Grid Trade

import math
from util.tushare_dec import *
from PyQt5.Qt import *
import pyqtgraph as pg
import math
from util.tushare_dec import *

#计算等比例线
def calGridlines(hightN,lowN,lines=7,bili=[0,0,0,0,0,0,0,0,0,0,0,]):
    #7条水平线位置
    y = math.pow((lowN/hightN), 1/(lines - 1))
    r = []
    for i in range(lines):
        r.append(round(hightN*y**i, 3))

    delta = r[0]*(1-y)*0.1
    for i in range(lines):
        r[i] = r[i]+delta*bili[i]
    return r

# #计算价格区间有哪些等比例线
# def calPriceReachedLines(gridlines=None,high=None,low=None):
#     if gridlines is None or high is None or low is None:
#         return None
#     highline, lowline = gridlines[0], gridlines[-1:][0]
#     y = math.pow((lowline / highline), 1 / (len(gridlines) - 1))
#     x1 = math.log(high/highline)/math.log(y)
#     x2 = math.log(low/highline)/math.log(y)
#     # print(x1, x2)
#     x1 = math.ceil(x1)
#     x2 = math.floor(x2)
#     # return (x1, x2)
#     r = []
#     x = x1
#     while x <= x2:
#         r.append(x)
#         x += 1
#     return r
#区分哪些等比例线对应的买卖操作
def calsplitBSLines(gridlines,position,positiondict,open,high, low, profitLEV=1 ,Amountpeace=10000):
    r, Blist, Slist = {}, [], []
    # profitLEV = 1 #N格利润
    info = ""
    profit = 0
    #持仓对应的股价
    posprice = gridlines[position+1]

    # #计算open,high, low 相对lines的位置
    # highline, lowline = gridlines[0], gridlines[-1:][0]
    # # print("H L O:", high, low, open," UPer Lower:", highline, lowline ,"pos:", position, "posprice:", posprice)
    # y = math.pow((lowline / highline), 1 / (len(gridlines) - 1))
    # relativehigh= math.log(high / highline) / math.log(y)
    # relativelow = math.log(low / highline) / math.log(y)
    # relativehigh = math.ceil(relativehigh)
    # relativelow = math.floor(relativelow)

    #不规律
    relativehigh2,relativelow2 = len(gridlines)-1, 0
    for index, v in enumerate(gridlines):
        if high >= v:
            relativehigh2 = index
            break
    for index, v in enumerate(gridlines):
        if low <= v:
            relativelow2 = index
    # print("22222222222 {}={},{}={}".format(relativehigh2,relativehigh,relativelow2,relativelow,))
    relativehigh, relativelow = relativehigh2,relativelow2


    buyFirst = True if open < posprice else False
    for loop in range(2):
        if buyFirst:
            buyFirst = False
            # buy
            for i in range(position + 1, relativelow):
                # print("buy:", i, gridlines[i+1])
                if position >= len(gridlines)-3:
                    break
                position += 1
                Blist.append(gridlines[i+1])
                positiondict[i]=(gridlines[i+1],math.floor(Amountpeace/gridlines[i+1]))
            r["B"] = Blist
        else:
            buyFirst = True
            # sell
            for i in range(relativehigh + profitLEV -1 , position + 1):
                if i < 1:
                    continue
                # print("sell:", i, gridlines[i+1], "->", gridlines[i])
                # info += "sell:{} {}->{}  ".format( i, gridlines[i+1],  gridlines[i])
                vt = gridlines[i-profitLEV+1]
                info += "S:{} ({}->{})*{}  ".format(i, positiondict[i][0],  vt, positiondict[i][1])
                profit += (vt - positiondict[i][0])*positiondict[i][1]
                position -= 1
                Slist.append(gridlines[i+1])
                positiondict[i] = (0, 0)
            r["S"] = Slist
    r["I"] = info
    print("r:", r )
    return r,position,positiondict,profit

def calsplitBSLinesSimple(gridlines,position,open,high, low, profitLEV=1):
    ''' gridlines操作线   仓位
    --- 0
    --- 1                0
    ...                  ...
    --- position+1       position
    ...                  ...
    --- len(gridlines)-1
    --- len(gridlines)   (不持仓)
    '''
    r, Blist, Slist = {}, [], []
    # profitLEV = 1 #N格利润
    info = ""
    profit = 0
    #持仓对应的股价
    posprice = gridlines[position+1]
    #计算open,high, low 相对lines的位置
    highline, lowline = gridlines[0], gridlines[-1:][0]

    y = math.pow((lowline / highline), 1 / (len(gridlines) - 1))
    relativehigh= math.log(high / highline) / math.log(y)
    relativelow = math.log(low / highline) / math.log(y)
    relativehigh = math.ceil(relativehigh)
    relativelow = math.floor(relativelow)

    buyFirst = True if open < posprice else False
    for loop in range(2):
        if buyFirst:
            buyFirst = False
            # buy
            for i in range(position + 1, relativelow):
                if position >= len(gridlines)-2:
                    break
                position += 1
                Blist.append(gridlines[i+1])
                positiondict[i]=gridlines[i+1]
            r["B"] = Blist
        else:
            buyFirst = True
            # sell
            for i in range(relativehigh + profitLEV -1 , position + 1):
                if i < 1:
                    continue
                Slist.append(gridlines[i+1])
            r["S"] = Slist
    return r

#账户
class account():
    positiondict = {}
    def __init__(self, position=0,Amountpeace=10000,lines=7):
        self.position = position  # 分四份
        self.Amountpeace=Amountpeace
        self.lines = lines
    def cal(self, high, low, open,
            hightN, lowN, profitLEV=1,Bili=[0,0,0,0,0,0,0,]):
        # print(high, low, open)
        gridlines = calGridlines(hightN, lowN, self.lines,bili=bili)
        print(gridlines)

        #调整gridlines最小限制
        y = gridlines[0]/gridlines[1]-1
        maxzf,minzf = 0.025,0.012
        if y < minzf or y>maxzf:
            if y<minzf:
                y = minzf - y
            else:
                y = maxzf - y
            y1 = 1+y
            y2 = 1-y
            ll = [y1**3,y1**2,y1,1,y2,y2**2,y2**3]
            for i, v in enumerate(ll):
                gridlines[i] = gridlines[i]*v
            print("new GridLines:",gridlines,gridlines[0]/gridlines[1],y,y1,y2)

        # 计算在[h l]区间的Gridlines(等比例线)
        # p = calPriceReachedLines(gridlines, high, low)
        # print("lines in range :", p, "pos:",self.position)

        #需要加\减仓的等比例线
        v, self.position,self.positiondict,profit = calsplitBSLines(
            gridlines, self.position,self.positiondict,
            open, high, low,
            profitLEV=profitLEV,Amountpeace=self.Amountpeace)


        print(self.positiondict,"profit:",profit)
        return self.positiondict,profit,gridlines
        pass

# ac = account()
vLine = None
hLine = None
def mouseMoved(evt):
    # print("mouseMoved")
    # print(evt)
    pos = evt[0]
    vLine is not None and vLine.setPos(pos.x())
    hLine is not None and hLine.setPos(pos.y())

if __name__ == '__main__':

    symbol =  ["603605","000156","688036","002242","300274",
               "601601","000333","601216","601318","600660",
               "000596","601857","000651","588000","600519",
               "000002","600660","000001"]
    clear = False
    symbolindex = 11  # 1 5 11 17 wast
    lines = 7  # 5 7:best 9 11
    Amountpeace = 10000
    profitLEV = 2
    cycle,bei = 20, 0 #7, 0.0 best 抗跌
    # cycle,bei = 2, 6 #2, 6 历史涨幅最大
    bili = [3, 2, 1, 0, -1, -2, -2, 0, 0, 0, 0 ]  # 61.806516298754296 %

    for i,v in enumerate(bili):
        bili[i] = v*bei

    df = get_symbol_close_volum(symbol[symbolindex], "2019-01-18", "2021-03-01", clear=clear)
    df['hightN'] = df['high'].rolling(window=cycle, center=False).max().shift(1)
    df['lowN'] = df['low'].rolling(window=cycle, center=False).min().shift(1)
    df['v10'] = df['volume'].rolling(window=7, center=False).mean()
    df['ma30'] = df['close'].rolling(window=30, center=False).mean()
    df['ma30R2'] = df['ma30'].shift(1)
    xl = df['ma30'] / df['ma30R2'] - 1
    df["zxxs"] = (xl* 22 + 1) * df['ma30']
    df["zxxs"] = df["zxxs"].shift(1)
    df['zxxs'] = df['zxxs'].rolling(window=10, center=False).mean()
    df['v20'] = df['volume'].rolling(window=20, center=False).mean()
    df['std1'] = df['volume'].rolling(window=10, center=False).std()
    df = df.dropna()

    hightN, lowN = 0, 0
    ac = account(position=0,Amountpeace=Amountpeace,lines=lines)

    #statics
    close = df.iat[0, 6]
    profitsum,tradecnt,close2 = 0,0,0
    positiondict = None

    #draw
    bars,retu,closes,zxxs = [],[],[],[]
    l1,l2,l3,l4,l5,l6,l7,l8,l9,l10,l11 = [],[],[],[],[],[],[],[],[],[],[]
    ll = [l1,l2,l3,l4,l5,l6,l7,l8,l9,l10,l11]

    for i, v in df.iterrows():
        hightN, lowN = v['hightN'], v['lowN'],
        high, low, open = v['high'], v['low'], v['open'],
        print("H L O HN LN:",high, low, open, hightN, lowN ,v['date'])
        # hightN,lowN=v['zxxs']+(hightN-lowN)/4,v['zxxs']-(hightN-lowN)*3/4
        hightN,lowN=v['zxxs']*1.05,v['zxxs']*0.9

        close2 = open
        closes.append(close2)
        positiondict,profit,gridlines = ac.cal(high, low, open, hightN, lowN, profitLEV=profitLEV,Bili=bili)
        for i, v in enumerate(gridlines):
            ll[i].append(v)
        bars.append(profit)
        if profit!=0:
            tradecnt += 1
        profitsum += profit
        retu.append(profitsum/40000)
        print("=" * 30)

    for k in positiondict.keys():
        if positiondict[k][0]!=0:
            profitsum += (close2-positiondict[k][0])*positiondict[k][1]
            print("clear:{} ({}-{})*{}={}".format(k,close2,positiondict[k][0],positiondict[k][1],(close2-positiondict[k][0])*positiondict[k][1]))
    print("profit:{} 涨幅：{}".format(profitsum,profitsum*100/(lines-3)/Amountpeace),
          "%\n成交数{} 天数{} 比例{}:".format(tradecnt,len(df),tradecnt/len(df),))

    #draw
    app = QApplication([])
    pw = pg.GraphicsLayoutWidget()
    # l = [bars,retu,closes,df["volume"]]
    l = [bars,retu,closes,]
    p2 = None
    for i, v in enumerate(l):
        if i==0:
            bar = pg.BarGraphItem(x=range(len(v)),height=v,width=0.5)
            p1 = pw.addPlot(row=i, col=0, )
            p1.addItem(bar)
        elif i==3:
            bar = pg.BarGraphItem(x=range(len(v)), height=v, width=0.5)
            p4 = pw.addPlot(row=i, col=0, )
            p4.addItem(bar)
            p4.plot(df["v10"].tolist(),pen='r')
            p4.plot(df["v20"].tolist())
            p4.plot(df["std1"].tolist(),pen='y')
        else:
            p2 = pw.addPlot(row=i, col=0, )
            p2.plot(v)
            p2.setXLink(p1)

    colors=['y','c','g','m','r','l','d','s','w','b','k',]
    ll.append(df['ma30'].tolist())
    ll.append(df["zxxs"].tolist())
    for i, v in enumerate(ll):
        pen = 'y'
        if i>9:
            pen='y'
        else:
            pen = colors[i]
        p2.plot(v,pen=pen)

    vLine = pg.InfiniteLine(angle=90, movable=False, pen=pg.mkPen(width=1, color=QColor(255, 255, 255)))
    hLine = pg.InfiniteLine(angle=0, movable=False, pen=pg.mkPen(width=1, color=QColor(255, 255, 255)))
    pw.scene().addItem(vLine)
    pw.scene().addItem(hLine)
    move_slot = pg.SignalProxy(pw.scene().sigMouseMoved, rateLimit=60, slot=mouseMoved)
    pw.show()
    app.exec_()