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assetcurve.py
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assetcurve.py
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# -*- coding: utf-8 -*-
"""
Created on Sun Apr 8 09:30:05 2018
@author: Wentao
"""
import pandas as pd
# 构造下单逻辑及资金净值变化描述
# signal:发生信号序列
# quo:行情数据
# params:信号参数
# deposit:保证金率
# commission: 手续费率
# multipilier:合约乘数
class assetcurve(object):
def __init__(self,signal,quo,params,deposit,commission = 0,multiplier = 300):
quo['date'] = quo['date'].astype(str)
quo['date'] = pd.to_datetime(quo['date'], format='%Y-%m-%dT%H:%M:%S',errors='ignore')
self.quo = quo
self.deposit = deposit
self.commission = commission
self.multi = multiplier
self.params = params
signal['tradeDate'] = pd.to_datetime(signal['tradeDate'],format='%Y%m%d')
self.signal = signal
self.total = pd.merge(self.signal, self.quo, how='inner', on=None, \
left_on='tradeDate', right_on='date')
self.total['tradeDate'] = self.total['tradeDate'].astype(str)
self.total['date'] = self.total['date'].astype(str)
for i in self.params:
self.total['asset'+str(i)] = 1
self.total['transaction'+str(i)] = 0
self.total['pnl'+str(i)] = 0
self.total['commission'+str(i)] = 0
self.total['turnover'+str(i)] = 0
self.total['position'+str(i)] = 0
self.total['deposit'+str(i)] = self.deposit
# self.total['commssion'] = 0
# 计算最长连续信号持仓周期
def find_maxsiganlduration(self,signal):
num = pd.Series()
for k in self.params:
temp_arra = []
temp = 1
for index in self.total['signal'+str(k)].index[0:-1]:
if (self.total['signal'+str(k)][index] == signal) & \
(self.total['signal'+str(k)][index+1] == signal):
temp += 1
# print(temp)
# print(index)
else:
temp_arra.append(temp)
temp = 1
if temp_arra != []:
num[str(k)] = max(temp_arra)
else:
num[str(k)] = 0
return num
# print('k:'+str(num[str(k)]))
def order_buy(self,i,k,num,signal = 1):
# 第一天买入开仓加杠杆,扣除手续费
self.total.loc[i+1,['asset'+str(k)]] = \
self.total['asset'+str(k)][i]*(1 - 1/self.deposit*self.commission)
# 成交记录
comm = \
self.total['asset'+str(k)][i]/self.deposit*self.commission
self.total.loc[i+1,['commission'+str(k)]] = comm
tran = \
+ self.total['asset'+str(k)][i+1]/self.deposit
if self.total['transaction'+str(k)][i+1] == 0:
self.total.loc[i+1,['transaction'+str(k)]] = tran
else:
temp1 = self.total['transaction'+str(k)][i+1]
self.total.loc[i+1,['transaction'+str(k)]] = temp1 + tran
turn = abs(tran)/self.total['open'][i+1]/self.multi
if self.total['turnover'+str(k)][i+1] == 0:
self.total.loc[i+1,['turnover'+str(k)]] = turn
else:
temp2 = self.total['turnover'+str(k)][i+1]
self.total.loc[i+1,['turnover'+str(k)]] = temp2 + turn
if self.total['position'+str(k)][i+1] == 0:
self.total.loc[i+1,['position'+str(k)]] = + turn
else:
temp3 = self.total['position'+str(k)][i+1]
self.total.loc[i+1,['position'+str(k)]] = temp3 +turn
print('------------信号产生-----------')
print('建仓日期:'+ self.total['tradeDate'][i+1])
print('多头开仓:' + str(tran))
print('手续费:' + str(comm))
print('成交手数:' + str(turn))
# 第2天-第num天继续持仓
for y in range(num-1):
self.total.loc[i+2+y,['asset'+str(k)]] = \
self.total['asset'+str(k)][i+1+y]*(1+(self.total['open'][i+2+y] \
-self.total['open'][i+1+y])/self.total['open'][i+1+y] \
/self.deposit)
self.total.loc[i+2+y,['position'+str(k)]] = \
self.total['position'+str(k)][i+1+y]
#print(y)
# 第(num+1)天卖出平仓加杠杆,扣除手续费
self.total.loc[i+1+num,['asset'+str(k)]] = \
self.total['asset'+str(k)][i+1]*(1+(self.total['open'][i+1+num] \
-self.total['open'][i+1])/self.total['open'][i+1] \
/self.deposit)
# 成交记录
tran2 = - self.total['asset'+str(k)][i+1]*self.total['open'][i+1+num] \
/self.total['open'][i+1]/self.deposit
self.total.loc[i+1+num,['transaction'+str(k)]] = tran2
temp = self.total['asset'+str(k)][i+1+num]
self.total.loc[i+1+num,['asset'+str(k)]] = temp - \
self.total['asset'+str(k)][i+1]*self.total['open'][i+1+num] \
/self.total['open'][i+1]/self.deposit*self.commission
comm2 = self.total['asset'+str(k)][i+1]*self.total['open'][i+1+num] \
/self.total['open'][i+1]/self.deposit*self.commission
self.total.loc[i+1+num,['commission'+str(k)]]= comm2
turn2 = abs(self.total['transaction'+str(k)][i+1+num])/self.total['open'][i+1+num]/self.multi
self.total.loc[i+1+num,['turnover'+str(k)]] = turn2
print('平仓日期:'+ self.total['tradeDate'][i+1+num])
print('多头平仓:' + str(tran2))
print('手续费:' + str(comm2))
print('成交手数:' + str(turn2))
# 记录多日盈亏
for x in range(num+1):
self.total.loc[i+1+x,['pnl'+str(k)]] = self.total['asset'+str(k)][i+1+x] \
-self.total['asset'+str(k)][i+x]
def order_sell(self,i,k,num,signal = 1):
# 第一天卖出开仓加杠杆,扣除手续费
self.total.loc[i+1,['asset'+str(k)]] = \
self.total['asset'+str(k)][i]*(1 - 1/self.deposit*self.commission)
# 成交记录
comm = self.total['asset'+str(k)][i]/self.deposit*self.commission
self.total.loc[i+1,['commission'+str(k)]] = comm
tran = \
- self.total['asset'+str(k)][i+1]/self.deposit
if self.total['transaction'+str(k)][i+1] == 0:
self.total.loc[i+1,['transaction'+str(k)]] = tran
else:
temp1 = self.total['transaction'+str(k)][i+1]
self.total.loc[i+1,['transaction'+str(k)]] = temp1 + tran
turn = abs(tran)/self.total['open'][i+1]/self.multi
if self.total['turnover'+str(k)][i+1] == 0:
self.total.loc[i+1,['turnover'+str(k)]] = turn
else:
temp2 = self.total['turnover'+str(k)][i+1]
self.total.loc[i+1,['turnover'+str(k)]] = temp2 + turn
if self.total['position'+str(k)][i+1] == 0:
self.total.loc[i+1,['position'+str(k)]] = - turn
else:
temp3 = self.total['position'+str(k)][i+1]
self.total.loc[i+1,['position'+str(k)]] = temp3 - turn
print('------------信号产生-----------')
print('建仓日期:'+ self.total['tradeDate'][i+1])
print('空头开仓:' + str(tran))
print('手续费:' + str(comm))
print('成交手数:' + str(turn))
# 第2天-第num天继续持仓
for y in range(num-1):
self.total.loc[i+2+y,['asset'+str(k)]] = \
self.total['asset'+str(k)][i+1+y]*(1+(self.total['open'][i+1+y] \
-self.total['open'][i+2+y])/self.total['open'][i+2+y] \
/self.deposit)
self.total.loc[i+2+y,['position'+str(k)]] = \
self.total['position'+str(k)][i+1+y]
# 第(num+1)天买入平仓加杠杆,扣除手续费
self.total.loc[i+1+num,['asset'+str(k)]] = \
self.total['asset'+str(k)][i+1]*(1+(self.total['open'][i+1] \
-self.total['open'][i+1+num])/self.total['open'][i+1+num] \
/self.deposit)
# 成交记录
tran2 = + self.total['asset'+str(k)][i+1]*self.total['open'][i+1+num] \
/self.total['open'][i+1]/self.deposit
self.total.loc[i+1+num,['transaction'+str(k)]] = tran2
temp = self.total['asset'+str(k)][i+1+num]
self.total.loc[i+1+num,['asset'+str(k)]] = temp - \
self.total['asset'+str(k)][i+1]*self.total['open'][i+1] \
/self.total['open'][i+1+num]/self.deposit*self.commission
comm2 = self.total['asset'+str(k)][i+1]*self.total['open'][i+1] \
/self.total['open'][i+1+num]/self.deposit*self.commission
self.total.loc[i+1+num,['commission'+str(k)]]= comm2
turn2 =abs(self.total['transaction'+str(k)][i+1+num])/self.total['open'][i+1+num]/self.multi
self.total.loc[i+1+num,['turnover'+str(k)]] = turn2
print('平仓日期:'+ self.total['tradeDate'][i+1+num])
print('空头平仓:' + str(tran2))
print('手续费:' + str(comm2))
print('成交手数:' + str(turn2))
# 记录多日盈亏
for x in range(num+1):
self.total.loc[i+1+x,['pnl'+str(k)]] = self.total['asset'+str(k)][i+1+x] \
-self.total['asset'+str(k)][i+x]
# 下单逻辑构造
def get_curve(self):
# allin:固定资金比
# fixedamount:固定资金额
# fixedhand:固定合约手数
mode = ['allin','fixedamount','fixedhand']
# self.find_maxsiganlduration(1)
for j in mode:
if j == 'allin':
num_buy = self.find_maxsiganlduration(1)
num_sell = self.find_maxsiganlduration(-1)
for k in self.params:
# 按日期循环下单
# print(num_buy)
n = num_buy[str(k)]
m = num_sell[str(k)]
for i in self.total.index[0:-2]:
# 判断做多信号
if (self.total['signal'+str(k)][i] == 1):
try:
# 判断前n天信号是否为连续
status = 0
for l in range(n-1):
if (list(self.total['signal'+str(k)][(i-1-l):i]) \
== [1]*(l+1)):
status = 1
break
if status == 1:
continue
# 判断后n天是否为连续
for l in range(n-1)[::-1]:
if (list(self.total['signal'+str(k)][i:(i+2+l)]) \
== [1]*(l+2)):
self.order_buy(i,k,l+2)
break
if (self.total['signal'+str(k)][i+1] != 1):
self.order_buy(i,k,1)
except:
for l in range(n-1)[::-1]:
if (list(self.total['signal'+str(k)][i:(i+2+l)]) \
== [1]*(l+2)):
self.order_buy(i,k,l+2)
break
if (self.total['signal'+str(k)][i+1] != 1):
self.order_buy(i,k,1)
# 判断做空信号
elif (self.total['signal'+str(k)][i] == -1):
try:
status = 0
for l in range(m-1):
if (list(self.total['signal'+str(k)][(i-1-l):i]) \
== [-1]*(l+1)):
status = 1
break
if status == 1:
continue
# 判断后n天是否为连续
for l in range(m-1)[::-1]:
if (list(self.total['signal'+str(k)][i:(i+2+l)]) \
== [-1]*(l+2)):
self.order_sell(i,k,l+2)
break
if (self.total['signal'+str(k)][i+1] != -1):
self.order_sell(i,k,1)
except:
for l in range(m-1)[::-1]:
if (list(self.total['signal'+str(k)][i:(i+2+l)]) \
== [-1]*(l+2)):
self.order_sell(i,k,l+2)
break
if (self.total['signal'+str(k)][i+1] != -1):
self.order_sell(i,k,1)
# 信号未发生,空仓
elif self.total['signal'+str(k)][i] == 0:
self.total.loc[i+2,['asset'+str(k)]] = self.total['asset'+str(k)][i+1]
return self.total
#if __name__=='__main__':
# homePath = 'E:\\Intern\\zxjt\\future_strategy'
# windSymbol = 'IF.CFE'
# params = [5,10,20]
# deposit = 0.15
# commission = 0.000023
# multiplier = 300
# sig = pd.read_csv(homePath + '\\oir\\signal.csv')
# quo = pd.read_csv(homePath + '\\oir_quo' + '\\' + windSymbol+'.csv')
# asset = assetcurve(sig,quo,params,deposit,commission,multiplier)
# a = asset.get_curve()
# a.to_hdf('total3.h5','b')