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import numpy as np | ||
from collections import OrderedDict | ||
from czsc.analyze import CZSC, Direction | ||
from czsc.signals.tas import update_macd_cache | ||
from czsc.utils import create_single_signal | ||
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def tas_dif_layer_V241010(c: CZSC, **kwargs) -> OrderedDict: | ||
"""DIF分三层:零轴附近,上方远离,下方远离 | ||
参数模板:"{freq}_DIF分层W{w}T{t}_完全分类V241010" | ||
**信号逻辑:** | ||
DIF分层,要求如下。 | ||
1,取最近 w 根K线,获取 diffs 序列 | ||
2. 计算 diffs 的最大绝对值 r,作为波动率的标准 | ||
3. 如果最近一个 diff 在 t * r 的范围内,则认为是零轴附近 | ||
4. 如果最近一个 diff > 0 且在 t * r 的范围外,则认为是多头远离;反之,空头远离 | ||
**信号列表:** | ||
- Signal('60分钟_DIF分层W100T50_完全分类V241010_零轴附近_任意_任意_0') | ||
- Signal('60分钟_DIF分层W100T50_完全分类V241010_空头远离_任意_任意_0') | ||
- Signal('60分钟_DIF分层W100T50_完全分类V241010_多头远离_任意_任意_0') | ||
:param c: CZSC对象 | ||
:param kwargs: 无 | ||
:return: 信号识别结果 | ||
""" | ||
w = int(kwargs.get("w", 100)) # K线数量 | ||
t = int(kwargs.get("t", 30)) # 零轴附近的阈值,相比与 max(diffs) 的比例 | ||
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freq = c.freq.value | ||
k1, k2, k3 = f"{freq}_DIF分层W{w}T{t}_完全分类V241010".split("_") | ||
v1 = "其他" | ||
key = update_macd_cache(c) | ||
if len(c.bars_raw) < w + 50: | ||
return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1) | ||
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bars = c.bars_raw[-w:] | ||
diffs = [x.cache[key]["dif"] for x in bars] | ||
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r = max([abs(x) for x in diffs]) / 100 | ||
if diffs[-1] < 0 and abs(diffs[-1]) > r * t: | ||
v1 = "空头远离" | ||
elif diffs[-1] > 0 and abs(diffs[-1]) > r * t: | ||
v1 = "多头远离" | ||
else: | ||
v1 = "零轴附近" | ||
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return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1) | ||
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def check(): | ||
from czsc.connectors import research | ||
from czsc.traders.base import check_signals_acc | ||
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symbols = research.get_symbols("A股主要指数") | ||
bars = research.get_raw_bars(symbols[0], "15分钟", "20181101", "20210101", fq="前复权") | ||
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signals_config = [{"name": tas_dif_layer_V241010, "freq": "60分钟", "t": 30}] | ||
check_signals_acc(bars, signals_config=signals_config, height="780px", delta_days=5) # type: ignore | ||
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if __name__ == "__main__": | ||
check() |