From 1e5317113393d8b0d4a966c59967041bcea6b6da Mon Sep 17 00:00:00 2001 From: zengbin93 Date: Sun, 12 Jul 2020 23:05:33 +0800 Subject: [PATCH] =?UTF-8?q?0.4.2:=20=E4=BC=98=E5=8C=96=E7=BA=BF=E6=AE=B5?= =?UTF-8?q?=E5=A4=84=E7=90=86=E6=96=B9=E6=B3=95?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- czsc/analyze.py | 85 ++++++++++++++++++++----------------------------- 1 file changed, 35 insertions(+), 50 deletions(-) diff --git a/czsc/analyze.py b/czsc/analyze.py index 380c0a5..0ffabb3 100644 --- a/czsc/analyze.py +++ b/czsc/analyze.py @@ -187,9 +187,9 @@ def create_df(ka, ma_params=(5, 20, 120, 250), use_macd=True, use_boll=True): class KlineAnalyze(object): - def __init__(self, kline, name="本级别", bi_mode="new", xd_mode="strict", handle_last=True, debug=False): + def __init__(self, kline, name="本级别", bi_mode="new", xd_mode="strict", + min_bi_gap=0.001, handle_last=True, debug=False): """ - :param kline: list of dict or pd.DataFrame example kline: kline = [ @@ -206,6 +206,8 @@ class KlineAnalyze(object): :param xd_mode: str 线段识别控制参数，默认为 loose，在这种模式下，只要线段标记内有三笔就满足会识别；另外一个可选值是 strict， 在 strict 模式下，对于三笔形成的线段，要求其后的一笔不跌破或升破线段最后一笔的起始位置。 + :param min_bi_gap: float + 笔内部缺口的最小百分比，默认值 0.001 :param handle_last: bool 是否使用默认的 handle_last 方法，默认值为 True """ @@ -215,6 +217,7 @@ class KlineAnalyze(object): self.bi_mode = bi_mode self.xd_mode = xd_mode self.handle_last = handle_last + self.min_bi_gap = min_bi_gap self.debug = debug self.kline = self._preprocess(kline) self.symbol = self.kline[0]['symbol'] @@ -419,22 +422,6 @@ class KlineAnalyze(object): raise ValueError self.min_k_num = min_k_num kn = self.kline_new - - # fx_p = [] # 存储潜在笔标记 - # fx_p.extend(self.__extract_potential(mode='fx', fx_mark='d')) - # fx_p.extend(self.__extract_potential(mode='fx', fx_mark='g')) - # - # # 加入满足笔条件的连续两个分型 - # fx = self.fx - # for i in range(len(fx) - 1): - # fx1 = fx[i] - # fx2 = fx[i + 1] - # k_num = [x for x in kn if fx1['dt'] <= x['dt'] <= fx2['dt']] - # if len(k_num) >= min_k_num: - # fx_p.append(fx1) - # fx_p.append(fx2) - # - # fx_p = sorted(fx_p, key=lambda x: x['dt'], reverse=False) fx_p = self.fx # 确认哪些分型可以构成笔 @@ -463,12 +450,12 @@ class KlineAnalyze(object): for pair in k_pair: kr, kl = pair # 向下缺口 - if kr['low'] > kl['high']: + if kr['low'] > kl['high'] * (1+self.min_bi_gap): has_gap = True break # 向上缺口 - if kr['high'] < kl['low']: + if kr['high'] < kl['low'] * (1-self.min_bi_gap): has_gap = True break @@ -483,17 +470,6 @@ class KlineAnalyze(object): if (k0['fx_mark'] == 'g' and k['bi'] < k0['bi'] and k['bi'] == min_low) or \ (k0['fx_mark'] == 'd' and k['bi'] > k0['bi'] and k['bi'] == max_high): bi.append(k) - - # # 确保相邻两个顶底之间顶大于底 - # if (k0['fx_mark'] == 'g' and k['bi'] >= k0['bi']) or \ - # (k0['fx_mark'] == 'd' and k['bi'] <= k0['bi']): - # bi.pop(-1) - # continue - # - # # 一笔的顶底分型之间至少包含5根K线 - # k_num = [x for x in kn if k0['dt'] <= x['dt'] <= k['dt']] - # if len(k_num) >= min_k_num: - # bi.append(k) return bi def __handle_last_bi(self, bi): @@ -559,25 +535,34 @@ class KlineAnalyze(object): bi_m = [x for x in self.bi if k0['dt'] <= x['dt'] <= k['dt']] bi_r = [x for x in self.bi if x['dt'] >= k['dt']] # 一线段内部至少三笔 - if len(bi_m) >= 4: - # 两个连续线段标记之间只有三笔的处理，这里区分 loose 和 strict 两种模式 - if len(bi_m) == 4: - if self.xd_mode == 'loose': - if (k['fx_mark'] == "g" and bi_m[-1]['bi'] > bi_m[-3]['bi']) \ - or (k['fx_mark'] == "d" and bi_m[-1]['bi'] < bi_m[-3]['bi']): - xd.append(k) - elif self.xd_mode == 'strict': - if len(bi_r) <= 1: - continue - lp2 = bi_m[-2] - rp2 = bi_r[1] - if (k['fx_mark'] == "g" and lp2['bi'] < rp2['bi'] and bi_m[-1]['bi'] > bi_m[-3]['bi']) \ - or (k['fx_mark'] == "d" and lp2['bi'] > rp2['bi'] - and bi_m[-1]['bi'] < bi_m[-3]['bi']): - xd.append(k) - else: - raise ValueError("xd_mode value error") - else: + if len(bi_m) < 4 or len(bi_r) < 4: + continue + + # 线段的顶必然大于相邻的两个顶；线段的底必然小于相邻的两个底 + assert k['fx_mark'] == bi_m[-3]['fx_mark'] == bi_r[2]['fx_mark'] + if k['fx_mark'] == "d" and not (bi_m[-3]['bi'] > k['xd'] < bi_r[2]['bi']): + print("不满足线段的底必然小于相邻的两个底") + print(bi_m[-3], k, bi_r[2]) + continue + + if k['fx_mark'] == "g" and not (bi_m[-3]['bi'] < k['xd'] > bi_r[2]['bi']): + print("不满足线段的顶必然大于相邻的两个顶") + print(bi_m[-3], k, bi_r[2]) + continue + + # 判断线段标记是否有效 + left_last = bi_m[-3] + right_first = bi_r[1] + assert left_last['fx_mark'] != right_first['fx_mark'] + + if k['fx_mark'] == 'd': + max_g = max([x['bi'] for x in bi_r[:8] if x['fx_mark'] == 'g']) + if max_g > right_first['bi'] and max_g > left_last['bi']: + xd.append(k) + + if k['fx_mark'] == 'g': + min_d = min([x['bi'] for x in bi_r[:8] if x['fx_mark'] == 'd']) + if min_d < right_first['bi'] and min_d < left_last['bi']: xd.append(k) return xd -- GitLab