-
Notifications
You must be signed in to change notification settings - Fork 960
Commit
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
- Loading branch information
Showing
2 changed files
with
96 additions
and
4 deletions.
There are no files selected for viewing
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Original file line number | Diff line number | Diff line change |
---|---|---|
@@ -0,0 +1,96 @@ | ||
# -*- coding: utf-8 -*- | ||
""" | ||
author: zengbin93 | ||
email: [email protected] | ||
create_dt: 2023/9/25 19:45 | ||
describe: 使用 Tushare 数据源的形态选股 | ||
相关飞书文档: | ||
1. https://s0cqcxuy3p.feishu.cn/wiki/UGvvw2bMiihciHkRnJecKzm6nnb | ||
""" | ||
import czsc | ||
import shutil | ||
import pandas as pd | ||
import tushare as ts | ||
from pathlib import Path | ||
from czsc.connectors.ts_connector import get_raw_bars, get_symbols, dc | ||
|
||
|
||
pro = ts.pro_api() | ||
|
||
# 首次使用,需要设置 Tushare 的 token,注意,每台电脑只需要执行一次即可,token 会保存在本地文件中 | ||
# 没有 token 的用户,可以点击 https://tushare.pro/register?reg=7 进行注册 | ||
# import tushare as ts | ||
# ts.set_token("your token") | ||
|
||
# 如果是每天选股,需要执行以下代码先清空缓存,否则会导致选股结果不更新 | ||
# dc.clear() | ||
|
||
|
||
def get_events_matched(refresh=False): | ||
"""执行形态选股""" | ||
|
||
# 获取A股所有股票代码 | ||
symbols = get_symbols("stock") | ||
|
||
# 定义形态事件, 支持多个事件 | ||
events = [ | ||
{ | ||
"name": "日线CCI多头", | ||
"operate": "开多", | ||
"signals_not": [ | ||
"日线_D1_涨跌停V230331_跌停_任意_任意_0", | ||
"日线_D1_涨跌停V230331_涨停_任意_任意_0" | ||
], | ||
"factors": [{"name": "CCI看多", "signals_all": ["日线_D1CCI14#3#10_BS辅助V230402_多头_任意_任意_0"]}], | ||
}, | ||
|
||
{"name": "日线CCI多头;不过滤涨跌停", | ||
"operate": "开多", | ||
"factors": [{"name": "CCI看多", "signals_all": ["日线_D1CCI14#3#10_BS辅助V230402_多头_任意_任意_0"]}]}, | ||
] | ||
|
||
ems_params = { | ||
"events": events, | ||
"symbols": symbols, | ||
"read_bars": get_raw_bars, | ||
"bar_sdt": "2017-01-01", | ||
"sdt": "2022-01-01", | ||
"edt": "2023-01-01", | ||
"max_workers": 10, | ||
"results_path": r"D:\量化投研\EMS测试A", | ||
} | ||
path = Path(ems_params['results_path']) | ||
if path.exists() and refresh: | ||
shutil.rmtree(path) | ||
|
||
ems = czsc.EventMatchSensor(**ems_params) | ||
|
||
# 获取截面匹配结果 | ||
df = ems.data.copy() | ||
results = {} | ||
for name in ems.events_name: | ||
results[name] = df[df[name] == 1][['symbol', 'dt']].copy().reset_index(drop=True) | ||
return results | ||
|
||
|
||
if __name__ == '__main__': | ||
results = get_events_matched(refresh=True) | ||
|
||
# 获取最新的选股结果 | ||
max_dt = max([df.dt.max() for df in results.values()]) | ||
print(f"最新选股日期:{max_dt}") | ||
latest = {k: df[df.dt == max_dt]['symbol'].to_list() for k, df in results.items()} | ||
|
||
# 过滤掉ST股票 | ||
dfb = dc.daily_basic_new(max_dt)[['ts_code', 'name', 'industry', 'area']] | ||
st_stocks = dfb[dfb.name.str.contains('ST').fillna(True)]['ts_code'].to_list() | ||
latest = {k: [s for s in v if s not in st_stocks] for k, v in latest.items()} | ||
latest = {k: dfb[dfb['ts_code'].isin(v)] for k, v in latest.items() if len(v) > 0} | ||
|
||
# 保存选股结果到 excel | ||
file_xlsx = Path.cwd() / f"选股结果_{pd.to_datetime(max_dt).strftime('%Y%m%d')}.xlsx" | ||
with pd.ExcelWriter(file_xlsx) as writer: | ||
for k, v in latest.items(): | ||
v.to_excel(writer, sheet_name=k, index=False) | ||
print(f"选股结果保存到:{file_xlsx}") |
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Original file line number | Diff line number | Diff line change |
---|---|---|
|
@@ -32,7 +32,3 @@ | |
if __name__ == '__main__': | ||
# 这里仅回测前10个品种,作为执行示例 | ||
dummy.execute(symbols[:10], n_jobs=4) | ||
|
||
|
||
|
||
|