quant.fans.strategy.StrategyUtils Maven / Gradle / Ivy
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package quant.fans.strategy;
import com.google.common.collect.Lists;
import quant.fans.Indicators;
import quant.fans.tools.Conditions;
import quant.fans.common.StockConstants;
import quant.fans.common.Utils;
import quant.fans.model.StockData;
import java.util.List;
import static quant.fans.common.StockConstants.*;
/**
* 策略公共方法
*/
public class StrategyUtils {
private static TDXFunction function = new TDXFunction();
/**
* 计算macd指标金叉和死叉
* 指标名称:macd_cross
* 状态：
* 1：金叉
* 0：相交
* -1：死叉
* @param stockDatas stock data list
* @return stock data list
*/
public static List macdCross(List stockDatas){
if(stockDatas == null || stockDatas.size() == 0){
return stockDatas;
}
if(stockDatas.size() > 0){
if(stockDatas.get(0).get("dif") == null || stockDatas.get(0).get("dea") == null){
return stockDatas;
}
}
for(int i =0;i< stockDatas.size();i++){
if(stockDatas.get(i).get("dif") > stockDatas.get(i).get("dea")){
stockDatas.get(i).put("macd_cross",1d);
}else if(stockDatas.get(i).get("dif") < stockDatas.get(i).get("dea")) {
stockDatas.get(i).put("macd_cross", -1d);
}else{
stockDatas.get(i).put("macd_cross", 0d);
}
}
return stockDatas;
}
/**
* 判断最近n个时间周期内是否出现金叉,或者是当前的MACD值在（-0.1,0.1）之间并且dif，dea持续缩短
*
* @param stockDataList stock data list
* @param period period
* @return 如果是返回true
*/
public static boolean isMACDGoldenCrossIn(List stockDataList, int period) {
int count = stockDataList.size();
for (int i = count - 1; i > 0; i--) {
StockData stockData = stockDataList.get(i);
Double cross = stockData.get(MACD_CROSS);
if (cross != null && count - i <= period && cross == 1 && stockDataList.get(i).get(DIF) < 0.1){
return true;
}
}
return false;
}
public static List kdjCross(List stockDatas){
if(stockDatas == null || stockDatas.size() == 0){
return stockDatas;
}
if(stockDatas.size() > 0){
if(stockDatas.get(0).get("kdj_d") == null || stockDatas.get(0).get("kdj_d") == null){
return stockDatas;
}
}
for(int i =0;i< stockDatas.size();i++){
if(stockDatas.get(i).get("kdj_j") > stockDatas.get(i).get("kdj_d")){
stockDatas.get(i).put("kdj_cross",1d);
}else if(stockDatas.get(i).get("kdj_j") < stockDatas.get(i).get("kdj_d")) {
stockDatas.get(i).put("kdj_cross", -1d);
}else{
stockDatas.get(i).put("kdj_cross", 0d);
}
}
return stockDatas;
}
/**
* 布林线上下轨之差小于中轨的10%，标记为1
* @param stockDatas stock data list
* @return stock data list
*/
public static List bollThroat(List stockDatas){
if(stockDatas == null || stockDatas.size() == 0){
return stockDatas;
}
if(stockDatas.size() > 0){
if(stockDatas.get(0).get("boll_upper") == null || stockDatas.get(0).get("boll_lower") == null){
return stockDatas;
}
}
for(int i =0;i< stockDatas.size();i++){
if((stockDatas.get(i).get("boll_upper") - stockDatas.get(i).get("boll_lower")) < (stockDatas.get(i).get("boll_lower") * 0.1)){
stockDatas.get(i).put("boll_throat",1d);
}else{
stockDatas.get(i).put("boll_throat",0d);
}
}
return stockDatas;
}
/**
* 判断收盘价两条线是否相交，快线从下上传慢线叫金叉，快慢线名称请参考StockConstants类
*
* @param stockDataList stock data list
* @param maFast 例如：close_ma5
* @param maSlow 例如：close_ma10
* @param period period
* @return stock data list
*/
public static boolean isGoldenCrossIn(List stockDataList, String maFast, String maSlow, int period) {
int size = stockDataList.size() - 1;
double[] maFastArr = Utils.getArrayFrom(stockDataList, maFast);
double[] maSlowArr = Utils.getArrayFrom(stockDataList, maSlow);
for (int i = size; i > 0; i--) {
if (size - i > period) {
break;
}
if (maFastArr[i] > maSlowArr[i] && maFastArr[i-1] < maSlowArr[i-1]) {
return true;
}
}
return false;
}
public static double goldenCrossPrice(List stockDataList, String maFast, String maSlow, int period){
int size = stockDataList.size() - 1;
double[] maFastArr = Utils.getArrayFrom(stockDataList, maFast);
double[] maSlowArr = Utils.getArrayFrom(stockDataList, maSlow);
for (int i = size; i > 0; i--) {
if (size - i < period) {
break;
}
if (maFastArr[i] > maSlowArr[i] && maFastArr[i-1] < maSlowArr[i-1]) {
return stockDataList.get(i).get(StockConstants.CLOSE);
}
}
return -1;
}
/**
* 判断最近n个时间周期内是否出现死叉
*
* @param stockDataList stock data list
* @param period period
* @return 如果是返回true
*/
public static boolean isMACDDiedCrossIn(List stockDataList, int period) {
int count = stockDataList.size();
for (int i = count - 1; i > 0; i--) {
StockData stockData = stockDataList.get(i);
Double cross = stockData.get(MACD_CROSS);
if (cross != null && count - i <= period && cross == 0)
return true;
}
return false;
}
/**
* 计算有几条均线粘合,粘合数加入到AVERAGE_BOND参数中
* @param stockDataList stock data list
* @param threshold threshold
* @return stock data list
*/
public static List averageBond(List stockDataList, double threshold) {
List result = Lists.newLinkedList();
for (int i = 0; i < stockDataList.size(); i++) {
StockData stockData = stockDataList.get(i);
double ma5 = stockData.get(CLOSE_MA5);
double ma10 = stockData.get(CLOSE_MA10);
double ma20 = stockData.get(CLOSE_MA20);
double ma30 = stockData.get(CLOSE_MA30);
double ma40 = stockData.get(CLOSE_MA40);
double ma60 = stockData.get(CLOSE_MA60);
if (ma5 == 0 || ma10 == 0 || ma20 == 0 || ma30 == 0 || ma40 == 0 || ma60 == 0) {
continue;
}
double maCount = 0;
double[] maArr = {ma5, ma10, ma20, ma30, ma40, ma60};
for (int j = 0; j < 5; j++) {
for (int k = j + 1; k < 6; k++) {
if (Math.abs(maArr[j] / maArr[k] - 1) < threshold) {
maCount++;
}
}
}
stockData.put(AVERAGE_BOND, maCount);
result.add(stockData);
}
return result;
}
/**
* 金蜘蛛策略
* @param stockDataList stock data list
* @return stock data list
*/
public static List goldenSpider(List stockDataList) {
Indicators indicators = new Indicators();
List result = Lists.newLinkedList();
double[] closes = Utils.getArrayFrom(stockDataList, CLOSE);
double[] volume = Utils.getArrayFrom(stockDataList,VOLUME);
double[] ma2 = indicators.ema(closes, 2);
double[] ma5 = indicators.ema(closes, 5);
double[] ma13 = indicators.ema(closes, 13);
double[] ma34 = indicators.ema(closes, 34);
double[] ma55 = indicators.ema(closes, 55);
double[][] macd = indicators.macd(closes);
double[] volume5 = indicators.ema(volume,5);
for (int i = 0; i < stockDataList.size(); i++) {
StockData stockData = stockDataList.get(i);
stockData.put(GOLDEN_SPIDER, 0d);
stockData.put(GOLDEN_SPIDER_RANGE,0d);
if (i > 0 && ma5[i] > ma5[i - 1]) {
double close = stockData.get(CLOSE);
double open = stockData.get(OPEN);
double max1 = function.max(ma5[i], ma13[i], ma34[i]);
double min1 = function.min(ma5[i], ma13[i], ma34[i]);
double max2 = function.max(ma5[i], ma13[i], ma34[i], ma55[i]);
double min2 = function.min(ma5[i], ma13[i], ma34[i], ma55[i]);
if (max1 < close && open < min1 && ma2[i] > ma2[i - 1]) {
if(!Utils.isNearTradingTime()){//如果是盘后，则计算成交量是否大于前一天成交量，并且今天成交量大于当天volume5
if(stockData.get(VOLUME) > stockDataList.get(i-1).get(VOLUME)*1.2 && stockData.get(VOLUME) > volume5[i]){
stockData.put(GOLDEN_SPIDER, 3d);
}
}else{
stockData.put(GOLDEN_SPIDER, 3d);
}
} else if (max2 < close && open < min2 && ma2[i] > ma2[i - 1]) {
if(!Utils.isNearTradingTime()){//如果是盘后，则计算成交量是否大于前一天成交量，并且今天成交量大于当天volume5
if(stockData.get(VOLUME) > stockDataList.get(i-1).get(VOLUME)*1.2 && stockData.get(VOLUME) > volume5[i]){
stockData.put(GOLDEN_SPIDER, 4d);
}else{
stockData.put(GOLDEN_SPIDER, 0d);
}
}else{
stockData.put(GOLDEN_SPIDER, 4d);
}
} else if(macd[2][i]>0 && macd[2][i] < 1){ //macd金叉，并且三天内出现金蜘蛛
double lastClose = stockData.get(CLOSE);
for(int j=i-1;j >= 0 && j >i-3;j--){
Double spider = result.get(j).get(GOLDEN_SPIDER);
if(spider!=null){
if(lastClose > result.get(j).get(CLOSE) && lastClose < result.get(j).get(CLOSE) * 1.1 && spider>0){
stockData.put(GOLDEN_SPIDER_RANGE,1d);
}
}
}
}
}
result.add(stockData);
}
return result;
}
/**
* 计算最近count天内每天涨跌幅是否出现过conditions
* @param stockDataList stock data list
* @param count n day
* @param conditions conditions
* @return true if conditions is true
*/
public static boolean change(List stockDataList,int count,Conditions conditions){
int size = stockDataList.size();
for(int i=size-1;i>=size-count;i--){
StockData stockData = stockDataList.get(i);
if(conditions.check(stockData)){
return true;
}
}
return false;
}
}
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