You can not select more than 25 topics
Topics must start with a letter or number, can include dashes ('-') and can be up to 35 characters long.
147 lines
5.5 KiB
147 lines
5.5 KiB
import sys
|
|
import json
|
|
import pandas as pd
|
|
from collections import deque
|
|
import copy
|
|
import numpy as np
|
|
import os
|
|
from tqdm import tqdm
|
|
|
|
class ZljcRaisePoint(object):
|
|
|
|
def __init__(self, judge_days=3, limit_a=[1], after_days=[3,4,5,6,7]):
|
|
const_path = sys.path[0].replace("\\analyze_data\\zljc", "")
|
|
f = open(const_path + "\\const.json", "r", encoding="utf8")
|
|
self.consts = json.loads(f.read())
|
|
|
|
self.zljc_path = self.consts['path']['result']['zljc']
|
|
self.judge_days = judge_days # 计算回归拟合的天数
|
|
self.res = {}
|
|
self.limit_a = limit_a
|
|
self.after_days = after_days
|
|
self.k_arr = []
|
|
|
|
def one(self, code):
|
|
try:
|
|
df = pd.read_csv("%s%s.csv" %(self.zljc_path, code) , encoding="gbk")
|
|
except:
|
|
print("ERROR OPEN %s" % code)
|
|
return
|
|
jcs = deque([])
|
|
jcm = deque([])
|
|
jcl = deque([])
|
|
self.k_arr = []
|
|
|
|
for index,row in df[::-1].iterrows():
|
|
if row['日期'] < '2014-01-01':continue
|
|
jcs.append(row["JCS"])
|
|
jcm.append(row["JCM"])
|
|
jcl.append(row["JCL"])
|
|
|
|
if (len(jcs) < self.judge_days):
|
|
continue
|
|
# 1. 最后一天的 `JCS > JCM and JCS > JCL`
|
|
if (jcs[-1] < jcm[-1] or jcs[-1] < jcl[-1]):
|
|
jcs.popleft()
|
|
jcm.popleft()
|
|
jcl.popleft()
|
|
continue
|
|
if (jcs[-1]-max(jcm[-1], jcl[-1])) < 2 * abs(jcm[-1] - jcl[-1]):
|
|
jcs.popleft()
|
|
jcm.popleft()
|
|
jcl.popleft()
|
|
continue
|
|
# 2. 前一日之前的所有 `JCS` 必须在 `JCM` 或 `JCL` 下方 ********
|
|
# 2. 前一日之前的所有 `JCS` 不得远大于 `JCM` 或 `JCL`
|
|
flag = True
|
|
for i in range(self.judge_days - 2):
|
|
# if jcs[i] > jcm[i] or jcs[i] > jcl[i]:
|
|
if (jcs[i]-max(jcm[i], jcl[i])) > 2 * abs(jcm[i] - jcl[i]):
|
|
flag = False
|
|
if not flag:
|
|
jcs.popleft()
|
|
jcm.popleft()
|
|
jcl.popleft()
|
|
continue
|
|
# 3. 第二日趋势为上升
|
|
for a in self.limit_a:
|
|
# 检查是否满足条件
|
|
if self.is_raise(jcs, a):
|
|
# 验证 n 天后是否价格上涨
|
|
for day in self.after_days:
|
|
if index - day < 0: continue
|
|
# print(code, ":", row['日期'])
|
|
self.update_res(a,day,code, row['日期'], df.loc[index-day, "收盘价"] > row['收盘价'])
|
|
# print(self.res)
|
|
# print(self.res)
|
|
|
|
def all(self):
|
|
filelist = os.listdir(self.zljc_path)
|
|
for i in tqdm(range(len(filelist))):
|
|
self.one(filelist[i][0:6])
|
|
f = open("%s\\zljc_day_a.json" % sys.path[0], "w", encoding="utf-8")
|
|
f.write(json.dumps(self.res, ensure_ascii=False))
|
|
f.close()
|
|
|
|
def is_raise(self, arr, limit_a, type=1):
|
|
if type == 2:
|
|
x = np.array(list(range(len(arr))))
|
|
y = np.array(arr)
|
|
line = np.polyfit(x,y,deg=2)
|
|
return (line[0] > 0 and line[0] >= limit_a) and (-1 * line[1] / (2*line[0]) <= 0)
|
|
if type == 1:
|
|
x = np.array(list(range(len(arr))))
|
|
y = np.array(arr)
|
|
line = np.polyfit(x, y, deg=1)
|
|
self.k_arr.append(line[0])
|
|
if len(self.k_arr) < 2: return False
|
|
return self.k_arr[-1]>0 and self.k_arr[-1] / self.k_arr[-2] > limit_a
|
|
|
|
def update_res(self, a, day, code, date, flag):
|
|
if code not in self.res.keys():
|
|
self.res[code] = {}
|
|
if a not in self.res[code].keys():
|
|
self.res[code][a] = {}
|
|
if day not in self.res[code][a].keys():
|
|
self.res[code][a][day] = {}
|
|
if "yes" not in self.res[code][a][day].keys():
|
|
self.res[code][a][day]['yes'] = 0
|
|
if "no" not in self.res[code][a][day].keys():
|
|
self.res[code][a][day]['no'] = 0
|
|
if "dates_yes" not in self.res[code][a][day].keys():
|
|
self.res[code][a][day]['dates_yes'] = []
|
|
if "dates_no" not in self.res[code][a][day].keys():
|
|
self.res[code][a][day]['dates_no'] = []
|
|
if flag:
|
|
self.res[code][a][day]['dates_yes'].append(date)
|
|
self.res[code][a][day]['yes'] += 1
|
|
else:
|
|
self.res[code][a][day]['dates_no'].append(date)
|
|
self.res[code][a][day]['no'] += 1
|
|
|
|
def count(self):
|
|
path = sys.path[0]
|
|
f = open("%s\\zljc_day_a.json" % (sys.path[0]), "r", encoding="utf8")
|
|
res = json.loads(f.read())
|
|
count = {}
|
|
for code in res:
|
|
for a in res[code]:
|
|
if not a in count.keys():
|
|
count[a] = {}
|
|
for day in res[code][a]:
|
|
if not day in count[a].keys():
|
|
count[a][day] = {"yes": 0, "no": 0}
|
|
count[a][day]["yes"] += res[code][a][day]["yes"]
|
|
count[a][day]["no"] += res[code][a][day]["no"]
|
|
f = open("%s\\zljc_day_a_count.json" % sys.path[0], "w", encoding="utf-8")
|
|
f.write(json.dumps(count, ensure_ascii=False))
|
|
f.close()
|
|
|
|
|
|
if __name__ == "__main__":
|
|
# limit_a = [0.010, 0.0125, 0.015, 0.0175, 0.020]
|
|
limit_a = [1.5, 1.75, 2]
|
|
after_days = [3,4,5]
|
|
z = ZljcRaisePoint(limit_a=limit_a, after_days=after_days)
|
|
z.all()
|
|
# z.count() |