def process_data(self, mdf):
xdf = self.proc_func(mdf, **self.proc_args)
if self.win == -1:
tr= pd.concat([xdf.high - xdf.low, abs(xdf.close - xdf.close.shift(1))],
join='outer', axis=1).max(axis=1)
elif self.win == 0:
tr = pd.concat([(pd.rolling_max(xdf.high, 2) - pd.rolling_min(xdf.close, 2))*self.multiplier,
(pd.rolling_max(xdf.close, 2) - pd.rolling_min(xdf.low, 2))*self.multiplier,
xdf.high - xdf.close,
xdf.close - xdf.low],
join='outer', axis=1).max(axis=1)
else:
tr= pd.concat([pd.rolling_max(xdf.high, self.win) - pd.rolling_min(xdf.close, self.win),
pd.rolling_max(xdf.close, self.win) - pd.rolling_min(xdf.low, self.win)],
join='outer', axis=1).max(axis=1)
xdf['TR'] = tr
xdf['chanh'] = self.chan_high(xdf['high'], self.chan, **self.chan_func['high']['args'])
xdf['chanl'] = self.chan_low(xdf['low'], self.chan, **self.chan_func['low']['args'])
xdf['ATR'] = dh.ATR(xdf, n = self.atr_len)
xdf['MA'] = dh.MA(xdf, n=self.atr_len, field = 'close')
xdata = pd.concat([xdf['TR'].shift(1), xdf['MA'].shift(1), xdf['ATR'].shift(1),
xdf['chanh'].shift(1), xdf['chanl'].shift(1),
xdf['open']], axis=1, keys=['tr','ma', 'atr', 'chanh', 'chanl', 'dopen']).fillna(0)
self.df = mdf.join(xdata, how = 'left').fillna(method='ffill')
self.df['datetime'] = self.df.index
self.df['cost'] = 0
self.df['pos'] = 0
self.df['traded_price'] = self.df['open']
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