@JerryQ #coding=utf-8
from kuanke.user_space_api import *
class trade_stat():
def __init__(self):
self.trade_total_count = 0
self.trade_success_count = 0
self.statis = {'win': [], 'loss': []}
def reset(self):
self.trade_total_count = 0
self.trade_success_count = 0
self.statis = {'win': [], 'loss': []}
# 记录交易次数便于统计胜率
# 卖出成功后针对卖出的量进行盈亏统计
def watch(self, stock, sold_amount, avg_cost, cur_price):
self.trade_total_count += 1
current_value = sold_amount * cur_price
cost = sold_amount * avg_cost
percent = round((current_value - cost) / cost * 100, 2)
if current_value > cost:
self.trade_success_count += 1
win = [stock, percent]
self.statis['win'].append(win)
else:
loss = [stock, percent]
self.statis['loss'].append(loss)
def report(self, context):
cash = context.portfolio.cash
totol_value = context.portfolio.portfolio_value
position = 1 - cash/totol_value
log.info("收盘后持仓概况:%s" % str(list(context.portfolio.positions)))
log.info("仓位概况:%.2f" % position)
self.print_win_rate(context.current_dt.strftime("%Y-%m-%d"), context.current_dt.strftime("%Y-%m-%d"), context)
# 打印胜率
def print_win_rate(self, current_date, print_date, context):
if str(current_date) == str(print_date):
win_rate = 0
if 0 < self.trade_total_count and 0 < self.trade_success_count:
win_rate = round(self.trade_success_count / float(self.trade_total_count), 3)
most_win = self.statis_most_win_percent()
most_loss = self.statis_most_loss_percent()
starting_cash = context.portfolio.starting_cash
total_profit = self.statis_total_profit(context)
if len(most_win)==0 or len(most_loss)==0:
return
print "-"
print '------------绩效报表------------'
print '交易次数: {0}, 盈利次数: {1}, 胜率: {2}'.format(self.trade_total_count, self.trade_success_count, str(win_rate * 100) + str('%'))
print '单次盈利最高: {0}, 盈利比例: {1}%'.format(most_win['stock'], most_win['value'])
print '单次亏损最高: {0}, 亏损比例: {1}%'.format(most_loss['stock'], most_loss['value'])
print '总资产: {0}, 本金: {1}, 盈利: {2}, 盈亏比率：{3}%'.format(starting_cash + total_profit, starting_cash, total_profit, total_profit / starting_cash * 100)
print '--------------------------------'
print "-"
# 统计单次盈利最高的股票
def statis_most_win_percent(self):
result = {}
for statis in self.statis['win']:
if {} == result:
result['stock'] = statis[0]
result['value'] = statis[1]
else:
if statis[1] > result['value']:
result['stock'] = statis[0]
result['value'] = statis[1]
return result
# 统计单次亏损最高的股票
def statis_most_loss_percent(self):
result = {}
for statis in self.statis['loss']:
if {} == result:
result['stock'] = statis[0]
result['value'] = statis[1]
else:
if statis[1] < result['value']:
result['stock'] = statis[0]
result['value'] = statis[1]
return result
# 统计总盈利金额
def statis_total_profit(self, context):
return context.portfolio.portfolio_value - context.portfolio.starting_cash
2017-05-26
雪球
