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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 = []
- 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')
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