V0.9.12 修复涨跌停信号识别BUG (#131)

* 0.9.12 新增信号函数

* 0.9.12 fix bug

* 0.9.12 update bar signals

* 0.9.12 新增 开仓日盈亏平衡点 计算

* 0.9.12 update

* 0.9.12 update workflow

* 0.9.12 update

* 0.9.12 update

.github/workflows/pythonpackage.yml

@@ -5,7 +5,7 @@ name: Python package
 
 on:
   push:
-    branches: [ master, V0.9.11 ]
+    branches: [ master, V0.9.12 ]
   pull_request:
     branches: [ master ]
 

czsc/__init__.py

@@ -21,7 +21,7 @@
 from czsc.utils import get_sub_elements, get_py_namespace, freqs_sorted, x_round, import_by_name, create_grid_params
 
 
-__version__ = "0.9.11"
+__version__ = "0.9.12"
 __author__ = "zengbin93"
 __email__ = "[email protected]"
 __date__ = "20230312"

czsc/signals/__init__.py

@@ -47,6 +47,7 @@
     bar_operate_span_V221111,
     bar_zdt_V221110,
     bar_zdt_V221111,
+    bar_zdt_V230313,
     bar_cross_ps_V221112,
     bar_section_momentum_V221112,
     bar_vol_grow_V221112,
@@ -114,6 +115,7 @@
 
     tas_boll_power_V221112,
     tas_boll_bc_V221118,
+    tas_boll_vt_V230312,
 
     tas_kdj_base_V221101,
     tas_kdj_evc_V221201,

czsc/signals/bar.py

@@ -35,10 +35,7 @@ def bar_end_V221111(c: CZSC, k1='60分钟') -> OrderedDict:
     dt: datetime = c.bars_raw[-1].dt
     v = "是" if dt.minute % m == 0 else "否"
 
-    s = OrderedDict()
-    signal = Signal(k1=k1, k2=k2, k3=k3, v1=v)
-    s[signal.key] = signal.value
-    return s
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v)
 
 
 def bar_operate_span_V221111(c: CZSC, k1: str = '开多', span=("1400", "1450")) -> OrderedDict:
@@ -59,11 +56,7 @@ def bar_operate_span_V221111(c: CZSC, k1: str = '开多', span=("1400", "1450"))
 
     dt: datetime = c.bars_raw[-1].dt
     v = "是" if k2 <= dt.strftime("%H%M") <= k3 else "否"
-
-    s = OrderedDict()
-    signal = Signal(k1=k1, k2=k2, k3=k3, v1=v)
-    s[signal.key] = signal.value
-    return s
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v)
 
 
 def bar_zdt_V221110(c: CZSC, di=1) -> OrderedDict:
@@ -73,7 +66,7 @@ def bar_zdt_V221110(c: CZSC, di=1) -> OrderedDict:
 
     **信号逻辑：**
 
-    close等于high大于前close，近似认为是涨停；反之，跌停。
+    close等于high，近似认为是涨停；反之，跌停。
 
     **信号列表：**
 
@@ -89,19 +82,45 @@ def bar_zdt_V221110(c: CZSC, di=1) -> OrderedDict:
     if len(c.bars_raw) < di + 2:
         v1 = "其他"
     else:
-        b1, b2 = c.bars_raw[-di],  c.bars_raw[-di-1]
+        b1 = c.bars_raw[-di]
 
-        if b1.close == b1.high > b2.close:
+        if b1.close == b1.high:
             v1 = "涨停"
-        elif b1.close == b1.low < b2.close:
+        elif b1.close == b1.low:
             v1 = "跌停"
         else:
             v1 = "其他"
 
-    s = OrderedDict()
-    v = Signal(k1=k1, k2=k2, k3=k3, v1=v1)
-    s[v.key] = v.value
-    return s
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
+
+
+def bar_zdt_V230313(c: CZSC, di=1, **kwargs) -> OrderedDict:
+    """计算倒数第di根K线的涨跌停信息
+
+    **信号逻辑：**
+
+    - close等于high大于等于前一根K线的close，近似认为是涨停；反之，跌停。
+
+    **信号列表：**
+
+    - Signal('15分钟_D1涨跌停_V230313_跌停_任意_任意_0')
+    - Signal('15分钟_D1涨跌停_V230313_涨停_任意_任意_0')
+
+    :param c: 基础周期的 CZSC 对象
+    :param di: 倒数第 di 根 K 线
+    :return: s
+    """
+    k1, k2, k3, v1 = c.freq.value, f"D{di}涨跌停", "V230313", "其他"
+    if len(c.bars_raw) < di + 2:
+        return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
+
+    b1, b2 = c.bars_raw[-di], c.bars_raw[-di - 1]
+    if b1.close == b1.high >= b2.close:
+        v1 = "涨停"
+    elif b1.close == b1.low <= b2.close:
+        v1 = "跌停"
+
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
 
 
 def bar_zdt_V221111(cat: CzscSignals, freq: str, di: int = 1) -> OrderedDict:
@@ -151,10 +170,7 @@ def bar_zdt_V221111(cat: CzscSignals, freq: str, di: int = 1) -> OrderedDict:
     else:
         v1 = "其他"
 
-    s = OrderedDict()
-    v = Signal(k1=k1, k2=k2, k3=k3, v1=v1)
-    s[v.key] = v.value
-    return s
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
 
 
 def bar_vol_grow_V221112(c: CZSC, di: int = 2, n: int = 5) -> OrderedDict:
@@ -185,10 +201,7 @@ def bar_vol_grow_V221112(c: CZSC, di: int = 2, n: int = 5) -> OrderedDict:
         mean_vol = sum([x.vol for x in bars[:-1]]) / n
         v1 = "是" if mean_vol * 4 >= bars[-1].vol >= mean_vol * 2 else "否"
 
-    s = OrderedDict()
-    signal = Signal(k1=k1, k2=k2, k3=k3, v1=v1)
-    s[signal.key] = signal.value
-    return s
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
 
 
 def bar_fang_liang_break_V221216(c: CZSC, di: int = 1, th=300, ma1="SMA233") -> OrderedDict:
@@ -236,10 +249,7 @@ def _vol_fang_liang_break(bars: List[RawBar]):
             break
 
     k1, k2, k3 = f"{c.freq.value}_D{di}TH{th}_突破{ma1.upper()}".split('_')
-    s = OrderedDict()
-    signal = Signal(k1=k1, k2=k2, k3=k3, v1=v1, v2=v2)
-    s[signal.key] = signal.value
-    return s
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1, v2=v2)
 
 
 def bar_mean_amount_V221112(c: CZSC, di: int = 1, n: int = 10, th1: int = 1, th2: int = 4) -> OrderedDict:
@@ -278,10 +288,7 @@ def bar_mean_amount_V221112(c: CZSC, di: int = 1, n: int = 10, th1: int = 1, th2
             else:
                 logger.warning(msg)
 
-    s = OrderedDict()
-    signal = Signal(k1=k1, k2=k2, k3=k3, v1=v1)
-    s[signal.key] = signal.value
-    return s
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
 
 
 def bar_cross_ps_V221112(c: CZSC, di=1, num=3):
@@ -369,10 +376,7 @@ def bar_section_momentum_V221112(c: CZSC, di: int = 1, n: int = 10, th: int = 10
         v2 = "强势" if abs(bp) >= th else "弱势"
         v3 = "高波动" if rate >= 3 else "低波动"
 
-    s = OrderedDict()
-    signal = Signal(k1=k1, k2=k2, k3=k3, v1=v1, v2=v2, v3=v3)
-    s[signal.key] = signal.value
-    return s
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1, v2=v2, v3=v3)
 
 
 def bar_accelerate_V221110(c: CZSC, di: int = 1, window: int = 10) -> OrderedDict:
@@ -413,10 +417,7 @@ def bar_accelerate_V221110(c: CZSC, di: int = 1, window: int = 10) -> OrderedDic
         if c2 and green_pct:
             v1 = "下跌"
 
-    s = OrderedDict()
-    signal = Signal(k1=k1, k2=k2, k3=k3, v1=v1)
-    s[signal.key] = signal.value
-    return s
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
 
 
 def bar_accelerate_V221118(c: CZSC, di: int = 1, window: int = 13, ma1='SMA10') -> OrderedDict:
@@ -442,7 +443,6 @@ def bar_accelerate_V221118(c: CZSC, di: int = 1, window: int = 13, ma1='SMA10')
     :return: 信号识别结果
     """
     assert window > 3, "辨别加速，至少需要3根以上K线"
-    s = OrderedDict()
     k1, k2, k3 = c.freq.value, f"D{di}W{window}", f"{ma1}加速"
 
     bars = get_sub_elements(c.bars_raw, di=di, n=window)
@@ -455,9 +455,7 @@ def bar_accelerate_V221118(c: CZSC, di: int = 1, window: int = 13, ma1='SMA10')
     else:
         v1 = "其他"
 
-    signal = Signal(k1=k1, k2=k2, k3=k3, v1=v1)
-    s[signal.key] = signal.value
-    return s
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
 
 
 def bar_zdf_V221203(c: CZSC, di: int = 1, mode='ZF', span=(300, 600)) -> OrderedDict:
@@ -486,11 +484,7 @@ def bar_zdf_V221203(c: CZSC, di: int = 1, mode='ZF', span=(300, 600)) -> Ordered
         edge = (1 - bars[-1].close / bars[-2].close) * 10000
 
     v1 = "满足" if t2 >= edge >= t1 else "其他"
-
-    s = OrderedDict()
-    signal = Signal(k1=k1, k2=k2, k3=k3, v1=v1)
-    s[signal.key] = signal.value
-    return s
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
 
 
 def bar_fake_break_V230204(c: CZSC, di=1, **kwargs) -> OrderedDict:

czsc/signals/tas.py

@@ -145,7 +145,7 @@ def update_boll_cache_V230228(c: CZSC, **kwargs):
 
         for i in range(1, 6):
             _c = dict(c.bars_raw[-i].cache) if c.bars_raw[-i].cache else dict()
-            _c.update({cache_key: {"上轨": u1[i], "中线": m[i], "下轨": l1[i]}})
+            _c.update({cache_key: {"上轨": u1[-i], "中线": m[-i], "下轨": l1[-i]}})
             c.bars_raw[-i].cache = _c
 
     return cache_key
@@ -203,9 +203,42 @@ def update_boll_cache(c: CZSC, **kwargs):
     return cache_key
 
 
+def tas_boll_vt_V230312(c: CZSC, di: int = 1, **kwargs) -> OrderedDict:
+    """以BOLL通道为依据的多空进出场信号
+
+    **信号逻辑：**
+
+    1. 看多，当日收盘价在上轨上方，且最近max_overlap根K线中至少有一个收盘价都在上轨下方；
+    2. 看空，当日收盘价在下轨下方，且最近max_overlap根K线中至少有一个收盘价都在下轨上方；
+
+    **信号列表：**
+
+    - Signal('15分钟_D1BOLL20S20MO5_BS辅助V230312_看空_任意_任意_0')
+    - Signal('15分钟_D1BOLL20S20MO5_BS辅助V230312_看多_任意_任意_0')
+
+    :param c: CZSC对象
+    :param di: 信号计算截止倒数第i根K线
+    :return:
+    """
+    key = update_boll_cache_V230228(c, **kwargs)
+    max_overlap = kwargs.get('max_overlap', 5)
+    k1, k2, k3 = f"{c.freq.value}_D{di}{key}MO{max_overlap}_BS辅助V230312".split('_')
+    v1 = "其他"
+    _bars = get_sub_elements(c.bars_raw, di=di, n=max_overlap + 1)
+    if len(_bars) < max_overlap + 1:
+        return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
+
+    if _bars[-1].close > _bars[-1].cache[key]['上轨'] and any([x.close < x.cache[key]['上轨'] for x in _bars]):
+        v1 = "看多"
+
+    elif _bars[-1].close < _bars[-1].cache[key]['下轨'] and any([x.close > x.cache[key]['下轨'] for x in _bars]):
+        v1 = "看空"
+
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
+
+
 # MACD信号计算函数
 # ======================================================================================================================
-
 def tas_macd_base_V221028(c: CZSC, di: int = 1, key="macd", **kwargs) -> OrderedDict:
     """MACD|DIF|DEA 多空和方向信号
 

czsc/traders/performance.py

@@ -158,6 +158,7 @@ def get_pairs_statistics(df_pairs: pd.DataFrame):
                 "每自然日收益": 0,
                 "每根K线收益": 0,
                 "盈亏平衡点": 0,
+                "开仓日盈亏平衡点": 0,
             }
             return info
 
@@ -189,6 +190,7 @@ def get_pairs_statistics(df_pairs: pd.DataFrame):
             "交易得分": round(total_gain_loss_rate * win_pct, 4),
             "赢面": round(single_gain_loss_rate * win_pct - (1 - win_pct), 4),
             "盈亏平衡点": round(cal_break_even_point(df_pairs['盈亏比例'].to_list()), 4),
+            "开仓日盈亏平衡点": round(df_pairs.groupby('开仓日')['盈亏比例'].apply(cal_break_even_point).mean(), 4),
         }
 
         info['每自然日收益'] = round(info['平均单笔收益'] / info['平均持仓天数'], 2)

examples/ts_check_signal_acc.py

@@ -9,14 +9,9 @@
 import sys
 sys.path.insert(0, '..')
 import os
-import numpy as np
-from loguru import logger
 from collections import OrderedDict
 from czsc.data.ts_cache import TsDataCache
-from czsc import CZSC, Signal
 from czsc.traders.base import CzscTrader, check_signals_acc
-from czsc.signals.tas import update_ma_cache
-from czsc.utils import get_sub_elements, create_single_signal
 from czsc import signals
 
 
@@ -32,15 +27,16 @@
 
 def get_signals(cat: CzscTrader) -> OrderedDict:
     s = OrderedDict({"symbol": cat.symbol, "dt": cat.end_dt, "close": cat.latest_price})
-    # 使用缓存来更新信号的方法
+    # 定义需要检查的信号
     s.update(signals.tas_macd_first_bs_V221216(cat.kas['日线'], di=1))
     return s
 
 
 if __name__ == '__main__':
-    # check_signals_acc(bars, get_signals, freqs=['日线', '60分钟'])
     check_signals_acc(bars, get_signals)
 
+    # 也可以指定信号的K线周期，比如只检查日线信号
+    # check_signals_acc(bars, get_signals, freqs=['日线'])