ABU量化系统使用文档

In [1]:

    

# 基础库导入，注意第一次运行时会比较慢，要做数据的解压等处理操作
from __future__ import print_function
from __future__ import division

import warnings
warnings.filterwarnings('ignore')
warnings.simplefilter('ignore')
    
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
%matplotlib inline
import os
import sys
# 使用insert 0即只使用github，避免交叉使用了pip安装的abupy，导致的版本不一致问题
sys.path.insert(0, os.path.abspath('../'))
import abupy


    

In [2]:

    

# 使用沙盒数据，目的是和书中一样的数据环境
abupy.env.enable_example_env_ipython()


    

    




enable example env will only read RomDataBu/df_kl.h5

In [4]:

    

from abupy import ABuSymbolPd
ABuSymbolPd.make_kl_df('usJD') is None


    

    
Out[4]:





True

In [5]:

    

abupy.env.disable_example_env_ipython()
us_jd = ABuSymbolPd.make_kl_df('usJD')
# 再次开启沙盒环境，本节的示例都是在沙盒数据环境下运行
abupy.env.enable_example_env_ipython()
tail = None
if us_jd is not None:
    tail = us_jd.tail()
tail


    

    




disable example env
enable example env will only read RomDataBu/df_kl.h5






    
Out[5]:






  

    

      

      
close
      
high
      
low
      
p_change
      
open
      
pre_close
      
volume
      
date
      
date_week
      
atr21
      
atr14
      
key
    
  
  

    

      
2017-08-14
      
44.25
      
45.45
      
43.06
      
-3.595
      
45.00
      
45.90
      
36778831
      
20170814
      
0
      
1.9552
      
2.0741
      
496
    
    

      
2017-08-15
      
44.05
      
44.98
      
43.26
      
-0.452
      
44.94
      
44.25
      
18834737
      
20170815
      
1
      
2.0174
      
2.1496
      
497
    
    

      
2017-08-16
      
43.65
      
44.95
      
43.46
      
-0.908
      
44.47
      
44.05
      
14150306
      
20170816
      
2
      
1.9695
      
2.0616
      
498
    
    

      
2017-08-17
      
40.80
      
43.15
      
40.75
      
-6.529
      
43.04
      
43.65
      
30668993
      
20170817
      
3
      
2.0904
      
2.2267
      
499
    
    

      
2017-08-18
      
40.13
      
41.17
      
39.93
      
-1.642
      
41.06
      
40.80
      
19114597
      
20170818
      
4
      
2.2386
      
2.4258
      
500
    
  

In [3]:

    

from abupy import AbuFactorBuyXD, BuyCallMixin

class AbuFactorBuyBreak(AbuFactorBuyXD, BuyCallMixin):
    """示例继承AbuFactorBuyXD完成正向突破买入择时类, 混入BuyCallMixin，即向上突破触发买入event"""
    def fit_day(self, today):
        """
        针对每一个交易日拟合买入交易策略，寻找向上突破买入机会
        :param today: 当前驱动的交易日金融时间序列数据
        :return:
        """
        # 今天的收盘价格达到xd天内最高价格则符合买入条件
        if today.close == self.xd_kl.close.max():
            # 生成买入订单, 由于使用了今天的收盘价格做为策略信号判断，所以信号发出后，只能明天买
            return self.buy_tomorrow()
        return None


    

In [4]:

    

from abupy import AbuBenchmark
from abupy import AbuCapital

# buy_factors 60日向上突破，42日向上突破两个因子
buy_factors = [{'xd': 60, 'class': AbuFactorBuyBreak}, 
               {'xd': 42, 'class': AbuFactorBuyBreak}]
benchmark = AbuBenchmark()
capital = AbuCapital(1000000, benchmark)


    

In [5]:

    

from abupy import ABuPickTimeExecute
orders_pd, action_pd, _ = ABuPickTimeExecute.do_symbols_with_same_factors(['usTSLA'],
                                                                            benchmark,
                                                                            buy_factors,
                                                                            None,
                                                                            capital, show=True)


    

    




pid:88431 pick times complete:100.0%






    













    




pid:88431 done!

In [9]:

    

from abupy import AbuFactorSellXD, ESupportDirection

class AbuFactorSellBreak(AbuFactorSellXD):
    """示例继承AbuFactorBuyXD, 向下突破卖出择时因子"""
    def support_direction(self):
        """支持的方向，只支持正向"""
        return [ESupportDirection.DIRECTION_CAll.value]

    def fit_day(self, today, orders):
        """
        寻找向下突破作为策略卖出驱动event
        :param today: 当前驱动的交易日金融时间序列数据
        :param orders: 买入择时策略中生成的订单序列
        """
        # 今天的收盘价格达到xd天内最低价格则符合条件
        if today.close == self.xd_kl.close.min():
            for order in orders:
                self.sell_tomorrow(order)


    

In [20]:

    

# 使用120天向下突破为卖出信号
sell_factor1 = {'xd': 120, 'class': AbuFactorSellBreak}

# buy_factors 60日向上突破，42日向上突破两个因子
buy_factors = [{'xd': 60, 'class': AbuFactorBuyBreak}, 
               {'xd': 42, 'class': AbuFactorBuyBreak}]

# 只使用120天向下突破为卖出因子
sell_factors = [sell_factor1]
capital = AbuCapital(1000000, benchmark)
orders_pd, action_pd, _ = ABuPickTimeExecute.do_symbols_with_same_factors(['usTSLA'],
                                                                            benchmark,
                                                                            buy_factors,
                                                                            sell_factors,
                                                                            capital, show=True)


    

    




pid:79549 pick times complete:100.0%






    













    




pid:4192 done!