pd.DataFrame):
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logger.info("开始统计account_value_chg")
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def test_single_symbol():
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ma_break_statistics = MaBreakStatistics(
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is_us_stock=False,
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is_astock=True,
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is_aindex=False,
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is_binance=False,
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commission_per_share=0,
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)
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symbol = "600111.SH"
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bar = "1D"
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ma_break_statistics.trade_simulate(symbol=symbol, bar=bar, strategy_name="均线macd结合策略2")
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if __name__ == "__main__":
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commission_per_share_list = [0, 0.0008]
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buy_by_long_period_list = [{"by_week": True, "by_month": True},
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{"by_week": True, "by_month": False},
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{"by_week": False, "by_month": True},
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{"by_week": False, "by_month": False}]
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long_period_condition_list = [{"ma5>ma10": True, "ma10>ma20": True, "macd_diff>0": True, "macd>0": True},
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{"ma5>ma10": True, "ma10>ma20": False, "macd_diff>0": True, "macd>0": True},
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{"ma5>ma10": False, "ma10>ma20": True, "macd_diff>0": True, "macd>0": True}]
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for commission_per_share in commission_per_share_list:
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for buy_by_long_period in buy_by_long_period_list:
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for long_period_condition in long_period_condition_list:
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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}")
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trade_ma_strategy_main = TradeMaStrategyMain(
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is_us_stock=False,
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is_astock=False,
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is_aindex=True,
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is_binance=False,
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commission_per_share=commission_per_share,
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buy_by_long_period=buy_by_long_period,
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long_period_condition=long_period_condition,
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)
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trade_ma_strategy_main.batch_ma_break_statistics()
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trade_ma_strategy_main = TradeMaStrategyMain(
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is_us_stock=False,
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is_astock=True,
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is_aindex=False,
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is_binance=False,
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commission_per_share=commission_per_share,
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buy_by_long_period=buy_by_long_period,
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long_period_condition=long_period_condition,
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)
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trade_ma_strategy_main.batch_ma_break_statistics()
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