diff --git a/.DS_Store b/.DS_Store index 462effb..6cd3efb 100644 Binary files a/.DS_Store and b/.DS_Store differ diff --git a/ChanBI.py b/ChanBI.py index e4b3287..d8d3e78 100644 --- a/ChanBI.py +++ b/ChanBI.py @@ -18,10 +18,25 @@ class ChanBI(): self.start_time = klc.start_time self.macd_hist = 0 self.macd_div = 0 - def set_macd_hist(self, macd_hist): + def set_macdhist(self, macd_hist): self.macd_hist = macd_hist def set_macd_div(self, macd_div): self.macd_div = macd_div + def cal_macd_div(self): + self.macd_div = 0.0 + if self.pre and self.pre.pre: + if self.pre.pre.macd_hist == 0: + self.macd_div = 0.0 + else: + self.macd_div = self.macd_hist / self.pre.pre.macd_hist + def cal_macdhist(self): + self.macd_hist = 0 + for klc in self.klc_list: + for klu in klc.klus: + if self.dir == Chan_BI_DIR.UP and klu.macdhist > 0: + self.macd_hist += klu.macdhist + if self.dir == Chan_BI_DIR.DOWN and klu.macdhist < 0: + self.macd_hist -= klu.macdhist def check_overlap(self): if self.next and self.next.next: if self.dir == Chan_BI_DIR.UP: @@ -61,6 +76,8 @@ class ChanBI(): break if not added: self.klc_list.append(klc) + self.cal_macdhist() + self.cal_macd_div() def append_klc_list(self, klc_list): self.klc_list.append(klc_list) def update_bi(self, klc): diff --git a/ChanKLC.py b/ChanKLC.py index 491179e..7c40a75 100644 --- a/ChanKLC.py +++ b/ChanKLC.py @@ -26,6 +26,9 @@ class ChanKLC(): self.close = klu.close self.volume = klu.volume self.macdhist = 0 + self.bi_macdhist = 0 + self.bi_macd_div = 0.0 + self.bi = None def add_klu(self, klu): self.klus.append(klu) def set_end_klu(self, klu): @@ -116,10 +119,10 @@ class ChanKLC(): if klc.index == self.index: break else: - if bi.dir == Chan_BI_DIR.UP: - self.macdhist += klc.get_macdhist() - else: - self.macdhist -= klc.get_macdhist() + if bi.dir == Chan_BI_DIR.UP and klc.get_macdhist() > 0: + self.bi_macdhist += klc.get_macdhist() + elif bi.dir == Chan_BI_DIR.DOWN and klc.get_macdhist() < 0: + self.bi_macdhist -= klc.get_macdhist() def get_macdhist(self): self.macdhist = 0 for klu in self.klus: @@ -158,8 +161,14 @@ class ChanKLC(): features['klc_fx'] = 0 if self.fx == Chan_FX_TYPE.UNKNOWN else 1 if self.fx == Chan_FX_TYPE.TOP else 2 #7 features['klc_klus'] = len(self.klus) #8 features['klc_volume'] = self.volume #9 - features['klc_pre_fx'] = (0 if self.pre.fx == Chan_FX_TYPE.UNKNOWN else 1 if self.pre.fx == Chan_FX_TYPE.TOP else 2) if self.pre else 0 - + features['klc_pre_fx'] = (0 if self.pre.fx == Chan_FX_TYPE.UNKNOWN else 1 if self.pre.fx == Chan_FX_TYPE.TOP else 2) if self.pre else 0 #10 + features['klc_pre_pre_fx'] = (0 if self.pre.pre.fx == Chan_FX_TYPE.UNKNOWN else 1 if self.pre.pre.fx == Chan_FX_TYPE.TOP else 2) if self.pre and self.pre.pre else 0 #11 + features['klc_pre_pre_pre_fx'] = (0 if self.pre.pre.pre.fx == Chan_FX_TYPE.UNKNOWN else 1 if self.pre.pre.pre.fx == Chan_FX_TYPE.TOP else 2) if self.pre and self.pre.pre and self.pre.pre.pre else 0 #12 + # New Add 20250422 + #features['klc_macdhist'] = self.get_macdhist() #11 + #features['klc_bi_macdhist'] = self.bi_macdhist #12 + #features['klc_bi_macd_div'] = self.bi_macd_div #13 + #features['klc_bi_dir'] = 1 if self.bi.dir == Chan_BI_DIR.UP else -1 #14 # ===== 2.1 K线形态因子 ===== # K线实体大小 diff --git a/ChanLun.py b/ChanLun.py index 486531e..dc29327 100644 --- a/ChanLun.py +++ b/ChanLun.py @@ -15,6 +15,9 @@ from matplotlib.dates import DateFormatter, date2num import matplotlib.patches as patches from technical.util import resample_to_interval from decimal import Decimal +import xgboost as xgb +import numpy as np + class ChanLun(): timeframes = ["5m", "15m", "30m", "60m", "4h"] times = { @@ -29,7 +32,6 @@ class ChanLun(): time30 = 30 time60 = 60 time4h = 240 - def create_all_data(self, dataframe, ticker_indicator): all_data = dict() all_data['1m'] = dataframe @@ -910,8 +912,8 @@ class ChanLun(): #self.print_zs(zs_list) return zs_list - def get_bi_macd_hist_list(self, bi_list, dataframe): - bi_macd_hist_list = [] + def get_bi_macdhist_list(self, bi_list, dataframe): + bi_macdhist_list = [] for bi in bi_list: start_index = bi.start_klc.start_klu.index if bi.end_klc: @@ -925,12 +927,12 @@ class ChanLun(): total_macd_hist += macd_hist if bi.dir == Chan_BI_DIR.DOWN and macd_hist < 0: total_macd_hist -= macd_hist - bi_macd_hist_list.append(abs(total_macd_hist)) - bi.set_macd_hist(total_macd_hist) - return bi_macd_hist_list, bi_list + bi_macdhist_list.append(abs(total_macd_hist)) + bi.set_macdhist(total_macd_hist) + return bi_macdhist_list, bi_list - def get_seg_macd_hist_list(self, seg_list, dataframe): - seg_macd_hist_list = [] + def get_seg_macdhist_list(self, seg_list, dataframe): + seg_macdhist_list = [] for seg in seg_list: start_index = seg.start_bi.start_klc.start_klu.index if seg.end_bi: @@ -944,46 +946,46 @@ class ChanLun(): total_macd_hist += macd_hist if seg.dir == Chan_SEG_DIR.DOWN and macd_hist < 0: total_macd_hist -= macd_hist - seg_macd_hist_list.append(abs(total_macd_hist)) - seg.set_macd_hist(total_macd_hist) - return seg_macd_hist_list, seg_list + seg_macdhist_list.append(abs(total_macd_hist)) + seg.set_macdhist(total_macd_hist) + return seg_macdhist_list, seg_list def get_bi_macd_div_list(self, bi_list, dataframe): bi_macd_div_list = [] - bi_macd_hist_list, bi_list = self.get_bi_macd_hist_list(bi_list, dataframe) + bi_macdhist_list, bi_list = self.get_bi_macdhist_list(bi_list, dataframe) for index in range(2, len(bi_list)): - if bi_macd_hist_list[index-2] == 0: + if bi_macdhist_list[index-2] == 0: bi_macd_div = 0.0 - if index > 3 and bi_macd_hist_list[index-4] > 0.0: - bi_macd_div = bi_macd_hist_list[index]/bi_macd_hist_list[index-4] + if index > 3 and bi_macdhist_list[index-4] > 0.0: + bi_macd_div = bi_macdhist_list[index]/bi_macdhist_list[index-4] else: - bi_macd_div = bi_macd_hist_list[index]/bi_macd_hist_list[index-2] + bi_macd_div = bi_macdhist_list[index]/bi_macdhist_list[index-2] if bi_macd_div < 0.01: - if index > 3 and bi_macd_hist_list[index-4] > 0.0: - bi_macd_div = bi_macd_hist_list[index]/bi_macd_hist_list[index-4] + if index > 3 and bi_macdhist_list[index-4] > 0.0: + bi_macd_div = bi_macdhist_list[index]/bi_macdhist_list[index-4] bi_macd_div = self.get_decimal(bi_macd_div) bi_macd_div_list.append(bi_macd_div) bi_list[index].set_macd_div(bi_macd_div) - #print(bi_list[index].start_klc.start_time, self.get_decimal(bi_macd_hist_list[index]), self.get_decimal(bi_macd_hist_list[index - 1]), self.get_decimal(bi_macd_div)) + #print(bi_list[index].start_klc.start_time, self.get_decimal(bi_macdhist_list[index]), self.get_decimal(bi_macdhist_list[index - 1]), self.get_decimal(bi_macd_div)) return bi_macd_div_list, bi_list def get_seg_macd_div_list(self, seg_list, dataframe): seg_macd_div_list = [] - seg_macd_hist_list, seg_list = self.get_seg_macd_hist_list(seg_list, dataframe) + seg_macdhist_list, seg_list = self.get_seg_macdhist_list(seg_list, dataframe) for index in range(2, len(seg_list)): - if seg_macd_hist_list[index-2] == 0: + if seg_macdhist_list[index-2] == 0: seg_macd_div = 0.0 - if index > 3 and seg_macd_hist_list[index-4] > 0.0: - seg_macd_div = seg_macd_hist_list[index]/seg_macd_hist_list[index - 4] + if index > 3 and seg_macdhist_list[index-4] > 0.0: + seg_macd_div = seg_macdhist_list[index]/seg_macdhist_list[index - 4] else: - seg_macd_div = seg_macd_hist_list[index]/seg_macd_hist_list[index - 2] + seg_macd_div = seg_macdhist_list[index]/seg_macdhist_list[index - 2] if seg_macd_div < 0.01: - if index > 3 and seg_macd_hist_list[index-4] > 0.0: - seg_macd_div = seg_macd_hist_list[index]/seg_macd_hist_list[index - 4] + if index > 3 and seg_macdhist_list[index-4] > 0.0: + seg_macd_div = seg_macdhist_list[index]/seg_macdhist_list[index - 4] seg_macd_div = self.get_decimal(seg_macd_div) seg_macd_div_list.append(seg_macd_div) seg_list[index].set_macd_div(seg_macd_div) - #print(seg_list[index].start_bi.start_klc.start_time, self.get_decimal(seg_macd_hist_list[index]), self.get_decimal(seg_macd_hist_list[index - 1]), self.get_decimal(seg_macd_div)) + #print(seg_list[index].start_bi.start_klc.start_time, self.get_decimal(seg_macdhist_list[index]), self.get_decimal(seg_macdhist_list[index - 1]), self.get_decimal(seg_macd_div)) return seg_macd_div_list, seg_list def get_macd_div_list(self, dataframe): @@ -1596,7 +1598,7 @@ class ChanLun(): for index in range(0, len(big_bi_macd_div)): bi_macd_div = big_bi_macd_div[index] bi = big_bi[index + 2] - if bi.end_klc: + if bi.end_klc and False: text_index = bi.end_klc.end_klu.index if bi.dir == Chan_BI_DIR.UP: ax1.text(big_dates_num[text_index], bi.end_klc.high+1, bi_macd_div, color='red', fontsize=10, alpha=0.6) @@ -1605,12 +1607,24 @@ class ChanLun(): for index in range(0, len(big_seg_macd_div)): seg_macd_div = big_seg_macd_div[index] seg = big_seg[index + 2] - if seg.end_bi: + if seg.end_bi and False: text_index = seg.end_bi.end_klc.end_klu.index if seg.dir == Chan_SEG_DIR.UP: ax1.text(big_dates_num[text_index], seg.end_bi.end_klc.high+1, seg_macd_div, color='red', fontsize=14, alpha=0.6) else: ax1.text(big_dates_num[text_index], seg.end_bi.end_klc.low-1, seg_macd_div, color='green', fontsize=14, alpha=0.6) + big_klc = self.get_klc_list(big_df) + model = xgb.Booster() + model.load_model("30m_modelchan_xgb_model.json") + for klc in big_klc: + predict = self.predict(klc, model) + if predict > 0.35 and klc.fx == Chan_FX_TYPE.BOTTOM: + text_index = klc.end_klu.index + ax1.text(big_dates_num[text_index], klc.high+1, predict, color='red', fontsize=14, alpha=0.6) + if predict > 0.35 and klc.fx == Chan_FX_TYPE.TOP: + text_index = klc.end_klu.index + ax1.text(big_dates_num[text_index], klc.low-1, predict, color='green', fontsize=14, alpha=0.6) + """ # 绘制大周期买卖点 marker_styles = { @@ -1748,7 +1762,7 @@ class ChanLun(): for index in range(0, len(small_bi_macd_div)): bi_macd_div = small_bi_macd_div[index] bi = small_bi[index + 2] - if bi.end_klc: + if bi.end_klc and False: text_index = bi.end_klc.end_klu.index if bi.dir == Chan_BI_DIR.UP: ax2.text(small_dates_num[text_index], bi.end_klc.high+1, bi_macd_div, color='red', fontsize=10, alpha=0.6) @@ -1757,12 +1771,23 @@ class ChanLun(): for index in range(0, len(small_seg_macd_div)): seg_macd_div = small_seg_macd_div[index] seg = small_seg[index + 2] - if seg.end_bi: + if seg.end_bi and False: text_index = seg.end_bi.end_klc.end_klu.index if seg.dir == Chan_SEG_DIR.UP: ax2.text(small_dates_num[text_index], seg.end_bi.end_klc.high+1, seg_macd_div, color='red', fontsize=14, alpha=0.8) else: ax2.text(small_dates_num[text_index], seg.end_bi.end_klc.low-1, seg_macd_div, color='green', fontsize=14, alpha=0.8) + small_klc = self.get_klc_list(small_df) + model = xgb.Booster() + model.load_model("5m_modelchan_xgb_model.json") + for klc in small_klc: + predict = self.predict(klc, model) + if predict > 0.35 and klc.fx == Chan_FX_TYPE.BOTTOM: + text_index = klc.end_klu.index + ax2.text(small_dates_num[text_index], klc.high+1, predict, color='red', fontsize=14, alpha=0.6) + if predict > 0.35 and klc.fx == Chan_FX_TYPE.TOP: + text_index = klc.end_klu.index + ax2.text(small_dates_num[text_index], klc.low-1, predict, color='green', fontsize=14, alpha=0.6) """ # 绘制小周期买卖点 for idx, point in small_buy_sell_points.items(): @@ -1806,7 +1831,33 @@ class ChanLun(): plt.xticks(rotation=45) plt.tight_layout() plt.show() + + + def predict(self, klc, model): + """ + 使用训练好的模型预测单个KLC + :param klc: 需要预测的ChanKLC对象 + :return: 预测结果（概率值） + """ + # 提取特征 + features = klc.get_feature_data() + feature_vec = [] + # 与get_feature_data保持一致，只使用相同的特征集 + for key, value in features.items(): + if isinstance(value, (int, float)): + feature_vec.append(value) + else: + feature_vec.append(0) + + # 转换为模型输入格式 + dtest = xgb.DMatrix(np.array([feature_vec])) + # 预测 + return self.get_decimal(model.predict(dtest)[0]) + + def get_decimal(self, value): + return Decimal("{:.2f}".format(value)) + def plot(self, dataframe, bi_list, seg_list, zs_list=None, buy_sell_points=None, divergence_points=None): """ 绘制缠论分析图表，包括K线、笔、线段、中枢、买卖点和MACD背驰 diff --git a/ChanLun_Classifier.py b/ChanLun_Classifier.py index 0efe169..9261dcf 100644 --- a/ChanLun_Classifier.py +++ b/ChanLun_Classifier.py @@ -281,13 +281,18 @@ class ChanLunClassifier: # 使用ChanLun获取bi_list bi_list = self.chan.cal_bi_list(self.chan.get_klc_list(dataframe)) klc_list = self.chan.get_klc_list(dataframe) + seg_list = self.chan.get_seg_list(bi_list) # 筛选方向为UP的bi的起始klc feature_data = [] labels = [] bi_index = 0 + sample_list = [] for klc in klc_list: - if bi_index == len(bi_list): + if klc.fx != Chan_FX_TYPE.UNKNOWN: + sample_list.append(klc) + for klc in sample_list: + if bi_index >= len(bi_list): bi_index = len(bi_list) - 1 bi = bi_list[bi_index] if klc.end_klu and bi.end_klc and klc.start_klu.index >= bi.start_klc.start_klu.index and klc.end_klu.index <= bi.end_klc.end_klu.index: @@ -306,9 +311,11 @@ class ChanLunClassifier: # 判断这个bi是否赚钱（这里简单定义为：如果bi的结束价格高于起始价格，则标记为1，否则为0） # 这个标签定义可以根据实际需求修改 - if bi.start_klc.index == klc.index: + seg = seg_list[bi_index] + if bi.start_klc.index == klc.index and bi.dir == Chan_BI_DIR.UP: + #if klc.index == seg.start_bi.start_klc.index and seg.dir == Chan_SEG_DIR.UP: label = 1 - bi_index += 1 + bi_index += 2 else: label = 0 @@ -325,12 +332,17 @@ class ChanLunClassifier: # 使用ChanLun获取bi_list bi_list = self.chan.cal_bi_list(self.chan.get_klc_list(dataframe)) klc_list = self.chan.get_klc_list(dataframe) + seg_list = self.chan.get_seg_list(bi_list) # 筛选方向为UP的bi的起始klc feature_data = [] labels = [] bi_index = 0 + sample_list = [] for klc in klc_list: - if bi_index == len(bi_list): + if klc.fx != Chan_FX_TYPE.UNKNOWN: + sample_list.append(klc) + for klc in sample_list: + if bi_index >= len(bi_list): bi_index = len(bi_list) - 1 bi = bi_list[bi_index] # 提取特征 @@ -344,10 +356,11 @@ class ChanLunClassifier: feature_vec.append(value) else: feature_vec.append(0) - - if bi.start_klc.index == klc.index: + seg = seg_list[bi_index] + if bi.start_klc.index == klc.index and bi.dir == Chan_BI_DIR.UP: + #if klc.index == seg.start_bi.start_klc.index and seg.dir == Chan_SEG_DIR.UP: label = 1 - bi_index += 1 + bi_index += 2 else: label = 0 @@ -433,6 +446,8 @@ class ChanLunClassifier: dtest = xgb.DMatrix(np.array([feature_vec])) # 预测 - return self.model.predict(dtest)[0] + return self.get_decimal(self.model.predict(dtest)[0]) + def get_decimal(self, value): + return Decimal("{:.2f}".format(value)) diff --git a/ChanSEG.py b/ChanSEG.py index 7cbd1cd..0eb1174 100644 --- a/ChanSEG.py +++ b/ChanSEG.py @@ -26,7 +26,7 @@ class ChanSEG(): self.sure_time = None self.macd_hist = 0 self.macd_div = 0 - def set_macd_hist(self, macd_hist): + def set_macdhist(self, macd_hist): self.macd_hist = macd_hist def set_macd_div(self, macd_div): self.macd_div = macd_div diff --git a/__pycache__/ChanBI.cpython-312.pyc b/__pycache__/ChanBI.cpython-312.pyc index 52a365c..8b5d9cb 100644 Binary files a/__pycache__/ChanBI.cpython-312.pyc and b/__pycache__/ChanBI.cpython-312.pyc differ diff --git a/__pycache__/ChanBSP.cpython-312.pyc b/__pycache__/ChanBSP.cpython-312.pyc index b0fd3e6..4d8eb55 100644 Binary files a/__pycache__/ChanBSP.cpython-312.pyc and b/__pycache__/ChanBSP.cpython-312.pyc differ diff --git a/__pycache__/ChanKLC.cpython-312.pyc b/__pycache__/ChanKLC.cpython-312.pyc index 2a7b85d..9ba2066 100644 Binary files a/__pycache__/ChanKLC.cpython-312.pyc and b/__pycache__/ChanKLC.cpython-312.pyc differ diff --git a/__pycache__/ChanKLU.cpython-312.pyc b/__pycache__/ChanKLU.cpython-312.pyc index 9037ccf..2fe6c5e 100644 Binary files a/__pycache__/ChanKLU.cpython-312.pyc and b/__pycache__/ChanKLU.cpython-312.pyc differ diff --git a/__pycache__/ChanLun.cpython-312.pyc b/__pycache__/ChanLun.cpython-312.pyc index 5844d14..f3adc55 100644 Binary files a/__pycache__/ChanLun.cpython-312.pyc and b/__pycache__/ChanLun.cpython-312.pyc differ diff --git a/__pycache__/ChanLun_Classifier.cpython-312.pyc b/__pycache__/ChanLun_Classifier.cpython-312.pyc index 5755a5f..2e4b553 100644 Binary files a/__pycache__/ChanLun_Classifier.cpython-312.pyc and b/__pycache__/ChanLun_Classifier.cpython-312.pyc differ diff --git a/__pycache__/ChanSEG.cpython-312.pyc b/__pycache__/ChanSEG.cpython-312.pyc index f284a91..dac2f10 100644 Binary files a/__pycache__/ChanSEG.cpython-312.pyc and b/__pycache__/ChanSEG.cpython-312.pyc differ diff --git a/__pycache__/ChanZS.cpython-312.pyc b/__pycache__/ChanZS.cpython-312.pyc index de2cfbc..543e39b 100644 Binary files a/__pycache__/ChanZS.cpython-312.pyc and b/__pycache__/ChanZS.cpython-312.pyc differ