TurtleTrade/回测/TurtleClass_old.py

import numpy as np
import akshare as ak
import os
from datetime import datetime, timedelta
import pandas as pd
import mplfinance as mpf

def CalTrueFluc(data, day):
    
    H_L = data.iloc[day]['最高'] - data.iloc[day]['最低']
    H_PDC = data.iloc[day]['最高'] - data.iloc[day-1]['收盘']
    PDC_L = data.iloc[day-1]['收盘'] - data.iloc[day]['最低']
    TrueFluc = np.max([H_L, H_PDC, PDC_L])
    print('high', data.iloc[day]['最高'], 'low', data.iloc[day]['最低'], 'TrueRange', TrueFluc)
    
    return TrueFluc

def calc_sma_atr_pd(kdf,period):
    """计算TR与ATR

    Args:
        kdf (_type_): 历史数据
        period (_type_): ATR周期

    Returns:
        _type_: 返回kdf，增加TR与ATR列
    """
    kdf['HL'] = kdf['最高'] - kdf['最低']
    kdf['HC'] = np.abs(kdf['最高'] - kdf['收盘'].shift(1))
    kdf['LC'] = np.abs(kdf['最低'] - kdf['收盘'].shift(1))
    kdf['TR'] = np.round(kdf[['HL','HC','LC']].max(axis=1), 3)
    # ranges = pd.concat([high_low, high_close, low_close], axis=1)
    # true_range = np.max(ranges, axis=1)
    kdf['ATR'] = np.round(kdf['TR'].rolling(period).mean(), 3)
    
    return kdf.drop(['HL','HC','LC'], axis = 1)
    
# A股数据 东方财富网
# all_data = ak.stock_zh_a_spot_em()

# 基金实时数据 东方财富网
# fund_etf_spot_em_df = ak.fund_etf_spot_em()

# 后复权历史数据
# fund_etf_hist_em_df = ak.fund_etf_hist_em(symbol="513300", period="daily", start_date="20130101", end_date="20240408", adjust="hfq")
# fund_etf_hist_em_df.to_csv('513300data.csv', index=False)

# data = pd.read_csv('513300data.csv')


# # 一、计算头寸规模

# # 真实波动幅度 = max (H-L, H-pdc, pdc-L) 

# today = datetime.today()
# # print(today)

# # print(data.iloc[-1]['成交额'])

# TrueFlucs = []
# Nserious = np.zeros(101)
# last120days = np.arange(-120, -100)
# for i in last120days:
#     H_L = data.iloc[i]['最高'] - data.iloc[i]['最低']
#     H_PDC = data.iloc[i]['最高'] - data.iloc[i-1]['收盘']
#     PDC_L = data.iloc[i-1]['收盘'] - data.iloc[i]['最低']
#     TrueFlucs.append(np.max([H_L, H_PDC, PDC_L]))

# # 求简单平均,放入N序列第一个
# Nsimple = np.average(TrueFlucs)
# Nserious[0] = Nsimple
# # 计算-21到-1的N
# last100days = np.arange(-100, 0)

# for i in range(0,100):
#     day = last100days[i]
#     H_L = data.iloc[day]['最高'] - data.iloc[day]['最低']
#     H_PDC = data.iloc[day]['最高'] - data.iloc[day-1]['收盘']
#     PDC_L = data.iloc[day-1]['收盘'] - data.iloc[day]['最低']
#     TrueFluc = np.max([H_L, H_PDC, PDC_L])
    
#     Ntemp = (19 * Nserious[i] + TrueFluc)/20
#     Nserious[i+1] = Ntemp
    
# # print(Nserious)


# total_rows = len(data)
# Ndata = np.zeros(total_rows)
# Ndata[total_rows-101:] = Nserious
# # NewColumn = [0]*(total_rows-101) + Nserious
# data['N'] = Ndata

# data.to_csv('513300data-N.csv', index=False)
# pass


# -----------------------更新atr----------------------
    """已有数据与新数据对比，补充新的N,同时更新数据库
    """

# Today = datetime.today()
# # print(Today)
# formatted_date = Today.strftime("%Y%m%d")

# # print(formatted_date)
# CurrentData = ak.fund_etf_hist_em(symbol="513300", period="daily", start_date="20130101", end_date=formatted_date, adjust="hfq")

# CurrentData = calc_sma_atr_pd(CurrentData, 20)
# CurrentData.to_csv('513300data-N.csv', index=False)
# pass


# ------------------计算头寸规模 资金10w, 1%波动------------

# money = 100000
# OldData = pd.read_csv('513300data-N.csv')

# N = OldData.iloc[-1]['ATR']
# # N = 0.473
# Price = OldData.iloc[-1]['收盘']
# # Price = 5.60
# EveryUnit = 0.0025 * money /(N*100*Price)

# print('单位',EveryUnit)

# print(113*100*Price)


class TurtleTrading(object):
    """对象范围较小，对某一个标的创建一个海龟，如513300，
    计算ATR、
    Position Size，
    买入、卖出、加仓等行为
    Args:
        object (_type_): _description_
    """
    def __init__(self, TradeCode) -> None:
        self.TradeCode = TradeCode
        
    def CalATR(self, ATRday, SaveOrNot):
        """计算某个标的的ATR，从上市日到今天, 计算后的数据保存在self.CurrentData

        Args:
            ATRday: 多少日ATR
            SaveOrNot (_type_): 是否保存.csv数据
        """
        Today = datetime.today()
        # print(Today)
        formatted_date = Today.strftime("%Y%m%d")

        # print(formatted_date)
        Code = f"{self.TradeCode}"
        CurrentData = ak.fund_etf_hist_em(symbol=Code, period="daily", start_date="20130101", end_date=formatted_date, adjust="hfq")

        self.CurrentData = calc_sma_atr_pd(CurrentData, ATRday)
        if SaveOrNot:
            self.CurrentData.to_csv('513300data-N.csv', index=False)
            print("csv保存成功")
    
    
    def CalPositionSize(self, RiskCoef, Capital):
        """计算PosizionSize 持有的单位，该单位某标的，1N波动对应RiskCoef * Capital资金

        Args:
            RiskCoef (_type_): 风险系数
            Capital (_type_): 资金
        """
        
        N = self.CurrentData.iloc[-1]['ATR']
        # N = 0.473
        Price = self.CurrentData.iloc[-1]['收盘']
        # Price = 5.60
        self.PositionSize = RiskCoef * Capital /( N*100*Price) # 默认用股票形式了 100
        
       
    def ReadExistData(self, data):
        """除了通过发请求获取数据，也可以读本地的数据库，赋值给self.CurrentData

        Args:
            data (_type_): 本地csv名称
        """
        self.CurrentData = pd.read_csv(data)

    def DrawKLine(self, days):
        """画出k线图看看,画出最近days天的K线图
        """
        
        # 日期部分

        dates = pd.to_datetime(self.CurrentData['日期'][-days:])
        # Klinedf['Data'] = pd.to_datetime(self.CurrentData['日期'])
        Klinedf = pd.DataFrame()
        # Klinedf.set_index = Klinedf['Data']
        
        # 其他数据
        Klinedf['Open'] = self.CurrentData['开盘'][-days:]
        Klinedf['High'] = self.CurrentData['最高'][-days:]
        Klinedf['Low'] = self.CurrentData['最低'][-days:]
        Klinedf['Close'] = self.CurrentData['收盘'][-days:]
        Klinedf['Volume'] = self.CurrentData['成交量'][-days:]
        
        Klinedf.set_index(dates, inplace=True)
        # 画图
        mpf.plot(Klinedf, type='candle', style='yahoo', volume=False, mav=(5,), addplot=[mpf.make_addplot(self.Donchian[['Upper', 'Lower']])])
    
    def calculate_donchian_channel(self, days, n):
        """
        计算唐奇安通道days一共多少日， n多少日唐奇安

        参数:
        self.CurrentData (DataFrame): 包含价格数据的Pandas DataFrame，至少包含"High"和"Low"列
        n (int): 时间周期

        返回:self.Donchian
        DataFrame: 唐奇安通道的DataFrame，包含"Upper", "Lower", 和 "Middle"列
        """
        self.Donchian = pd.DataFrame()
        # 计算最高价和最低价的N日移动平均线
        self.Donchian['Upper'] = self.CurrentData['最高'][-days:].rolling(n).max()
        self.Donchian['Lower'] = self.CurrentData['最低'][-days:].rolling(n).min()

        # 计算中间线
        self.Donchian['Middle'] = (self.Donchian['Upper'] + self.Donchian['Lower']) / 2

        # return data[['Upper', 'Lower', 'Middle']]    
        
nsdk513300 = TurtleTrading(513300)
# nsdk513300.CalATR(20, True)
nsdk513300.ReadExistData('513300data-N.csv')
# nsdk513300.CalPositionSize(0.0025, 100000)
nsdk513300.calculate_donchian_channel(500, 20)
nsdk513300.DrawKLine(500)

# print(nsdk513300.PositionSize)