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chan.py
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# -*- coding: utf-8 -*-
"""
Created on Tue Nov 29 09:06:39 2016
@author: gyrx-gy022
"""
#==============================================================================
#
#==============================================================================
import pandas as pd
import os
import numpy as np
import datetime
import bisect
from dateutil.parser import parse
import statsmodels.api as sm
import warnings
from ta import *
np.set_printoptions(threshold=np.inf)
warnings.simplefilter(action = 'ignore',category = RuntimeWarning)
#==============================================================================
#
#==============================================================================
#get_ipython().magic('matplotlib inline')
import matplotlib
import matplotlib.pyplot as plt
import matplotlib.patches as patches
from matplotlib.finance import candlestick_ohlc
matplotlib.style.use('ggplot')
#==============================================================================
#
#==============================================================================
#%%
class ChanBar(object):
def __init__(self,open,high,low,close,volume,startTime,closeTime,closeIndex):
self.open = open
self.high = high
self.low = low
self.close = close
self.volume = volume
self.startTime = startTime
self.closeTime = closeTime
self.closeIndex = closeIndex #在原始的Bar上的实际Index
self.isMerged = False #是否由几根bar合成
self.numOfBars = 1 #包含的bar数目
def describe(self):
print('open:',self.open)
print('high:',self.high)
print('low:',self.low)
print('close:',self.close)
print('volume:',self.volume)
print('startTime:',self.startTime)
print('closeTime:',self.closeTime)
print('isMerged:',self.isMerged)
print('numOfBars:',self.numOfBars)
class fenxing(object):
def __init__(self,barIndex1,barIndex2,barIndex3,fenxingType):
self.barIndex1 = barIndex1
self.barIndex2 = barIndex2
self.barIndex3 = barIndex3
self.fenxingType = fenxingType
def describe(self):
print('bars at:',self.barIndex1,self.barIndex2,self.barIndex3)
print('FenXingType:',self.fenxingType)
class bi(object):
def __init__(self,barIndex1,barIndex2,biType):
self.barIndex1 = barIndex1
self.barIndex2 = barIndex2
self.biType = biType
class line(object):
def __init__(self,barIndex1,barIndex2,lineType,featureHigh,featureLow,featureHighIndex,featureLowIndex,featureBiIndex):
self.barIndex1 = barIndex1
self.barIndex2 = barIndex2
self.lineType = lineType
self.featureHigh = featureHigh
self.featureLow = featureLow
self.featureHighIndex = featureHighIndex
self.featureLowIndex = featureLowIndex
self.featureBiIndex = featureBiIndex
class zhongshu(object):
def __init__(self,barIndex1,barIndex2,high,low,linesIncluded):
self.barIndex1 = barIndex1
self.barIndex2 = barIndex2
self.high = high
self.low = low
self.linesIncluded = linesIncluded
class Chan(object):
def __init__(self,openBar,highBar,lowBar,closeBar,volumeBar,closeTime):
self.openBar = openBar
self.highBar = highBar
self.lowBar = lowBar
self.closeBar = closeBar
self.volumeBar = volumeBar
self.closeTime = closeTime
self.length = len(self.openBar)
#记录顶背驰
self.dingbeichi = []
self.trendDingbeichi = []
self.dingbeichiLine = []
#记录底背驰
self.dibeichi = []
self.trendDibeichi = []
self.dibeichiLine = []
#记录买卖点
self.buy1 = []
self.buy2 = []
self.buy3 = []
self.sell1 = []
self.sell2 = []
self.sell3 = []
#简单回测
self.position = 0
self.openLong = []
self.closeLong = []
self.openShort = []
self.closeShort = []
self.macdBenchmarkStart = []
self.macdBenchmarkEnd = []
self.macdBenchmarkLastStart = []
self.macdBenchmarkLastEnd = []
self.trendLineRecord = []
def calculate_ta(self):
nslow = 26
nfast = 12
nema = 9
emaslow, emafast, diff = moving_average_convergence(self.closeBar, nslow=nslow, nfast=nfast)
dea = moving_average(diff, nema, type='exponential')
self.diff = diff
self.dea = dea
self.macd = self.diff - self.dea
def plot(self):
quotes = []
for i in range(self.length):
quotes.append([i,self.openBar[i],self.highBar[i],self.lowBar[i],self.closeBar[i]])
fig = plt.figure(figsize = (90,20))
left, width = 0.1, 0.8
rect1 = [left, 0.3, width, 0.6]
rect2 = [left, 0.1, width, 0.2]
#ax1 = fig.add_subplot(1,1,1)
ax1 = fig.add_axes(rect1)
ax1.set_xlim(left=0)
ax3 = fig.add_axes(rect2, sharex=ax1)
matplotlib.finance.candlestick_ohlc(ax1,quotes,width=1,colordown='g',colorup='r')
fillcolor = 'darkslategrey'
ax3.plot(range(self.length), self.diff, color='white', lw=2)
ax3.plot(range(self.length), self.dea, color='yellow', lw=1)
ax3.fill_between(range(self.length), self.macd, 0, alpha=0.5, facecolor=fillcolor, edgecolor=fillcolor)
# for fenxing in self.fenxings:
# if fenxing.fenxingType == 'ding':
# ax1.add_patch(
# patches.Rectangle(
# (fenxing.barIndex1, min(self.chanBars[fenxing.barIndex1].low,self.chanBars[fenxing.barIndex3].low)),
# 2,
# self.chanBars[fenxing.barIndex2].high - min(self.chanBars[fenxing.barIndex1].low,self.chanBars[fenxing.barIndex3].low),
# fill=False, # remove background
# ec = 'r'
# )
# )
# else:
# ax1.add_patch(
# patches.Rectangle(
# (fenxing.barIndex1, self.chanBars[fenxing.barIndex2].low),
# 2,
# max(self.chanBars[fenxing.barIndex1].high,self.chanBars[fenxing.barIndex3].high) - self.chanBars[fenxing.barIndex2].low,
# fill=False, # remove background
# ec = 'b'
# )
# )
for bi in self.bis:
if bi.biType == 'up':
ax1.plot((self.chanBars[bi.barIndex1].closeIndex,self.chanBars[bi.barIndex2].closeIndex),(self.lowBar[self.chanBars[bi.barIndex1].closeIndex],self.highBar[self.chanBars[bi.barIndex2].closeIndex]),color = 'r')
else:
ax1.plot((self.chanBars[bi.barIndex1].closeIndex,self.chanBars[bi.barIndex2].closeIndex),(self.highBar[self.chanBars[bi.barIndex1].closeIndex],self.lowBar[self.chanBars[bi.barIndex2].closeIndex]),color = 'b')
for line in self.lines:
if line.lineType == 'up':
ax1.plot((self.chanBars[line.barIndex1].closeIndex,self.chanBars[line.barIndex2].closeIndex),(self.lowBar[self.chanBars[line.barIndex1].closeIndex],self.highBar[self.chanBars[line.barIndex2].closeIndex]),color = 'y')
else:
ax1.plot((self.chanBars[line.barIndex1].closeIndex,self.chanBars[line.barIndex2].closeIndex),(self.highBar[self.chanBars[line.barIndex1].closeIndex],self.lowBar[self.chanBars[line.barIndex2].closeIndex]),color = 'g')
for zhongshu in self.zhongshus:
ax1.add_patch(
patches.Rectangle(
(self.chanBars[zhongshu.barIndex1].closeIndex, zhongshu.low),
self.chanBars[zhongshu.barIndex2].closeIndex - self.chanBars[zhongshu.barIndex1].closeIndex,
zhongshu.high - zhongshu.low,
fill=False, # remove background
ec = 'black'
)
)
def plotBiZhongshu(self):
quotes = []
for i in range(self.length):
quotes.append([i,self.openBar[i],self.highBar[i],self.lowBar[i],self.closeBar[i]])
fig = plt.figure(figsize = (90,20))
left, width = 0.1, 0.8
rect1 = [left, 0.3, width, 0.6]
rect2 = [left, 0.1, width, 0.2]
#ax1 = fig.add_subplot(1,1,1)
ax1 = fig.add_axes(rect1)
ax1.set_xlim(left=0)
ax3 = fig.add_axes(rect2, sharex=ax1)
matplotlib.finance.candlestick_ohlc(ax1,quotes,width=1,colordown='g',colorup='r')
fillcolor = 'darkslategrey'
ax3.plot(range(self.length), self.diff, color='white', lw=2)
ax3.plot(range(self.length), self.dea, color='yellow', lw=1)
ax3.fill_between(range(self.length), self.diff - self.dea, 0, alpha=0.5, facecolor=fillcolor, edgecolor=fillcolor)
# for fenxing in self.fenxings:
# if fenxing.fenxingType == 'ding':
# ax1.add_patch(
# patches.Rectangle(
# (fenxing.barIndex1, min(self.chanBars[fenxing.barIndex1].low,self.chanBars[fenxing.barIndex3].low)),
# 2,
# self.chanBars[fenxing.barIndex2].high - min(self.chanBars[fenxing.barIndex1].low,self.chanBars[fenxing.barIndex3].low),
# fill=False, # remove background
# ec = 'r'
# )
# )
# else:
# ax1.add_patch(
# patches.Rectangle(
# (fenxing.barIndex1, self.chanBars[fenxing.barIndex2].low),
# 2,
# max(self.chanBars[fenxing.barIndex1].high,self.chanBars[fenxing.barIndex3].high) - self.chanBars[fenxing.barIndex2].low,
# fill=False, # remove background
# ec = 'b'
# )
# )
for bi in self.bis:
if bi.biType == 'up':
ax1.plot((self.chanBars[bi.barIndex1].closeIndex,self.chanBars[bi.barIndex2].closeIndex),(self.lowBar[self.chanBars[bi.barIndex1].closeIndex],self.highBar[self.chanBars[bi.barIndex2].closeIndex]),color = 'r')
else:
ax1.plot((self.chanBars[bi.barIndex1].closeIndex,self.chanBars[bi.barIndex2].closeIndex),(self.highBar[self.chanBars[bi.barIndex1].closeIndex],self.lowBar[self.chanBars[bi.barIndex2].closeIndex]),color = 'b')
# for line in self.lines:
# if line.lineType == 'up':
# ax1.plot((self.chanBars[line.barIndex1].closeIndex,self.chanBars[line.barIndex2].closeIndex),(self.lowBar[self.chanBars[line.barIndex1].closeIndex],self.highBar[self.chanBars[line.barIndex2].closeIndex]),color = 'y')
# else:
# ax1.plot((self.chanBars[line.barIndex1].closeIndex,self.chanBars[line.barIndex2].closeIndex),(self.highBar[self.chanBars[line.barIndex1].closeIndex],self.lowBar[self.chanBars[line.barIndex2].closeIndex]),color = 'g')
#
for biZhongshu in self.biZhongshus:
ax1.add_patch(
patches.Rectangle(
(self.chanBars[biZhongshu.barIndex1].closeIndex, biZhongshu.low),
self.chanBars[biZhongshu.barIndex2].closeIndex - self.chanBars[biZhongshu.barIndex1].closeIndex,
biZhongshu.high - biZhongshu.low,
fill=False, # remove background
ec = 'black'
)
)
trendData = zip(self.trendLineRecord,self.trendLineMacd)
for line,label in trendData:
ax1.annotate(round(label,2),xy=(self.chanBars[self.bis[line].barIndex1].closeIndex,self.closeBar[self.chanBars[self.bis[line].barIndex1].closeIndex]),
xytext=(self.chanBars[self.bis[line].barIndex1].closeIndex+5,self.closeBar[self.chanBars[self.bis[line].barIndex1].closeIndex]+200),
arrowprops=dict(facecolor='black'))
def plotBeichi(self):
dibeichi = self.dibeichi
dingbeichi = self.dingbeichi
delIndex = []
for i in range(1,len(dingbeichi)):
if dingbeichi[i] - dingbeichi[i-1] == 1:
delIndex.append(i)
dingbeichi = [i for j, i in enumerate(dingbeichi) if j not in delIndex]
delIndex = []
for i in range(1,len(dibeichi)):
if dibeichi[i] - dibeichi[i-1] == 1:
delIndex.append(i)
dibeichi = [i for j, i in enumerate(dibeichi) if j not in delIndex]
trendDibeichi = self.trendDibeichi
trendDingbeichi = self.trendDingbeichi
delIndex = []
for i in range(1,len(trendDingbeichi)):
if trendDingbeichi[i] - trendDingbeichi[i-1] == 1:
delIndex.append(i)
trendDingbeichi = [i for j, i in enumerate(trendDingbeichi) if j not in delIndex]
delIndex = []
for i in range(1,len(trendDibeichi)):
if trendDibeichi[i] - trendDibeichi[i-1] == 1:
delIndex.append(i)
trendDibeichi = [i for j, i in enumerate(trendDibeichi) if j not in delIndex]
fig = plt.figure(figsize = (90,20))
left, width = 0.1, 0.8
rect1 = [left, 0.3, width, 0.6]
rect2 = [left, 0.1, width, 0.2]
#ax1 = fig.add_subplot(1,1,1)
ax1 = fig.add_axes(rect1)
ax1.set_xlim(left=0)
ax3 = fig.add_axes(rect2, sharex=ax1)
#matplotlib.finance.candlestick_ohlc(ax1,quotes,width=1,colordown='g',colorup='r')
fillcolor = 'darkslategrey'
ax3.plot(range(self.length), self.diff, color='white', lw=2)
ax3.plot(range(self.length), self.dea, color='yellow', lw=1)
ax3.fill_between(range(self.length), self.diff - self.dea, 0, alpha=0.5, facecolor=fillcolor, edgecolor=fillcolor)
self.macdBenchmarkStart = np.sort(list(set(self.macdBenchmarkStart)))
self.macdBenchmarkEnd = np.sort(list(set(self.macdBenchmarkEnd)))
self.macdBenchmarkLastStart = np.sort(list(set(self.macdBenchmarkLastStart)))
self.macdBenchmarkLastEnd = np.sort(list(set(self.macdBenchmarkLastEnd)))
for i in range(len(self.macdBenchmarkStart)):
ax3.axvline(x = self.macdBenchmarkStart[i],color = 'red')
ax3.axvline(x = self.macdBenchmarkEnd[i],color = 'red')
ax3.axvline(x = self.macdBenchmarkLastStart[i],color = 'green')
ax3.axvline(x = self.macdBenchmarkLastEnd[i],color = 'green')
for i in dibeichi:
ax1.plot(i,self.closeBar[i],marker='*',color='black',markersize = 8)
for i in dingbeichi:
ax1.plot(i,self.closeBar[i],marker='*',color='yellow',markersize = 8)
for i in trendDibeichi:
ax1.plot(i,self.closeBar[i],marker='o',color='green',markersize = 10)
for i in trendDingbeichi:
ax1.plot(i,self.closeBar[i],marker='o',color='magenta',markersize = 10)
for bi in self.bis:
if bi.biType == 'up':
ax1.plot((self.chanBars[bi.barIndex1].closeIndex,self.chanBars[bi.barIndex2].closeIndex),(self.lowBar[self.chanBars[bi.barIndex1].closeIndex],self.highBar[self.chanBars[bi.barIndex2].closeIndex]),color = 'r')
else:
ax1.plot((self.chanBars[bi.barIndex1].closeIndex,self.chanBars[bi.barIndex2].closeIndex),(self.highBar[self.chanBars[bi.barIndex1].closeIndex],self.lowBar[self.chanBars[bi.barIndex2].closeIndex]),color = 'b')
for line in self.lines:
if line.lineType == 'up':
ax1.plot((self.chanBars[line.barIndex1].closeIndex,self.chanBars[line.barIndex2].closeIndex),(self.lowBar[self.chanBars[line.barIndex1].closeIndex],self.highBar[self.chanBars[line.barIndex2].closeIndex]),color = 'y')
else:
ax1.plot((self.chanBars[line.barIndex1].closeIndex,self.chanBars[line.barIndex2].closeIndex),(self.highBar[self.chanBars[line.barIndex1].closeIndex],self.lowBar[self.chanBars[line.barIndex2].closeIndex]),color = 'g')
for biZhongshu in self.biZhongshus:
ax1.add_patch(
patches.Rectangle(
(self.chanBars[biZhongshu.barIndex1].closeIndex, biZhongshu.low),
self.chanBars[biZhongshu.barIndex2].closeIndex - self.chanBars[biZhongshu.barIndex1].closeIndex,
biZhongshu.high - biZhongshu.low,
fill=False, # remove background
ec = 'black'
)
)
def plotBuySell(self):
"""
标记笔、 买点卖点，底背驰、顶背驰
"""
fig = plt.figure(figsize = (45,20))
ax1 = fig.add_subplot(1,1,1)
for bi in self.bis:
if bi.biType == 'up':
ax1.plot((self.chanBars[bi.barIndex1].closeIndex,self.chanBars[bi.barIndex2].closeIndex),(self.lowBar[self.chanBars[bi.barIndex1].closeIndex],self.highBar[self.chanBars[bi.barIndex2].closeIndex]),color = 'r')
else:
ax1.plot((self.chanBars[bi.barIndex1].closeIndex,self.chanBars[bi.barIndex2].closeIndex),(self.highBar[self.chanBars[bi.barIndex1].closeIndex],self.lowBar[self.chanBars[bi.barIndex2].closeIndex]),color = 'b')
for line in self.lines:
if line.lineType == 'up':
ax1.plot((self.chanBars[line.barIndex1].closeIndex,self.chanBars[line.barIndex2].closeIndex),(self.lowBar[self.chanBars[line.barIndex1].closeIndex],self.highBar[self.chanBars[line.barIndex2].closeIndex]),color = 'y')
else:
ax1.plot((self.chanBars[line.barIndex1].closeIndex,self.chanBars[line.barIndex2].closeIndex),(self.highBar[self.chanBars[line.barIndex1].closeIndex],self.lowBar[self.chanBars[line.barIndex2].closeIndex]),color = 'g')
for biZhongshu in self.biZhongshus:
ax1.add_patch(
patches.Rectangle(
(self.chanBars[biZhongshu.barIndex1].closeIndex, biZhongshu.low),
self.chanBars[biZhongshu.barIndex2].closeIndex - self.chanBars[biZhongshu.barIndex1].closeIndex,
biZhongshu.high - biZhongshu.low,
fill=False, # remove background
ec = 'black'
)
)
for i in self.openLong:
ax1.plot(i,self.closeBar[i],marker='*',color='yellow',markersize = 6)
for i in self.closeLong:
ax1.plot(i,self.closeBar[i],marker='*',color='black',markersize = 6)
for i in self.trendDibeichi:
ax1.plot(i,self.closeBar[i],marker='o',color='green',markersize = 10)
for i in self.trendDingbeichi:
ax1.plot(i,self.closeBar[i],marker='x',color='magenta',markersize = 10)
def plot2(self):
quotes = []
for i in range(len(self.chanBars)):
bar = self.chanBars[i]
if bar.isMerged:
if bar.open >= bar.close:
quotes.append([i,bar.high,bar.high,bar.low,bar.low])
else:
quotes.append([i,bar.low,bar.high,bar.low,bar.high])
else:
quotes.append([i,bar.open,bar.high,bar.low,bar.close])
fig = plt.figure(figsize = (45,20))
ax1 = fig.add_subplot(1,1,1)
matplotlib.finance.candlestick_ohlc(ax1,quotes,width=1,colordown='g',colorup='r')
# for fenxing in self.fenxings:
# if fenxing.fenxingType == 'ding':
# ax1.add_patch(
# patches.Rectangle(
# (fenxing.barIndex1, min(self.chanBars[fenxing.barIndex1].low,self.chanBars[fenxing.barIndex3].low)),
# 2,
# self.chanBars[fenxing.barIndex2].high - min(self.chanBars[fenxing.barIndex1].low,self.chanBars[fenxing.barIndex3].low),
# fill=False, # remove background
# ec = 'r'
# )
# )
# else:
# ax1.add_patch(
# patches.Rectangle(
# (fenxing.barIndex1, self.chanBars[fenxing.barIndex2].low),
# 2,
# max(self.chanBars[fenxing.barIndex1].high,self.chanBars[fenxing.barIndex3].high) - self.chanBars[fenxing.barIndex2].low,
# fill=False, # remove background
# ec = 'b'
# )
# )
for bi in self.bis:
if bi.biType == 'up':
ax1.plot((bi.barIndex1,bi.barIndex2),(self.chanBars[bi.barIndex1].low,self.chanBars[bi.barIndex2].high),color = 'r')
else:
ax1.plot((bi.barIndex1,bi.barIndex2),(self.chanBars[bi.barIndex1].high,self.chanBars[bi.barIndex2].low),color = 'b')
for line in self.lines:
if line.lineType == 'up':
ax1.plot((line.barIndex1,line.barIndex2),(self.chanBars[line.barIndex1].low,self.chanBars[line.barIndex2].high),color = 'y')
else:
ax1.plot((line.barIndex1,line.barIndex2),(self.chanBars[line.barIndex1].high,self.chanBars[line.barIndex2].low),color = 'g')
for zhongshu in self.zhongshus:
ax1.add_patch(
patches.Rectangle(
(zhongshu.barIndex1, zhongshu.low),
zhongshu.barIndex2 - zhongshu.barIndex1,
zhongshu.high - zhongshu.low,
fill=False, # remove background
ec = 'black'
)
)
def barsMerge(self):
chanBars = []
chanBars.append(ChanBar(self.openBar[0],self.highBar[0],self.lowBar[0],self.closeBar[0],self.volumeBar[0],self.closeTime[0],self.closeTime[0],0))
chanBars.append(ChanBar(self.openBar[1],self.highBar[1],self.lowBar[1],self.closeBar[1],self.volumeBar[1],self.closeTime[0],self.closeTime[1],1))
for i in range(2,self.length):
#先用合并后的前两根判断走势是向上还是向下
if chanBars[-1].high >= chanBars[-2].high:
trend = 'up'
else:
trend = 'down'
#看是否是包含关系
if chanBars[-1].high >= self.highBar[i] and chanBars[-1].low <= self.lowBar[i]: #前一个bar包含当前bar
if trend == 'up':
chanBars[-1].low = self.lowBar[i]
elif trend == 'down':
chanBars[-1].high = self.highBar[i]
chanBars[-1].isMerged = True
chanBars[-1].numOfBars += 1
chanBars[-1].closeTime = self.closeTime[i]
chanBars[-1].closeIndex = i
elif chanBars[-1].high <= self.highBar[i] and chanBars[-1].low >= self.lowBar[i]: #当前bar包含前一个
if trend == 'up':
chanBars[-1].high = self.highBar[i]
elif trend == 'down':
chanBars[-1].low = self.lowBar[i]
chanBars[-1].isMerged = True
chanBars[-1].numOfBars += 1
chanBars[-1].closeTime = self.closeTime[i]
chanBars[-1].closeIndex = i
else: #无包含关系
chanBars.append(ChanBar(self.openBar[i],self.highBar[i],self.lowBar[i],self.closeBar[i],self.volumeBar[i],self.closeTime[i-1],self.closeTime[i],i))
self.chanBars = chanBars
def findFenxing(self):
i = 0
fenxings = []
while i < len(self.chanBars)-2:
#检验i，i+1，i+2这三根bar是否构成分型
if self.chanBars[i+1].high > max(self.chanBars[i].high,self.chanBars[i+2].high) and self.chanBars[i+1].low > max(self.chanBars[i].low,self.chanBars[i+2].low):
#构成顶分型
fenxings.append(fenxing(i,i+1,i+2,'ding'))
i += 3
elif self.chanBars[i+1].high < min(self.chanBars[i].high,self.chanBars[i+2].high) and self.chanBars[i+1].low < min(self.chanBars[i].low,self.chanBars[i+2].low):
#构成底分型
fenxings.append(fenxing(i,i+1,i+2,'di'))
i += 3
else:
#不构成分型
i += 1
self.fenxings = fenxings
def findBi(self):
# delIndex = []
# for i in range(1,len(self.fenxings)):
# lastItem = self.fenxings[i-1]
# item = self.fenxings[i]
# if lastItem.fenxingType != item.fenxingType and (item.barIndex2 - lastItem.barIndex2)<5:
# delIndex.append(i)
# delIndex.append(i-1)
# delIndex = set(delIndex)
# delIndex = list(delIndex)
# self.fenxings = [i for j, i in enumerate(self.fenxings) if j not in delIndex]
#先对分型进行处理
lastItem = self.fenxings[0]
for item in self.fenxings[1:]: #对拷贝进行循环
if lastItem.fenxingType == 'ding' and item.fenxingType == 'ding' and self.chanBars[item.barIndex2].high>self.chanBars[lastItem.barIndex2].high:
#如果两个都是顶，且这个比之前的顶高，那之前的删掉
self.fenxings.remove(lastItem)
elif lastItem.fenxingType == 'di' and item.fenxingType == 'di' and self.chanBars[item.barIndex2].low<self.chanBars[lastItem.barIndex2].low:
#如果两个都是底，且这个比之前的底低，那之前的删掉
self.fenxings.remove(lastItem)
lastItem = item
delIndex = []
for i in range(1,len(self.fenxings)):
lastItem = self.fenxings[i-1]
item = self.fenxings[i]
if lastItem.fenxingType == 'ding' and item.fenxingType == 'ding' and self.chanBars[item.barIndex2].high>self.chanBars[lastItem.barIndex2].high:
delIndex.append(i-1)
elif lastItem.fenxingType == 'di' and item.fenxingType == 'di' and self.chanBars[item.barIndex2].low<self.chanBars[lastItem.barIndex2].low:
delIndex.append(i-1)
delIndex = set(delIndex)
delIndex = list(delIndex)
self.fenxings = [i for j, i in enumerate(self.fenxings) if j not in delIndex]
delIndex = []
for i in range(1,len(self.fenxings)):
lastItem = self.fenxings[i-1]
item = self.fenxings[i]
if lastItem.fenxingType == 'ding' and item.fenxingType == 'ding' and self.chanBars[item.barIndex2].high>self.chanBars[lastItem.barIndex2].high:
delIndex.append(i-1)
elif lastItem.fenxingType == 'di' and item.fenxingType == 'di' and self.chanBars[item.barIndex2].low<self.chanBars[lastItem.barIndex2].low:
delIndex.append(i-1)
delIndex = set(delIndex)
delIndex = list(delIndex)
self.fenxings = [i for j, i in enumerate(self.fenxings) if j not in delIndex]
delIndex = []
for i in range(1,len(self.fenxings)):
lastItem = self.fenxings[i-1]
item = self.fenxings[i]
if lastItem.fenxingType == 'ding' and item.fenxingType == 'ding' and self.chanBars[item.barIndex2].high>self.chanBars[lastItem.barIndex2].high:
delIndex.append(i-1)
elif lastItem.fenxingType == 'di' and item.fenxingType == 'di' and self.chanBars[item.barIndex2].low<self.chanBars[lastItem.barIndex2].low:
delIndex.append(i-1)
delIndex = set(delIndex)
delIndex = list(delIndex)
self.fenxings = [i for j, i in enumerate(self.fenxings) if j not in delIndex]
#先对分型进行处理
lastItem = self.fenxings[0]
for item in self.fenxings[1:]: #对拷贝进行循环
if lastItem.fenxingType == 'ding' and item.fenxingType == 'ding' and self.chanBars[item.barIndex2].high>self.chanBars[lastItem.barIndex2].high:
#如果两个都是顶，且这个比之前的顶高，那之前的删掉
self.fenxings.remove(lastItem)
elif lastItem.fenxingType == 'di' and item.fenxingType == 'di' and self.chanBars[item.barIndex2].low<self.chanBars[lastItem.barIndex2].low:
#如果两个都是底，且这个比之前的底低，那之前的删掉
self.fenxings.remove(lastItem)
lastItem = item
bis = []
startType = self.fenxings[0].fenxingType
startIndex = self.fenxings[0].barIndex2
if startType == 'ding':
biType = 'down'
elif startType == 'di':
biType = 'up'
for fx in self.fenxings[1:]:
if fx.fenxingType == startType:
#若分型类型一样，则继续找，说明没有构成笔
continue
else:
#分型类型不同，构成笔
bis.append(bi(startIndex,fx.barIndex2,biType))
#更新下一笔开始信息
startType = fx.fenxingType
startIndex = fx.barIndex2
if startType == 'ding':
biType = 'down'
elif startType == 'di':
biType = 'up'
#完成最后一笔
if bis[-1].biType == 'up':
bis.append(bi(bis[-1].barIndex2,len(self.chanBars)-1,'down'))
else:
bis.append(bi(bis[-1].barIndex2,len(self.chanBars)-1,'up'))
self.bis = bis
def findLines(self):
lines = []
startType = self.bis[0].biType
startIndex = self.bis[0].barIndex1
lineType = startType
featureHigh = [] #线段的特征序列高点
featureLow = [] #线段的特征序列低点
featureHighIndex = [] #特征序列高点所在bar的index
featureLowIndex = [] #特征序列低点所在bar的index
featureBiIndex = [] #特征序列的bi的index
i=0
while i < len(self.bis)-1:
#循环控制
i+=1
bi = self.bis[i]
#nextBi = self.bis[i+2]
if bi.biType != startType:
#先记录2个特征序列
if len(featureHigh)<2:
if bi.biType == 'up':
featureHigh.append(self.chanBars[bi.barIndex2].high)
featureHighIndex.append(bi.barIndex2)
featureLow.append(self.chanBars[bi.barIndex1].low)
featureLowIndex.append(bi.barIndex1)
featureBiIndex.append(i)
elif bi.biType == 'down':
featureHigh.append(self.chanBars[bi.barIndex1].high)
featureHighIndex.append(bi.barIndex1)
featureLow.append(self.chanBars[bi.barIndex2].low)
featureLowIndex.append(bi.barIndex2)
featureBiIndex.append(i)
continue
if bi.biType == 'up': #笔是向上
featureHigh.append(self.chanBars[bi.barIndex2].high)
featureHighIndex.append(bi.barIndex2)
featureLow.append(self.chanBars[bi.barIndex1].low)
featureLowIndex.append(bi.barIndex1)
featureBiIndex.append(i)
# featureHigh.append(self.chanBars[nextBi.barIndex2].high)
# featureHighIndex.append(nextBi.barIndex2)
# featureLow.append(self.chanBars[nextBi.barIndex1].low)
# featureLowIndex.append(nextBi.barIndex1)
# featureBiIndex.append(i+2)
else:
featureHigh.append(self.chanBars[bi.barIndex1].high)
featureHighIndex.append(bi.barIndex1)
featureLow.append(self.chanBars[bi.barIndex2].low)
featureLowIndex.append(bi.barIndex2)
featureBiIndex.append(i)
# featureHigh.append(self.chanBars[nextBi.barIndex1].high)
# featureHighIndex.append(nextBi.barIndex1)
# featureLow.append(self.chanBars[nextBi.barIndex2].low)
# featureLowIndex.append(nextBi.barIndex2)
# featureBiIndex.append(i+2)
#识别特征序列的顶分型和底分型
if lineType == 'up': #识别顶分型
if featureHigh[-2]>max(featureHigh[-1],featureHigh[-3]) and featureLow[-2]>max(featureLow[-1],featureLow[-3]):
#产生了顶分型，进一步看是否有缺口
if featureHigh[-3]>=featureLow[-2]: #无缺口
#线段结束！
lines.append(line(startIndex,featureHighIndex[-2],lineType,featureHigh,featureLow,featureHighIndex,featureLowIndex,featureBiIndex))
#新线段初始化
i = featureBiIndex[-2]
startType = self.bis[i].biType
#startIndex = self.bis[i].barIndex1
startIndex = featureHighIndex[-2]
lineType = startType
featureHigh = [] #线段的特征序列高点
featureLow = [] #线段的特征序列低点
featureHighIndex = [] #特征序列高点所在bar的index
featureLowIndex = [] #特征序列低点所在bar的index
featureBiIndex = []
continue
else: #有缺口，麻烦了我的哥
if i+10>=len(self.bis):
continue
nextFeaturesHigh = []
nextFeaturesLow = []
lineEndIndex = featureBiIndex[-2]
j = lineEndIndex + 1
#对下一个线段特征序列进行合并等，看是否构成分型
while j <= lineEndIndex + 10:
if len(nextFeaturesHigh) < 2:
nextFeaturesHigh.append(self.chanBars[self.bis[j].barIndex2].high)
nextFeaturesLow.append(self.chanBars[self.bis[j].barIndex1].low)
continue
if nextFeaturesHigh[-1] >= nextFeaturesHigh[-2]: #特征序列向上的
if self.chanBars[self.bis[j].barIndex2].high>nextFeaturesHigh[-1] and self.chanBars[self.bis[j].barIndex1].low<nextFeaturesLow[-1]:
nextFeaturesHigh[-1] = self.chanBars[self.bis[j].barIndex2].high
elif self.chanBars[self.bis[j].barIndex2].high<nextFeaturesHigh[-1] and self.chanBars[self.bis[j].barIndex1].low>nextFeaturesLow[-1]:
nextFeaturesLow[-1] = self.chanBars[self.bis[j].barIndex1].low
else:
nextFeaturesHigh.append(self.chanBars[self.bis[j].barIndex2].high)
nextFeaturesLow.append(self.chanBars[self.bis[j].barIndex1].low)
elif nextFeaturesHigh[-1] < nextFeaturesHigh[-2]: #特征序列向下的
if self.chanBars[self.bis[j].barIndex2].high>nextFeaturesHigh[-1] and self.chanBars[self.bis[j].barIndex1].low<nextFeaturesLow[-1]:
nextFeaturesLow[-1] = self.chanBars[self.bis[j].barIndex1].low
elif self.chanBars[self.bis[j].barIndex2].high<nextFeaturesHigh[-1] and self.chanBars[self.bis[j].barIndex1].low>nextFeaturesLow[-1]:
nextFeaturesHigh[-1] = self.chanBars[self.bis[j].barIndex2].high
else:
nextFeaturesHigh.append(self.chanBars[self.bis[j].barIndex2].high)
nextFeaturesLow.append(self.chanBars[self.bis[j].barIndex1].low)
j += 2
if len(nextFeaturesHigh) >= 3:
if (nextFeaturesHigh[-2]<min(nextFeaturesHigh[-1],nextFeaturesHigh[-3]) and nextFeaturesLow[-2]<min(nextFeaturesLow[-1],nextFeaturesLow[-3])) or self.chanBars[self.bis[j].barIndex1].low <= self.chanBars[startIndex].low:
#线段结束！
lines.append(line(startIndex,featureHighIndex[-2],lineType,featureHigh,featureLow,featureHighIndex,featureLowIndex,featureBiIndex))
#新线段初始化
i = featureBiIndex[-2]
startType = self.bis[i].biType
#startIndex = self.bis[i].barIndex1
startIndex = featureHighIndex[-2]
lineType = startType
featureHigh = [] #线段的特征序列高点
featureLow = [] #线段的特征序列低点
featureHighIndex = [] #特征序列高点所在bar的index
featureLowIndex = [] #特征序列低点所在bar的index
featureBiIndex = []
break
continue
elif lineType == 'down': #识别底分型
if featureHigh[-2]<min(featureHigh[-1],featureHigh[-3]) and featureLow[-2]<min(featureLow[-1],featureLow[-3]):
#产生了底分型，进一步看是否有缺口
if featureLow[-3]<=featureHigh[-2]: #无缺口
#线段结束！
lines.append(line(startIndex,featureLowIndex[-2],lineType,featureHigh,featureLow,featureHighIndex,featureLowIndex,featureBiIndex))
#新线段初始化
i = featureBiIndex[-2]
startType = self.bis[i].biType
#startIndex = self.bis[i].barIndex1
startIndex = featureLowIndex[-2]
lineType = startType
featureHigh = [] #线段的特征序列高点
featureLow = [] #线段的特征序列低点
featureHighIndex = [] #特征序列高点所在bar的index
featureLowIndex = [] #特征序列低点所在bar的index
featureBiIndex = []
continue
else: #有缺口，麻烦了我的哥
if i+10>=len(self.bis):
continue
nextFeaturesHigh = []
nextFeaturesLow = []
lineEndIndex = featureBiIndex[-2]
j = lineEndIndex + 1
#对下一个线段特征序列进行合并等，看是否构成分型
while j <= lineEndIndex + 10:
if len(nextFeaturesHigh) < 2:
nextFeaturesHigh.append(self.chanBars[self.bis[j].barIndex1].high)
nextFeaturesLow.append(self.chanBars[self.bis[j].barIndex2].low)
continue
if nextFeaturesHigh[-1] >= nextFeaturesHigh[-2]: #特征序列向上的
if self.chanBars[self.bis[j].barIndex1].high>nextFeaturesHigh[-1] and self.chanBars[self.bis[j].barIndex2].low<nextFeaturesLow[-1]:
nextFeaturesHigh[-1] = self.chanBars[self.bis[j].barIndex1].high
elif self.chanBars[self.bis[j].barIndex1].high<nextFeaturesHigh[-1] and self.chanBars[self.bis[j].barIndex2].low>nextFeaturesLow[-1]:
nextFeaturesLow[-1] = self.chanBars[self.bis[j].barIndex2].low
else:
nextFeaturesHigh.append(self.chanBars[self.bis[j].barIndex1].high)
nextFeaturesLow.append(self.chanBars[self.bis[j].barIndex2].low)
elif nextFeaturesHigh[-1] < nextFeaturesHigh[-2]: #特征序列向下的
if self.chanBars[self.bis[j].barIndex1].high>nextFeaturesHigh[-1] and self.chanBars[self.bis[j].barIndex2].low<nextFeaturesLow[-1]:
nextFeaturesLow[-1] = self.chanBars[self.bis[j].barIndex2].low
elif self.chanBars[self.bis[j].barIndex1].high<nextFeaturesHigh[-1] and self.chanBars[self.bis[j].barIndex2].low>nextFeaturesLow[-1]:
nextFeaturesHigh[-1] = self.chanBars[self.bis[j].barIndex1].high
else:
nextFeaturesHigh.append(self.chanBars[self.bis[j].barIndex1].high)
nextFeaturesLow.append(self.chanBars[self.bis[j].barIndex2].low)
j += 2
if len(nextFeaturesHigh) >= 3:
if (nextFeaturesHigh[-2]>max(nextFeaturesHigh[-1],nextFeaturesHigh[-3]) and nextFeaturesLow[-2]>max(nextFeaturesLow[-1],nextFeaturesLow[-3])) or self.chanBars[self.bis[j].barIndex1].high >= self.chanBars[startIndex].high:
#线段结束！
lines.append(line(startIndex,featureLowIndex[-2],lineType,featureHigh,featureLow,featureHighIndex,featureLowIndex,featureBiIndex))
#新线段初始化
i = featureBiIndex[-2]
startType = self.bis[i].biType
#startIndex = self.bis[i].barIndex1
startIndex = featureLowIndex[-2]
lineType = startType
featureHigh = [] #线段的特征序列高点
featureLow = [] #线段的特征序列低点
featureHighIndex = [] #特征序列高点所在bar的index
featureLowIndex = [] #特征序列低点所在bar的index
featureBiIndex = []
break
continue
featureHigh.pop()
featureHighIndex.pop()
featureLow.pop()
featureLowIndex.pop()
featureBiIndex.pop()
# featureHigh.pop()
# featureHighIndex.pop()
# featureLow.pop()
# featureLowIndex.pop()
# featureBiIndex.pop()
#来新的特征序列，先检查是否需要合并
if featureHigh[-1] >= featureHigh[-2]: #特征序列向上的
if bi.biType == 'up': #笔是向上
if self.chanBars[bi.barIndex2].high>featureHigh[-1] and self.chanBars[bi.barIndex1].low<featureLow[-1]:
featureHigh[-1] = self.chanBars[bi.barIndex2].high
featureHighIndex[-1] = bi.barIndex2
featureBiIndex[-1] = i
elif self.chanBars[bi.barIndex2].high<featureHigh[-1] and self.chanBars[bi.barIndex1].low>featureLow[-1]:
featureLow[-1] = self.chanBars[bi.barIndex1].low
featureLowIndex[-1] = bi.barIndex1
featureBiIndex[-1] = i
else:
featureHigh.append(self.chanBars[bi.barIndex2].high)
featureHighIndex.append(bi.barIndex2)
featureLow.append(self.chanBars[bi.barIndex1].low)
featureLowIndex.append(bi.barIndex1)
featureBiIndex.append(i)
elif bi.biType == 'down': #笔是向下
if self.chanBars[bi.barIndex1].high>featureHigh[-1] and self.chanBars[bi.barIndex2].low<featureLow[-1]:
featureHigh[-1] = self.chanBars[bi.barIndex1].high
featureHighIndex[-1] = bi.barIndex1
featureBiIndex[-1] = i
elif self.chanBars[bi.barIndex1].high<featureHigh[-1] and self.chanBars[bi.barIndex2].low>featureLow[-1]:
featureLow[-1] = self.chanBars[bi.barIndex2].low
featureLowIndex[-1] = bi.barIndex2
featureBiIndex[-1] = i
else:
featureHigh.append(self.chanBars[bi.barIndex1].high)
featureHighIndex.append(bi.barIndex1)
featureLow.append(self.chanBars[bi.barIndex2].low)
featureLowIndex.append(bi.barIndex2)
featureBiIndex.append(i)
elif featureHigh[-1] < featureHigh[-2]: #特征序列向下的
if bi.biType == 'up': #笔是向上
if self.chanBars[bi.barIndex2].high>featureHigh[-1] and self.chanBars[bi.barIndex1].low<featureLow[-1]:
featureLow[-1] = self.chanBars[bi.barIndex1].low
featureLowIndex[-1] = bi.barIndex1
featureBiIndex[-1] = i
elif self.chanBars[bi.barIndex2].high<featureHigh[-1] and self.chanBars[bi.barIndex1].low>featureLow[-1]:
featureHigh[-1] = self.chanBars[bi.barIndex2].high
featureHighIndex[-1] = bi.barIndex2
featureBiIndex[-1] = i
else:
featureHigh.append(self.chanBars[bi.barIndex2].high)
featureHighIndex.append(bi.barIndex2)
featureLow.append(self.chanBars[bi.barIndex1].low)
featureLowIndex.append(bi.barIndex1)
featureBiIndex.append(i)
elif bi.biType == 'down': #笔是向下
if self.chanBars[bi.barIndex1].high>featureHigh[-1] and self.chanBars[bi.barIndex2].low<featureLow[-1]:
featureLow[-1] = self.chanBars[bi.barIndex2].low
featureLowIndex[-1] = bi.barIndex2
featureBiIndex[-1] = i
elif self.chanBars[bi.barIndex1].high<featureHigh[-1] and self.chanBars[bi.barIndex2].low>featureLow[-1]:
featureHigh[-1] = self.chanBars[bi.barIndex1].high
featureHighIndex[-1] = bi.barIndex1
featureBiIndex[-1] = i
else:
featureHigh.append(self.chanBars[bi.barIndex1].high)
featureHighIndex.append(bi.barIndex1)
featureLow.append(self.chanBars[bi.barIndex2].low)
featureLowIndex.append(bi.barIndex2)
featureBiIndex.append(i)
#画完最后一根线段
if featureHigh:
lines.append(line(startIndex,self.bis[-1].barIndex2,lineType,featureHigh,featureLow,featureHighIndex,featureLowIndex,featureBiIndex))
#确保向上和向下正确
i=0
while i < len(lines):
l = lines[i]
if l.lineType == 'up' and self.chanBars[l.barIndex1].low>self.chanBars[l.barIndex2].high and i < len(lines)-1 and i != 0:
#应该向上却没有向上
#把三条线段变成一条
lines[i-1].barIndex2 = lines[i+1].barIndex2
lines.pop(i)
lines.pop(i)
elif l.lineType == 'down' and self.chanBars[l.barIndex1].high<self.chanBars[l.barIndex2].low and i < len(lines)-1 and i != 0:
#应该向下却没有向下
#把三条线段变成一条
lines[i-1].barIndex2 = lines[i+1].barIndex2
lines.pop(i)
lines.pop(i)
i += 1
i=0
while i < len(lines):
l = lines[i]
if l.lineType == 'up' and self.chanBars[l.barIndex1].low>self.chanBars[l.barIndex2].high and i < len(lines)-1 and i != 0:
#应该向上却没有向上
#把三条线段变成一条
lines[i-1].barIndex2 = lines[i+1].barIndex2
lines.pop(i)
lines.pop(i)
elif l.lineType == 'down' and self.chanBars[l.barIndex1].high<self.chanBars[l.barIndex2].low and i < len(lines)-1 and i != 0:
#应该向下却没有向下
#把三条线段变成一条
lines[i-1].barIndex2 = lines[i+1].barIndex2
lines.pop(i)
lines.pop(i)
i += 1
i=0
while i < len(lines):
l = lines[i]
if l.lineType == 'up' and self.chanBars[l.barIndex1].low>self.chanBars[l.barIndex2].high and i < len(lines)-1 and i != 0:
#应该向上却没有向上
#把三条线段变成一条
lines[i-1].barIndex2 = lines[i+1].barIndex2
lines.pop(i)
lines.pop(i)
elif l.lineType == 'down' and self.chanBars[l.barIndex1].high<self.chanBars[l.barIndex2].low and i < len(lines)-1 and i != 0:
#应该向下却没有向下
#把三条线段变成一条
lines[i-1].barIndex2 = lines[i+1].barIndex2
lines.pop(i)
lines.pop(i)
i += 1
self.lines = lines
def findZhongshus(self):
zhongshus = []
i = 1
isInZhongshu = False
linesIncluded = []
while i<len(self.lines)-1:
i += 1
if isInZhongshu:
line = self.lines[i]
#看这笔的高低点
if line.lineType == 'up':
high = self.chanBars[line.barIndex2].high
low = self.chanBars[line.barIndex1].low
else:
high = self.chanBars[line.barIndex1].high
low = self.chanBars[line.barIndex2].low
#看是否有重叠
if min(upperBound,high) > max(lowerBound,low):
#走势中枢延伸
#print('走势中枢延伸')
linesIncluded.append(i)
continue
else:
#走势中枢新生
#print('走势中枢新生')
isInZhongshu = False
linesIncluded.pop()
zhongshus.append(zhongshu(startIndex,self.lines[i-1].barIndex1,upperBound,lowerBound,linesIncluded))
linesIncluded = []
i+=1
else:
high = []
low = []
line1 = self.lines[i-2]
line2 = self.lines[i-1]