V0.9.27 更新一批代码 (#164)

* 0.9.27 first commit

* 0.9.27 新增一开多平策略编写样例

* 0.9.27 优化持仓权重回测

* 0.9.27 统一ensemble_method回调函数的输入

* 0.9.27 trader 对象新增 weight_backtest

* 0.9.27 新增两个信号函数

* 0.9.27 update

* 0.9.27 update

* 0.9.27 新增几个信号函数

.github/workflows/pythonpackage.yml

@@ -5,7 +5,7 @@ name: Python package
 
 on:
   push:
-    branches: [ master, V0.9.26 ]
+    branches: [ master, V0.9.27 ]
   pull_request:
     branches: [ master ]
 

.vscode/settings.json

@@ -17,4 +17,5 @@
         "120"
     ],
     "typescript.locale": "zh-CN",
+    "python.analysis.typeCheckingMode": "basic",
 }

czsc/__init__.py

@@ -29,10 +29,10 @@
 from czsc.utils.cache import home_path, get_dir_size, empty_cache_path
 
 
-__version__ = "0.9.26"
+__version__ = "0.9.27"
 __author__ = "zengbin93"
 __email__ = "zeng_bin8888@163.com"
-__date__ = "20230726"
+__date__ = "20230812"
 
 
 def welcome():

czsc/analyze.py

@@ -369,7 +369,8 @@ def ubi_fxs(self) -> List[FX]:
     @property
     def ubi(self):
         """Unfinished Bi，未完成的笔"""
-        if not self.bars_ubi or not self.bi_list:
+        ubi_fxs = self.ubi_fxs
+        if not self.bars_ubi or not self.bi_list or not ubi_fxs:
             return None
 
         bars_raw = [y for x in self.bars_ubi for y in x.raw_bars]
@@ -387,8 +388,8 @@ def ubi(self):
             "low_bar": low_bar,
             "bars": self.bars_ubi,
             "raw_bars": bars_raw,
-            "fxs": self.ubi_fxs,
-            "fx_a": self.ubi_fxs[0],
+            "fxs": ubi_fxs,
+            "fx_a": ubi_fxs[0],
         }
         return bi
 

czsc/signals/__init__.py

@@ -41,6 +41,9 @@
     cxt_eleven_bi_V230622,
     cxt_range_oscillation_V230620,
     cxt_intraday_V230701,
+    cxt_ubi_end_V230816,
+    cxt_bi_end_V230815,
+    cxt_bi_stop_V230815,
 )
 
 
@@ -198,6 +201,8 @@
     cat_macd_V230518,
     cat_macd_V230520,
     tas_macd_bc_V230803,
+    tas_macd_bc_V230804,
+    tas_macd_bc_ubi_V230804,
 )
 
 from czsc.signals.pos import (

czsc/signals/cxt.py

@@ -1863,7 +1863,7 @@ def cxt_intraday_V230701(cat: CzscSignals, **kwargs) -> OrderedDict:
     assert 21 > di > 0, "di必须为大于0小于21的整数，暂不支持当日走势分类"
     k1, k2, k3 = f"{freq1}#{freq2}_D{di}日_走势分类V230701".split('_')
     v1 = "其他"
-    if '30分钟' not in cat.kas.keys() or '日线' not in cat.kas.keys():
+    if not cat.kas or freq1 not in cat.kas.keys() or freq2 not in cat.kas.keys():
         return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
 
     c1, c2 = cat.kas[freq1], cat.kas[freq2]
@@ -1889,11 +1889,11 @@ def cxt_intraday_V230701(cat: CzscSignals, **kwargs) -> OrderedDict:
         zs1, zs2 = zs_list[0], zs_list[-1]
         zs1_high, zs1_low = max([x.high for x in zs1]), min([x.low for x in zs1])
         zs2_high, zs2_low = max([x.high for x in zs2]), min([x.low for x in zs2])
-        if _dir == "上涨" and zs1_high < zs2_low:
+        if _dir == "上涨" and zs1_high < zs2_low: # type: ignore
             v1 = f"双中枢{_dir}"
             return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
 
-        if _dir == "下跌" and zs1_low > zs2_high:
+        if _dir == "下跌" and zs1_low > zs2_high: # type: ignore
             v1 = f"双中枢{_dir}"
             return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
 
@@ -1908,3 +1908,139 @@ def cxt_intraday_V230701(cat: CzscSignals, **kwargs) -> OrderedDict:
         v1 = "转折平衡市"
 
     return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
+
+
+def cxt_ubi_end_V230816(c: CZSC, **kwargs) -> OrderedDict:
+    """当前是未完成笔的第几次新低或新高，用于笔结束辅助
+
+    参数模板："{freq}_UBI_BE辅助V230816"
+
+    **信号逻辑：**
+
+    以向上未完成笔为例：取所有顶分型，计算创新高的底分型数量N，如果当前K线创新高，则新高次数为N+1
+
+    **信号列表：**
+
+    - Signal('日线_UBI_BE辅助V230816_新低_第4次_任意_0')
+    - Signal('日线_UBI_BE辅助V230816_新低_第5次_任意_0')
+    - Signal('日线_UBI_BE辅助V230816_新低_第6次_任意_0')
+    - Signal('日线_UBI_BE辅助V230816_新高_第2次_任意_0')
+    - Signal('日线_UBI_BE辅助V230816_新高_第3次_任意_0')
+    - Signal('日线_UBI_BE辅助V230816_新高_第4次_任意_0')
+    - Signal('日线_UBI_BE辅助V230816_新高_第5次_任意_0')
+    - Signal('日线_UBI_BE辅助V230816_新高_第6次_任意_0')
+    - Signal('日线_UBI_BE辅助V230816_新高_第7次_任意_0')
+    - Signal('日线_UBI_BE辅助V230816_新低_第2次_任意_0')
+    - Signal('日线_UBI_BE辅助V230816_新低_第3次_任意_0')
+
+    :param c: CZSC对象
+    :param kwargs:
+    :return: 信号识别结果
+    """
+    freq = c.freq.value
+    k1, k2, k3 = f"{freq}_UBI_BE辅助V230816".split('_')
+    v1, v2 = '其他','其他'
+    ubi = c.ubi
+    if not ubi or len(ubi['fxs']) <= 2 or len(c.bars_ubi) <= 5:
+        return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1, v2=v2)
+
+    fxs = ubi['fxs']
+    if ubi['direction'] == Direction.Up:
+        fxs = [x for x in fxs if x.mark == Mark.G]
+        cnt = 1
+        cur_hfx = fxs[0]
+        for fx in fxs[1:]:
+            if fx.high > cur_hfx.high:
+                cnt += 1
+                cur_hfx = fx
+
+        if ubi['raw_bars'][-1].high > cur_hfx.high:
+            v1 = '新高'
+            v2 = f"第{cnt + 1}次"
+
+    if ubi['direction'] == Direction.Down:
+        fxs = [x for x in fxs if x.mark == Mark.D]
+        cnt = 1
+        cur_lfx = fxs[0]
+        for fx in fxs[1:]:
+            if fx.low < cur_lfx.low:
+                cnt += 1
+                cur_lfx = fx
+
+        if ubi['raw_bars'][-1].low < cur_lfx.low:
+            v1 = '新低'
+            v2 = f"第{cnt + 1}次"
+
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1, v2=v2)
+
+
+def cxt_bi_end_V230815(c: CZSC, **kwargs) -> OrderedDict:
+    """一两根K线快速突破反向笔
+
+    参数模板："{freq}_快速突破_BE辅助V230815"
+
+    **信号逻辑：**
+
+    以向上笔为例：右侧分型完成后第一根K线的最低价低于该笔的最低价，认为向上笔结束，反向向下笔开始。
+
+    **信号列表：**
+
+    - Signal('15分钟_快速突破_BE辅助V230815_向下_任意_任意_0')
+    - Signal('15分钟_快速突破_BE辅助V230815_向上_任意_任意_0')
+
+    :param c: CZSC对象
+    :param kwargs:
+    :return: 信号识别结果
+    """
+    freq = c.freq.value
+    k1, k2, k3 = f"{freq}_快速突破_BE辅助V230815".split('_')
+    v1 = '其他'
+    if len(c.bi_list) < 5 or len(c.bars_ubi) >= 5:
+        return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
+
+    bi, last_bar = c.bi_list[-1], c.bars_ubi[-1]
+    if bi.direction == Direction.Up and last_bar.low < bi.low:
+        v1 = '向下'
+    if bi.direction == Direction.Down and last_bar.high > bi.high:
+        v1 = '向上'
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
+
+
+def cxt_bi_stop_V230815(c: CZSC, **kwargs) -> OrderedDict:
+    """定位笔的止损距离大小
+
+    参数模板："{freq}_距离{th}BP_止损V230815"
+
+    **信号逻辑：**
+
+    以向上笔为例：如果当前K线的收盘价高于该笔的最高价的1 - 0.5%，则认为在止损阈值内，否则认为在止损阈值外。
+
+    **信号列表：**
+
+    - Signal('15分钟_距离50BP_止损V230815_向下_阈值外_任意_0')
+    - Signal('15分钟_距离50BP_止损V230815_向上_阈值内_任意_0')
+    - Signal('15分钟_距离50BP_止损V230815_向下_阈值内_任意_0')
+    - Signal('15分钟_距离50BP_止损V230815_向上_阈值外_任意_0')
+
+    :param c: CZSC对象
+    :param kwargs: 
+
+        - th: 止损距离阈值，单位为BP, 默认为50BP, 即0.5%
+
+    :return: 信号识别结果
+    """
+    th = int(kwargs.get('th', 50))
+    freq = c.freq.value
+    k1, k2, k3 = f"{freq}_距离{th}BP_止损V230815".split('_')
+    v1, v2 = '其他', '其他'
+    if len(c.bi_list) < 5:
+        return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
+
+    bi, last_bar = c.bi_list[-1], c.bars_ubi[-1]
+    if bi.direction == Direction.Up:
+        v1 = '向下'
+        v2 = "阈值内" if last_bar.close > bi.high * (1 - th / 10000) else "阈值外"
+    if bi.direction == Direction.Down:
+        v1 = '向上'
+        v2 = "阈值内" if last_bar.close < bi.low * (1 + th / 10000) else "阈值外"
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1, v2=v2)

czsc/signals/pos.py

@@ -432,7 +432,7 @@ def pos_holds_V230807(cat: CzscTrader, **kwargs) -> OrderedDict:
     k1, k2, k3 = f"{pos_name}_{freq1}N{n}M{m}T{t}_BS辅助V230807".split("_")
     v1 = '其他'
     # 如果没有持仓策略，则不产生信号
-    if not hasattr(cat, "positions"):
+    if not cat.kas or not hasattr(cat, "positions"):
         return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
 
     pos = [x for x in cat.positions if x.name == pos_name][0]