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package strategies
import (
"gitee.com/quant1x/engine/config"
"gitee.com/quant1x/engine/factors"
"gitee.com/quant1x/engine/models"
"gitee.com/quant1x/engine/realtime"
"gitee.com/quant1x/engine/utils"
"gitee.com/quant1x/gotdx/securities"
"gitee.com/quant1x/gox/concurrent"
"gitee.com/quant1x/gox/logger"
"gitee.com/quant1x/pandas"
. "gitee.com/quant1x/pandas/formula"
)
const (
// MaximumResultDays 结果最大天数
MaximumResultDays int = 3
)
func init() {
err := models.Register(ModelNo1{})
if err != nil {
logger.Fatalf("%+v", err)
}
}
// ModelNo1 1号模型
//
// FormulaNo1 3天内5天线上穿10天线,10天线上穿20天线的个股
// count(cross(MA(c,5),MA(c,10)),3)>=1 and count(cross(MA(c,10),MA(c,20)),3)>=1
type ModelNo1 struct {
}
func (m ModelNo1) Code() models.ModelKind {
return models.ModelHousNo1
}
func (m ModelNo1) Name() string {
return models.MapStrategies[m.Code()].Name
}
func (m ModelNo1) OrderFlag() string {
return models.OrderFlagTail
}
func (m ModelNo1) Filter(ruleParameter config.RuleParameter, snapshot factors.QuoteSnapshot) error {
return GeneralFilter(ruleParameter, snapshot)
}
func (m ModelNo1) Sort(snapshots []factors.QuoteSnapshot) models.SortedStatus {
_ = snapshots
return models.SortDefault
}
func (m ModelNo1) Evaluate(securityCode string, result *concurrent.TreeMap[string, models.ResultInfo]) {
history := factors.GetL5History(securityCode)
if history == nil {
return
}
snapshot := models.GetStrategySnapshot(securityCode)
if snapshot == nil {
return
}
// 取出昨日的数据
r1MA5 := history.MA5
r1MA10 := history.MA10
r1MA20 := history.MA20
ma5 := realtime.IncrementalMovingAverage(history.MA4, 5, snapshot.Price)
ma10 := realtime.IncrementalMovingAverage(history.MA9, 10, snapshot.Price)
ma20 := realtime.IncrementalMovingAverage(history.MA19, 20, snapshot.Price)
// 组织series
s5 := pandas.ToSeries(r1MA5, ma5)
s10 := pandas.ToSeries(r1MA10, ma10)
s20 := pandas.ToSeries(r1MA20, ma20)
// 两个金叉
c1 := CROSS(s5, s10)
c2 := CROSS(s10, s20)
// 横向对比
d := c1.And(c2)
s := utils.BoolIndexOf(d, -1)
if s {
price := snapshot.Price
date := snapshot.Date
result.Put(securityCode, models.ResultInfo{Code: securityCode,
Name: securities.GetStockName(securityCode),
Date: date,
Rate: 0.00,
Buy: price,
Sell: price * 1.05,
StrategyCode: m.Code(),
StrategyName: m.Name()})
}
}
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