0.9.42 新增 bar_trend_V240209

czsc/signals/__init__.py

@@ -108,6 +108,7 @@
     bar_window_std_V230731,
     bar_window_ps_V230731,
     bar_window_ps_V230801,
+    bar_trend_V240209,
 )
 
 from czsc.signals.jcc import (

czsc/signals/bar.py

@@ -16,7 +16,7 @@
 from czsc.traders.base import CzscSignals
 from czsc.objects import RawBar
 from czsc.utils.sig import check_pressure_support
-from czsc.signals.tas import update_ma_cache
+from czsc.signals.tas import update_ma_cache, update_macd_cache
 from czsc.utils.bar_generator import freq_end_time
 from czsc.utils import single_linear, freq_end_time, get_sub_elements, create_single_signal
 
@@ -1648,3 +1648,67 @@ def bar_window_ps_V230801(c: CZSC, **kwargs) -> OrderedDict:
     pcts = [int(max((x.close - L_line) / (H_line - L_line), 0) * 10) for x in c.bars_raw[-w:]]
     v1, v2, v3 = f"最大N{max(pcts)}", f"最小N{min(pcts)}", f"当前N{pcts[-1]}"
     return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1, v2=v2, v3=v3)
+
+
+def bar_trend_V240209(c: CZSC, **kwargs) -> OrderedDict:
+    """趋势跟踪信号
+
+    参数模板："{freq}_D{di}N{N}趋势跟踪_BS辅助V240209"
+
+    **信号逻辑：**
+
+    以多头为例：
+    1. 低点出现在高点之后，且低点右侧的高点到当前K线之间的K线数量在5-30之间；
+    2. 低点右侧的K线的DIF值小于前N根K线的DIF值的标准差的一半；
+    3. 低点右侧的K线的最低价大于低点的最低价；
+    4. 低点右侧的K线的MACD值小于前N根K线的MACD值的标准差的一半。
+
+    **信号列表：**
+
+    - Signal('60分钟_D1N60趋势跟踪_BS辅助V240209_多头_任意_任意_0')
+    - Signal('60分钟_D1N60趋势跟踪_BS辅助V240209_空头_任意_任意_0')
+
+    :param c: CZSC对象
+    :param kwargs: 参数设置
+
+        - di: int, default 1, 倒数第几根K线
+        - N: int, default 20, 窗口大小
+
+    :return: 信号识别结果
+    """
+    di = int(kwargs.get('di', 1))
+    N = int(kwargs.get('N', 60))
+
+    freq = c.freq.value
+    k1, k2, k3 = f"{freq}_D{di}N{N}趋势跟踪_BS辅助V240209".split('_')
+    v1 = '其他'
+    cache_key = update_macd_cache(c)
+    bars = get_sub_elements(c.bars_raw, di=di, n=N)
+    max_bar = max(bars, key=lambda x: x.high)
+    min_bar = min(bars, key=lambda x: x.low)
+    dif_std = np.std([x.cache[cache_key]['dif'] for x in bars])
+    macd_std = np.std([x.cache[cache_key]['macd'] for x in bars])
+
+    if min_bar.dt < max_bar.dt:
+        right_bars = [x for x in c.bars_raw if x.dt >= max_bar.dt]
+        right_min_bar = min(right_bars, key=lambda x: x.low)
+        c1 = 30 > right_min_bar.id - max_bar.id > 5
+        c2 = abs(right_bars[-1].cache[cache_key]['dif']) < dif_std        # type: ignore
+        c3 = right_min_bar.low > min_bar.low
+        c4 = abs(right_bars[-1].cache[cache_key]['macd']) < macd_std     # type: ignore
+
+        if c1 and c2 and c3 and c4:
+            return create_single_signal(k1=k1, k2=k2, k3=k3, v1="多头")
+
+    if min_bar.dt > max_bar.dt:
+        right_bars = [x for x in c.bars_raw if x.dt >= min_bar.dt]
+        right_max_bar = max(right_bars, key=lambda x: x.high)
+        c1 = 30 > right_max_bar.id - min_bar.id > 5
+        c2 = abs(right_bars[-1].cache[cache_key]['dif']) < dif_std        # type: ignore
+        c3 = right_max_bar.high < max_bar.high
+        c4 = abs(right_bars[-1].cache[cache_key]['macd']) < macd_std      # type: ignore
+
+        if c1 and c2 and c3 and c4:
+            return create_single_signal(k1=k1, k2=k2, k3=k3, v1="空头")
+
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)

examples/signals_dev/bar_trend_V240209.py

@@ -0,0 +1,85 @@
+import numpy as np
+from collections import OrderedDict
+from czsc.analyze import CZSC
+from loguru import logger
+from czsc.signals.tas import update_ma_cache, update_macd_cache
+from czsc.utils import create_single_signal, get_sub_elements, fast_slow_cross
+
+
+def bar_trend_V240209(c: CZSC, **kwargs) -> OrderedDict:
+    """趋势跟踪信号
+
+    参数模板："{freq}_D{di}N{N}趋势跟踪_BS辅助V240209"
+
+    **信号逻辑：**
+
+    以多头为例：
+    1. 低点出现在高点之后，且低点右侧的高点到当前K线之间的K线数量在5-30之间；
+    2. 低点右侧的K线的DIF值小于前N根K线的DIF值的标准差的一半；
+    3. 低点右侧的K线的最低价大于低点的最低价；
+    4. 低点右侧的K线的MACD值小于前N根K线的MACD值的标准差的一半。
+
+    **信号列表：**
+
+    - Signal('60分钟_D1N60趋势跟踪_BS辅助V240209_多头_任意_任意_0')
+    - Signal('60分钟_D1N60趋势跟踪_BS辅助V240209_空头_任意_任意_0')
+
+    :param c: CZSC对象
+    :param kwargs: 参数设置
+
+        - di: int, default 1, 倒数第几根K线
+        - N: int, default 20, 窗口大小
+
+    :return: 信号识别结果
+    """
+    di = int(kwargs.get('di', 1))
+    N = int(kwargs.get('N', 60))
+
+    freq = c.freq.value
+    k1, k2, k3 = f"{freq}_D{di}N{N}趋势跟踪_BS辅助V240209".split('_')
+    v1 = '其他'
+    cache_key = update_macd_cache(c)
+    bars = get_sub_elements(c.bars_raw, di=di, n=N)
+    max_bar = max(bars, key=lambda x: x.high)
+    min_bar = min(bars, key=lambda x: x.low)
+    dif_std = np.std([x.cache[cache_key]['dif'] for x in bars])
+    macd_std = np.std([x.cache[cache_key]['macd'] for x in bars])
+
+    if min_bar.dt < max_bar.dt:
+        right_bars = [x for x in c.bars_raw if x.dt >= max_bar.dt]
+        right_min_bar = min(right_bars, key=lambda x: x.low)
+        c1 = 30 > right_min_bar.id - max_bar.id > 5
+        c2 = abs(right_bars[-1].cache[cache_key]['dif']) < dif_std        # type: ignore
+        c3 = right_min_bar.low > min_bar.low
+        c4 = abs(right_bars[-1].cache[cache_key]['macd']) < macd_std     # type: ignore
+
+        if c1 and c2 and c3 and c4:
+            return create_single_signal(k1=k1, k2=k2, k3=k3, v1="多头")
+
+    if min_bar.dt > max_bar.dt:
+        right_bars = [x for x in c.bars_raw if x.dt >= min_bar.dt]
+        right_max_bar = max(right_bars, key=lambda x: x.high)
+        c1 = 30 > right_max_bar.id - min_bar.id > 5
+        c2 = abs(right_bars[-1].cache[cache_key]['dif']) < dif_std        # type: ignore
+        c3 = right_max_bar.high < max_bar.high
+        c4 = abs(right_bars[-1].cache[cache_key]['macd']) < macd_std      # type: ignore
+
+        if c1 and c2 and c3 and c4:
+            return create_single_signal(k1=k1, k2=k2, k3=k3, v1="空头")
+
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
+
+
+def check():
+    from czsc.connectors import research
+    from czsc.traders.base import check_signals_acc
+
+    symbols = research.get_symbols('A股主要指数')
+    bars = research.get_raw_bars(symbols[0], '15分钟', '20181101', '20210101', fq='前复权')
+
+    signals_config = [{'name': bar_trend_V240209, 'freq': "60分钟", 'N': 60}]
+    check_signals_acc(bars, signals_config=signals_config, height='780px', delta_days=1)  # type: ignore
+
+
+if __name__ == '__main__':
+    check()