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demo_tdx.py
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"""尝试套通达信风格指数"""
import os
import sys
import time
from pathlib import Path
# 修改当前目录到上层目录，方便跨不同IDE中使用
pwd = str(Path(__file__).parents[1])
os.chdir(pwd)
sys.path.append(pwd)
print("pwd:", os.getcwd())
# ====================
import polars as pl
from expr_codegen import codegen_exec
from loguru import logger
from polars_ta.prefix.wq import *
def _code_block_1():
# 基础字段准备===================
涨跌幅 = CLOSE / CLOSE[1] - 1
振幅 = (HIGH - LOW) / CLOSE[1]
开盘涨停 = open >= high_limit - 0.001
最高涨停 = high >= high_limit - 0.001
一字涨停 = low >= high_limit - 0.001
收盘涨停 = close >= high_limit - 0.001
开盘跌停 = open <= low_limit + 0.001
一字跌停 = high <= low_limit + 0.001
最低跌停 = low <= low_limit + 0.001
收盘跌停 = close <= low_limit + 0.001
连板天数 = ts_cum_sum_reset(收盘涨停)
涨停T天, 涨停N板, _ = ts_up_stat(收盘涨停)
def _code_block_2():
# 通达信风格板块===================
_昨日强势1 = (0.07 < 涨跌幅) & (涨跌幅 < 0.1) & (上海主板 | 深圳主板)
_昨日强势2 = (0.14 < 涨跌幅) & (涨跌幅 < 0.2) & (创业板 | 科创板)
_昨日强势3 = (0.21 < 涨跌幅) & (涨跌幅 < 0.3) & 北交所
昨日强势 = _昨日强势1 | _昨日强势2 | _昨日强势3
_昨日弱势1 = (-0.1 < 涨跌幅) & (涨跌幅 < -0.07) & (上海主板 | 深圳主板)
_昨日弱势2 = (-0.2 < 涨跌幅) & (涨跌幅 < -0.14) & (创业板 | 科创板)
_昨日弱势3 = (-0.3 < 涨跌幅) & (涨跌幅 < -0.21) & 北交所
昨日弱势 = _昨日弱势1 | _昨日弱势2 | _昨日弱势3
_昨日较弱1 = (-0.07 <= 涨跌幅) & (涨跌幅 <= -0.05) & (上海主板 | 深圳主板)
_昨日较弱2 = (-0.14 <= 涨跌幅) & (涨跌幅 <= -0.10) & (创业板 | 科创板)
_昨日较弱3 = (-0.21 <= 涨跌幅) & (涨跌幅 <= -0.15) & 北交所
昨日较弱 = _昨日较弱1 | _昨日较弱2 | _昨日较弱3
_昨日较强1 = (0.05 <= 涨跌幅) & (涨跌幅 <= 0.07) & (上海主板 | 深圳主板)
_昨日较强2 = (0.10 <= 涨跌幅) & (涨跌幅 <= 0.14) & (创业板 | 科创板)
_昨日较强3 = (0.15 <= 涨跌幅) & (涨跌幅 <= 0.21) & 北交所
昨日较强 = _昨日较强1 | _昨日较强2 | _昨日较强3
_最近异动1 = (ts_sum(turnover_ratio, 3) > 25) & (ts_mean(振幅, 3) > 0.07) & ~(创业板 | 科创板)
_最近异动2 = (ts_sum(turnover_ratio, 3) > 50) & (ts_mean(振幅, 3) > 0.14) & (创业板 | 科创板)
最近异动 = _最近异动1 | _最近异动2
_昨高换手1 = (turnover_ratio > 15) & ~科创板
_昨高换手2 = (turnover_ratio > 30) & 科创板
昨高换手 = _昨高换手1 | _昨高换手2
近期强势 = (ts_returns(CLOSE, 20) >= 0.3) & (ts_returns(CLOSE, 3) > 0)
近期弱势 = (ts_returns(CLOSE, 20) <= -0.2) & (ts_returns(CLOSE, 3) < 0)
# ===================
最近情绪 = ts_count(收盘涨停 | 收盘跌停, 5) > 0
昨日跌停 = 收盘跌停
昨曾跌停 = 最低跌停 & ~收盘跌停
昨日首板 = 连板天数 == 1
最近多板 = 涨停N板 >= 2
昨日连板 = 连板天数 >= 2
昨日涨停 = 收盘涨停
昨曾涨停 = 最高涨停 & ~收盘涨停
昨成交20 = cs_rank(-amount, False) <= 20
大盘股 = cs_rank(-market_cap, False) <= 200
微盘股 = cs_rank(market_cap, False) <= 400
高市盈率 = cs_rank(-pe_ratio, False) <= 200
低市盈率 = cs_rank(pe_ratio, False) <= 200
高市净率 = cs_rank(-pb_ratio, False) <= 200
低市净率 = cs_rank(pb_ratio, False) <= 200
活跃股 = cs_rank(-ts_sum(turnover_ratio, 5)) <= 100
不活跃股 = ts_sum(turnover_ratio, 5) < 20
昨日振荡 = (振幅 > 0.08) & (LOW < CLOSE[1]) & (HIGH > CLOSE[1])
近期新高 = ts_max(HIGH, 3) == ts_max(HIGH, 250)
近期新低 = ts_min(LOW, 3) == ts_max(LOW, 250)
百元股 = (ts_max(high, 5) > 100) & (close[1] > 90)
低价股 = close <= 3
# 由于读写多，推荐放到内存盘，加快速度
PATH_INPUT1 = r'M:\preprocessing\data2.parquet'
# 去除停牌后的基础数据
PATH_OUTPUT = r'M:\preprocessing\out1.parquet'
if __name__ == '__main__':
logger.info('数据准备开始')
df = pl.read_parquet(PATH_INPUT1)
logger.info('数据准备完成')
# =====================================
logger.info('计算开始')
t1 = time.perf_counter()
df = codegen_exec(df, _code_block_1, _code_block_2, output_file='1_out.py', run_file=False, over_null=None)
t2 = time.perf_counter()
df = codegen_exec(df, _code_block_1, _code_block_2, output_file='1_out.py', run_file=True, over_null=None)
t3 = time.perf_counter()
df = codegen_exec(df, _code_block_1, _code_block_2, output_file='1_out.py', run_file=True, over_null=None)
t4 = time.perf_counter()
print(t2 - t1, t3 - t2, t4 - t3)
logger.info('计算结束')
df = df.filter(
~pl.col('is_st'),
)
print(df)