V0.9.17 更新一批代码 (#143)

* 0.9.17 修复绘图代码

* 0.9.17 更新信号

* 0.9.17 update

* 0.9.17 update

* 0.9.17 新增信号函数bar_dual_thrust_V230403

* 0.9.17 update

* 0.9.17 update

* 0.9.17 update

* 0.9.17 新增 未完成的笔 ubi 属性

* 0.9.17 新增策略中的信号检查函数

* 0.9.17 新增策略中的信号检查函数

* 0.9.17 新增基于 pos 的分型止损信号函数

* 0.9.17 优化MACD缓存方法

* 0.9.17 update

.github/workflows/pythonpackage.yml

@@ -5,7 +5,7 @@ name: Python package
 
 on:
   push:
-    branches: [ master, V0.9.16 ]
+    branches: [ master, V0.9.17 ]
   pull_request:
     branches: [ master ]
 
@@ -15,7 +15,7 @@ jobs:
     runs-on: ubuntu-latest
     strategy:
       matrix:
-        python-version: [3.7, 3.8, 3.9, 3.10.10, 3.11.2]
+        python-version: [3.7, 3.8, 3.9, 3.10.11, 3.11.3]
 
     steps:
     - uses: actions/checkout@v2

czsc/__init__.py

@@ -20,14 +20,14 @@
 from czsc.strategies import CzscStrategyBase
 from czsc.utils import KlineChart, BarGenerator, resample_bars, dill_dump, dill_load, read_json, save_json
 from czsc.utils import get_sub_elements, get_py_namespace, freqs_sorted, x_round, import_by_name, create_grid_params
-from czsc.utils import cal_trade_price, cross_sectional_ic
+from czsc.utils import cal_trade_price, cross_sectional_ic, update_bbars, update_tbars, update_nbars
 from czsc.sensors import holds_concepts_effect, StocksDaySensor, ThsConceptsSensor, SignalsPerformance
 
 
-__version__ = "0.9.16"
+__version__ = "0.9.17"
 __author__ = "zengbin93"
 __email__ = "[email protected]"
-__date__ = "20230404"
+__date__ = "20230415"
 
 
 def welcome():

czsc/analyze.py

@@ -153,8 +153,8 @@ def check_bi(bars: List[NewBar], benchmark: float = None):
         fxs_ = [x for x in fxs if fx_a.elements[0].dt <= x.dt <= fx_b.elements[2].dt]
         bi = BI(symbol=fx_a.symbol, fx_a=fx_a, fx_b=fx_b, fxs=fxs_, direction=direction, bars=bars_a)
 
-        low_ubi = min([x.low for x in bars_b])
-        high_ubi = max([x.high for x in bars_b])
+        low_ubi = min([x.low for y in bars_b for x in y.raw_bars])
+        high_ubi = max([x.high for y in bars_b for x in y.raw_bars])
         if (bi.direction == Direction.Up and high_ubi > bi.high) \
                 or (bi.direction == Direction.Down and low_ubi < bi.low):
             return None, bars
@@ -379,6 +379,32 @@ def ubi_fxs(self) -> List[FX]:
         else:
             return check_fxs(self.bars_ubi)
 
+    @property
+    def ubi(self):
+        """Unfinished Bi，未完成的笔"""
+        if not self.bars_ubi or not self.bi_list:
+            return None
+
+        bars_raw = [y for x in self.bars_ubi for y in x.raw_bars]
+        # 获取最高点和最低点，以及对应的时间
+        high_bar = max(bars_raw, key=lambda x: x.high)
+        low_bar = min(bars_raw, key=lambda x: x.low)
+        direction = Direction.Up if self.bi_list[-1].direction == Direction.Down else Direction.Down
+
+        bi = {
+            "symbol": self.symbol,
+            "direction": direction,
+            "high": high_bar.high,
+            "low": low_bar.low,
+            "high_bar": high_bar,
+            "low_bar": low_bar,
+            "bars": self.bars_ubi,
+            "raw_bars": bars_raw,
+            "fxs": self.ubi_fxs,
+            "fx_a": self.ubi_fxs[0],
+        }
+        return bi
+
     @property
     def fx_list(self) -> List[FX]:
         """分型列表，包括 bars_ubi 中的分型"""
@@ -387,6 +413,6 @@ def fx_list(self) -> List[FX]:
             fxs.extend(bi_.fxs[1:])
         ubi = self.ubi_fxs
         for x in ubi:
-            if not fxs or x.dt > fxs[-1].dt:
+            if not fxs or x.dt > fxs[-1].raw_bars[-1].dt:
                 fxs.append(x)
         return fxs

czsc/sensors/utils.py

@@ -175,6 +175,9 @@ def __init__(self, dfs: pd.DataFrame, keys: List[AnyStr]):
         :param dfs: 信号表
         :param keys: 信号列，支持一个或多个信号列组合分析
         """
+        base_cols = [x for x in dfs.columns if len(x.split("_")) != 3]
+        dfs = dfs[base_cols + keys].copy()
+
         if 'year' not in dfs.columns:
             y = dfs['dt'].apply(lambda x: x.year)
             dfs['year'] = y.values

czsc/signals/__init__.py

@@ -78,6 +78,7 @@
     bar_time_V230327,
     bar_weekday_V230328,
     bar_r_breaker_V230326,
+    bar_dual_thrust_V230403,
 )
 
 from czsc.signals.jcc import (
@@ -110,6 +111,7 @@
     update_kdj_cache,
     update_boll_cache,
     update_rsi_cache,
+    update_cci_cache,
 
     tas_macd_base_V221028,
     tas_macd_change_V221105,
@@ -146,6 +148,10 @@
     tas_second_bs_V230303,
 
     tas_hlma_V230301,
+    tas_cci_base_V230402,
+    tas_kdj_evc_V230401
 )
 
-
+from czsc.signals.pos import (
+    pos_fx_stop_V230414,
+)

czsc/signals/bar.py

@@ -939,3 +939,62 @@ def bar_r_breaker_V230326(c: CZSC, **kwargs):
         v2 = '其他'
 
     return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1, v2=v2)
+
+
+def bar_dual_thrust_V230403(c: CZSC, **kwargs):
+    """Dual Thrust 通道突破
+
+    参数模板："{freq}_D{di}通道突破#{N}#{K1}#{K2}_BS辅助V230403"
+
+    **信号逻辑：**
+
+    参见：https://www.myquant.cn/docs/python_strategyies/424
+
+    其核心思想是定义一个区间，区间的上界和下界分别为支撑线和阻力线。当价格超过上界时，看多，跌破下界，看空。
+
+    **信号列表：**
+
+    - Signal('日线_D1通道突破#5#20#20_BS辅助V230403_看空_任意_任意_0')
+    - Signal('日线_D1通道突破#5#20#20_BS辅助V230403_看多_任意_任意_0')
+
+    :param c: 基础周期的 CZSC 对象
+    :param kwargs: 其他参数
+        - di: 倒数第 di 根 K 线
+        - N: 前N天的数据
+        - K1: 参数，根据经验优化
+        - K2: 参数，根据经验优化
+    :return: 信号字典
+    """
+    di = int(kwargs.get('di', 1))
+    N = int(kwargs.get('N', 5))
+    K1 = int(kwargs.get('K1', 20))
+    K2 = int(kwargs.get('K2', 20))
+
+    freq = c.freq.value
+    k1, k2, k3 = f"{freq}_D{di}通道突破#{N}#{K1}#{K2}_BS辅助V230403".split('_')
+    if len(c.bars_raw) < 3:
+        return create_single_signal(k1=k1, k2=k2, k3=k3, v1='其他')
+
+    bars = get_sub_elements(c.bars_raw, di=di+1, n=N+1)
+    HH = max([i.high for i in bars])
+    HC = max([i.close for i in bars])
+    LC = min([i.close for i in bars])
+    LL = min([i.low for i in bars])
+    Range = max(HH - LC, HC - LL)
+
+    current_bar = c.bars_raw[-di]
+    buy_line = current_bar.open + Range * K1 / 100    # 上轨
+    sell_line = current_bar.open - Range * K2 / 100   # 下轨
+
+    # 根据价格位置判断信号
+    if current_bar.close > buy_line:
+        v1 = '看多'
+    elif current_bar.close < sell_line:
+        v1 = '看空'
+    else:
+        v1 = '其他'
+
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
+
+
+

czsc/signals/byi.py

@@ -165,7 +165,7 @@ def byi_bi_end_V230107(c: CZSC, **kwargs) -> OrderedDict:
     return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
 
 
-def byi_second_bs_V230324(c: CZSC, di=1, **kwargs) -> OrderedDict:
+def byi_second_bs_V230324(c: CZSC, **kwargs) -> OrderedDict:
     """白仪二类买卖点辅助V230324
 
     参数模板："{freq}_D{di}MACD{fastperiod}#{slowperiod}#{signalperiod}回抽零轴_BS2辅助V230324"

czsc/signals/pos.py

@@ -0,0 +1,67 @@
+# -*- coding: utf-8 -*-
+"""
+author: zengbin93
+email: [email protected]
+create_dt: 2023/4/14 19:27
+describe: 
+"""
+from collections import OrderedDict
+from czsc.traders.base import CzscTrader
+from czsc.utils import create_single_signal
+from czsc.objects import Operate, Direction, Mark
+
+
+def pos_fx_stop_V230414(cat: CzscTrader, **kwargs) -> OrderedDict:
+    """按照开仓点附近的分型止损
+
+    参数模板："{freq1}_{pos_name}N{n}_止损V230414"
+
+    **信号逻辑：**
+
+    多头止损逻辑如下，反之为空头止损逻辑：
+
+    1. 从多头开仓点开始，在给定对的K线周期 freq1 上向前找 N 个底分型，记为 F1
+    2. 将这 N 个底分型的最低点，记为 L1，如果 L1 的价格低于开仓点的价格，则止损
+
+    **信号列表：**
+
+    - Signal('日线_日线三买多头N1_止损V230414_多头止损_任意_任意_0')
+    - Signal('日线_日线三买多头N1_止损V230414_空头止损_任意_任意_0')
+
+    :param cat: CzscTrader对象
+    :param kwargs: 参数字典
+        - pos_name: str，开仓信号的名称
+        - freq1: str，给定的K线周期
+        - n: int，向前找的分型个数，默认为 3
+    :return:
+    """
+    pos_name = kwargs["pos_name"]
+    freq1 = kwargs["freq1"]
+    n = int(kwargs.get('n', 3))
+    k1, k2, k3 = f"{freq1}_{pos_name}N{n}_止损V230414".split("_")
+    v1 = '其他'
+
+    # 如果没有持仓策略，则不产生信号
+    if not hasattr(cat, "positions"):
+        return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
+
+    pos = [x for x in cat.positions if x.name == pos_name][0]
+    if len(pos.operates) == 0 or pos.operates[-1]['op'] in [Operate.SE, Operate.LE]:
+        return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
+
+    c = cat.kas[freq1]
+    op = pos.operates[-1]
+
+    # 多头止损逻辑
+    if op['op'] == Operate.LO:
+        fxs = [x for x in c.fx_list if x.mark == Mark.D and x.dt < op['dt']][-n:]
+        if cat.latest_price < min([x.low for x in fxs]):
+            v1 = '多头止损'
+
+    # 空头止损逻辑
+    if op['op'] == Operate.SO:
+        fxs = [x for x in c.fx_list if x.mark == Mark.G and x.dt < op['dt']][-n:]
+        if cat.latest_price > max([x.high for x in fxs]):
+            v1 = '空头止损'
+
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)