# -*- encoding:utf-8 -*- import numpy as np from keras.models import load_model import joblib def read_data(path): stock_lines = {} with open(path) as f: for line in f.readlines()[:]: line = eval(line.strip()) stock = str(line[-2][0]) if stock in stock_lines: stock_lines[stock].append(line) else: stock_lines[stock] = [line] # print(len(day_lines['20191230'])) return stock_lines import pymongo from util.mongodb import get_mongo_table_instance code_table = get_mongo_table_instance('tushare_code') k_table = get_mongo_table_instance('stock_day_k') def predict(file_path='', model_path='15min_dnn_seq'): stock_lines = read_data(file_path) print('数据读取完毕') models = [] models.append(load_model(model_path + '.h5')) # estimator = joblib.load('km_dmi_18.pkl') print('模型加载完毕') total_money = 0 total_num = 0 items = sorted(stock_lines.keys()) for key in items: # print(day) lines = stock_lines[key] init_money = 10000 last_price = 1 if lines[0][-2][0].startswith('6'): continue buy = 0 # 0空 1买入 2卖出 chiyou_0 = 0 high_price = 0 x = 24 # 每条数据项数 k = 18 # 周期 for line in lines: # v = line[1:x*k + 1] # v = np.array(v) # v = v.reshape(k, x) # v = v[:,6:10] # v = v.reshape(1, 4*k) # print(v) # r = estimator.predict(v) test_x = np.array([line[:-2]]) test_x_a = test_x[:,:18*24] test_x_a = test_x_a.reshape(test_x.shape[0], 18, 24, 1) test_x_b = test_x[:, 18*24:18*24+2*18] test_x_b = test_x_b.reshape(test_x.shape[0], 18, 2, 1) test_x_c = test_x[:,18*24+2*18:] result = models[0].predict([test_x_c, test_x_a, test_x_b]) stock_name = line[-2] today_price = list(k_table.find({'code':line[-2][0], 'tradeDate':{'$gt':int(line[-2][1])}}).sort('tradeDate',pymongo.ASCENDING).limit(1)) today_price = today_price[0] if result[0][0] + result[0][1] > 0.7: chiyou_0 = 0 if buy == 0: last_price = today_price['open'] high_price = last_price print('首次买入', stock_name, today_price['open']) buy = 1 else: init_money = init_money * (today_price['close'] - last_price)/last_price + init_money last_price = today_price['close'] print('买入+买入', stock_name, today_price['close']) buy = 1 if last_price > high_price: high_price = last_price elif buy == 1: chiyou_0 = chiyou_0 + 1 if chiyou_0 > 2 and ((high_price - today_price['close'])/high_price*100 > 5): print('卖出', stock_name, today_price['close']) init_money = init_money * (today_price['close'] - last_price)/last_price + init_money buy = 0 chiyou_0 = 0 if init_money < 9000: print('止损卖出', stock_name, today_price['close']) init_money = init_money * (today_price['close'] - last_price)/last_price + init_money buy = 0 chiyou_0 = 0 else: print('继续持有', stock_name, today_price['close']) init_money = init_money * (today_price['close'] - last_price)/last_price + init_money buy = 1 last_price = today_price['close'] if last_price > high_price: high_price = last_price print(key, init_money) with open('D:\\data\\quantization\\stock_18_18d' + '_' + 'profit.log', 'a') as f: if init_money > 10000: f.write(str(key) + ' ' + str(init_money) + '\n') elif init_money < 10000: f.write(str(key) + ' ' + str(init_money) + '\n') if init_money != 10000: total_money = total_money + init_money total_num = total_num + 1 print(total_money, total_num, total_money/total_num/10000) if __name__ == '__main__': predict(file_path='D:\\data\\quantization\\stock18_18d_test.log', model_path='18_18d_mix_seq')