444 lines
17 KiB
Python
444 lines
17 KiB
Python
def build(df_dr):
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#一、先合并
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group_no_last = 0 #最后的组号
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ingroup_n_last = 0 #最后一个在组内的n
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group_first_n = 0 #最后一个组的第一个n
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chan_low_pre = None
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chan_high_pre = None
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for n, k in df_dr.iterrows():
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open = k.open
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close = k.close
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low = k.low
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high = k.high
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#每条的变量
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updown='flat' #升降
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is_group=False #是否在组里
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is_group_m=False #是否组长，组长是最高的
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group_no=0
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group_high=0
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group_low=0
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if(chan_low_pre==None or chan_high_pre==None):
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chan_low_pre = low
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chan_high_pre = high
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else:
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#上一个原始K
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k_pre = df_dr.iloc[n-1-1]
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low_pre = k_pre.low
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high_pre = k_pre.high
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#上升下降
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#上升(跟原始K比较平均高度)
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if high_pre+low_pre < high+low:
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updown='up'
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#下降(跟原始K比较平均高度)
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elif high_pre+low_pre > high+low:
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updown='down'
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elif open<close:
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updown = 'up'
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elif open<close:
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updown = 'down'
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else:
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updown = 'flat'
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#包含 #不能太多的包含，限制一组成员个数
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if ((chan_high_pre<=high and chan_low_pre>=low) or (chan_high_pre>=high and chan_low_pre<=low)) and n<group_first_n+5:
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#组长
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if chan_high_pre<=high and chan_low_pre>=low:
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is_group_m = True
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elif chan_high_pre>=high and chan_low_pre<=low and ingroup_n_last!=n-1: #新组并且前面的高，需要设置前面的是组长
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df_dr.at[n-1,'group_master']= True
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group_high=max(high, chan_high_pre)
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group_low=min(low, chan_low_pre)
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chan_high_pre = group_high
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chan_low_pre = group_low
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#上一个本来在组内，这个合并到原来的组
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if ingroup_n_last==n-1:
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group_no=group_no_last
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#新组
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else:
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group_no=group_no_last+1
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group_first_n=n-1
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group_no_last=group_no
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is_group=True
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ingroup_n_last=n
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else:
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chan_low_pre = low
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chan_high_pre = high
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#写标识值到表中
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df_dr.at[n,'updown']= updown
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df_dr.at[n,'group']= is_group
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df_dr.at[n,'group_no']= group_no
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df_dr.at[n,'group_high']= group_high
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df_dr.at[n,'group_low']= group_low
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df_dr.at[n,'group_master']= is_group_m
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if is_group:
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df_dr.at[n-1,'group']= is_group
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df_dr.at[n-1,'group_no']= group_no
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#刷新同组内的group_high and group_low
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for j in range(group_first_n, n):
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df_dr.at[j,'group_high']= group_high
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df_dr.at[j,'group_low']= group_low
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if is_group_m:
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df_dr.at[j,'group_master']= False #踢掉原来的组长
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#二、找分型
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fx_n_maybe_pre = 0 #前面可能是分型的n，如果有方向则临时记录
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direction_pre = "flat"
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chan_low_pre = None
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chan_high_pre = None
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df_dr['fx']=''
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for n, k in df_dr.iterrows():
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is_group = k.group
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is_group_master = k.group_master
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group_high = k.group_high
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group_low = k.group_low
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low = k.low
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high = k.high
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is_confirm_fx = False #确定分型，前一个组或者个体是分型，为顶分型
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is_confirm_fx_n = 0 #已确定分型的分型顶点
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fx_type = ''
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if(chan_low_pre==None or chan_high_pre==None):
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chan_low_pre=low
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chan_high_pre=high
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elif (is_group and is_group_master) or not is_group: #只管组长和非组成员
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cal_high = high
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cal_low = low
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if (is_group and is_group_master):
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cal_high = group_high
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cal_low = group_low
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#与前面的比较
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if chan_high_pre+chan_low_pre>cal_high+cal_low: #下降
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if direction_pre=="up":
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is_confirm_fx=True
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is_confirm_fx_n=fx_n_maybe_pre
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fx_type='top'
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direction_pre="down"
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fx_n_maybe_pre=n
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elif chan_high_pre+chan_low_pre<cal_high+cal_low: #上升
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if direction_pre=="down":
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is_confirm_fx=True
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is_confirm_fx_n=fx_n_maybe_pre
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fx_type='bottom'
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direction_pre="up"
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fx_n_maybe_pre=n
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chan_low_pre=cal_low
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chan_high_pre=cal_high
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#分型写入表
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if is_confirm_fx:
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df_dr.at[is_confirm_fx_n,'fx']= fx_type
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#三、找笔
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fx_n_pre = None
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node_n_pre = None #node是前面确认的笔的节点
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node_type_pre =''
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node_high_pre = None
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node_low_pre = None
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df_dr['bi']=''
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for n, k in df_dr.iterrows():
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fx_type = k.fx
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high = k.high
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low = k.low
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is_node = False
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if fx_type=='top' or fx_type=='bottom':
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#第一个分型确定为笔的节点
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if fx_n_pre==None:
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is_node=True
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#与前节点类型相同，且趋势延申，删除上一个节点node
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elif node_type_pre==fx_type and ((fx_type=='bottom' and low<node_low_pre) or (fx_type=='top' and high>node_high_pre)):
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df_dr.at[node_n_pre,'bi']= ''
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is_node=True
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#与前节点类型不同，且超过3个差,是新笔
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elif node_type_pre!=fx_type and n-node_n_pre>3:
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is_node=True
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fx_n_pre=n
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if is_node:
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node_n_pre=n
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node_type_pre=fx_type
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node_high_pre=high
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node_low_pre=low
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if is_node:
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df_dr.at[n,'bi']= fx_type
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#四、找线段 (n是索引从0开始， i是第几个)
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dot_i_pre = None #dot是前面确认的线段的节点
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dot_type_pre =''
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dot_high_pre = None
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dot_low_pre = None
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#只保留笔的K
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df_bi = df_dr.loc[(df_dr["bi"]=='top') | (df_dr["bi"]=='bottom')]
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df_dr['line']=''
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#找第一个线段，第一个形成走势的三笔（如果上升，第三笔的结束点高于第一笔的结束点）
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for i in range(len(df_bi)): #i是笔表的索引 n是原表的index字段即第几个
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k=df_bi.iloc[i]
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n=df_bi.index[i]
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bi_type=k.fx
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high=k.high
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low=k.low
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if i<len(df_bi)-3:
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next3n=df_bi.index[i+3]
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if bi_type=='top' and df_bi.iloc[i+1].low > df_bi.iloc[i+3].low:
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df_dr.at[n,'line']='top'
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df_dr.at[next3n,'line']='bottom'
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dot_i_pre=i+3
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dot_type_pre='bottom'
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break
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if bi_type=='bottom' and df_bi.iloc[i+1].high < df_bi.iloc[i+3].high:
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df_dr.at[n,'line']='bottom'
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df_dr.at[next3n,'line']='top'
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dot_i_pre=i+3
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dot_type_pre='top'
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break
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#继续找线段
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i=dot_i_pre
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while i!=None and i<len(df_bi):
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k=df_bi.iloc[i]
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n=df_bi.index[i]
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bi_type=k.fx
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high=k.high
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low=k.low
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#不确定延申还是反弹，一直往下找，找到能确定的点
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j=i+2
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is_found=False
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while j<len(df_bi):
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if dot_type_pre=='top':
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if (j-i)%2==0 and j<len(df_bi) and df_bi.iloc[j].high>high: #看是否突破延申
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j_n=df_bi.index[j]
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df_dr.at[n,'line']=''
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df_dr.at[j_n,'line']='top'
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dot_i_pre=j_n
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dot_type_pre='top'
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i=j
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is_found=True
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break
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elif (j-i)%2==1 and j<len(df_bi) and df_bi.iloc[j].low<df_bi.iloc[i+1].low: #没有延申,反弹形成新的线段
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j_n=df_bi.index[j]
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df_dr.at[j_n,'line']='bottom'
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dot_i_pre=j_n
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dot_type_pre='bottom'
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i=j
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is_found=True
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break
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elif dot_type_pre=='bottom':
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if (j-i)%2==0 and j<len(df_bi) and df_bi.iloc[j].low<low: #看是否突破延申
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j_n=df_bi.index[j]
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df_dr.at[n,'line']=''
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df_dr.at[j_n,'line']='bottom'
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dot_i_pre=j_n
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dot_type_pre='bottom'
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i=j
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is_found=True
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break
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elif (j-i)%2==1 and j<len(df_bi) and df_bi.iloc[j].high>df_bi.iloc[i+1].high: #没有延申,反弹形成新的线段
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j_n=df_bi.index[j]
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j_n=df_bi.index[j]
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df_dr.at[j_n,'line']='top'
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dot_i_pre=j_n
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dot_type_pre='top'
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i=j
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is_found=True
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break
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j=j+1
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if not is_found:
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break #没找到下一个线段点，退出
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else:
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continue
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#修正线段中间的凹凸漏点，例如上升的线段中有笔的低点低于线段的开始点，需要将这个线段的开始点移到这个更低的点，反之亦然
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#有时候突然下来一笔，但是不成线段就会遗漏，此处待验证合理性
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dot_type_pre =''
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dot_n_pre = None
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dot_high_pre = None
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dot_low_pre = None
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i=0
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while i<len(df_bi):
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n=df_bi.index[i]
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k=df_bi.iloc[i]
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bi_type=k.fx
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high=k.high
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low=k.low
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dot_type = df_dr.at[n,'line']
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if dot_type=='top' or dot_type=='bottom':
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dot_n_pre=n
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dot_type_pre=dot_type
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dot_high_pre=high
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dot_low_pre=low
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else:
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#移动不能使与后面小于三比差，即后面一个如果是线段点，就不处理这个笔点了
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if i<len(df_bi)-1:
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next_n = df_bi.index[i+1]
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next_dot_type = df_dr.at[next_n,'line']
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if next_dot_type=='top' or next_dot_type=='bottom':
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i=i+1
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continue
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#移动
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if dot_type_pre=='top' and high>dot_high_pre:
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df_dr.at[dot_n_pre,'line']=''
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df_dr.at[n,'line']='top'
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dot_n_pre=n
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dot_high_pre=high
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dot_low_pre=low
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elif dot_type_pre=='bottom' and low<dot_low_pre:
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df_dr.at[dot_n_pre,'line']=''
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df_dr.at[n,'line']='bottom'
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dot_n_pre=n
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dot_high_pre=high
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dot_low_pre=low
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i=i+1
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'''
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#找笔中枢
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#只保留笔的K
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df_bi = df_dr.loc[(df_dr["bi"]=='top') | (df_dr["bi"]=='bottom')]
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df_dr['b_zs_no']=0
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df_dr['b_zg']=0
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df_dr['b_zd']=0
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df_dr['b_gg']=0
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df_dr['b_dd']=0
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zs_no=0 #最后一个中枢号
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i=0
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while i <len(df_bi):
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k=df_bi.iloc[i]
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n=df_bi.index[i]
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bi_type=k.bi
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high=k.high
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low=k.low
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#找从这个点开始可能的中枢
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zg=0
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zd=0
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gg=0
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dd=0
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j=i+1
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while j<len(df_bi):
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j_k=df_bi.iloc[j]
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j_n=df_bi.index[j]
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jp_n=df_bi.index[j-1]
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j_bi_type=j_k.bi
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j_high=j_k.high
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j_low=j_k.low
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#print(i,j,zg,zd)
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if (j_bi_type=='top' and j_high<zd and j-i>5) or (j_bi_type=='bottom' and j_low>zg and j-i>5):
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#找到中枢(这时肯定已经两个点脱离，没有走回去)，保存，退出,往后面继续找（考虑到两个中枢被一条线连接的情况，需要从j-2开始找）
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# /\ -------------
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# / or -------------
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# ------------- \
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# ------------- \/
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#print(i,j,'找到中枢')
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zs_no=zs_no+1
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df_dr.b_zs_no[(df_dr.index>n) & (df_dr.index<jp_n) & (df_dr.bi!='')]=zs_no
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df_dr.b_zg[(df_dr.index>n) & (df_dr.index<jp_n) & (df_dr.bi!='')]=zg
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df_dr.b_zd[(df_dr.index>n) & (df_dr.index<jp_n) & (df_dr.bi!='')]=zd
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df_dr.b_gg[(df_dr.index>n) & (df_dr.index<jp_n) & (df_dr.bi!='')]=gg
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df_dr.b_dd[(df_dr.index>n) & (df_dr.index<jp_n) & (df_dr.bi!='')]=dd
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i=j-3
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break
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elif (j-i<=5 and bi_type=='bottom' and zd!=0 and zd<low) or (j-i<=5 and bi_type=='top' and zg!=0 and zg>high):
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#前三段zg zd超出起始线段的高、低点，中枢破坏
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#print(i,j,'zg zd超出起始线段的高、低点，中枢破坏')
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break
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elif j-i<=5 and j-i>2 and zg<zd:
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#前三段zg<zd中枢破坏
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#print(i,j,'zg<zd中枢破坏',zg,zd)
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break
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elif (j-i==5 and j_bi_type=='bottom' and j_low>zg) or (j-i==5 and j_bi_type=='top' and j_high<zd):
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#第五个点没有回到或跨越zgzd，中枢破坏
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#print(i,j,'第五个点中枢破坏')
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break
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if j-i<5: #只对前三个线段作为zg zd的参考点
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if j_bi_type=='top':
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zg=min(zg,j_high) if zg!=0 else j_high
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gg=max(gg,j_high) if gg!=0 else j_high
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elif j_bi_type=='bottom':
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zd=max(zd,j_low) if zd!=0 else j_low
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dd=min(dd,j_low) if dd!=0 else j_low
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j=j+1
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i=i+1
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'''
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#找线段中枢
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#只保留线段的K
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df_line = df_dr.loc[(df_dr["line"]=='bottom') | (df_dr["line"]=='top')]
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df_dr['zs_no']=0
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df_dr['zg']=0
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df_dr['zd']=0
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df_dr['gg']=0
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df_dr['dd']=0
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df_dr['zs_direction']=''
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df_dr['zs_confirm_time']=''
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df_dr['zs_confirm_price']=''
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zs_no=0 #最后一个中枢号
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i=0
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while i <len(df_line):
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k=df_line.iloc[i]
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n=df_line.index[i]
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line_type=k.line
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high=k.high
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low=k.low
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#找从这个点开始可能的中枢
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zg=0
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zd=0
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gg=0
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dd=0
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start_direction='down' if k.line=='top' else 'up' #第一个点是top则是下降方向
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j=i+1
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while j<len(df_line):
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j_k=df_line.iloc[j]
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j_n=df_line.index[j]
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jp_n=df_line.index[j-1]
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j_line_type=j_k.line
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j_high=j_k.high
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j_low=j_k.low
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#print(i,j,zg,zd)
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if (j_line_type=='top' and j_high<zd and j-i>5) or (j_line_type=='bottom' and j_low>zg and j-i>5):
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#找到中枢(这时肯定已经两个点脱离，没有走回去)，保存，退出,往后面继续找（考虑到两个中枢被一条线连接的情况，需要从j-2开始找）
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# /\ -------------
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# / or -------------
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# ------------- \
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# ------------- \/
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#print(i,j,'找到中枢')
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zs_no=zs_no+1
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end_direction='down' if j_k.line=='top' else 'up' #小尾巴是top则是下降方向
|
||
df_dr.zs_no[(df_dr.index>n) & (df_dr.index<jp_n) & (df_dr.line!='')]=zs_no
|
||
df_dr.zg[(df_dr.index>n) & (df_dr.index<jp_n) & (df_dr.line!='')]=zg
|
||
df_dr.zd[(df_dr.index>n) & (df_dr.index<jp_n) & (df_dr.line!='')]=zd
|
||
df_dr.gg[(df_dr.index>n) & (df_dr.index<jp_n) & (df_dr.line!='')]=gg
|
||
df_dr.dd[(df_dr.index>n) & (df_dr.index<jp_n) & (df_dr.line!='')]=dd
|
||
df_dr.zs_direction[(df_dr.index>n) & (df_dr.index<jp_n) & (df_dr.line!='')]=start_direction+end_direction
|
||
df_dr.zs_confirm_time[(df_dr.index>n) & (df_dr.index<jp_n) & (df_dr.line!='')]=j_k.trade_time
|
||
df_dr.zs_confirm_price[(df_dr.index>n) & (df_dr.index<jp_n) & (df_dr.line!='')]=j_k.close
|
||
i=j-3
|
||
break
|
||
elif (j-i<=5 and line_type=='bottom' and zd!=0 and zd<low) or (j-i<=5 and line_type=='top' and zg!=0 and zg>high):
|
||
#前三段zg zd超出起始线段的高、低点，中枢破坏
|
||
#print(i,j,'zg zd超出起始线段的高、低点，中枢破坏')
|
||
break
|
||
elif j-i<=5 and j-i>2 and zg<zd:
|
||
#前三段zg<zd中枢破坏
|
||
#print(i,j,'zg<zd中枢破坏',zg,zd)
|
||
break
|
||
elif (j-i==5 and j_line_type=='bottom' and j_low>zg) or (j-i==5 and j_line_type=='top' and j_high<zd):
|
||
#第五个点没有回到或跨越zgzd，中枢破坏
|
||
#print(i,j,'第五个点中枢破坏')
|
||
|
||
break
|
||
if j-i<5: #只对前三个线段作为zg zd的参考点
|
||
if j_line_type=='top':
|
||
zg=min(zg,j_high) if zg!=0 else j_high
|
||
gg=max(gg,j_high) if gg!=0 else j_high
|
||
elif j_line_type=='bottom':
|
||
zd=max(zd,j_low) if zd!=0 else j_low
|
||
dd=min(dd,j_low) if dd!=0 else j_low
|
||
j=j+1
|
||
i=i+1
|
||
|
||
|
||
return df_dr
|