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feature_misc_kline_shape.go 6.93 KB
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王布衣 提交于 2024-01-11 11:15 . 适配exchange工具包
package factors
import (
"gitee.com/quant1x/engine/cache"
"gitee.com/quant1x/engine/utils"
"gitee.com/quant1x/exchange"
"gitee.com/quant1x/gox/num"
"gitee.com/quant1x/pandas"
. "gitee.com/quant1x/pandas/formula"
"gitee.com/quant1x/pandas/stat"
"math"
)
// ShapeType K线形态类型
type ShapeType = uint64
const (
KLineShapeYiZi ShapeType = 1 << iota // 1一字
KLineShapeLimitUp // 2涨停板
KLineShapeLimitDown // 3跌停板
KLineShapeNoChanged // 4平盘
KLineShapeUp // 5上涨
KLineShapeDown // 6下跌
KLineShapeDoji // 7十字星
KLineShapeLongUpShadow // 8长上影线
KLineShapeLongDownShadow // 9长下影线
KLineShapeDaYangLine // 10大阳线
KLineShapeDaYinLine // 11大阴线
KLineShapeZhongYangLine // 12中阳线
KLineShapeZhongYinLine // 13中阴线
KLineShapeXiaoYangLine // 14小阳线
KLineShapeXiaoYinLine // 15小阴线
KLineShapeNotLimitUp // 16炸板, 曾涨停
KLineShapeNotLimitDown // 17曾跌停
KLineShapeShrinkToHalf // 18第3日缩量到一半
KLineShapeGrabChipInFinalRound // 19尾盘抢筹
KLineShapeChant // 20吟唱, 蓄力 配合大阳线
KLineShapeStepBackDailyMA // 21日线-连续2个周期回踩均线
KLineShapeStepBackWeeklyMA // 22周线-连续2个周期回踩均线
KLineShapeStepBackMonthlyMA // 23月线-连续2个周期回踩均线
)
// K线实体大小
const (
kBoxLarge = float64(4.50) // 大
kBoxMedium = float64(1.50) // 中
kBoxSmall = float64(0.00) // 小
kBoxDojiHeight = float64(0.50) // 十字星K线实体最大比例
)
// KLineShape K线形态
func KLineShape(df pandas.DataFrame, securityCode string) (shape ShapeType) {
if df.Nrow() <= cache.KLineMin {
return
}
var (
VOLs = df.ColAsNDArray("volume")
HIGHs = df.ColAsNDArray("high")
OPENs = df.ColAsNDArray("open")
CLOSEs = df.ColAsNDArray("close")
)
// 1. 捡出基本数据
m := df.IndexOf(-1)
// 1.1 最高价
tmpValue, _ := m["high"]
HIGH := stat.AnyToFloat64(tmpValue)
// 1.2 最低价
tmpValue, _ = m["low"]
LOW := stat.AnyToFloat64(tmpValue)
// 1.3 开盘价
tmpValue, _ = m["open"]
OPEN := stat.AnyToFloat64(tmpValue)
// 1.4 收盘价
tmpValue, _ = m["close"]
CLOSE := stat.AnyToFloat64(tmpValue)
// 1.5 昨日收盘价
//tmpValue, _ = m["last_close"]
//LAST_CLOSE := stat.AnyToFloat64(tmpValue)
LAST_CLOSE := utils.SeriesIndexOf(CLOSEs, -2)
// 2. 判断基本形态
if CLOSE > LAST_CLOSE {
// 2.1 上涨
shape |= KLineShapeUp
} else if CLOSE < LAST_CLOSE {
// 2.2 下跌
shape |= KLineShapeDown
} else {
// 2.3 平盘
shape |= KLineShapeNoChanged
}
// 3. 一字
if OPEN == CLOSE && HIGH == LOW && OPEN == HIGH {
// 3.1 一字
shape |= KLineShapeYiZi
}
// 4 判断是否涨跌停板
limitRate := exchange.MarketLimit(securityCode)
lastClose := num.Decimal(LAST_CLOSE)
lastHigh := num.Decimal(HIGH)
lastLow := num.Decimal(LOW)
priceLimitUp := num.Decimal(lastClose * (1.000 + limitRate))
priceLimitDown := num.Decimal(lastClose * (1.000 - limitRate))
price := num.Decimal(CLOSE)
if price == priceLimitUp {
// 4.1 涨停板
shape |= KLineShapeLimitUp
} else if lastHigh == priceLimitUp {
// 4.2 炸板
shape |= KLineShapeNotLimitUp
} else if price == priceLimitDown {
// 4.2 跌停板
shape |= KLineShapeLimitDown
} else if lastLow == priceLimitDown {
// 4.4 曾跌停
shape |= KLineShapeNotLimitDown
}
// 5. 十字星
boxHeight := num.ChangeRate(LAST_CLOSE, math.Abs(OPEN-CLOSE)) * 100
doji := math.Abs(boxHeight) < kBoxDojiHeight && HIGH > LOW
if doji {
shape |= KLineShapeDoji
}
// 6. 计算K线实体
boxTop := CLOSE
boxBottom := OPEN
// 6.1 确定K线实体顶部和底部
if CLOSE < OPEN {
boxTop, boxBottom = boxBottom, boxTop
}
// 7. 计算影线长度
shadowTop := HIGH - boxTop
shadowBottom := boxBottom - LOW
if shadowTop > shadowBottom {
// 7.1 长上影线
shape |= KLineShapeLongUpShadow
} else if shadowTop < shadowBottom {
// 7.2 长下影线
shape |= KLineShapeLongDownShadow
}
// 8. 判断K线的大小
changeRate := num.NetChangeRate(OPEN, CLOSE)
if changeRate >= kBoxLarge {
// 8.1 大阳线
shape |= KLineShapeDaYangLine
} else if changeRate <= -kBoxLarge {
// 8.2 大阴线
shape |= KLineShapeDaYinLine
} else if changeRate >= kBoxMedium {
// 8.3 中阳线
shape |= KLineShapeZhongYangLine
} else if changeRate <= -kBoxMedium {
// 8.4 中阴线
shape |= KLineShapeZhongYinLine
} else if changeRate >= kBoxSmall {
// 8.5 小阳线
shape |= KLineShapeXiaoYangLine
} else if changeRate <= -kBoxSmall {
// 8.6 小阴线
shape |= KLineShapeXiaoYinLine
}
// 9. 成交量判断
hv3 := HHV(VOLs, 5) // 5日内最大的量
hh3 := HHV(HIGHs, 5)
hx1 := REF(VOLs, 2).Eq(hv3)
hx2 := REF(HIGHs, 2).Eq(hh3)
hvn := BARSLAST(hx1.And(hx2))
x1 := hvn.Eq(0) // __+__
x2 := hv3.Div(VOLs).Gte(2.00)
x := x1.And(x2)
//DATE := df.Col("date")
//df1 := pandas.NewDataFrame(DATE, hv3, hvn, x1, x2, x)
//fmt.Println(df1)
if x.IndexOf(-1).(bool) {
shape |= KLineShapeShrinkToHalf
}
// 10. 尾盘抢筹
tmpValue, _ = m["open_turnz"]
openTurnZ := stat.AnyToFloat64(tmpValue)
tmpValue, _ = m["close_turnz"]
closeTurnZ := stat.AnyToFloat64(tmpValue)
if openTurnZ > 0 && closeTurnZ > 0 && closeTurnZ > openTurnZ {
shape |= KLineShapeGrabChipInFinalRound
}
// 11. 吟唱, 蓄力
//LZL:VOL/REF(VOL,1) -1,NODRAW;
//BOXH:=MAX(OPEN,CLOSE);
//BOXL:=MIN(OPEN,CLOSE);
//C1:REF(LZL>=1,1),NODRAW;
//C2:CLOSE>=REF((BOXH+BOXL)/2,1),NODRAW;
//
lzl := VOLs.Div(REF(VOLs, 1)).Sub(1.00) // 立桩量
boxHalf := ABS(CLOSEs.Add(OPENs)).Div(2.00)
xc1 := REF(lzl, 1).Gte(1.00)
xc2 := CLOSEs.Gte(REF(boxHalf, 1))
xc3 := lzl.Lt(0).And(HIGHs.Lte(REF(HIGHs, 1)))
if xc1.And(xc2).And(xc3).IndexOf(-1).(bool) {
shape |= KLineShapeChant
}
//DATE := df.Col("date")
//df1 := pandas.NewDataFrame(DATE, xc1, xc2, xc3)
//fmt.Println(df1)
// 12. 趋势改变
//MA5:=MA(CLOSE,5);
//X1:=CLOSE>=MA5;
//C3:BARSLASTCOUNT(X1),NODRAW;
//B:(REF(C3,1)>=2) AND LOW<=MA5,NODRAW;
//DRAWICON(B,50,1);
//X2:=CLOSE<MA5;
//C4:BARSLASTCOUNT(X2),NODRAW;
//S:(REF(C4,1)>=2) AND HIGH>MA5,NODRAW;
//DRAWICON(S,50,2);
//DRAWICON(CLOSE<MA5,90,8);
// 吊顶线
//OUT:HIGH=MAX(OPEN,CLOSE)&&
//HIGH-LOW>3*(HIGH-MIN(OPEN,CLOSE))&&
//CLOSE>MA(CLOSE,5);
// 倒转锤头
// KSTAR:MIN(OPEN,CLOSE)=LOW&&
//HIGH-LOW>3*(MAX(OPEN,CLOSE)-LOW)&&
//CLOSE<MA(CLOSE,5);
return shape
}
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