上证指数（优化一）

1.自制模块

• sh.py

# -*- coding: utf-8 -*-
class sh:
    """数据处理模块 sh """
    #----------------------------------------------------------------------
    def __init__(self, user='sa', password='123456', dsn='XiTongDSN'):
        """ SQL 信息初始化"""
        self.user = user
        self.password = password
        self.dsn = dsn
        import sqlalchemy
        self.engine = sqlalchemy.create_engine('mssql+pyodbc://'+self.user+':'+self.password+'@'+self.dsn)
    #----------------------------------------------------------------------
    def get_url(self):
        """从 tushare.org 下载 sh 数据"""
        import tushare
        self.URLsh = tushare.get_hist_data('sh')
    #----------------------------------------------------------------------
    def save_url(self):
        """把网络 sh 数据存入到本地 SQL """
        import pandas
        index = list(self.URLsh['open'].index)
        self.URLsh['date'] = pandas.Series(index, index)
        pandas.DataFrame(self.URLsh, index)
        self.URLsh.drop(['price_change', 'p_change', 'ma5', 'ma10', 'ma20', 'v_ma5', 'v_ma10', 'v_ma20'], axis=1, inplace=True)
        self.URLsh.to_sql('sh', self.engine, if_exists='replace', index=False)
    #----------------------------------------------------------------------
    def get_sql(self):
        """调取本地 SQL 数据"""
        import pandas
        self.connection = self.engine.connect()
        self.SQLsh = pandas.read_sql_table('sh', self.connection)
        self.connection.close()
    #----------------------------------------------------------------------
    def save_sql(self, dataframe):
        """本地修改过的 sh 数据存回 SQL """
        import pandas
        dataframe.to_sql('sh', self.engine, if_exists='replace', index=False)

• bs.py

# -*- coding: utf-8 -*-
class bs:
    """买卖信号模块 bs """
    #----------------------------------------------------------------------
    def __init__(self, index, short, long):
        """数据初始化：索引，短线，长线"""
        self.index = index
        self.short = short
        self.long = long
    #----------------------------------------------------------------------
    def buy(self):
        """买点"""
        self.bi = []
        self.bs = []
        self.bl = []
        self.bbuy = [0]
        for i in range(1, len(self.index) - 1):
            if (self.short[i] > self.long[i]) and (self.short[i-1] < self.long[i-1]):
                self.bi.append(self.index[i])
                self.bs.append(self.short[i])
                self.bbuy.append(1)
            else:
                self.bbuy.append(0)
    #----------------------------------------------------------------------
    def sell(self):
        """卖点"""
        self.si = []
        self.ss = []
        self.sl = []
        self.ssell = [0]
        for i in range(1, len(self.index) - 1):
            if (self.short[i] < self.long[i]) and (self.short[i-1] > self.long[i-1]):
                self.si.append(self.index[i])
                self.ss.append(self.short[i])
                self.ssell.append(1)
            else:
                self.ssell.append(0)

• tr.py

# -*- coding: utf-8 -*-
class tr:
    """交易测试模块 tr """
    #----------------------------------------------------------------------
    def __init__(self, money = 1000000, rate = 0.1):
        """信号初始化：本金，比例"""
        self.money = money
        self.rate = rate
        self.use = money * rate
        self.stock = 0
        self.k = 0
        self.final = [money]
    #----------------------------------------------------------------------
    def trade(self, index, buy, sell, price):
        """交易函数"""
        for i in range(self.k, len(index) - 1):
            if buy[i] == 1:
                self.money = self.money - self.use
                self.stock = self.use / price[i]
                while self.stock:
                    for j in range(self.k + 1, len(index) - 1):
                        if sell[j] == 1:
                            self.money = self.money + self.stock * price[j]
                            self.stock = 0
                            self.final.append(self.money)
                            self.k = self.k + 2
                            break

2.调用模块

# -*- coding: utf-8 -*-
'''添加文件路径'''
import sys
sys.path.append('D:\360data\重要数据\桌面')
"""调用 sh.py 模块"""
import sh
SH = sh.sh()
SH.get_sql()
SQLsh = SH.SQLsh
Index = list(SQLsh['open'].index)
Open = SQLsh['open']
Close = SQLsh['close']
"""调用 bs.py 模块"""
import bs
BS = bs.bs(Index, Open, Close)
index = BS.index
BS.buy()
buy = BS.bbuy
BS.sell()
sell = BS.ssell
"""调用 tr.py 模块"""
import tr
''' rate = 0.5 '''
TR1 = tr.tr(money=100000, rate=0.1)
TR1.trade(index, buy, sell, Open)
money1 = TR1.final
''' rate = 0.01 '''
TR2 = tr.tr(money=100000, rate=0.05)
TR2.trade(index, buy, sell, Open)
money2 = TR2.final
'''画出资金曲线图'''
import matplotlib.pyplot as plot
plot.plot(money1, 'g-')
plot.plot(money2, 'r-')
plot.title('sh')
plot.xlabel('index')
plot.ylabel('money')
plot.legend(('rate = 0.1', 'rate = 0.05'))
plot.axis('auto')
plot.grid(True)