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dsyoon
2023-12-21 01:27:52 +09:00
parent 1f0fccd7be
commit aba1314468
2 changed files with 116 additions and 71 deletions
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109
HTS_etf.py
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@@ -143,6 +143,8 @@ class HTS_etf(HTS):
avg120 = [item[0] for item in avg120_list]
avg240_list = close_df.rolling(window=240).mean().fillna(close[0]).values.tolist()
avg240 = [item[0] for item in avg240_list]
avg420_list = close_df.rolling(window=420).mean().fillna(close[0]).values.tolist()
avg420 = [item[0] for item in avg420_list]
avg480_list = close_df.rolling(window=480).mean().fillna(close[0]).values.tolist()
avg480 = [item[0] for item in avg480_list]
avg1500_list = close_df.rolling(window=1500).mean().fillna(close[0]).values.tolist()
@@ -214,11 +216,11 @@ class HTS_etf(HTS):
if "volume_up" in result and "volume_updown_diff" in result:
for i in range(len(open)):
STOCK.append({'volume': volume[i], 'volume_down': volume_down[i], 'volume_up': volume_up[i], 'volume_updown_diff': volume_updown_diff[i], 'close': close[i], 'open': open[i], 'high': high[i], 'low': low[i],
'avg5': avg5[i], 'avg20': avg20[i], 'avg60': avg60[i], 'avg120': avg120[i], 'avg240': avg240[i], 'avg480': avg480[i], 'avg1500': avg1500[i]})
'avg5': avg5[i], 'avg20': avg20[i], 'avg60': avg60[i], 'avg120': avg120[i], 'avg240': avg240[i], 'avg420': avg420[i], 'avg480': avg480[i], 'avg1500': avg1500[i]})
else:
for i in range(len(open)):
STOCK.append({'volume': volume[i], 'close': close[i], 'open': open[i], 'high': high[i], 'low': low[i],
'avg5': avg5[i], 'avg20': avg20[i], 'avg60': avg60[i], 'avg120': avg120[i], 'avg240': avg240[i], 'avg480': avg480[i], 'avg1500': avg1500[i]})
'avg5': avg5[i], 'avg20': avg20[i], 'avg60': avg60[i], 'avg120': avg120[i], 'avg240': avg240[i], 'avg420': avg420[i], 'avg480': avg480[i], 'avg1500': avg1500[i]})
# stochastic
stochastic_df = self.stochastic.apply(STOCK, n=30, m=5, t=5)
@@ -254,7 +256,7 @@ class HTS_etf(HTS):
"open": open, "high": high, "low": low, "close": close, "volume": volume, "volume_down": volume_down,
"volume_up": volume_up, "volume_updown_diff": volume_updown_diff,
"trend": trend, "trend_avg": trend_avg,
"avg5": avg5, "avg20": avg20, "avg60": avg60, "avg120": avg120, "avg240": avg240, "avg480": avg480,
"avg5": avg5, "avg20": avg20, "avg60": avg60, "avg120": avg120, "avg240": avg240, "avg420": avg420, "avg480": avg480,
"avg1500": avg1500,
"disparity_avg5": disparity_avg5, "disparity_avg20": disparity_avg20,
"disparity_avg30": disparity_avg30, "disparity_avg60": disparity_avg60,
@@ -273,7 +275,7 @@ class HTS_etf(HTS):
"ymd": point_temp,
"open": open, "high": high, "low": low, "close": close, "volume": volume,
"trend": trend, "trend_avg": trend_avg,
"avg5": avg5, "avg20": avg20, "avg60": avg60, "avg120": avg120, "avg240": avg240, "avg480": avg480,
"avg5": avg5, "avg20": avg20, "avg60": avg60, "avg120": avg120, "avg240": avg240, "avg420": avg420, "avg480": avg480,
"avg1500": avg1500,
"disparity_avg5": disparity_avg5, "disparity_avg20": disparity_avg20,
"disparity_avg30": disparity_avg30, "disparity_avg60": disparity_avg60,
@@ -422,26 +424,46 @@ class HTS_etf(HTS):
disparity = {
'avg': {},
"limit_top_1": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None, "avg1500": None},
"limit_bottom_1": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None, "avg1500": None},
"limit_top_3": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None, "avg1500": None},
"limit_bottom_3": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None, "avg1500": None},
"limit_top_5": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None, "avg1500": None},
"limit_bottom_5": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None, "avg1500": None},
"limit_top_10": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None, "avg1500": None},
"limit_bottom_10": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None, "avg1500": None},
"limit_top_20": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None, "avg1500": None},
"limit_bottom_20": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None, "avg1500": None},
"limit_top_20": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None, "avg1500": None},
"limit_bottom_20": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None, "avg1500": None},
"limit_top_20": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None, "avg1500": None},
"limit_bottom_20": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None, "avg1500": None},
"limit_top_30": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None, "avg1500": None},
"limit_bottom_30": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None, "avg1500": None},
"limit_top_40": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None, "avg1500": None},
"limit_bottom_40": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None, "avg1500": None},
"limit_top_99": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None, "avg1500": None},
"limit_bottom_99": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None, "avg1500": None}
"limit_top_1": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None,
"avg1500": None},
"limit_bottom_1": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None,
"avg480": None, "avg1500": None},
"limit_top_3": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None,
"avg1500": None},
"limit_bottom_3": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None,
"avg480": None, "avg1500": None},
"limit_top_5": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None,
"avg1500": None},
"limit_bottom_5": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None,
"avg480": None, "avg1500": None},
"limit_top_10": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None,
"avg1500": None},
"limit_bottom_10": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None,
"avg480": None, "avg1500": None},
"limit_top_20": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None,
"avg1500": None},
"limit_bottom_20": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None,
"avg480": None, "avg1500": None},
"limit_top_20": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None,
"avg1500": None},
"limit_bottom_20": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None,
"avg480": None, "avg1500": None},
"limit_top_20": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None,
"avg1500": None},
"limit_bottom_20": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None,
"avg480": None, "avg1500": None},
"limit_top_30": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None,
"avg1500": None},
"limit_bottom_30": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None,
"avg480": None, "avg1500": None},
"limit_top_98": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None,
"avg1500": None},
"limit_bottom_98": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None,
"avg480": None, "avg1500": None},
"limit_top_99": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None, "avg480": None,
"avg1500": None},
"limit_bottom_99": {"avg5": None, "avg20": None, "avg60": None, "avg120": None, "avg240": None,
"avg480": None, "avg1500": None}
}
disparity['avg'] = avg
disparity_1500 = sorted(list(set(avg['avg1500'])), reverse=True)
@@ -452,39 +474,28 @@ class HTS_etf(HTS):
disparity_20 = sorted(list(set(avg['avg20'])), reverse=True)
disparity_5 = sorted(list(set(avg['avg5'])), reverse=True)
poses = [1, 3, 5, 10, 20, 30, 40, 99]
poses = [1, 3, 5, 10, 20, 30, 98, 99]
for pos in poses:
loc = pos
if pos == 99:
pos = int(len(disparity_20) * 0.03)
disparity['limit_top_99']['avg1500'] = disparity_1500[pos - 1]
disparity['limit_bottom_99']['avg1500'] = disparity_1500[len(disparity_1500) - pos - 1]
disparity['limit_top_99']['avg480'] = disparity_480[pos]
disparity['limit_bottom_99']['avg480'] = disparity_480[len(disparity_480) - pos - 1]
disparity['limit_top_99']['avg240'] = disparity_240[pos]
disparity['limit_bottom_99']['avg240'] = disparity_240[len(disparity_240) - pos - 1]
disparity['limit_top_99']['avg120'] = disparity_120[pos]
disparity['limit_bottom_99']['avg120'] = disparity_120[len(disparity_120) - pos - 1]
disparity['limit_top_99']['avg60'] = disparity_60[pos]
disparity['limit_bottom_99']['avg60'] = disparity_60[len(disparity_60) - pos - 1]
disparity['limit_top_99']['avg20'] = disparity_20[pos]
disparity['limit_bottom_99']['avg20'] = disparity_20[len(disparity_20) - pos - 1]
disparity['limit_top_99']['avg5'] = disparity_5[pos]
disparity['limit_bottom_99']['avg5'] = disparity_5[len(disparity_5) - pos - 1]
else:
disparity['limit_top_' + str(pos)]['avg1500'] = disparity_1500[pos - 1]
disparity['limit_bottom_' + str(pos)]['avg1500'] = disparity_1500[len(disparity_1500) - pos - 1]
loc = int(len(disparity_20) * 0.03)
elif pos == 98:
loc = int(len(disparity_20) * 0.05)
disparity['limit_top_' + str(pos)]['avg1500'] = disparity_1500[loc - 1]
disparity['limit_bottom_' + str(pos)]['avg1500'] = disparity_1500[len(disparity_1500) - loc - 1]
disparity['limit_top_' + str(pos)]['avg480'] = disparity_480[pos]
disparity['limit_bottom_' + str(pos)]['avg480'] = disparity_480[len(disparity_480) - pos - 1]
disparity['limit_bottom_' + str(pos)]['avg480'] = disparity_480[len(disparity_480) - loc - 1]
disparity['limit_top_' + str(pos)]['avg240'] = disparity_240[pos]
disparity['limit_bottom_' + str(pos)]['avg240'] = disparity_240[len(disparity_240) - pos - 1]
disparity['limit_bottom_' + str(pos)]['avg240'] = disparity_240[len(disparity_240) - loc - 1]
disparity['limit_top_' + str(pos)]['avg120'] = disparity_120[pos]
disparity['limit_bottom_' + str(pos)]['avg120'] = disparity_120[len(disparity_120) - pos - 1]
disparity['limit_bottom_' + str(pos)]['avg120'] = disparity_120[len(disparity_120) - loc - 1]
disparity['limit_top_' + str(pos)]['avg60'] = disparity_60[pos]
disparity['limit_bottom_' + str(pos)]['avg60'] = disparity_60[len(disparity_60) - pos - 1]
disparity['limit_bottom_' + str(pos)]['avg60'] = disparity_60[len(disparity_60) - loc - 1]
disparity['limit_top_' + str(pos)]['avg20'] = disparity_20[pos]
disparity['limit_bottom_' + str(pos)]['avg20'] = disparity_20[len(disparity_20) - pos - 1]
disparity['limit_bottom_' + str(pos)]['avg20'] = disparity_20[len(disparity_20) - loc - 1]
disparity['limit_top_' + str(pos)]['avg5'] = disparity_5[pos]
disparity['limit_bottom_' + str(pos)]['avg5'] = disparity_5[len(disparity_5) - pos - 1]
disparity['limit_bottom_' + str(pos)]['avg5'] = disparity_5[len(disparity_5) - loc - 1]
return disparity

66
hts/BuySellChecker.py
View File

@@ -124,7 +124,8 @@ class BuySellChecker():
check = False
duration = 5 + 60
if duration < i:
if np.average(data['trend_avg'][i - duration:i]) < data['trend_avg'][i]:
if np.average(data['trend_avg'][i - duration:i]) < data['trend_avg'][i] and data['avg1500'][i] < \
data['trend_avg'][i]:
if np.average(data['avg480'][i - duration:i]) < data['avg480'][i]:
if data['avg480'][i] < data['trend_avg'][i]:
@@ -142,20 +143,27 @@ class BuySellChecker():
buy_type = 'upward'
check = True
if data['disparity_avg20'][i] < BUY_LIST['disparity']['limit_bottom_1']['avg20']:
buy_type = 'disparity_avg20'
max_value = np.max(data['close'][i - 3000:i])
min_value = np.min(data['close'][i - 3000:i])
if 0.1 < (max_value - min_value) / max_value:
if data['close'][i - 1] < data['trend_avg'][i - 1] and data['trend_avg'][i] < data['close'][i]:
buy_type = 'trend_close'
check = True
if data['disparity_avg60'][i] < BUY_LIST['disparity']['limit_bottom_1']['avg60']:
buy_type = 'disparity_avg60'
if data['disparity_avg20'][i] < BUY_LIST['disparity']['limit_bottom_5']['avg20']:
buy_type = 'disparity_avg'
check = True
if data['disparity_avg480'][i] < BUY_LIST['disparity']['limit_bottom_3']['avg480']:
buy_type = 'disparity_avg1500'
if data['disparity_avg60'][i] < BUY_LIST['disparity']['limit_bottom_5']['avg60']:
buy_type = 'disparity_avg'
check = True
if data['disparity_avg1500'][i] < BUY_LIST['disparity']['limit_bottom_5']['avg1500']:
buy_type = 'disparity_avg1500'
if data['disparity_avg480'][i] < BUY_LIST['disparity']['limit_bottom_10']['avg480']:
buy_type = 'disparity_avg'
check = True
if data['disparity_avg1500'][i] < BUY_LIST['disparity']['limit_bottom_20']['avg1500']:
buy_type = 'disparity_avg'
check = True
if check:
@@ -176,41 +184,65 @@ class BuySellChecker():
sell_price, sell_count, sell_type = -1, -1, ''
check = False
sell_count_disparity_avg = 0
sell_count_trend_close = 0
if 0 < len(BUY_LIST['buy_list']):
# 매수한지 3시간 이내라면
if data['ymd'][i] - timedelta(hours=3) < BUY_LIST['buy_list'][-1]['buy_ymd']:
if data['avg480'][i - 1] <= data['avg420'][i] and data['avg420'][i] < data['avg480'][i]:
sell_count_trend_close = sum(
[price['buy_count'] for price in BUY_LIST['buy_list'] if price['buy_type'] == 'trend_close'])
if 0 < sell_count_trend_close:
check = True
# 매수한지 12시간 이내라면
if data['ymd'][i] - timedelta(hours=12) < BUY_LIST['buy_list'][-1]['buy_ymd']:
if BUY_LIST['disparity']['limit_top_3']['avg20'] < data['disparity_avg20'][i]:
sell_count_disparity_avg = sum(
[price['buy_count'] for price in BUY_LIST['buy_list'] if price['buy_type'] == 'disparity_avg'])
check = True
if BUY_LIST['disparity']['limit_top_3']['avg60'] < data['disparity_avg60'][i]:
sell_count_disparity_avg = sum(
[price['buy_count'] for price in BUY_LIST['buy_list'] if price['buy_type'] == 'disparity_avg'])
check = True
if BUY_LIST['disparity']['limit_top_5']['avg480'] < data['disparity_avg480'][i]:
sell_count_disparity_avg = sum(
[price['buy_count'] for price in BUY_LIST['buy_list'] if price['buy_type'] == 'disparity_avg'])
check = True
if BUY_LIST['disparity']['limit_top_10']['avg1500'] < data['disparity_avg1500'][i]:
sell_count_disparity_avg = sum(
[price['buy_count'] for price in BUY_LIST['buy_list'] if price['buy_type'] == 'disparity_avg'])
check = True
else:
# 매수한지 3시간 이후라면
if BUY_LIST['buy_list'][-1]['buy_price'] * 1.002 < data['close'][i]:
# 매수한지 12시간 이후라면
if BUY_LIST['buy_list'][-1]['buy_price'] * 1.004 < data['close'][i]:
if BUY_LIST['disparity']['limit_top_99']['avg20'] < data['disparity_avg20'][i]:
sell_count_disparity_avg = sum([price['buy_count'] for price in BUY_LIST['buy_list'] if
price['buy_type'] == 'disparity_avg'])
check = True
if BUY_LIST['disparity']['limit_top_99']['avg60'] < data['disparity_avg60'][i]:
sell_count_disparity_avg = sum([price['buy_count'] for price in BUY_LIST['buy_list'] if
price['buy_type'] == 'disparity_avg'])
check = True
if BUY_LIST['disparity']['limit_top_99']['avg480'] < data['disparity_avg480'][i]:
sell_count_disparity_avg = sum([price['buy_count'] for price in BUY_LIST['buy_list'] if
price['buy_type'] == 'disparity_avg'])
check = True
if BUY_LIST['disparity']['limit_top_99']['avg1500'] < data['disparity_avg1500'][i]:
sell_count_disparity_avg = sum([price['buy_count'] for price in BUY_LIST['buy_list'] if
price['buy_type'] == 'disparity_avg'])
check = True
if check:
sell_price = data['close'][i]
sell_count = sum([price['buy_count'] for price in BUY_LIST['buy_list']])
sell_count = sell_count_disparity_avg + sell_count_trend_close
return sell_price, sell_count, sell_type
@@ -243,7 +275,8 @@ class BuySellChecker():
bsLine['buy_type'] = [buy_type]
if 0 < buy_price:
BUY_LIST['buy_list'].append({'buy_ymd': buy_ymd, 'buy_price': buy_price, 'buy_count': buy_count, 'buy_cut': buy_cut, 'buy_type': buy_type})
BUY_LIST['buy_list'].append(
{'buy_ymd': buy_ymd, 'buy_price': buy_price, 'buy_count': buy_count, 'buy_cut': buy_cut, 'buy_type': buy_type})
else:
# Type=False, 시뮬레이션 적용
bsLine['buy_ymd'] = [-1 for i in range(size)]
@@ -273,7 +306,8 @@ class BuySellChecker():
bsLine['buy_type'][last_index] = buy_type
if 0 < buy_price:
BUY_LIST['buy_list'].append({'buy_ymd': buy_ymd, 'buy_price': buy_price, 'buy_count': buy_count, 'buy_cut': buy_cut, 'buy_type': buy_type})
BUY_LIST['buy_list'].append(
{'buy_ymd': buy_ymd, 'buy_price': buy_price, 'buy_count': buy_count, 'buy_cut': buy_cut, 'buy_type': buy_type})
else:
bsLine['buy_price'] = [-1]