public override void exec()
{
log.Info("**********START**********");
var cache = new Dictionary <string, kdata>();
var db = new Db.db();
var kdatadb = new kdatadb();
var sectors = db.sectors();
var i = 0;
var count = sectors.Count();
foreach (var sector in sectors)
{
Interlocked.Increment(ref i);
log.InfoFormat("{0}/{1} calc sector {2}", i, count, sector);
var codes = db.codes(sector);
if (!codes.Any())
{
log.WarnFormat("empty data set for sector {0}", sector);
continue;
}
new kdatadb().save(sum(sector, kdata(db, cache, codes, "5")), "5");
kdatadb.save(sum(sector, kdata(db, cache, codes, "15")), "15");
kdatadb.save(sum(sector, kdata(db, cache, codes, "30")), "30");
kdatadb.save(sum(sector, kdata(db, cache, codes, "60")), "60");
kdatadb.save(sum(sector, kdata(db, cache, codes, "D")), "D");
kdatadb.save(sum(sector, kdata(db, cache, codes, "W")), "W");
kdatadb.save(sum(sector, kdata(db, cache, codes, "M")), "M");
}
log.Info("**********DONE**********");
}
IEnumerable <kdata> kdata(Db.db db, Dictionary <string, kdata> cache, IEnumerable <string> codes, string ktype)
{
var list = new List <kdata>();
var notincache = new List <string>();
foreach (var code in codes)
{
var key = code + ktype;
if (cache.ContainsKey(key))
{
list.Add(cache[key]);
}
else
{
notincache.Add(code);
}
}
var data = new kdatadb().kdata(notincache, ktype);
foreach (var d in data)
{
var key = d.Code + ktype;
cache[key] = d;
}
return(list.Concat(data).ToArray());
}
public static KeyPrice[] keyprice(string code, string ktype)
{
var d = new kdatadb().kdata(code, ktype);
var peak_h = new PEAK(d, PEAK_TYPE.high);
var peak_l = new PEAK(d, PEAK_TYPE.low);
//var peak_h_volume = new PEAK(d, k => k.volume, PEAK_TYPE.high);
//var peak_l_volume = new PEAK(d, k => k.volume, PEAK_TYPE.low);
var keyprices = d.Select(p =>
{
var h = peak_h[p.date];
var l = peak_l[p.date];
//var h_volume = peak_h_volume[p.date];
//var l_volume = peak_l_volume[p.date];
//if (h > 0 && h_volume > 0) return KeyPrice.high(code, p.date, h, true);
//else if (l > 0 && l_volume > 0) return KeyPrice.low(code, p.date, l, true);
if (h > 0)
{
return(KeyPrice.high(code, p.date, h, true));
}
else if (l > 0)
{
return(KeyPrice.low(code, p.date, l, true));
}
return(null);
})
.Where(p => p != null)
.ToArray();
return(keyprices);
}
public chart Get(string id, string ktype)
{
var kdata = new kdatadb().kdata(id, ktype);
var basic = new Trade.Db.db().basics(id);
var since = Trade.Cfg.Configuration.data.bearcrossbull;
var k = kdata.Where(p => p.date >= since).ToArray();
var macd = new MACD(kdata.close()).Where(p => p.Date >= since).ToArray();
var macdvol = new MACD(kdata.volume(100)).Where(p => p.Date >= since).ToArray();
var ma5 = new MA(kdata.close(), 5).Range(since);
var ma30 = new MA(kdata.close(), 30).Range(since);
var ma60 = new MA(kdata.close(), 60).Range(since);
var ma120 = new MA(kdata.close(), 120).Range(since);
var chg = new CHG(kdata.close()).Range(since);
var bottom = new BOTTOM(kdata).Range(since);
return(new chart {
data = k.Select(p => new object[] { p.date, p.open, p.high, p.low, p.close, chg[p.date] }).ToArray(),
volume = k.Select(p => new object[] { p.date, p.volume / 100 }).ToArray(),
macd = macd.Select(p => new object[] { p.Date, p.MACD }).ToArray(),
dif = macd.Select(p => new object[] { p.Date, p.DIF }).ToArray(),
dea = macd.Select(p => new object[] { p.Date, p.DEA }).ToArray(),
macdvol = macdvol.Select(p => new object[] { p.Date, p.MACD }).ToArray(),
difvol = macdvol.Select(p => new object[] { p.Date, p.DIF }).ToArray(),
deavol = macdvol.Select(p => new object[] { p.Date, p.DEA }).ToArray(),
ma5 = ma5.Select(p => new object[] { p.Date, p.Value }).ToArray(),
ma30 = ma30.Select(p => new object[] { p.Date, p.Value }).ToArray(),
ma60 = ma60.Select(p => new object[] { p.Date, p.Value }).ToArray(),
ma120 = ma120.Select(p => new object[] { p.Date, p.Value }).ToArray(),
code = kdata.Code,
name = basic.name,
bottom = bottom.Select(p => new object[] { p.Date, p.Value }).ToArray(),
keyprices = keyprice(k, id, ktype)
});
}
public override universe Pass(IEnumerable <string> stocks)
{
var client = new kdatadb();
log.Info("query k60");
var k60 = stocks
.AsParallel()
.Select(code => client.kdata(code, "60"))
.Where(p => p != null && p.Any())
.ToArray();
log.InfoFormat("k60 total {0}", k60.Count());
var codes = k60
.Where(p =>
{
var macd = (macd) new MACD(p.close());
return(macd != null &&
macd.MACD > 0 && macd.DIF <= 0.01 &&
macd.Date.Date == DateTime.Today);
})
.Select(p => p.Code)
.Distinct()
.ToArray();
if (codes.Any())
{
log.Info("query k15");
var k15 = codes
.AsParallel()
.Select(code => client.kdata(code, "15"))
.Where(p => p != null && p.Any())
.ToArray();
log.InfoFormat("k15 total {0}", k15.Count());
codes = k15
.Where(p =>
{
var close = p.close();
var macd = (macd) new MACD(close);
var deviation = (deviation) new DEVIATION(close, deviationtype.底背离);
return(macd != null &&
macd.MACD > 0 &&
macd.Date.Date == DateTime.Today &&
deviation != null &&
deviation.d2.Date == DateTime.Today);
})
.Select(p => p.Code)
.Distinct()
.ToArray();
}
log.InfoFormat("selected {0}", codes.Count());
return(new universe("macd60", codes));
}
public override universe Pass(IEnumerable <string> stocks)
{
var client = new kdatadb();
log.Info("query market data");
var data = stocks
.AsParallel()
.Select(code => client.kdata(code, "D"))
.Where(p => p != null)
.ToArray();
log.InfoFormat("total {0}", data.Count());
log.Info("query fundamentals");
var basics = new db().basics(data.Select(p => p.Code).Distinct().ToArray());
var stat = data
.Select(series => new factorset(series.Code)
{
收阳百分比 = new close_up_percent(series, TimeSpan.FromDays(180)).value,
均线多头 = new jun_xian_dou_tout(series).value,
低点反弹高度 = new low_to_historical_lowest(series, new DateTime(2015, 5, 1)).value
})
.ToArray();
if (junxianduotou)
{
stat = stat.Where(p => p.均线多头).ToArray();
}
stat = stat
.Where(p => p.低点反弹高度 < benchmark * beta)
.OrderBy(p => p.低点反弹高度)
.ToArray();
var q = from s in stat
join b in basics on s.代码 equals b.code
join d in data on s.代码 equals d.Code
select new Stock(s.代码,
new
{
s.代码,
b.name,
s.收阳百分比,
s.低点反弹高度,
s.均线多头,
b.pe,
b.totalAssets,
b.industry,
b.liquidAssets
});
return(new universe("lowbeta", q.Select(p => p.Code).Distinct().ToArray()));
}
private IEnumerable <string> deviations(string code, DateTime date, deviationtype type)
{
var ktypes = new[] { "D", "60", "30", "15", "5" };
foreach (var ktype in ktypes)
{
var k = new kdatadb().kdata(code, ktype);
if (k == null || !k.Any())
{
continue;
}
var deviation = (deviation) new DEVIATION(k.close(), type);
if (deviation != null && deviation.d2.Date == date.Date)
{
yield return(ktype);
}
}
}
public override void Run(Account account)
{
var client = new kdatadb();
log.InfoFormat("total {0}", account.universe.Count);
foreach (var stock in account.universe.AsParallel())
{
log.InfoFormat("run {0}", stock.Code);
var k = client.kdata(stock.Code, "15");
var kdj = new MACD(k.close());
var crossup = kdj.cross_gold();
var crossdown = kdj.cross_dead();
if (crossup.Any())
{
var s = crossup.Last();
if (s.Date == k.Last().date&& s.Date.Date == DateTime.Today)
{
Buy(account, stock.Code, s.Date);
continue;
}
}
if (crossdown.Any())
{
var s = crossdown.Last();
if (s.Date == k.Last().date&& s.Date.Date == DateTime.Today)
{
Sell(account, stock.Code, s.Date);
continue;
}
}
log.InfoFormat("no signal {0}", stock.Code);
}
}
public override universe Pass(IEnumerable <string> stocks)
{
var client = new kdatadb();
log.Info("query D");
var D = stocks
.AsParallel()
.Select(code => client.kdata(code, "D"))
.Where(p => p != null && p.Any())
.ToArray();
log.InfoFormat("D total {0}", D.Count());
var codes = D
.Where(p =>
{
if (!p.Any())
{
return(false);
}
var close = p.close();
var cross = new MACD(p.volume()).cross();
return(cross.Any() &&
cross.Last().type == Interface.Data.crosstype.gold &&
cross.Last().value.Date.Date == DateTime.Today);
})
.Select(p => p.Code)
.Distinct()
.ToArray();
log.InfoFormat("selected {0}", codes.Count());
return(new universe("volume", codes));
}
public override void exec()
{
//var a = analytic.hitkeyprices();
//log.Info(a.ToCsv());
//return;
log.Info("run strategy " + param.name.ToLower());
log.Info("get codes");
universe universe;
if (param.astock)
{
var codes =
param.universe.Split(new[] { ' ', ',' }, StringSplitOptions.RemoveEmptyEntries);
universe = new universe(param.universe, codes);
}
else if (param.asector)
{
universe = new universe(param.universe, new Trade.Db.db().codes(param.universe).ToArray());
}
else
{
universe = getUniverse(param.universe);
}
log.Info("total " + universe.codes.Length);
log.Info("get run");
var pool = new StockPool(universe.codes);
var orders = !param.backtest
? new IOrder[] { new dbOrder(), new smsOrder() }
: new IOrder[] { new dbOrder() };
var portflio = (param.portflio ?? param.name.ToLower()) + (param.backtest ? "-backtest" : "");
var account = new Account(portflio, pool, orders, param.backtest);
switch (param.name.ToLower())
{
case "macd15min":
new strategies.macd15minstrategy().Run(account);
break;
}
if (param.backtest)
{
log.Info("run back test");
var client = new kdatadb();
log.InfoFormat("total {0}", account.universe.Count);
var pnls = new List <pnl>();
foreach (var stock in account.universe.AsParallel())
{
log.InfoFormat("run {0}", stock.Code);
var k = client.kdata(stock.Code, "D");
if (k == null && !k.Any())
{
log.WarnFormat("empty data set for {0}", stock.Code);
continue;
}
var trades = account.Trades
.Where(p => p.code == stock.Code)
//.Where(p=>p.Date >= new DateTime(2016,9,1))
.OrderBy(p => p.date)
.ToArray();
var backtest = new backtesting(stock.Code, k.close(), trades);
if (backtest.pnl != null)
{
pnls.Add(backtest.pnl);
}
}
var format = "{0,-15}{1,-20}{2,10:N0}{3,10:N0}{4,10:N1}";
log.InfoFormat(format, "code", "date", "value", "capital", "ratio%");
foreach (var pnl in pnls)
{
log.InfoFormat(format, pnl.code, pnl.date, pnl.value, pnl.capital, pnl.ratio);
}
}
log.Info("**********DONE**********");
}
public override void exec()
{
log.Info("**********START**********");
var cache = new Dictionary <string, kdata>();
var db = new Db.db();
var codes = db.codes();
var i = 0;
var count = codes.Count();
var ktypes = new[] { "5", "15", "30", "60", "D", "W", "M" };
foreach (var code in codes.AsParallel())
{
Interlocked.Increment(ref i);
log.InfoFormat("{0}/{1} calc {2}", i, count, code);
foreach (var ktype in ktypes)
{
try
{
var kdata = new kdatadb().kdata(code, ktype);
if (kdata != null && kdata.Any())
{
var date = kdata.Last().date;
var close = kdata.close();
var macd = new MACD(close);
var macdvol = new MACD(kdata.volume(100));
var ma5 = new MA(close, 5);
var ma10 = new MA(close, 10);
var ma20 = new MA(close, 20);
var ma30 = new MA(close, 30);
var ma60 = new MA(close, 60);
var ma120 = new MA(close, 120);
var chg = new CHG(close);
var ka = new kanalytic()
{
code = code,
date = date,
ktype = ktype,
close = kdata.Last().close.ZeroNaN(),
open = kdata.Last().open.ZeroNaN(),
high = kdata.Last().high.ZeroNaN(),
low = kdata.Last().low.ZeroNaN(),
volume = kdata.Last().volume.ZeroNaN(),
chg = chg.Last().Value.ZeroNaN(),
ma5 = ma5.Last().Value.ZeroNaN(),
ma10 = ma10.Last().Value.ZeroNaN(),
ma20 = ma20.Last().Value.ZeroNaN(),
ma30 = ma30.Last().Value.ZeroNaN(),
ma60 = ma60.Last().Value.ZeroNaN(),
ma120 = ma120.Last().Value.ZeroNaN(),
dea = macd.Last().DEA.ZeroNaN(),
macd = macd.Last().MACD.ZeroNaN(),
dif = macd.Last().DIF.ZeroNaN(),
deavol = macdvol.Last().DEA.ZeroNaN(),
macdvol = macdvol.Last().MACD.ZeroNaN(),
difvol = macdvol.Last().DIF.ZeroNaN()
};
db.save(new[] { ka });
}
}
catch (Exception e)
{
log.Warn("ex @ calc " + code + " for " + ktype, e);
}
}
}
log.Info("**********DONE**********");
}
public analytic Get(string id, string ktype)
{
var result = new analytic();
var k = new kdatadb().kdata(id, ktype);
var basic = new db().basics(id);
result.istock = basic.assettype == assettypes.stock;
result.sectors = basic.getsectors();
result.indexes = new db().basicnames(basic.getindexes()).ToArray();
result.stocks = basic.assettype == assettypes.sector
? new db().basicnamesinsector(id).ToArray() : new basicname[0];
result.code = basic.code;
result.name = basic.name;
result.PE = basic.pe;
if (k != null && k.Any())
{
var cur = k.Last();
var prev = k.Count > 1 ? k[k.Count - 2] : null;
result.date = cur.date.ToString("yyyy-MM-dd");
result.high = cur.high;
result.low = cur.close;
result.open = cur.open;
result.close = cur.close;
result.change = prev == null ? (double?)null : ((cur.close - prev.close) / prev.close) * 100;
var q = (quotation) new QUOTATION(k);
if (q != null)
{
result.state = q.state.ToString();
result.position = q.position;
result.strategy = q.strategy;
}
var devs_up = deviations(id, cur.date.Date, deviationtype.底背离);
if (devs_up.Any())
{
result.deviation_up = string.Join(",", devs_up);
}
var devs_down = deviations(id, cur.date.Date, deviationtype.顶背离);
if (devs_down.Any())
{
result.deviation_down = string.Join(",", devs_down);
}
var ma = new List <string>();
var close = k.close();
var ma5 = (double?)new MA(close, 5);
var ma30 = (double?)new MA(close, 30);
var ma55 = (double?)new MA(close, 55);
var ma120 = (double?)new MA(close, 120);
if (ma5 >= ma30 && ma30 >= ma55 && ma55 >= ma120)
{
ma.Add("多头");
}
if (cur.close < ma5)
{
ma.Add("↓↓5日线");
}
//if (cur.close < ma30)
// ma.Add("破30日生命线");
//if (cur.close < ma55)
// ma.Add("破55日生命线");
if (cur.close < ma120)
{
ma.Add("↓↓半年线");
}
else
{
ma.Add("半年线↑↑");
}
if (ma.Any())
{
result.ma = string.Join(",", ma);
}
var cross = new MACD(k.volume()).cross();
if (cross.Any())
{
if (cross.Last().type == Interface.Data.crosstype.gold)
{
result.buyorsell = cross.Last().value.Date.Date == DateTime.Today ? "买入" : "持有";
}
else if (cross.Last().type == Interface.Data.crosstype.dead)
{
result.buyorsell = "卖出";
}
}
}
var mainindex = basic.mainindex();
if (!string.IsNullOrEmpty(mainindex))
{
var dindex = new kdatadb().kdata(mainindex, ktype);
result.beta = new BETA(
new kdata(id, k.Where(p => p.date >= Trade.Cfg.Configuration.data.bearcrossbull).ToArray()),
new kdata(id, dindex.Where(p => p.date >= Trade.Cfg.Configuration.data.bearcrossbull).ToArray())).beta;
}
return(result);
}
public static dynamic[] hitkeyprices()
{
var db = new Db.db();
var keyprices = db.keyprices("D");
var todayquotes = new kdatadb().ktoday();
keyprices = keyprices
.OrderBy(p => p.Code)
.ThenByDescending(p => p.Date)
.Where(p => p.Flag == KeyPrice.Flags.lower)
.GroupBy(p => p.Code)
.Select(p => p.First())
.ToArray();
var q = (from k in keyprices
join t in todayquotes on k.Code equals t.code
where k.Flag == KeyPrice.Flags.lower &&
Math.Abs((t.low / k.Price - 1) * 100d) <= 0.8 &&
t.changepercent >= 0.01 && t.changepercent <= 1.0 &&
Math.Abs((k.Date - DateTime.Today).TotalDays) >= 8
select new { k, t }
)
.ToArray()
.Where(p =>
{
var code = (string)p.t.code;
var k = new kdatadb().kdata(code, "D");
if (k == null)
{
return(false);
}
var low = (double)p.t.low;
var N = 8;
for (var i = k.Count - 1; i > k.Count - N; --i)
{
if (k[i].low < low)
{
return(false);
}
}
return(true);
})
.Select(_ =>
{
var k = _.k;
var t = _.t;
dynamic d = new ExpandoObject();
d.date = k.Date;
d.cross = Math.Abs((k.Date - DateTime.Today).TotalDays);
d.price = k.Price;
d.distpercent = (t.low / k.Price - 1) * 100;
d.pe = t.pe;
d.code = t.code;
d.name = t.name;
d.trade = t.trade;
d.high = t.high;
d.low = t.low;
d.open = t.open;
d.close = t.close;
d.volume = t.volume;
d.changepercent = t.changepercent;
d.turnoverratio = t.turnoverratio;
d.pb = t.pb;
d.amount = t.amount;
d.mktcap = t.mktcap;
d.ts = t.ts;
return(d);
});
var r = q
.OrderBy(p => p.code)
.ThenByDescending(p => p.date)
.GroupBy(p => new { p.code })
.Select(p => p.First())
.OrderBy(p => p.cross)
.ThenByDescending(p => p.changepercent)
.ToArray();
return(r);
}
public static dynamic[] macd60()
{
var kas = new db().kanalytics("60")
.Where(p => { return(p.macd > 0 && p.dif <= 0.01); })
.ToArray();
if (!kas.Any())
{
return(new dynamic[0]);
}
kas = new db().kanalytic(kas.Select(p => p.code).Distinct().ToArray(), "15")
.Where(p => { return(p.macd > 0); })
.ToArray();
if (!kas.Any())
{
return(new dynamic[0]);
}
kas = kas
.AsParallel()
.Where(p =>
{
var k = new kdatadb().kdata(p.code, "15");
if (k == null || !k.Any())
{
return(false);
}
var deviation = (deviation) new DEVIATION(k.close(), deviationtype.底背离);
return(deviation != null && deviation.d2.Date.Date >= p.date.Date);
})
.ToArray();
if (!kas.Any())
{
return(new dynamic[0]);
}
var codes = kas.Select(p => p.code).Distinct().ToArray();
var basics = new db().basics(codes);
var ka = new db().kanalytic(codes, "D");
var q = (from k in ka
join t in basics on k.code equals t.code
where t.assettype == assettypes.stock && !t.terminated && !t.suspended && !t.st
select new { k, t }
)
.Select(_ =>
{
var k = _.k;
var t = _.t;
dynamic d = new ExpandoObject();
d.date = k.date;
d.pe = t.pe;
d.code = t.code;
d.name = t.name;
d.high = k.high;
d.low = k.low;
d.open = k.open;
d.close = k.close;
d.volume = k.volume;
d.chg = k.chg;
d.pb = t.pb;
d.pe = t.pe;
return(d);
});
var r = q
.OrderBy(p => p.code)
.ThenByDescending(p => p.date)
.GroupBy(p => new { p.code })
.Select(p => p.First())
.ToArray();
return(r);
}
