Merge pull request #194 from fasiondog/feature/factor

add MultiFactor

hikyuu/trade_sys/trade_sys.py

@@ -3,7 +3,7 @@
 from hikyuu.util.slice import list_getitem
 from hikyuu.core import (
     System, SystemPart, ConditionBase, EnvironmentBase, MoneyManagerBase,
-    ProfitGoalBase, SelectorBase, SignalBase, SlippageBase, StoplossBase
+    ProfitGoalBase, SelectorBase, SignalBase, SlippageBase, StoplossBase, AllocateFundsBase
 )
 
 
@@ -15,6 +15,14 @@ def part_iter(self):
 ConditionBase.__iter__ = part_iter
 
 
+def part_init(self, name, params):
+    super(self.__class__, self).__init__(name)
+    self._name = name
+    self._params = params
+    for k, v in params.items():
+        self.set_param(k, v)
+
+
 # ------------------------------------------------------------------
 # System
 # ------------------------------------------------------------------
@@ -33,14 +41,6 @@ def part_iter(self):
 # ------------------------------------------------------------------
 # condition
 # ------------------------------------------------------------------
-def cn_init(self, name, params):
-    super(self.__class__, self).__init__(name)
-    self._name = name
-    self._params = params
-    for k, v in params.items():
-        self.set_param(k, v)
-
-
 def crtCN(func, params={}, name='crtCN'):
     """
     快速创建自定义不带私有属性的系统有效条件
@@ -50,7 +50,7 @@ def crtCN(func, params={}, name='crtCN'):
     :param str name: 自定义名称
     :return: 自定义系统有效条件实例
     """
-    meta_x = type(name, (ConditionBase, ), {'__init__': cn_init})
+    meta_x = type(name, (ConditionBase, ), {'__init__': part_init})
     meta_x._clone = lambda self: meta_x(self._name, self._params)
     meta_x._calculate = func
     return meta_x(name, params)
@@ -59,14 +59,6 @@ def crtCN(func, params={}, name='crtCN'):
 # ------------------------------------------------------------------
 # environment
 # ------------------------------------------------------------------
-def ev_init(self, name, params):
-    super(self.__class__, self).__init__(name)
-    self._name = name
-    self._params = params
-    for k, v in params.items():
-        self.set_param(k, v)
-
-
 def crtEV(func, params={}, name='crtEV'):
     """
     快速创建自定义不带私有属性的市场环境判断策略
@@ -76,7 +68,7 @@ def crtEV(func, params={}, name='crtEV'):
     :param str name: 自定义名称
     :return: 自定义市场环境判断策略实例
     """
-    meta_x = type(name, (EnvironmentBase, ), {'__init__': ev_init})
+    meta_x = type(name, (EnvironmentBase, ), {'__init__': part_init})
     meta_x._clone = lambda self: meta_x(self._name, self._params)
     meta_x._calculate = func
     return meta_x(name, params)
@@ -85,14 +77,6 @@ def crtEV(func, params={}, name='crtEV'):
 # ------------------------------------------------------------------
 # moneymanager
 # ------------------------------------------------------------------
-def mm_init(self, name, params):
-    super(self.__class__, self).__init__(name)
-    self._name = name
-    self._params = params
-    for k, v in params.items():
-        self.set_param(k, v)
-
-
 def crtMM(func, params={}, name='crtMM'):
     """
     快速创建自定义不带私有属性的资金管理策略
@@ -102,7 +86,7 @@ def crtMM(func, params={}, name='crtMM'):
     :param str name: 自定义名称
     :return: 自定义资金管理策略实例
     """
-    meta_x = type(name, (MoneyManagerBase, ), {'__init__': mm_init})
+    meta_x = type(name, (MoneyManagerBase, ), {'__init__': part_init})
     meta_x._clone = lambda self: meta_x(self._name, self._params)
     meta_x._calculate = func
     return meta_x(name, params)
@@ -111,14 +95,6 @@ def crtMM(func, params={}, name='crtMM'):
 # ------------------------------------------------------------------
 # profitgoal
 # ------------------------------------------------------------------
-def pg_init(self, name, params):
-    super(self.__class__, self).__init__(name)
-    self._name = name
-    self._params = params
-    for k, v in params.items():
-        self.set_param(k, v)
-
-
 def crtPG(func, params={}, name='crtPG'):
     """
     快速创建自定义不带私有属性的盈利目标策略
@@ -128,7 +104,7 @@ def crtPG(func, params={}, name='crtPG'):
     :param str name: 自定义名称
     :return: 盈利目标策略实例
     """
-    meta_x = type(name, (ProfitGoalBase, ), {'__init__': pg_init})
+    meta_x = type(name, (ProfitGoalBase, ), {'__init__': part_init})
     meta_x._clone = lambda self: meta_x(self._name, self._params)
     meta_x._calculate = func
     return meta_x(name, params)
@@ -137,14 +113,6 @@ def crtPG(func, params={}, name='crtPG'):
 # ------------------------------------------------------------------
 # signal
 # ------------------------------------------------------------------
-def sig_init(self, name, params):
-    super(self.__class__, self).__init__(name)
-    self._name = name
-    self._params = params
-    for k, v in params.items():
-        self.set_param(k, v)
-
-
 def crtSG(func, params={}, name='crtSG'):
     """
     快速创建自定义不带私有属性的信号指示器
@@ -154,7 +122,7 @@ def crtSG(func, params={}, name='crtSG'):
     :param str name: 自定义名称
     :return: 自定义信号指示器实例
     """
-    meta_x = type(name, (SignalBase, ), {'__init__': sig_init})
+    meta_x = type(name, (SignalBase, ), {'__init__': part_init})
     meta_x._clone = lambda self: meta_x(self._name, self._params)
     meta_x._calculate = func
     return meta_x(name, params)
@@ -175,11 +143,43 @@ def se_add_stock_list(self, stk_list, proto_sys):
 
 SelectorBase.add_stock_list = se_add_stock_list
 
+
+def crtSE(func, params={}, name='crtSE'):
+    """
+    快速创建自定义不带私有属性的交易对象选择算法
+
+    :param func: 交易对象选择算法
+    :param {} params: 参数字典
+    :param str name: 自定义名称
+    :return: 自定义交易对象选择算法实例
+    """
+    meta_x = type(name, (SelectorBase, ), {'__init__': part_init})
+    meta_x._clone = lambda self: meta_x(self._name, self._params)
+    meta_x._calculate = func
+    return meta_x(name, params)
+
+
 # ------------------------------------------------------------------
-# slippage
+# allocatefunds
 # ------------------------------------------------------------------
+def crtAF(func, params={}, name='crtAF'):
+    """
+    快速创建自定义不带私有属性的资产分配算法
+
+    :param func: 资产分配算法
+    :param {} params: 参数字典
+    :param str name: 自定义名称
+    :return: 自定义资产分配算法实例
+    """
+    meta_x = type(name, (AllocateFundsBase, ), {'__init__': part_init})
+    meta_x._clone = lambda self: meta_x(self._name, self._params)
+    meta_x._calculate = func
+    return meta_x(name, params)
 
 
+# ------------------------------------------------------------------
+# slippage
+# ------------------------------------------------------------------
 def sl_init(self, name, params):
     super(self.__class__, self).__init__(name)
     self._name = name
@@ -197,7 +197,7 @@ def crtSL(func, params={}, name='crtSL'):
     :param str name: 自定义名称
     :return: 移滑价差算法实例
     """
-    meta_x = type(name, (SlippageBase, ), {'__init__': sl_init})
+    meta_x = type(name, (SlippageBase, ), {'__init__': part_init})
     meta_x._clone = lambda self: meta_x(self._name, self._params)
     meta_x._calculate = func
     return meta_x(name, params)

hikyuu_cpp/hikyuu/doc.h

@@ -133,6 +133,10 @@
  * @details 交易系统框架
  * @ingroup TradeSystem
  *
+ * @defgroup MultiFactor MultiFactor 合成多因子
+ * @details 合成多因子
+ * @ingroup TradeSystem
+ *
  * @defgroup SystemInstance SystemInstance 系统实例
  * @details 系统实例
  * @ingroup Hikyuu

hikyuu_cpp/hikyuu/indicator/Indicator.cpp

@@ -52,6 +52,21 @@ bool Indicator::alike(const Indicator& other) const {
     return m_imp->alike(*other.m_imp);
 }
 
+bool Indicator::equal(const Indicator& other) const {
+    HKU_IF_RETURN(this == &other || m_imp == other.m_imp, true);
+    HKU_IF_RETURN(size() != other.size() || discard() != other.discard(), false);
+    auto const* d1 = this->data();
+    auto const* d2 = other.data();
+    for (size_t i = 0, total = size(); i < total; i++) {
+        HKU_IF_RETURN(
+          (std::isnan(d1[i]) && !std::isnan(d2[i])) || (!std::isnan(d1[i]) && std::isnan(d2[i])),
+          false);
+        HKU_IF_RETURN(
+          (!std::isnan(d1[i]) && !std::isnan(d2[i])) && (std::abs(d1[i] - d2[i]) >= 0.0001), false);
+    }
+    return true;
+}
+
 Indicator& Indicator::operator=(const Indicator& indicator) {
     HKU_IF_RETURN(this == &indicator, *this);
     m_imp = indicator.m_imp;

hikyuu_cpp/hikyuu/indicator/Indicator.h

@@ -184,6 +184,17 @@ class HKU_API Indicator {
         return m_imp ? m_imp->data(result_num) : nullptr;
     }
 
+    /**
+     * 判断两个ind的值是否相等
+     * @note operator==重载生成新的新的Indicator，此函数用于对两个ind进行值比较
+     */
+    bool equal(const Indicator& other) const;
+
+    /** 判断是否是同一个实例 */
+    bool isSame(const Indicator& other) const {
+        return !m_imp && m_imp == other.m_imp;
+    }
+
 protected:
     IndicatorImpPtr m_imp;
 
@@ -197,6 +208,9 @@ class HKU_API Indicator {
 #endif /* HKU_SUPPORT_SERIALIZATION */
 };
 
+/** @ingroup Indicator */
+typedef vector<Indicator> IndicatorList;
+
 inline string Indicator::name() const {
     return m_imp ? m_imp->name() : "IndicatorImp";
 }

hikyuu_cpp/hikyuu/indicator/crt/ICIR.h

@@ -21,7 +21,7 @@ namespace hku {
  * @return Indicator
  * @ingroup Indicator
  */
-inline Indicator ICIR(const Indicator& ic, int n = 10) {
+inline Indicator ICIR(const Indicator& ic, int n = 120) {
     Indicator x = MA(ic, n) / STDEV(ic, n);
     x.name("IR");
     x.setParam<int>("n", n);

hikyuu_cpp/hikyuu/indicator/crt/ROCP.h

@@ -16,7 +16,7 @@
 namespace hku {
 
 /**
- * 变动率指标 (price - prePrice) / prevPrice
+ * 变动率指标 (price - prePrice) / prevPrice   N 日收益率 （本金之外的盈利）
  * @ingroup Indicator
  */
 Indicator HKU_API ROCP(int n = 10);

hikyuu_cpp/hikyuu/indicator/crt/ROCR.h

@@ -16,7 +16,7 @@
 namespace hku {
 
 /**
- * 变动率指标 (price / prevPrice)
+ * 变动率指标 (price / prevPrice),  N 日累积收益率 （包含本金）
  * @ingroup Indicator
  */
 Indicator HKU_API ROCR(int n = 10);

hikyuu_cpp/hikyuu/indicator/imp/IEma.cpp

@@ -15,7 +15,7 @@ BOOST_CLASS_EXPORT(hku::IEma)
 
 namespace hku {
 
-IEma::IEma() : IndicatorImp("IEma", 1) {
+IEma::IEma() : IndicatorImp("EMA", 1) {
     setParam<int>("n", 22);
 }