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tradesystem2-1.py
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tradesystem2-1.py
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import Investment
market=Investment.Marketfund("000962")
market.readfund()
rateave=(max(market.NAVlist)+min(market.NAVlist))/2
ratescope=max(market.NAVlist)/rateave-1
ratesellshort=ratescope*0.2
rateselllong=ratescope*0.6
ratebuy=ratescope*0.05
ratepulldown=ratescope*0.4
print("ratescope: %f, ratesellshort: %f, rateselllong: %f, ratebuy: %f, ratepulldown: %f "\
%(ratescope,ratesellshort,rateselllong,ratebuy,ratepulldown))
ratesellshortup = 0.06
ratesellshortlow=0.12
rateselllong = 0.20
ratebuy = -0.008
ratepulldown = -0.4
datestart="2019-01-01"
market.splitdata(datestart)
investunit=1000.0
listpriceshort=market.NAVlist[:1]
listinvestshort=[investunit]
listpricelong=[]
listinvestlong=[]
moneyinbank=-sum(listinvestshort)
bonus=0.0
status="Do nothing!"
current=1
pricebase=market.tableNAV[market.Datelist[current]]
while current<len(market.Datelist):
status=""
today=market.Datelist[current]
pricetoday=market.tableNAV[today]
lastday=market.Datelist[current-1]
pricelast=market.tableNAV[lastday]
listrateshort=list(map(lambda x:pricetoday/x-1,listpriceshort))
listrateshort=list(zip(listrateshort,range(len(listrateshort))))
if listpricelong != []:
listratelong=list(map(lambda x:pricetoday/x-1,listpricelong))
listratelong=list(zip(listratelong,range(len(listratelong))))
#ratelongmax=max(zip(listratelong,range(len(listratelong))))
print(pricetoday,pricelast,pricebase)
if pricetoday/pricelast-1 > 0: # sell
if listpriceshort != []:
indexremove=[]
for i in range(len(listrateshort)):
if (listrateshort[i][0]>ratesellshort*0.3 and listrateshort[i][0] <= ratesellshortup) or listrateshort[i][0] > ratesellshortlow:
listpriceshort[listrateshort[i][1]]
money=listinvestshort[listrateshort[i][1]]
moneyinbank += money
bonus += listrateshort[i][0] * money
status = status + "-Get short bonus!-"
indexremove.append(i)
if indexremove != []:
indexremove.reverse()
print(indexremove)
for i in indexremove:
listpriceshort.pop(i)
listinvestshort.pop(i)
if listpricelong != []:
indexremove=[]
for i in range(len(listratelong)):
if listratelong[i][0] >= rateselllong:
listpricelong[listratelong[i][1]]
money = listinvestlong[listratelong[i][1]]
moneyinbank += money
bonus += listratelong[i][0] * money
status = status + "-Get long bonus!-"
indexremove.append(i)
if indexremove != []:
indexremove.reverse()
print(indexremove)
for i in indexremove:
listpricelong.pop(i)
listinvestlong.pop(i)
elif pricetoday/pricebase-1 < -0.0: # buy
if len(listpricelong)+len(listpriceshort) < 100 and pricetoday/pricebase-1 <= ratebuy: #control base
listpriceshort.append(pricetoday)
listinvestshort.append(investunit)
moneyinbank -= investunit
status=status + "-Store!-"
if listpricelong != []:
for i in range(len(listratelong)):
if listratelong[i][0] <= ratepulldown:
listpricelong[listratelong[i][1]] = 2/(1/listpricelong[listratelong[i][1]] + 1/pricetoday) #combine
money=listinvestlong[listratelong[i][1]]
listinvestlong[listratelong[i][1]] += money
moneyinbank -= money
status = status + "-pulldown long term!-"
if listpriceshort != []:
indexremove=[]
for i in range(len(listrateshort)):
if listrateshort[i][0] <= ratepulldown:
listpriceshort[listrateshort[i][1]] = 2/(1/listpriceshort[listrateshort[i][1]] + 1/pricetoday)
money = listinvestshort[listrateshort[i][1]]
listinvestshort[listrateshort[i][1]] += money
moneyinbank -= money
status = status + "-Invest long term!-"
listpricelong.append(listpriceshort[listrateshort[i][1]]) #if operate pulldown, it belong long term
listinvestlong.append(listinvestshort[listrateshort[i][1]])
indexremove.append(i)
if indexremove != []:
indexremove.reverse()
print(indexremove)
for i in indexremove:
listpriceshort.pop(i)
listinvestshort.pop(i)
if pricetoday>pricelast :
pricebase=pricetoday
current +=1
print("today is %s---%s"%(today, status))
## print("short:",listpriceshort)
## print("long :",listpricelong)
print("you reback money: %.3f and bouns: %.3f"%(moneyinbank,bonus))
input()