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dosangyoon
2021-10-15 03:01:53 +09:00
parent 0308f3838c
commit f3dcf2aeda
3 changed files with 74 additions and 98 deletions
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56
hts/BS.py
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@@ -16,6 +16,58 @@ class BS:
return
def getPriceAndWeight(self, data, i):
buy, weight, sell = -1, -1, -1
# sell 분석
if (data["High"][i] - data["Close"][i]) / 2 + data["Close"][i] > data["upper"][i]:
sell = data["High"][i]
if i > 300:
if data["High"][i] > data["upper"][i]:
sell = data["High"][i]
# buy 분석
if data["slow_k"][i] <= 36:
if data["Low"][i] < data["lower"][i]:
buy = data["Low"][i]
if data["slow_k"][i] <= 25:
if data["slow_k"][i - 1] < data["slow_d"][i - 1] and data["slow_d"][i] < data["slow_k"][i]:
buy = data["Low"][i]
if i < 40:
if data["slow_k"][i] < 25:
buy = data["Low"][i]
# weight 분석
# rsi가 rsis 위로 올라오며 15 이하일 경우 10배로 주문함 (14:30 이전)
if data["rsi"][i] < 15 and data["rsis"][i] < 15 and data["rsi"][i - 1] < data["rsis"][i - 1] and data["rsis"][i] < data["rsi"][i]:
buy = data["Low"][i]
weight = 4
if data["slow_k"][i] == 1:
weight = 4 # 8
elif data["slow_k"][i] in (2, 3):
weight = 3.5 # 7
elif data["slow_k"][i] in (4, 5, 6):
weight = 3 # 6
elif data["slow_k"][i] in (7, 8, 9, 10):
weight = 2.5 # 5
elif data["slow_k"][i] in (11, 12, 13, 14, 15):
weight = 2 # 4
elif data["slow_k"][i] in (16, 17, 18, 19, 20, 21):
weight = 1.5 # 3
elif data["slow_k"][i] in (22, 23, 24, 25, 26, 27, 28):
weight = 1 # 2
elif data["slow_k"][i] in (29, 30, 31, 32, 33, 34, 35, 36):
weight = 1
if data["rsi"][i] < 10:
weight = 3 # 8
if i <= 20:
weight = 1
return buy, weight, sell
def checkStatus(self, STOCK, last_index):
status = set()
@@ -235,7 +287,9 @@ class BS:
# stochastic 계산
stochastic_df = self.stochastic.apply(pd.DataFrame(STOCK))
stochastic_df = stochastic_df.fillna(100)
stochastic_df['fast_k'] = stochastic_df['fast_k'].fillna(float(stochastic_df['fast_k'].iloc[9]))
stochastic_df['slow_k'] = stochastic_df['slow_k'].fillna(float(stochastic_df['slow_k'].iloc[14]))
stochastic_df['slow_d'] = stochastic_df['slow_d'].fillna(float(stochastic_df['slow_d'].iloc[19]))
fast_k = stochastic_df['fast_k'].values.tolist()
slow_k = stochastic_df['slow_k'].values.tolist()
slow_d = stochastic_df['slow_d'].values.tolist()

63
hts/HTS.py
View File

@@ -531,45 +531,11 @@ class HTS:
bsLine['sell'] = [-1 for i in range(size)]
i = size - 1
if i > 20:
if data["High"][i] > data["upper"][i]:
bsLine['sell'][i] = data["High"][i]
if data["slow_k"][i] <= 36:
if data["Low"][i] < data["lower"][i]:
bsLine['buy'][i] = data["Close"][i] - 5
if data["slow_k"][i] <= 25:
if data["slow_k"][i - 1] < data["slow_d"][i - 1] and data["slow_d"][i] < data["slow_k"][i]:
bsLine['buy'][i] = data["Close"][i] - 5
# rsi가 rsis 위로 올라오며 15 이하일 경우 10배로 주문함 (14:30 이전)
if data["rsi"][i] < 15 and data["rsis"][i] < 15 and data["rsi"][i - 1] < data["rsis"][i - 1] and data["rsis"][i] < data["rsi"][i]:
bsLine['buy'][i] = data["Close"][i] - 5
bsLine['weight'][i] = 10
if data["slow_k"][i] == 1:
bsLine['weight'][i] = 8
elif data["slow_k"][i] in(2,3):
bsLine['weight'][i] = 7
elif data["slow_k"][i] in(4,5,6):
bsLine['weight'][i] = 6
elif data["slow_k"][i] in(7,8,9,10):
bsLine['weight'][i] = 5
elif data["slow_k"][i] in(11,12,13,14,15):
bsLine['weight'][i] = 4
elif data["slow_k"][i] in(16,17,18,19,20,21):
bsLine['weight'][i] = 3
elif data["slow_k"][i] in(22,23,24,25,26,27,28):
bsLine['weight'][i] = 2
elif data["slow_k"][i] in(29,30,31,32,33,34,35,36):
bsLine['weight'][i] = 1
if data["rsi"][i] < 10:
bsLine['weight'][i] = 8
if i <= 20:
bsLine['weight'][i] = 1
return bsLine['buy'][i], bsLine['weight'][i], bsLine['sell'][i]
return -1, -1, -1
buy, weight, sell = self.bs.getPriceAndWeight(data, i)
return buy, weight, sell
def getSellingPrice(self, final_price):
# 만약 잔고가 있으면 장부가보다 5원 높게 매도한다.
@@ -597,9 +563,6 @@ class HTS:
return 0, 0
def buyRealTime(self, stock_code, given_day):
PREVIOUS_PRICE = 0
BUY_COUNT = 200
timecheckList = pd.read_csv("timecheck.csv").values.tolist()
timecheck = {given_day + " " + str(second).zfill(6):False for second, check in timecheckList}
@@ -631,26 +594,12 @@ class HTS:
final_price = data["Close"][len(data["Close"])-1]
if bs_buy_price > 0:
if PREVIOUS_PRICE > 0:
if PREVIOUS_PRICE > bs_buy_price:
if BUY_COUNT > 240:
BUY_COUNT = 240
if BUY_COUNT < 140:
BUY_COUNT = 140
BUY_COUNT += 10
elif PREVIOUS_PRICE < bs_buy_price:
if BUY_COUNT > 260:
BUY_COUNT = 260
if BUY_COUNT < 160:
BUY_COUNT = 160
BUY_COUNT -= 10
PREVIOUS_PRICE = bs_buy_price
BUY_COUNT = int(200 * bs_weight)
# 매수 전에 모든 미체결을 취소한다.
self.cancelOrderList()
# self.cancelOrderList()
# 현재까지 매입금액이 7백만원 이하일 때만 매수를 한다.
self.requestOrder("2", stock_code, BUY_COUNT , bs_buy_price)
self.requestOrder("2", stock_code, bs_weight * BUY_COUNT , bs_buy_price)
print("BUY", second, BUY_COUNT, bs_buy_price)
if bs_sell_price > 0:

51
hts/Simulation.py
View File

@@ -50,41 +50,10 @@ class Simulation:
bsLine['sell'] = [-1 for i in range(size)]
for i in range(21, size-5):
if data["High"][i] > data["upper"][i]:
bsLine['sell'][i] = data["High"][i]
if data["slow_k"][i] <= 36:
if data["Low"][i] < data["lower"][i]:
bsLine['buy'][i] = data["Close"][i] - 5
if data["slow_k"][i] <= 25:
if data["slow_k"][i - 1] < data["slow_d"][i - 1] and data["slow_d"][i] < data["slow_k"][i]:
bsLine['buy'][i] = data["Close"][i] - 5
# rsi가 rsis 위로 올라오며 15 이하일 경우 10배로 주문함 (14:30 이전)
if data["rsi"][i] < 15 and data["rsis"][i] < 15 and data["rsi"][i - 1] < data["rsis"][i - 1] and data["rsis"][i] < data["rsi"][i]:
bsLine['buy'][i] = data["Close"][i] - 5
bsLine['weight'][i] = 10
if data["slow_k"][i] == 1:
bsLine['weight'][i] = 8
elif data["slow_k"][i] in(2,3):
bsLine['weight'][i] = 7
elif data["slow_k"][i] in(4,5,6):
bsLine['weight'][i] = 6
elif data["slow_k"][i] in(7,8,9,10):
bsLine['weight'][i] = 5
elif data["slow_k"][i] in(11,12,13,14,15):
bsLine['weight'][i] = 4
elif data["slow_k"][i] in(16,17,18,19,20,21):
bsLine['weight'][i] = 3
elif data["slow_k"][i] in(22,23,24,25,26,27,28):
bsLine['weight'][i] = 2
elif data["slow_k"][i] in(29,30,31,32,33,34,35,36):
bsLine['weight'][i] = 1
if data["rsi"][i] < 10:
bsLine['weight'][i] = 8
if i<=20:
bsLine['weight'][i] = 1
buy, weight, sell = self.bs.getPriceAndWeight(data, i)
bsLine['buy'][i] = buy
bsLine['weight'][i] = weight
bsLine['sell'][i] = sell
return bsLine
@@ -98,6 +67,7 @@ class Simulation:
data['Low'] = pd.to_numeric(data['Low'])
data['Close'] = pd.to_numeric(data['Close'])
data['Volume'] = pd.to_numeric(data['Volume'])
data['avg5'] = pd.to_numeric(data['avg5'])
data["fast_k"] = pd.to_numeric(data['fast_k'])
data["slow_k"] = pd.to_numeric(data['slow_k'])
data["slow_d"] = pd.to_numeric(data['slow_d'])
@@ -124,6 +94,7 @@ class Simulation:
sell_check = go.Scatter(x=data['Date'], y=sell_line, mode='markers', name="sell", marker=dict(size=14, color=sell_colors, line_width=0))
bolinger_upper = go.Scatter(x=data['Date'], y=data["upper"], name="upper", line_color='#8B4513')
bolinger_lower = go.Scatter(x=data['Date'], y=data["lower"], name="lower", line_color='#8B4513')
avg5 = go.Scatter(x=data['Date'], y=data["avg5"], name="avg5", line_color='#000000')
candle_stick = go.Candlestick(x=data['Date'], open=data['Open'], high=data['High'], low=data['Low'], close=data['Close'], increasing_line_color='red', decreasing_line_color='blue')
fast_k_line = go.Scatter(x=data['Date'], y=data["fast_k"], mode='lines', name='fast_k')
@@ -133,7 +104,7 @@ class Simulation:
rsis_line = go.Scatter(x=data['Date'], y=data["rsis"], mode='lines', name='rsis')
#candle_data = [candle_stick, bolinger_upper, bolinger_lower, buy_check, sell_check, avg1, avg2, avg5, avg10, avg20, avg30, avg40, avg50, avg60]
candle_data = [candle_stick, bolinger_upper, bolinger_lower, buy_check, sell_check]
candle_data = [candle_stick, bolinger_upper, bolinger_lower, avg5, buy_check, sell_check]
stochastic_data = [slow_k_line, slow_d_line]
rsi_data = [rsi_line, rsis_line]
@@ -189,11 +160,13 @@ if __name__ == "__main__":
RESOURCE_DIR = PROJECT_HOME + "/resources/analysis/"+today.strftime("%Y%m%d")
stock_codes = ["252670", "122630"]
given_days = ['20210901','20210902','20210903','20210906','20210907','20210908','20210909','20210910','20210913','20210914','20210915','20210916','20210917','20210923','20210924','20210927','20210928','20210929','20210930','20211001', '20211005']
given_days = ['20211008']
given_days = ['20210901','20210902','20210903','20210906','20210907','20210908','20210909','20210910','20210913',
'20210914','20210915','20210916','20210917','20210923','20210924','20210927','20210928','20210929',
'20210930','20211001', '20211005','20211006', '20211007','20211008', '20211012','20211013', '20211014']
simulation = Simulation()
simulation.simulate(stock_codes[0], given_days[0])
for given_day in given_days:
simulation.simulate(stock_codes[0], given_day)
print ("done...")