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- # -*- 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 = []
- for x in range(0, 12):
- models.append(load_model(model_path + '_' + str(x) + '.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)
- train_x = np.array([line[:-2]])
- result = models[r[0]].predict(train_x)
- 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] > 0.5 or result[0][1] > 0.5: #and (r[0] not in [2,6,8,10]):
- chiyou_0 = 0
- print(r[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['open'])
- buy = 1
- if last_price > high_price:
- high_price = last_price
- elif result[0][3] > 0.5 or result[0][4] > 0.5:#and (r[0] not in [5,8]):
- if buy == 1:
- if chiyou_0 > 2 or init_money < 9000:
- init_money = init_money * (today_price['open'] - last_price)/last_price + init_money
- print('卖出', stock_name, today_price['open'])
- buy = 0
- chiyou_0 = 0
- # elif init_money > 15000 and 100*(today_price['close'] - high_price)/high_price < -15:
- # init_money = init_money * (today_price['open'] - last_price)/last_price + init_money
- # print('最高点回撤卖出', stock_name, today_price['open'])
- # buy = 0
- # chiyou_0 = 0
- else:
- init_money = init_money * (today_price['close'] - last_price)/last_price + init_money
- print('继续持有,不卖出', stock_name, today_price['close'])
- buy = 1
- chiyou_0 = chiyou_0 + 1
- if today_price['close'] > high_price:
- high_price = today_price['close']
- else:
- if buy == 1:
- init_money = (init_money * (today_price['close'] - last_price)/last_price) + init_money
- if init_money < 8500:
- print('止损卖出', stock_name, today_price['close'])
- buy = 0
- else:
- chiyou_0 = chiyou_0 + 1
- if init_money < 10500 and chiyou_0 > 1 and today_price['close'] < last_price:
- print('连续持有次数太多-- 卖出', stock_name, today_price['close'])
- buy = 0
- chiyou_0 = 0
- elif chiyou_0 > 2 and today_price['close'] < last_price:
- print('连续持有次数太多++ 卖出', stock_name, today_price['close'])
- buy = 0
- chiyou_0 = 0
- else:
- buy = 1
- print('持有', stock_name, today_price['close'])
- if today_price['close'] > high_price:
- high_price = today_price['close']
- last_price = today_price['close']
- else:
- # print('忽略')
- pass
- # 具有后验知识的存在,
- # if result[0][1] > 0.5 or result[0][2] > 0.5:
- # chiyou_0 = 0
- # if r[0] in [2,5,9,10,11]:
- # if buy == 0:
- # last_price = today_price['open']
- # print('首次买入', line[-2], today_price['open'])
- # buy = 1
- # elif buy == 1:
- # init_money = init_money * (today_price['close'] - last_price)/last_price + init_money
- # last_price = today_price['close']
- # print('买入+买入', line[-2], today_price['open'])
- # buy = 1
- # else:
- # last_price = today_price['close']
- # print('卖出后买入', line[-2], today_price['open'])
- # buy = 1
- # else:
- # if buy == 1:
- # init_money = init_money * (today_price['close'] - last_price)/last_price + init_money
- # last_price = today_price['close']
- # print('买入+买入', line[-2], today_price['open'])
- # buy = 1
- # elif result[0][1] > 0.5 or result[0][2] > 0.5:
- # # if r[0] in [0,1,3,4,6,7] and buy in [0,1]:
- # buy = 0
- # init_money = init_money * (today_price['close'] - last_price)/last_price + init_money
- # print('卖出', line[-2], today_price['close'])
- # else:
- # if buy == 1:
- # init_money = (init_money * (today_price['close'] - last_price)/last_price) + init_money
- # if init_money < 9000:
- # print('止损卖出', line[-2], today_price['close'])
- # buy = 0
- # else:
- # chiyou_0 = chiyou_0 + 1
- # if chiyou_0 > 5 and today_price['close'] < last_price:
- # print('连续持有次数太多 卖出', line[-2], today_price['close'])
- # buy = 0
- # else:
- # buy = 1
- # print('持有', line[-2], today_price['close'])
- # last_price = today_price['close']
- print(key, init_money)
- with open('D:\\data\\quantization\\stock_15_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\\stock6_5_test.log', model_path='5d_dnn_seq.h5')
- # predict(file_path='D:\\data\\quantization\\stock12_18d_test.log', model_path='12_18d_dnn_seq')
- predict(file_path='D:\\data\\quantization\\stock15_18d_test.log', model_path='15_18d_dnn_seq')
- # predict(file_path='D:\\data\\quantization\\stock12_18d_20190103_20190604.log', model_path='13_18d_dnn_seq')
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