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dsyoon
2023-10-13 00:14:54 +09:00
parent 4026cb5de8
commit 9f908fc04a
2 changed files with 83 additions and 78 deletions
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52
Simulation.py
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@@ -192,39 +192,37 @@ class Simulation (HTS):
return result return result
def simulate(self, stock_codes:dict=None, analyzed_day=1000): def simulate(self, stock_codes:dict=None, analyzed_day=1000):
if stock_codes is not None: for stock_code in stock_codes:
for stock_code in stock_codes: for given_day in stock_codes[stock_code]:
for given_day in stock_codes[stock_code]: LAST_DATA = self.stock2Vector.getLastData(stock_code, given_day)
LAST_DATA = self.stock2Vector.getLastData(stock_code, given_day) # 1분봉
result = self.stock2Vector.getRealTime(stock_code, given_day, LAST_DATA) result = self.stock2Vector.getRealTime(stock_code, given_day, LAST_DATA)
#result_5 = self.makeTickData(result, mins=5) # 5분봉
#result_30 = self.makeTickData(result, mins=30) #result = self.makeTickData(result, mins=5)
# 30분봉
#result = self.makeTickData(result, mins=30)
data = self.buySellChecker.analyze(result) data = self.buySellChecker.analyze(result)
data.drop(data.index[:len(data) - analyzed_day], inplace=True) data.drop(data.index[:len(data) - analyzed_day], inplace=True)
# 이동평균, RSI, MACD, 일목균형, 볼린저밴드 상/하단을 계산한다. # 이동평균, RSI, MACD, 일목균형, 볼린저밴드 상/하단을 계산한다.
#data_5 = self.buySellChecker.analyze(result_5) #data_5 = self.buySellChecker.analyze(result_5)
# 분석일 데이터만 활용한다 (이전 데이터는 제거) # 분석일 데이터만 활용한다 (이전 데이터는 제거)
#data_5.drop(data_5.index[:len(data_5) - analyzed_day], inplace=True) #data_5.drop(data_5.index[:len(data_5) - analyzed_day], inplace=True)
#data_30 = self.buySellChecker.analyze(result_30) #data_30 = self.buySellChecker.analyze(result_30)
# 분석일 데이터만 활용한다 (이전 데이터는 제거) # 분석일 데이터만 활용한다 (이전 데이터는 제거)
#data_30.drop(data_30.index[:len(data_30) - analyzed_day], inplace=True) #data_30.drop(data_30.index[:len(data_30) - analyzed_day], inplace=True)
# 사야 할 시점과 팔아야 할 시점을 체크한다. # 사야 할 시점과 팔아야 할 시점을 체크한다.
#bsLine = self.buySellChecker.checkTransaction(stock_code, data, data_5, data_30, isRealTime=False) #bsLine = self.buySellChecker.checkTransaction(stock_code, data, data_5, data_30, isRealTime=False)
# 어제 데이터는 지운다. # 어제 데이터는 지운다.
#data = data.loc[pd.DatetimeIndex(data.index).day == int(given_day[6:])] #data = data.loc[pd.DatetimeIndex(data.index).day == int(given_day[6:])]
bsLine = self.buySellChecker.checkTransaction(stock_code, data, None, None, isRealTime=False) bsLine = self.buySellChecker.checkTransaction(stock_code, data, None, None, isRealTime=False)
# 그래프를 그린다.
self.draw(stock_code, given_day, data, bsLine)
else:
stockStatus = StockStatus(self.RESOURCE_PATH)
stockStatus.checkEnvelope()
# 그래프를 그린다.
self.draw(stock_code, given_day, data, bsLine)
return return
if __name__ == "__main__": if __name__ == "__main__":

109
hts/BuySellChecker.py
View File

@@ -216,20 +216,68 @@ class BuySellChecker:
return buy, weight return buy, weight
def getBuyPriceAndWeight(self, i, data):
buy, weight = -1, -1
# 1) 스토캐스틱 과매도
slow_k_buy = False
for idx in range(i, i-10, -1):
if data['slow_k'][idx] < 20:
slow_k_buy = True
break
# 2) macd 교차 신호
macd_buy = False
if slow_k_buy:
for idx in range(i, i-10, -1):
if data['macd'][idx - 1] < 0 and data['macds'][idx - 1] < 0 and data['macd'][idx] < 0 and data['macds'][idx] < 0:
if data['macd'][idx-1] < data['macds'][idx-1] and data['macd'][idx] > data['macds'][idx]:
macd_buy = True
break
# 3) RSI 지수가 50위로 올라갈 때
if macd_buy:
if data['rsi'][i-1] < 40 and data['rsi'][i] > 40:
buy, weight = data['close'][i] , 1
min_macd = min(data['macd'])
if i > 30 and data['macd'][i] < min_macd + (-min_macd * 0.5):
buy, weight = data['close'][i], 1
return buy, weight
def getSellPriceAndWeight(self, i, data): def getSellPriceAndWeight(self, i, data):
sell, weight = -1, -1 sell, weight = -1, -1
# 1) 스토캐스틱 과매수
slow_k_sell = False
for idx in range(i, i-10, -1):
if data['slow_k'][idx] > 80:
slow_k_sell = True
break
if 90 < data['slow_k'][i] and data['slow_k'][i] < data['slow_k'][i-1] and data['slow_k'][i] < data['slow_d'][i]: # 2) macd 교차 신호
sell = data['close'][i] macd_sell = False
weight = 100 if slow_k_sell:
if 95 < data['slow_k'][i]: for idx in range(i, i-10, -1):
sell = data['close'][i] if data['macd'][idx - 1] > 0 and data['macds'][idx - 1] > 0 and data['macd'][idx] > 0 and data['macds'][idx] > 0:
weight = 100 if data['macd'][idx-1] > data['macds'][idx-1] and data['macd'][idx] < data['macds'][idx]:
macd_sell = True
break
# 3) RSI 지수가 50위로 올라갈 때
if macd_sell:
if data['rsi'][i-1] > 60 and data['rsi'][i] < 60:
sell, weight = data['close'][i], 1
return sell, weight return sell, weight
def analyze(self, result): def analyze(self, result):
# 기본 캔들 정보 # 기본 캔들 정보
open = result["open"] open = result["open"]
@@ -348,25 +396,11 @@ class BuySellChecker:
# isRealTime=True, 실시간 적용 # isRealTime=True, 실시간 적용
last_index = size - 1 last_index = size - 1
if stock_code == "252670": buy, buy_weight = self.getBuyPriceAndWeight_252670(last_index, data)
buy, buy_weight = self.getBuyPriceAndWeight_252670(last_index, data) sell, sell_weight = self.getSellPriceAndWeight(last_index, data)
sell, sell_weight = self.getSellPriceAndWeight(last_index, data)
else:
buy, buy_weight = self.getBuyPriceAndWeight_122630(last_index, data)
sell, sell_weight = self.getSellPriceAndWeight(last_index, data)
if data.index[last_index].strftime('%H:%M:%S') > datetime.strptime(datetime.today().strftime("%Y-%m-%d 15:10:00"), "%Y-%m-%d %H:%M:%S").strftime('%H:%M:%S'): if data.index[last_index].strftime('%H:%M:%S') > datetime.strptime(datetime.today().strftime("%Y-%m-%d 15:10:00"), "%Y-%m-%d %H:%M:%S").strftime('%H:%M:%S'):
buy, buy_weight = -1, -1 buy, buy_weight = -1, -1
if sell > 0:
if 'last_buy' in bsLine:
if bsLine['last'] == 'buy':
if sell - bsLine['last_buy'] < 0.007:
sell, weight = -1, -1
else:
sell, weight = -1, -1
if 'last' in bsLine and bsLine['last'] != 'buy':
sell, weight = -1, -1
bsLine['buy'] = [buy] bsLine['buy'] = [buy]
bsLine['buy_weight'] = [buy_weight] bsLine['buy_weight'] = [buy_weight]
bsLine['sell'] = [sell] bsLine['sell'] = [sell]
@@ -378,44 +412,17 @@ class BuySellChecker:
bsLine['buy_weight'] = [-1 for i in range(size)] bsLine['buy_weight'] = [-1 for i in range(size)]
bsLine['sell'] = [-1 for i in range(size)] bsLine['sell'] = [-1 for i in range(size)]
bsLine['sell_weight'] = [-1 for i in range(size)] bsLine['sell_weight'] = [-1 for i in range(size)]
bsLine['last'] = ''
bsLine['last_buy'] = -1
bsLine['buy_count'] = 0
for last_index in range(size): for last_index in range(size):
if stock_code == "252670":
buy, buy_weight = self.getBuyPriceAndWeight_252670(last_index, data)
sell, sell_weight = self.getSellPriceAndWeight(last_index, data)
else:
buy, buy_weight = self.getBuyPriceAndWeight_122630(last_index, data)
sell, sell_weight = self.getSellPriceAndWeight(last_index, data)
if data.index[last_index].strftime('%H:%M:%S') > datetime.strptime(datetime.today().strftime("%Y-%m-%d 15:10:00"), "%Y-%m-%d %H:%M:%S").strftime('%H:%M:%S'):
buy, buy_weight = -1, -1
if sell > 0: buy, buy_weight = self.getBuyPriceAndWeight(last_index, data)
if 'last_buy' in bsLine: sell, sell_weight = self.getSellPriceAndWeight(last_index, data)
if bsLine['last'] == 'buy':
if sell - bsLine['last_buy'] < 0.007:
sell, weight = -1, -1
else:
sell, weight = -1, -1
if 'last' in bsLine and bsLine['last'] != 'buy':
sell, weight = -1, -1
bsLine['buy'][last_index] = buy bsLine['buy'][last_index] = buy
bsLine['buy_weight'][last_index] = buy_weight bsLine['buy_weight'][last_index] = buy_weight
bsLine['sell'][last_index] = sell bsLine['sell'][last_index] = sell
bsLine['sell_weight'][last_index] = sell_weight bsLine['sell_weight'][last_index] = sell_weight
if buy > 0:
bsLine['last'] = 'buy'
bsLine['last_buy'] = buy
bsLine['buy_count'] += 1
if sell > 0:
bsLine['last'] = 'sell'
bsLine['last_buy'] = -1
bsLine['buy_count'] = 0
return bsLine return bsLine
def checkTransactionML(self, data, stock_code, predY, isRealTime=True): def checkTransactionML(self, data, stock_code, predY, isRealTime=True):