"""
总结
1. 交费费用在千分之一和万分之二之间，影响甚小
2. 网格越小，则交易频次越高，收益越高，占用资金越大
3. 网格金额越大，收益越大，占用资金越大，呈正比关系，交易频次不变
4. 合适的网格在100-200之间
5. 收益不高，和银行利率相差无几
2000-4000，网格50，网格金额1万，2020-01-01至2023-12-07，收益34431，交易次数242，最大资金占用26万
2000-4000，网格100，网格金额1万，2020-01-01至2023-12-07，收益16974，交易次数86，最大资金占用13万
2000-4000，网格200，网格金额1万，2020-01-01至2023-12-07，收益9818，交易次数32，最大资金占用6万
2000-4000，网格300，网格金额1万，2020-01-01至2023-12-07，收益5697，交易次数14，最大资金占用4万
2000-4000，网格400，网格金额1万，2020-01-01至2023-12-07，收益3785，交易次数8，最大资金占用3万
2000-4000，网格50，网格金额2万，2020-01-01至2023-12-07，收益68863，交易次数242，最大资金占用52万
2000-4000，网格100，网格金额2万，2020-01-01至2023-12-07，收益33949，交易次数86，最大资金占用26万
2000-4000，网格200，网格金额2万，2020-01-01至2023-12-07，收益19636，交易次数32，最大资金占用12万
2000-4000，网格300，网格金额2万，2020-01-01至2023-12-07，收益11395，交易次数14，最大资金占用8万
2000-4000，网格400，网格金额2万，2020-01-01至2023-12-07，收益7571，交易次数8，最大资金占用6万
"""
import time
import pandas as pd
class BuyRecord:
def __init__(self, low_index, high_index, bug_index, hold_weight):
self.low_index = low_index
self.high_index = high_index
self.bug_index = bug_index
self.hold_weight = hold_weight
def info(self):
print("low_index:{}，high_index:{}，bug_index:{}，hold_weight:{}".format(self.low_index, self.high_index,
self.bug_index, self.hold_weight))
class MyModel:
def __init__(self, min_index: float = 2000, max_index: float = 4000, grid: float = 400.0,
grid_money: float = 20000.0, cost_rate: float = 0.0002):
self.min_index = min_index
self.max_index = max_index
self.grid = grid
self.grid_money = grid_money
self.cost_rate = cost_rate
self.income = 0
self.buy_record = []
self.opt_info_record = []
self.max_money_used = 0
self.opt_print = False
tmp_index = min_index
while tmp_index < max_index:
buy_record = BuyRecord(tmp_index, tmp_index + grid, None, 0)
self.buy_record.append(buy_record)
tmp_index = tmp_index + grid
def set_opt_print(self, opt_print=False):
self.opt_print = opt_print
def opt(self, current_time, current_index):
current_opt_info = ["{}，当前指数：{}".format(current_time, current_index)]
for record in self.buy_record:
if record.hold_weight == 0:
if current_index < record.low_index:
record.hold_weight = 1
record.bug_index = current_index
opt_info = "{}，【买入】，买入阈值：{}，买入值：{}".format(current_time, record.low_index, current_index)
current_opt_info.append(opt_info)
self.opt_info_record.append(opt_info)
else:
if current_index > record.high_index:
current_income = self.grid_money * (
(current_index - record.bug_index) / record.bug_index - self.cost_rate)
self.income = self.income + current_income
opt_info = "{}，【卖出】，卖出阈值：{}，买入值：{}，卖出值：{}，当前收益：{}，总收益：{}".format(current_time, record.high_index,
record.bug_index,
current_index,
current_income, self.income)
current_opt_info.append(opt_info)
self.opt_info_record.append(opt_info)
record.hold_weight = 0
record.bug_index = None
money_use = len([i for i in self.buy_record if i.hold_weight != 0]) * self.grid_money
current_opt_info.append("当前资金占用：{}".format(money_use))
if self.max_money_used < money_use:
self.max_money_used = money_use
if self.opt_print:
print("|".join(current_opt_info))
def clear(self, current_time, current_index):
current_opt_info = ["【清仓】 {}，当前指数：{}".format(current_time, current_index)]
for record in self.buy_record:
if record.hold_weight == 1:
current_income = self.grid_money * (
(current_index - record.bug_index) / record.bug_index - self.cost_rate)
self.income = self.income + current_income
opt_info = "【清仓】 {}，【卖出】，卖出阈值：{}，买入值：{}，卖出值：{}，当前收益：{}，总收益：{}".format(current_time, record.high_index,
record.bug_index,
current_index,
current_income, self.income)
current_opt_info.append(opt_info)
self.opt_info_record.append(opt_info)
record.hold_weight = 0
record.bug_index = None
print("|".join(current_opt_info))
def stat(self):
print("-" * 120)
print("总收益：{}".format(self.income))
print("最大资金占用：{}".format(self.max_money_used))
print("交易次数：{}".format(len(self.opt_info_record)))
print("当前持有：{}".format([i.info() for i in self.buy_record if i.hold_weight != 0]))
print("交易详情：")
for info in self.opt_info_record:
print(info)
def clear_and_stat(self, current_time, current_index):
self.clear(current_time, current_index)
self.stat()
def test():
df = pd.read_excel("data/shanghai_index.xlsx", engine="openpyxl")
print("总数据量：{}".format(len(df)))
df = df[df["日期"] > '2020/01/01']
df = df.sort_index(ascending=False)
start_row = df.iloc[0]
end_row = df.iloc[-1]
print("样本数据量：{}".format(len(df)))
print("起始指数：{} {}".format(start_row["日期"], start_row["收盘价"]))
print("最终指数：{} {}".format(end_row["日期"], end_row["收盘价"]))
m = MyModel()
for i, row in df.iterrows():
m.opt(row["日期"], row["收盘价"])
m.clear_and_stat(end_row["日期"], end_row["收盘价"])
if __name__ == "__main__":
_t1 = time.time()
test()
_t2 = time.time()
print('{}\n用时：{}秒'.format('_' * 100, round((_t2 - _t1), 4)))
