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dosangyoon
2022-07-31 17:07:29 +09:00
parent cddcdf4f35
commit 5b5e2196c1
8 changed files with 502 additions and 62 deletions
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hts/BuySellChecker.py
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@@ -836,6 +836,331 @@ class BuySellChecker:
return data
def getSign(self, data1, data2):
diff_sign = []
for i in range(0, len(data1)):
if data1[i] > data2[i]: diff_sign.append(2)
elif data1[i] == data2[i]: diff_sign.append(1)
else: diff_sign.append(0)
return diff_sign
def getVectorFeature(self, result):
# 기본 캔들 정보
open = result["open"]
close = result["close"]
high = result["high"]
low = result["low"]
vol = result["vol"]
label = result["label"]
# 캔들 정보 연산
height = [close[i] - open[i] for i in range(0, len(close))]
top_tail_height = [high[i] - max(open[i], close[i]) for i in range(0, len(close))]
bottom_tail_height = [min(open[i], close[i]) - low[i] for i in range(0, len(close))]
diff_price = [close[i] - close[i - 1] for i in range(1, len(close))]
diff_price.insert(0, 0)
diff_price_sign = []
for i in range(1, len(close)):
if close[i] > close[i - 1]: diff_price_sign.append(2)
elif close[i] == close[i - 1]: diff_price_sign.append(1)
else: diff_price_sign.append(0)
diff_price_sign.insert(0, 0)
# 이동 평균
close_df = pd.DataFrame(close)
avg3_list = close_df.rolling(window=3).mean().fillna(close[0]).values.tolist()
avg3 = [item[0] for item in avg3_list]
avg5_list = close_df.rolling(window=5).mean().fillna(close[0]).values.tolist()
avg5 = [item[0] for item in avg5_list]
avg10_list = close_df.rolling(window=10).mean().fillna(close[0]).values.tolist()
avg10 = [item[0] for item in avg10_list]
avg20_list = close_df.rolling(window=20).mean().fillna(close[0]).values.tolist()
avg20 = [item[0] for item in avg20_list]
avg30_list = close_df.rolling(window=30).mean().fillna(close[0]).values.tolist()
avg30 = [item[0] for item in avg30_list]
avg60_list = close_df.rolling(window=60).mean().fillna(close[0]).values.tolist()
avg60 = [item[0] for item in avg60_list]
abs_avg_1 = [max(avg3[i], avg5[i], avg10[i], avg20[i], avg30[i], avg60[i]) - min(avg3[i], avg5[i], avg10[i], avg20[i], avg30[i], avg60[i]) for i in range(0, len(close))]
abs_avg_2 = [max(avg3[i], avg5[i], avg10[i], avg20[i], avg30[i]) - min(avg3[i], avg5[i], avg10[i], avg20[i], avg30[i]) for i in range(0, len(close))]
abs_avg_3 = [max(avg3[i], avg5[i], avg10[i], avg20[i]) - min(avg3[i], avg5[i], avg10[i], avg20[i]) for i in range(0, len(close))]
abs_avg_4 = [max(avg3[i], avg5[i], avg10[i]) - min(avg3[i], avg5[i], avg10[i]) for i in range(0, len(close))]
abs_avg_5 = [max(avg3[i], avg5[i]) - min(avg3[i], avg5[i]) for i in range(0, len(close))]
diff_avg3_avg5 = [avg3[i]-avg5[i] for i in range(0, len(close))]
diff_avg3_avg10 = [avg3[i] - avg10[i] for i in range(0, len(close))]
diff_avg3_avg20 = [avg3[i] - avg20[i] for i in range(0, len(close))]
diff_avg3_avg30 = [avg3[i] - avg30[i] for i in range(0, len(close))]
diff_avg3_avg60 = [avg3[i] - avg60[i] for i in range(0, len(close))]
diff_avg5_avg10 = [avg5[i] - avg10[i] for i in range(0, len(close))]
diff_avg5_avg20 = [avg5[i] - avg20[i] for i in range(0, len(close))]
diff_avg5_avg30 = [avg5[i] - avg30[i] for i in range(0, len(close))]
diff_avg5_avg60 = [avg5[i] - avg60[i] for i in range(0, len(close))]
diff_avg10_avg20 = [avg10[i] - avg20[i] for i in range(0, len(close))]
diff_avg10_avg30 = [avg10[i] - avg30[i] for i in range(0, len(close))]
diff_avg10_avg60 = [avg10[i] - avg60[i] for i in range(0, len(close))]
diff_avg20_avg30 = [avg20[i] - avg30[i] for i in range(0, len(close))]
diff_avg20_avg60 = [avg20[i] - avg60[i] for i in range(0, len(close))]
diff_avg30_avg60 = [avg30[i] - avg60[i] for i in range(0, len(close))]
diff_avg3_avg5_sign = self.getSign(avg3, avg5)
diff_avg3_avg10_sign = self.getSign(avg3, avg10)
diff_avg3_avg20_sign = self.getSign(avg3, avg20)
diff_avg3_avg30_sign = self.getSign(avg3, avg30)
diff_avg3_avg60_sign = self.getSign(avg3, avg60)
diff_avg5_avg10_sign = self.getSign(avg5, avg10)
diff_avg5_avg20_sign = self.getSign(avg5, avg20)
diff_avg5_avg30_sign = self.getSign(avg5, avg30)
diff_avg5_avg60_sign = self.getSign(avg5, avg60)
diff_avg10_avg20_sign = self.getSign(avg10, avg20)
diff_avg10_avg30_sign = self.getSign(avg10, avg30)
diff_avg10_avg60_sign = self.getSign(avg10, avg60)
diff_avg20_avg30_sign = self.getSign(avg20, avg30)
diff_avg20_avg60_sign = self.getSign(avg20, avg60)
diff_avg30_avg60_sign = self.getSign(avg30, avg60)
# 볼린져 밴드
df = pd.DataFrame(close)
max20 = df.rolling(window=20).mean()
stddev20 = df.rolling(window=20).std()
upper_df = max20 + (stddev20 * 2) # 상단 볼린저 밴드
lower_df = max20 - (stddev20 * 2) # 하단 볼린저 밴드
upper, lower = [], []
for i in range(len(upper_df)):
if i < 10:
upper.append(upper_df.values[0][0])
lower.append(lower_df.values[0][0])
else:
upper.append(upper_df.values[i][0])
lower.append(lower_df.values[i][0])
point_temp = result["time"]
STOCK = []
for i in range(len(open)):
STOCK.append({'volume': vol[i], 'close': close[i], 'open': open[i], 'high': high[i], 'low': low[i],
'avg3': avg3[i], 'avg5': avg5[i],'avg10': avg10[i],'avg20': avg20[i],'avg30': avg30[i],'avg60': avg60[i]})
# stochastic
stochastic_df = self.stochastic.apply(STOCK, n=30, m=5, t=5)
fast_k = stochastic_df['fast_k'].values.tolist()
slow_k = stochastic_df['slow_k'].values.tolist()
slow_d = stochastic_df['slow_d'].values.tolist()
# macd
macd_df = self.macd.apply(STOCK, short=12, long=26, t=9)
macd = macd_df['macd'].values.tolist()
macds = macd_df['macds'].values.tolist()
macdo = macd_df['macdo'].values.tolist()
# rsi
rsi_df = self.rsi.apply(STOCK, period=30, window=5)
rsi = rsi_df['rsi'].values.tolist()
rsis = rsi_df['rsis'].values.tolist()
# ichimokuCloud
ichimokuCloud_df = self.ichimokuCloud.apply(STOCK, c=9, b=26, l=52)
ichimokuCloud_df = ichimokuCloud_df[:len(ichimokuCloud_df) - 51]
changeLine = ichimokuCloud_df['changeLine'].values.tolist()
baseLine = ichimokuCloud_df['baseLine'].values.tolist()
leadingSpan1 = ichimokuCloud_df['leadingSpan1'].values.tolist()
leadingSpan2 = ichimokuCloud_df['leadingSpan2'].values.tolist()
# 간격
##### 볼린져 밴드
diff_upper_lower = [upper[i] - lower[i] for i in range(0, len(upper))]
diff_open_lower = [open[i] - lower[i] for i in range(0, len(open))]
diff_open_upper = [open[i] - upper[i] for i in range(0, len(open))]
diff_close_lower = [close[i] - lower[i] for i in range(0, len(close))]
diff_close_upper = [close[i] - upper[i] for i in range(0, len(close))]
diff_high_lower = [high[i] - lower[i] for i in range(0, len(high))]
diff_high_upper = [high[i] - upper[i] for i in range(0, len(high))]
diff_low_lower = [low[i] - lower[i] for i in range(0, len(low))]
diff_low_upper = [low[i] - upper[i] for i in range(0, len(low))]
diff_upper_lower_sign = self.getSign(upper, lower)
diff_open_lower_sign = self.getSign(open, lower)
diff_open_upper_sign = self.getSign(open, upper)
diff_close_lower_sign = self.getSign(close, lower)
diff_close_upper_sign = self.getSign(close, upper)
diff_high_lower_sign = self.getSign(high, lower)
diff_high_upper_sign = self.getSign(high, upper)
diff_low_lower_sign = self.getSign(low, lower)
diff_low_upper_sign = self.getSign(low, upper)
##### 일목균형표
diff_lead1_lead2 = [leadingSpan1[i] - leadingSpan2[i] for i in range(0, len(leadingSpan1))]
diff_change_base = [changeLine[i] - baseLine[i] for i in range(0, len(baseLine))]
diff_base_lead1 = [baseLine[i] - leadingSpan1[i] for i in range(0, len(baseLine))]
diff_base_lead2 = [baseLine[i] - leadingSpan2[i] for i in range(0, len(baseLine))]
diff_change_lead1 = [changeLine[i] - leadingSpan1[i] for i in range(0, len(changeLine))]
diff_change_lead2 = [changeLine[i] - leadingSpan2[i] for i in range(0, len(changeLine))]
diff_open_lead2 = [open[i] - leadingSpan2[i] for i in range(0, len(open))]
diff_open_lead1 = [open[i] - leadingSpan1[i] for i in range(0, len(open))]
diff_open_change = [open[i] - changeLine[i] for i in range(0, len(open))]
diff_open_base = [open[i] - baseLine[i] for i in range(0, len(open))]
diff_close_lead2 = [close[i] - leadingSpan2[i] for i in range(0, len(close))]
diff_close_lead1 = [close[i] - leadingSpan1[i] for i in range(0, len(close))]
diff_close_change = [close[i] - changeLine[i] for i in range(0, len(close))]
diff_close_base = [close[i] - baseLine[i] for i in range(0, len(close))]
diff_high_lead2 = [high[i] - leadingSpan2[i] for i in range(0, len(high))]
diff_high_lead1 = [high[i] - leadingSpan1[i] for i in range(0, len(high))]
diff_high_change = [high[i] - changeLine[i] for i in range(0, len(high))]
diff_high_base = [high[i] - baseLine[i] for i in range(0, len(high))]
diff_low_lead2 = [low[i] - leadingSpan2[i] for i in range(0, len(low))]
diff_low_lead1 = [low[i] - leadingSpan1[i] for i in range(0, len(low))]
diff_low_change = [low[i] - changeLine[i] for i in range(0, len(low))]
diff_low_base = [low[i] - baseLine[i] for i in range(0, len(low))]
diff_macd_macds = [macd[i] - macds[i] for i in range(0, len(macd))]
diff_slowk_slowd = [slow_k[i] - slow_d[i] for i in range(0, len(slow_k))]
diff_rsi_rsis = [rsi[i] - rsis[i] for i in range(0, len(rsi))]
diff_lead1_lead2_sign = self.getSign(leadingSpan1, leadingSpan2)
diff_change_base_sign = self.getSign(changeLine, baseLine)
diff_base_lead1_sign = self.getSign(baseLine, leadingSpan1)
diff_base_lead2_sign = self.getSign(baseLine, leadingSpan2)
diff_change_lead1_sign = self.getSign(changeLine, leadingSpan1)
diff_change_lead2_sign = self.getSign(changeLine, leadingSpan2)
diff_open_lead2_sign = self.getSign(open, leadingSpan2)
diff_open_lead1_sign = self.getSign(open, leadingSpan1)
diff_open_change_sign = self.getSign(open, changeLine)
diff_open_base_sign = self.getSign(open, baseLine)
diff_close_lead2_sign = self.getSign(close, leadingSpan2)
diff_close_lead1_sign = self.getSign(close, leadingSpan1)
diff_close_change_sign = self.getSign(close, changeLine)
diff_close_base_sign = self.getSign(close, baseLine)
diff_high_lead2_sign = self.getSign(high, leadingSpan2)
diff_high_lead1_sign = self.getSign(high, leadingSpan1)
diff_high_change_sign = self.getSign(high, changeLine)
diff_high_base_sign = self.getSign(high, baseLine)
diff_low_lead2_sign = self.getSign(low, leadingSpan2)
diff_low_lead1_sign = self.getSign(low, leadingSpan1)
diff_low_change_sign = self.getSign(low, changeLine)
diff_low_base_sign = self.getSign(low, baseLine)
diff_macd_macds_sign = self.getSign(macd, macds)
diff_slowk_slowd_sign = self.getSign(slow_k, slow_d)
diff_rsi_rsis_sign = self.getSign(rsi, rsis)
# 결과
temp = {
"date": point_temp,
"open": open, "high": high, "low": low, "close": close, "volume": vol,
"avg3": avg3, "avg5": avg5, "avg10": avg10, "avg20": avg20, "avg30": avg30, "avg60": avg60,
"upper": upper, "lower": lower,
"macd": macd, "macds": macds, "macdo": macdo,
"fast_k": fast_k, "slow_k": slow_k, "slow_d": slow_d,
"rsi": rsi, "rsis": rsis,
"changeLine": changeLine, "baseLine": baseLine, "leadingSpan1": leadingSpan1, "leadingSpan2": leadingSpan2,
"diff_price": diff_price, "height": height, "top_tail_height": top_tail_height, "bottom_tail_height": bottom_tail_height,
"abs_avg_1": abs_avg_1, "abs_avg_2": abs_avg_2, "abs_avg_3": abs_avg_3, "abs_avg_4": abs_avg_4, "abs_avg_5": abs_avg_5,
"diff_avg3_avg5": diff_avg3_avg5,
"diff_avg3_avg10": diff_avg3_avg10,
"diff_avg3_avg20": diff_avg3_avg20,
"diff_avg3_avg30": diff_avg3_avg30,
"diff_avg3_avg60": diff_avg3_avg60,
"diff_avg5_avg10": diff_avg5_avg10,
"diff_avg5_avg20": diff_avg5_avg20,
"diff_avg5_avg30": diff_avg5_avg30,
"diff_avg5_avg60": diff_avg5_avg60,
"diff_avg10_avg20": diff_avg10_avg20,
"diff_avg10_avg30": diff_avg10_avg30,
"diff_avg10_avg60": diff_avg10_avg60,
"diff_avg20_avg30": diff_avg20_avg30,
"diff_avg20_avg60": diff_avg20_avg60,
"diff_avg30_avg60": diff_avg30_avg60,
"diff_upper_lower": diff_upper_lower,
"diff_open_lower": diff_open_lower,
"diff_open_upper": diff_open_upper,
"diff_close_lower": diff_close_lower,
"diff_close_upper": diff_close_upper,
"diff_high_lower": diff_high_lower,
"diff_high_upper": diff_high_upper,
"diff_low_lower": diff_low_lower,
"diff_low_upper": diff_low_upper,
"diff_lead1_lead2": diff_lead1_lead2,
"diff_change_base": diff_change_base,
"diff_base_lead1": diff_base_lead1,
"diff_base_lead2": diff_base_lead2,
"diff_change_lead1": diff_change_lead1,
"diff_change_lead2": diff_change_lead2,
"diff_open_lead2": diff_open_lead2,
"diff_open_lead1": diff_open_lead1,
"diff_open_change": diff_open_change,
"diff_open_base": diff_open_base,
"diff_close_lead2": diff_close_lead2,
"diff_close_lead1": diff_close_lead1,
"diff_close_change": diff_close_change,
"diff_close_base": diff_close_base,
"diff_high_lead2": diff_high_lead2,
"diff_high_lead1": diff_high_lead1,
"diff_high_change": diff_high_change,
"diff_high_base": diff_high_base,
"diff_low_lead2": diff_low_lead2,
"diff_low_lead1": diff_low_lead1,
"diff_low_change": diff_low_change,
"diff_low_base": diff_low_base,
"diff_macd_macds": diff_macd_macds,
"diff_slowk_slowd": diff_slowk_slowd,
"diff_rsi_rsis": diff_rsi_rsis,
"diff_price_sign": diff_price_sign,
"diff_avg3_avg5_sign": diff_avg3_avg5_sign,
"diff_avg3_avg10_sign": diff_avg3_avg10_sign,
"diff_avg3_avg20_sign": diff_avg3_avg20_sign,
"diff_avg3_avg30_sign": diff_avg3_avg30_sign,
"diff_avg3_avg60_sign": diff_avg3_avg60_sign,
"diff_avg5_avg10_sign": diff_avg5_avg10_sign,
"diff_avg5_avg20_sign": diff_avg5_avg20_sign,
"diff_avg5_avg30_sign": diff_avg5_avg30_sign,
"diff_avg5_avg60_sign": diff_avg5_avg60_sign,
"diff_avg10_avg20_sign": diff_avg10_avg20_sign,
"diff_avg10_avg30_sign": diff_avg10_avg30_sign,
"diff_avg10_avg60_sign": diff_avg10_avg60_sign,
"diff_avg20_avg30_sign": diff_avg20_avg30_sign,
"diff_avg20_avg60_sign": diff_avg20_avg60_sign,
"diff_avg30_avg60_sign": diff_avg30_avg60_sign,
"diff_upper_lower_sign": diff_upper_lower_sign,
"diff_open_lower_sign": diff_open_lower_sign,
"diff_open_upper_sign": diff_open_upper_sign,
"diff_close_lower_sign": diff_close_lower_sign,
"diff_close_upper_sign": diff_close_upper_sign,
"diff_high_lower_sign": diff_high_lower_sign,
"diff_high_upper_sign": diff_high_upper_sign,
"diff_low_lower_sign": diff_low_lower_sign,
"diff_low_upper_sign": diff_low_upper_sign,
"diff_lead1_lead2_sign": diff_lead1_lead2_sign,
"diff_change_base_sign": diff_change_base_sign,
"diff_base_lead1_sign": diff_base_lead1_sign,
"diff_base_lead2_sign": diff_base_lead2_sign,
"diff_change_lead1_sign": diff_change_lead1_sign,
"diff_change_lead2_sign": diff_change_lead2_sign,
"diff_open_lead2_sign": diff_open_lead2_sign,
"diff_open_lead1_sign": diff_open_lead1_sign,
"diff_open_change_sign": diff_open_change_sign,
"diff_open_base_sign": diff_open_base_sign,
"diff_close_lead2_sign": diff_close_lead2_sign,
"diff_close_lead1_sign": diff_close_lead1_sign,
"diff_close_change_sign": diff_close_change_sign,
"diff_close_base_sign": diff_close_base_sign,
"diff_high_lead2_sign": diff_high_lead2_sign,
"diff_high_lead1_sign": diff_high_lead1_sign,
"diff_high_change_sign": diff_high_change_sign,
"diff_high_base_sign": diff_high_base_sign,
"diff_low_lead2_sign": diff_low_lead2_sign,
"diff_low_lead1_sign": diff_low_lead1_sign,
"diff_low_change_sign": diff_low_change_sign,
"diff_low_base_sign": diff_low_base_sign,
"diff_macd_macds_sign": diff_macd_macds_sign,
"diff_slowk_slowd_sign": diff_slowk_slowd_sign,
"diff_rsi_rsis_sign": diff_rsi_rsis_sign,
"label": label
}
data = pd.DataFrame(temp)
df_final_time = pd.DatetimeIndex(point_temp)
data.index = df_final_time
data = data.fillna(close[0])
return data
def checkTransaction(self, data, stock_code, type=True):
# 4일치 중에서 앞에 2일은 제거한다.
date = data['date'].dt.date.unique().tolist()

14
hts/HTS.py
View File

@@ -553,7 +553,7 @@ class HTS:
conn = sqlite3.connect(os.path.join(self.RESOURCE_PATH, "hts.db"))
cursor = conn.cursor()
cursor.execute('SELECT ymd, hms, open, high, low, close, volume FROM ' + tableName + ' WHERE CODE=? and ymd=? order by ymd, hms', (stock_code, day,))
cursor.execute('SELECT ymd, hms, open, high, low, close, volume, label FROM ' + tableName + ' WHERE CODE=? and ymd=? order by ymd, hms', (stock_code, day,))
db_result = cursor.fetchall()
for rows in db_result:
ymd = rows[0] # hts.날짜
@@ -563,6 +563,7 @@ class HTS:
low = rows[4] # hts.저가
close = rows[5] # hts.종가
vol = rows[6] # hts.거래량
label = 0 if rows[7] is None else rows[7] # hts.매매구분
temp = datetime.strptime(str(ymd) + " " + str(hms).zfill(4) + "00", '%Y%m%d %H%M%S')
@@ -572,6 +573,7 @@ class HTS:
result["high"].append(int(high))
result["low"].append(int(low))
result["vol"].append(int(vol))
result["label"].append(int(label))
return
@@ -593,7 +595,8 @@ class HTS:
"close": [],
"high": [],
"low": [],
"vol": []}
"vol": [],
"label": []}
days = []
for i in range(1, 10):
@@ -601,10 +604,10 @@ class HTS:
isValid = self.isValidYMD(stock_code, last_day)
if isValid:
days.append(last_day)
if len(days) >= 3:
if len(days) >= n:
break
days.sort()
days = sorted(days)
for day in days:
self.getDBData(stock_code, day, result)
@@ -615,10 +618,11 @@ class HTS:
if LAST_DATA is not None:
result = copy.deepcopy(LAST_DATA)
else:
result = {"check": set(), "time": [], "open": [], "close": [], "high": [], "low": [], "vol": []}
result = {"check": set(), "time": [], "open": [], "close": [], "high": [], "low": [], "vol": [], "label": []}
self.getDBData(stock_code, today, result)
int_given_day = int(today)
objCpCybos = win32com.client.Dispatch("CpUtil.CpCybos")
bConnect = objCpCybos.IsConnect