465 lines
24 KiB
Python
465 lines
24 KiB
Python
def build(df_dr):
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#合并 相关变量
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group_no_last = 0 #最后的组号
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group_master_n_last = 0 #最后的组长
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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 #chan_是指合并后的k的高低
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chan_high_pre = None
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df_dr['updown']= '' #K线是向上up 向下down 平flat
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df_dr['group']= '' #是否在组内
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df_dr['group_no']= '' #组的编号
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df_dr['group_high']= '' #组的最高值
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df_dr['group_low']= '' #组的最低值
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df_dr['group_master']= '' #是否是组长
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#分型 相关变量
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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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fx_direction_pre = "flat" #平均值的方向
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fx_high_direction_pre = "flat" #高点的方向
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fx_low_direction_pre = "flat" #低点的方向
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fx_chan_low_pre = None #chan_是指合并后的k的高低
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fx_chan_high_pre = None
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df_dr['fx']='' #分型的类型，底bottom 顶top
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#笔 相关变量
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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']='' #笔的类型，底bottom 顶top
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bi_count=0
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bi_first_n=0 #第一个笔的n
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bi_second_n=0 #第二个笔的n
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bi_third_n=0 #第三个笔的n
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#线段相关变量
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dot_n_pre = None #dot是前面确认的线段的节点
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dot_bi_count_pre = None #前一个dot是第几个笔
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dot_next_bi_n_pre = None #前一个dot的后一笔的n 用于判断新线段反弹
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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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df_dr['line']='' #线段的类型，底bottom 顶top
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#中枢相关变量
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zs_no=0 #最后一个中枢号
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zs_first_n_pre=0 #未结束的中枢的开始n
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zs_end_n_pre=0 #前面已结束的中枢的结束n
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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=''
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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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#逐笔循环
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for n, k in df_dr.iterrows():
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if n%10000==0:
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print('开始处理：',n,'/',len(df_dr))
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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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###一、合并 #############################################################################
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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_master=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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is_confirm_v_group = False #确定虚拟组（包括单个不成组的K）,即前面的K跟这个肯定不同组，那么前面的虚拟组确认
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is_confirm_v_group_n = 0 #已确定虚拟组的组长（单个K就是这个K）
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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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is_group_pre = k_pre.group
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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 not (n>group_first_n+2 and ingroup_n_last==n-1):
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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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#组长
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if chan_high_pre<=high and chan_low_pre>=low:
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is_group_master = True
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group_master_n_last=n
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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_master_n_last=n-1
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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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is_group=True
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ingroup_n_last=n
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else: #不包含
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chan_low_pre = low
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chan_high_pre = high
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is_confirm_v_group = True #这个与前面没有包含关系，则前面的确认
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is_confirm_v_group_n = group_master_n_last if is_group_pre else n-1
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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_master
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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_master:
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df_dr.at[j,'group_master']= False #踢掉原来的组长
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###二、分型 #############################################################################
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## 分型需要出现的k线或者组明确，如果不确认是否被分组或者分组未结束即不确认组长的，需要等确认后再确认分型
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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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fx_direction = "flat" #平均值的方向
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fx_high_direction = "flat" #高点的方向
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fx_low_direction = "flat" #低点的方向
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if is_confirm_v_group:
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last_group_high=df_dr.at[is_confirm_v_group_n,'high']
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last_group_low=df_dr.at[is_confirm_v_group_n,'low']
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if(fx_chan_low_pre==None or fx_chan_high_pre==None):
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fx_chan_low_pre=last_group_low
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fx_chan_high_pre=last_group_high
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else:
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#与前面的比较
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if fx_chan_high_pre+fx_chan_low_pre<last_group_high+last_group_low:
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fx_direction='up'
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elif fx_chan_high_pre+fx_chan_low_pre>last_group_high+last_group_low:
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fx_direction='down'
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if last_group_high>fx_chan_high_pre:
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fx_high_direction='up'
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elif last_group_high<fx_chan_high_pre:
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fx_high_direction='down'
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if last_group_low>fx_chan_low_pre:
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fx_low_direction='up'
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elif last_group_low<fx_chan_low_pre:
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fx_low_direction='down'
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if fx_high_direction_pre=='up' and fx_high_direction=='down': #顶
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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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elif fx_low_direction_pre=='down' and fx_low_direction=='up': #底
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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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if fx_high_direction=='up' or fx_low_direction=='down' or fx_high_direction=='flat' or fx_low_direction=='flat':
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fx_n_maybe_pre=is_confirm_v_group_n
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if fx_direction!='flat':
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fx_direction_pre=fx_direction
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if fx_high_direction!='flat':
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fx_high_direction_pre=fx_high_direction
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if fx_low_direction!='flat':
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fx_low_direction_pre=fx_low_direction
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fx_chan_low_pre=last_group_low
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fx_chan_high_pre=last_group_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、笔 #############################################################################
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##笔的确认是检查上面确认的分型的is_confirm_fx_n，不是当前循环的k线n，因为当前的k线n不可能确认分型
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is_confirm_bi = False
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is_confirm_bi_n = 0
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is_bi_extend = False
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if is_confirm_fx:
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last_fx_high=df_dr.at[is_confirm_fx_n,'high']
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last_fx_low=df_dr.at[is_confirm_fx_n,'low']
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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_confirm_bi=True
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bi_count+=1
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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 last_fx_low<node_low_pre) or (fx_type=='top' and last_fx_high>node_high_pre)):
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df_dr.at[node_n_pre,'bi']= ''
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is_confirm_bi=True
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is_bi_extend=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 is_confirm_fx_n-node_n_pre>3:
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if (fx_type=='bottom' and last_fx_low<node_high_pre) or (fx_type=='top' and last_fx_high>node_low_pre): #顶底不能高低反
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is_confirm_bi=True
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bi_count+=1
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fx_n_pre=is_confirm_fx_n
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if is_confirm_bi:
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node_n_pre=is_confirm_fx_n
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node_type_pre=fx_type
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node_high_pre=last_fx_high
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node_low_pre=last_fx_low
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is_confirm_bi_n=is_confirm_fx_n
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df_dr.at[is_confirm_bi_n,'bi']= fx_type
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if bi_count==1:
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bi_first_n=is_confirm_bi_n
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elif bi_count==2:
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bi_second_n=is_confirm_bi_n
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elif bi_count==3:
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bi_third_n=is_confirm_bi_n
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###三、线段 #############################################################################
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###
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is_confirm_line=False
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is_extend_line=False
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if is_confirm_bi:
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last_bi_type=df_dr.at[is_confirm_bi_n,'bi']
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last_bi_high=df_dr.at[is_confirm_bi_n,'high']
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last_bi_low=df_dr.at[is_confirm_bi_n,'low']
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#如果上一个笔确认了线段，那么需要记录相邻的下一个笔，用于判断反弹的新线段（是否超越这个笔）
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if dot_bi_count_pre!=None and dot_bi_count_pre+1==bi_count:
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dot_next_bi_n_pre=is_confirm_bi_n
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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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if dot_n_pre==None and bi_count>3:
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bi_first2second_direction='up' if df_dr.at[bi_second_n,'bi']=='top' else 'down'
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bi_second_high=df_dr.at[bi_second_n,'high']
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bi_second_low=df_dr.at[bi_second_n,'low']
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bi_third_high=df_dr.at[bi_third_n,'high']
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bi_third_low=df_dr.at[bi_third_n,'low']
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if last_bi_type=='top' and last_bi_high>bi_second_high and bi_first2second_direction=='up': #上升突破第二个笔节点
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df_dr.at[bi_first_n,'line']='bottom'
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df_dr.at[is_confirm_bi_n,'line']='top'
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dot_n_pre=is_confirm_bi_n
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dot_type_pre='top'
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dot_bi_count_pre=bi_count
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is_confirm_line=True
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elif last_bi_type=='bottom' and last_bi_low<bi_second_low and bi_first2second_direction=='down': #下降突破第二个笔节点
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df_dr.at[bi_first_n,'line']='top'
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df_dr.at[is_confirm_bi_n,'line']='bottom'
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dot_n_pre=is_confirm_bi_n
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dot_type_pre='bottom'
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dot_bi_count_pre=bi_count
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is_confirm_line=True
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elif last_bi_type=='top' and last_bi_high>bi_third_high and bi_first2second_direction=='down': #上升突破第三个笔节点
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df_dr.at[bi_second_n,'line']='bottom'
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df_dr.at[is_confirm_bi_n,'line']='top'
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dot_n_pre=is_confirm_bi_n
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dot_type_pre='top'
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dot_bi_count_pre=bi_count
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is_confirm_line=True
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elif last_bi_type=='bottom' and last_bi_low<bi_third_low and bi_first2second_direction=='up': #下降突破第三个笔节点
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df_dr.at[bi_second_n,'line']='top'
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df_dr.at[is_confirm_bi_n,'line']='bottom'
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dot_n_pre=is_confirm_bi_n
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dot_type_pre='bottom'
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dot_bi_count_pre=bi_count
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is_confirm_line=True
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#继续找线段,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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if dot_type_pre=='top':
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dot_high_pre=df_dr.at[dot_n_pre,'high']
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dot_low_pre=df_dr.at[dot_n_pre,'low']
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if last_bi_type=='top' and last_bi_high>dot_high_pre: #看是否突破延申
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df_dr.at[dot_n_pre,'line']=''
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df_dr.at[is_confirm_bi_n,'line']='top'
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dot_n_pre=is_confirm_bi_n
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dot_type_pre='top'
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dot_bi_count_pre=bi_count
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is_confirm_line=True
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is_extend_line=True
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elif last_bi_type=='bottom' and bi_count>dot_bi_count_pre+2 : #没有延申,反弹形成新的线段
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df_dr.at[is_confirm_bi_n,'line']='bottom'
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dot_n_pre=is_confirm_bi_n
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dot_type_pre='bottom'
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dot_bi_count_pre=bi_count
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is_confirm_line=True
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elif dot_type_pre=='bottom':
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dot_high_pre=df_dr.at[dot_n_pre,'high']
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dot_low_pre=df_dr.at[dot_n_pre,'low']
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if last_bi_type=='bottom' and last_bi_low<dot_low_pre: #看是否突破延申
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df_dr.at[dot_n_pre,'line']=''
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df_dr.at[is_confirm_bi_n,'line']='bottom'
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dot_n_pre=is_confirm_bi_n
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dot_type_pre='bottom'
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dot_bi_count_pre=bi_count
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is_confirm_line=True
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is_extend_line=True
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elif last_bi_type=='top' and bi_count>dot_bi_count_pre+2 : #没有延申,反弹形成新的线段
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df_dr.at[is_confirm_bi_n,'line']='top'
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dot_n_pre=is_confirm_bi_n
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dot_type_pre='top'
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dot_bi_count_pre=bi_count
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is_confirm_line=True
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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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if is_confirm_line:
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df_dr_line=df_dr[df_dr.line!='']
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last_line_n = dot_n_pre
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last2_line_n = df_dr_line.index[-2]
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last2_line_high = df_dr_line.iloc[-2].high
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last2_line_low = df_dr_line.iloc[-2].low
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last2_line_type = df_dr_line.iloc[-2].line
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df_mod = df_dr.loc[last2_line_n:last_line_n][df_dr.bi!='']
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mod_i=0
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modified_n_pre=None
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for mod_n, mod_k in df_mod.iterrows():
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mod_high=mod_k.high
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mod_low=mod_k.low
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mod_line_type = df_mod.at[mod_n,'line']
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if mod_line_type=='':
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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 mod_i>len(df_mod)-4:
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break
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#移动
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if last2_line_type=='top' and mod_high>last2_line_high:
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df_dr.at[last2_line_n,'line']=''
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if modified_n_pre!=None:
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df_dr.at[modified_n_pre,'line']=''
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df_dr.at[mod_n,'line']='top'
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modified_n_pre=mod_n
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elif last2_line_type=='bottom' and mod_low<last2_line_low:
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df_dr.at[last2_line_n,'line']=''
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if modified_n_pre!=None:
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df_dr.at[modified_n_pre,'line']=''
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df_dr.at[mod_n,'line']='bottom'
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modified_n_pre=mod_n
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mod_i+=1
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###四、中枢 #############################################################################
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###
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is_confirm_zs=False
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if is_confirm_line:
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df_dr_line=df_dr.loc[max(zs_first_n_pre,zs_end_n_pre):][df_dr.line!=''] #只取最后需要考虑的一段
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#线段延申需要处理，上一个结束点到这个点正好是三个，是判断中枢结束的小尾巴点，小尾巴延申可能延长中枢
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#但是线段的修正不会影响中枢，因为可能影响的就是gg dd，但是计算gg dd是计算到倒数第三个，不包括刚修正的线段
|
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if is_extend_line and len(df_dr_line)==3 and zs_end_n_pre>zs_first_n_pre:
|
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dot_last_n=df_dr_line.index[-1] #最后一个线段dot
|
||
dot_last_type=df_dr_line.at[dot_last_n,'line']
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dot_last_high=df_dr_line.at[dot_last_n,'high']
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||
dot_last_low=df_dr_line.at[dot_last_n,'low']
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if (dot_last_type=='top' and dot_last_high>zd) or (dot_last_type=='bottom' and dot_last_low<zg):
|
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#把结束点放到上一个结束点去
|
||
zs_end_n_pre=0 if zs_no==0 else df_dr[df_dr.zs_no==zs_no].index[-1]
|
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#print('线段延申导致中枢延申，取消上次结束点，继续延申下去')
|
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#寻找新的中枢
|
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if len(df_dr_line)>=6 and zs_first_n_pre<=zs_end_n_pre:
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dot1_k_n=df_dr_line.index[-6] #可能的前导头
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dot2_k_n=df_dr_line.index[-5] #可能的中枢第一个点
|
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dot3_k_n=df_dr_line.index[-4]
|
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dot4_k_n=df_dr_line.index[-3]
|
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dot5_k_n=df_dr_line.index[-2]
|
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dot6_k_n=df_dr_line.index[-1] #最后一个线段dot
|
||
dot1_high=df_dr_line.at[dot1_k_n,'high']
|
||
dot2_high=df_dr_line.at[dot2_k_n,'high']
|
||
dot3_high=df_dr_line.at[dot3_k_n,'high']
|
||
dot4_high=df_dr_line.at[dot4_k_n,'high']
|
||
dot5_high=df_dr_line.at[dot5_k_n,'high']
|
||
dot6_high=df_dr_line.at[dot6_k_n,'high']
|
||
dot1_low=df_dr_line.at[dot1_k_n,'low']
|
||
dot2_low=df_dr_line.at[dot2_k_n,'low']
|
||
dot3_low=df_dr_line.at[dot3_k_n,'low']
|
||
dot4_low=df_dr_line.at[dot4_k_n,'low']
|
||
dot5_low=df_dr_line.at[dot5_k_n,'low']
|
||
dot6_low=df_dr_line.at[dot6_k_n,'low']
|
||
if(dot1_k_n>=zs_end_n_pre):
|
||
#往前找三个点，如果不在中枢里，则判断是否是中枢的头部
|
||
start_direction='down' if df_dr_line.at[dot1_k_n,'line']=='top' else 'up' #前导点是top则是下降方向
|
||
if start_direction=='down':
|
||
if min(dot3_high,dot5_high)>max(dot2_low,dot4_low) and dot1_high>max(dot3_high,dot5_high) and dot6_high<min(dot3_high,dot5_high):
|
||
zs_first_n_pre=dot2_k_n #dot1是前导点，这个点是中枢第一个点
|
||
zg=min(dot3_high,dot5_high)
|
||
zd=max(dot2_low,dot4_low)
|
||
gg=max(dot3_high,dot5_high)
|
||
dd=min(dot2_low,dot4_low)
|
||
zs_no+=1
|
||
df_dr.at[(df_dr.index>=zs_first_n_pre) & (df_dr.index<=dot5_k_n) & (df_dr.line!=''),'zs_no']=zs_no
|
||
df_dr.at[(df_dr.index>=zs_first_n_pre) & (df_dr.index<=dot5_k_n) & (df_dr.line!=''),'zg']=zg
|
||
df_dr.at[(df_dr.index>=zs_first_n_pre) & (df_dr.index<=dot5_k_n) & (df_dr.line!=''),'zd']=zd
|
||
#print('新中枢确立',zd,zg,zs_first_n_pre)
|
||
elif start_direction=='up':
|
||
if min(dot2_high,dot4_high)>max(dot3_low,dot5_low) and dot1_low<min(dot3_low,dot5_low) and dot6_low>max(dot3_low,dot5_low):
|
||
zs_first_n_pre=dot2_k_n #dot1是前导点，这个点是中枢第一个点
|
||
zg=min(dot2_high,dot4_high)
|
||
zd=max(dot3_low,dot5_low)
|
||
gg=max(dot2_high,dot4_high)
|
||
dd=min(dot3_low,dot5_low)
|
||
zs_no+=1
|
||
df_dr.at[(df_dr.index>=zs_first_n_pre) & (df_dr.index<=dot5_k_n) & (df_dr.line!=''),'zs_no']=zs_no
|
||
df_dr.at[(df_dr.index>=zs_first_n_pre) & (df_dr.index<=dot5_k_n) & (df_dr.line!=''),'zg']=zg
|
||
df_dr.at[(df_dr.index>=zs_first_n_pre) & (df_dr.index<=dot5_k_n) & (df_dr.line!=''),'zd']=zd
|
||
#print('新中枢确立',zd,zg,zs_first_n_pre)
|
||
#在中枢里则看是否生长
|
||
elif len(df_dr_line)>5 and zs_first_n_pre>zs_end_n_pre:
|
||
dot_last_n=df_dr_line.index[-1] #最后一个线段dot
|
||
dot_last_type=df_dr_line.at[dot_last_n,'line']
|
||
dot_last_high=df_dr_line.at[dot_last_n,'high']
|
||
dot_last_low=df_dr_line.at[dot_last_n,'low']
|
||
dot_last3_n=df_dr_line.index[-3] #倒数第三个线段dot
|
||
dot_last3_type=df_dr_line.at[dot_last3_n,'line']
|
||
dot_last3_high=df_dr_line.at[dot_last3_n,'high']
|
||
dot_last3_low=df_dr_line.at[dot_last3_n,'low']
|
||
|
||
|
||
#刷新gg dd，只算到倒数第三个，确认中枢时正好为中枢结束点
|
||
if dot_last3_type=='top':
|
||
gg=max(gg,dot_last3_high)
|
||
elif dot_last3_type=='bottom':
|
||
dd=min(dd,dot_last3_low)
|
||
|
||
dot_last_trade_time=df_dr_line.at[dot_last_n,'trade_time']
|
||
dot_last_close=df_dr_line.at[dot_last_n,'close']
|
||
if (dot_last_type=='top' and dot_last_high<zd) or (dot_last_type=='bottom' and dot_last_low>zg):
|
||
#中枢完成(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
|
||
# /\ -------------
|
||
# / or -------------
|
||
# ------------- \
|
||
# ------------- \/
|
||
#print('中枢完成',zg,zd,df_dr_line.index[-3])
|
||
is_confirm_zs=True
|
||
zs_end_n_pre=df_dr_line.index[-3] #中枢结束点是倒数第三个dot，结束点不是后导点，而开始点是前导点，计算时前后衔接方便
|
||
end_direction='down' if dot_last_type=='top' else 'up' #小尾巴是top则是下降方向
|
||
df_dr.at[(df_dr.index>=zs_first_n_pre) & (df_dr.index<=zs_end_n_pre) & (df_dr.line!=''),'zs_no']=zs_no
|
||
df_dr.at[(df_dr.index>=zs_first_n_pre) & (df_dr.index<=zs_end_n_pre) & (df_dr.line!=''),'zg']=zg
|
||
df_dr.at[(df_dr.index>=zs_first_n_pre) & (df_dr.index<=zs_end_n_pre) & (df_dr.line!=''),'zd']=zd
|
||
df_dr.at[(df_dr.index>=zs_first_n_pre) & (df_dr.index<=zs_end_n_pre) & (df_dr.line!=''),'gg']=gg
|
||
df_dr.at[(df_dr.index>=zs_first_n_pre) & (df_dr.index<=zs_end_n_pre) & (df_dr.line!=''),'dd']=dd
|
||
df_dr.at[(df_dr.index>=zs_first_n_pre) & (df_dr.index<=zs_end_n_pre) & (df_dr.line!=''),'zs_direction']=start_direction+end_direction
|
||
df_dr.at[(df_dr.index>=zs_first_n_pre) & (df_dr.index<=zs_end_n_pre) & (df_dr.line!=''),'zs_confirm_time']=dot_last_trade_time
|
||
df_dr.at[(df_dr.index>=zs_first_n_pre) & (df_dr.index<=zs_end_n_pre) & (df_dr.line!=''),'zs_confirm_price']=dot_last_close
|
||
|
||
return df_dr
|