300 lines
13 KiB
Python
300 lines
13 KiB
Python
# -*- encoding:utf-8 -*-
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"""选股因子参数以及选择图形可视化"""
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from __future__ import absolute_import
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from __future__ import division
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from __future__ import print_function
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import ipywidgets as widgets
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import numpy as np
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from ..PickStockBu.ABuPickRegressAngMinMax import AbuPickRegressAngMinMax
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from ..PickStockBu.ABuPickStockDemo import AbuPickStockShiftDistance, AbuPickStockNTop
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from ..PickStockBu.ABuPickStockPriceMinMax import AbuPickStockPriceMinMax
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from ..WidgetBu.ABuWGPSBase import WidgetPickStockBase
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__author__ = '阿布'
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__weixin__ = 'abu_quant'
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class PSPriceWidget(WidgetPickStockBase):
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"""对应AbuPickStockPriceMinMax策略widget"""
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def _init_widget(self):
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"""构建AbuPickStockPriceMinMax策略参数界面"""
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self.description = widgets.Textarea(
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value=u'价格选股因子策略：\n'
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u'根据交易目标的一段时间内收盘价格的最大，最小值进行选股，选中规则：\n'
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u'1. 交易目标最小价格 > 最小价格阀值\n'
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u'2. 交易目标最大价格 < 最大价格阀值\n',
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description=u'价格选股',
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disabled=False,
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layout=self.description_layout
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)
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self.price_min_label = widgets.Label(u'设定选股价格最小阀值，默认15', layout=self.label_layout)
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self.price_min_float = widgets.FloatText(
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value=15,
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description=u'最小:',
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disabled=False
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)
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self.price_min_ck = widgets.Checkbox(
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value=True,
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description=u'使用最小阀值',
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disabled=False
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)
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def price_min_ck_change(change):
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self.price_min_float.disabled = not change['new']
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self.price_min_ck.observe(price_min_ck_change, names='value')
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self.price_min_box = widgets.VBox([self.price_min_label, self.price_min_ck, self.price_min_float])
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self.price_max_label = widgets.Label(u'设定选股价格最大阀值，默认50', layout=self.label_layout)
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self.price_max_float = widgets.FloatText(
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value=50,
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description=u'最大:',
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disabled=False
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)
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self.price_max_ck = widgets.Checkbox(
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value=True,
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description=u'使用最大阀值',
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disabled=False
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)
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def price_max_ck_change(change):
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self.price_max_float.disabled = not change['new']
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self.price_max_ck.observe(price_max_ck_change, names='value')
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self.price_max_box = widgets.VBox([self.price_max_label, self.price_max_ck, self.price_max_float])
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self.widget = widgets.VBox([self.description, self.price_min_box, self.price_max_box,
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self.xd_box, self.reversed_box, self.add_box],
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# border='solid 1px',
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layout=self.widget_layout)
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def make_pick_stock_unique(self):
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"""对应按钮添加AbuPickStockPriceMinMax策略，构建策略字典对象factor_dict以及唯一策略描述字符串factor_desc_key"""
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price_min = self.price_min_float.value if self.price_min_ck.value else -np.inf
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price_max = self.price_max_float.value if self.price_max_ck.value else np.inf
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factor_dict = {'class': AbuPickStockPriceMinMax,
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'xd': self.xd.value,
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'reversed': self.reversed.value,
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'threshold_price_min': price_min,
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'threshold_price_max': price_max}
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factor_desc_key = u'价格选股最大:{}最小:{},周期:{},反转:{}'.format(
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price_max, price_min, self.xd.value, self.reversed.value)
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return factor_dict, factor_desc_key
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def delegate_class(self):
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"""子类因子所委托的具体因子类AbuPickStockPriceMinMax"""
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return AbuPickStockPriceMinMax
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class PSRegressAngWidget(WidgetPickStockBase):
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"""对应AbuPickRegressAngMinMax策略widget"""
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def _init_widget(self):
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"""构建AbuPickRegressAngMinMax策略参数界面"""
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self.description = widgets.Textarea(
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value=u'拟合角度选股因子策略：\n'
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u'将交易目标前期走势进行线性拟合计算一个角度，选中规则：\n'
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u'1. 交易目标前期走势拟合角度 > 最小拟合角度\n'
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u'2. 交易目标前期走势拟合角度 < 最大拟合角度\n',
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description=u'角度选股',
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disabled=False,
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layout=self.description_layout
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)
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self.ang_min_label = widgets.Label(u'设定选股角度最小阀值，默认-5', layout=self.label_layout)
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self.ang_min_float = widgets.IntText(
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value=-5,
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description=u'最小:',
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disabled=False
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)
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self.ang_min_ck = widgets.Checkbox(
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value=True,
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description=u'使用最小阀值',
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disabled=False
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)
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def ang_min_ck_change(change):
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self.ang_min_float.disabled = not change['new']
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self.ang_min_ck.observe(ang_min_ck_change, names='value')
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self.ang_min_box = widgets.VBox([self.ang_min_label, self.ang_min_ck, self.ang_min_float])
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self.ang_max_label = widgets.Label(u'设定选股角度最大阀值，默认5', layout=self.label_layout)
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self.ang_max_float = widgets.IntText(
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value=5,
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description=u'最大:',
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disabled=False
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)
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self.ang_max_ck = widgets.Checkbox(
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value=True,
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description=u'使用最大阀值',
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disabled=False
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)
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def ang_max_ck_change(change):
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self.ang_max_float.disabled = not change['new']
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self.ang_max_ck.observe(ang_max_ck_change, names='value')
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self.ang_max_box = widgets.VBox([self.ang_max_label, self.ang_max_ck, self.ang_max_float])
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self.widget = widgets.VBox([self.description, self.ang_min_box, self.ang_max_box,
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self.xd_box, self.reversed_box, self.add_box],
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# border='solid 1px',
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layout=self.widget_layout)
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def make_pick_stock_unique(self):
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"""对应按钮添加AbuPickRegressAngMinMax策略，构建策略字典对象factor_dict以及唯一策略描述字符串factor_desc_key"""
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ang_min = self.ang_min_float.value if self.ang_min_ck.value else -np.inf
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ang_max = self.ang_max_float.value if self.ang_max_ck.value else np.inf
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factor_dict = {'class': AbuPickRegressAngMinMax,
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'xd': self.xd.value,
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'reversed': self.reversed.value,
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'threshold_ang_min': ang_min,
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'threshold_ang_max': ang_max}
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factor_desc_key = u'角度选股最大:{}最小:{},周期:{},反转:{}'.format(
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ang_max, ang_min, self.xd.value, self.reversed.value)
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return factor_dict, factor_desc_key
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def delegate_class(self):
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"""子类因子所委托的具体因子类AbuPickRegressAngMinMax"""
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return AbuPickRegressAngMinMax
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class PSShiftDistanceWidget(WidgetPickStockBase):
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"""对应AbuPickStockShiftDistance策略widget"""
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def _init_widget(self):
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"""构建AbuPickStockShiftDistance策略参数界面"""
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self.description = widgets.Textarea(
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value=u'位移路程比选股因子策略：\n'
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u'将交易目标走势每月计算价格位移路程比，根据比值进行选股，选取波动程度不能太大，也不太小的目标：\n'
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u'1. 定义位移路程比大于参数阀值的月份为大波动月\n'
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u'2. 一年中大波动月数量 < 最大波动月个数\n'
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u'3. 一年中大波动月数量 > 最小波动月个数\n',
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description=u'位移路程',
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disabled=False,
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layout=self.description_layout
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)
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threshold_sd_label1 = widgets.Label(u'设大波动位移路程比阀值，期货市场建议2.0及以上', layout=self.label_layout)
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threshold_sd_label2 = widgets.Label(u'设大波动位移路程比阀值，股票市场建议3.0及以上', layout=self.label_layout)
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self.threshold_sd = widgets.FloatSlider(
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value=2.0,
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min=1.0,
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max=6.0,
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step=0.1,
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description=u'阀值',
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disabled=False,
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orientation='horizontal',
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readout=True,
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readout_format='.1f',
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)
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self.threshold_sd_box = widgets.VBox([threshold_sd_label1, threshold_sd_label2, self.threshold_sd])
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max_cnt_label = widgets.Label(u'选取大波动月数量 < 下面设定的最大波动月个数', layout=self.label_layout)
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min_cnt_label = widgets.Label(u'选取大波动月数量 > 下面设定的最小波动月个数', layout=self.label_layout)
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self.min_max_range = widgets.IntRangeSlider(
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value=[1, 4],
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min=0,
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max=10,
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step=1,
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description=u'范围',
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disabled=False,
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continuous_update=False,
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orientation='horizontal',
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readout=True,
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readout_format='d',
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)
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self.min_max_box = widgets.VBox([max_cnt_label, min_cnt_label, self.min_max_range])
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# 这个策略不要可自定义xd，限定选股周期为1年
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self.widget = widgets.VBox([self.description, self.threshold_sd_box,
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self.min_max_range, self.reversed_box, self.add_box],
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# border='solid 1px',
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layout=self.widget_layout)
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def make_pick_stock_unique(self):
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"""对应按钮添加AbuPickStockShiftDistance策略，构建策略字典对象factor_dict以及唯一策略描述字符串factor_desc_key"""
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factor_dict = {'class': AbuPickStockShiftDistance,
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'threshold_sd': self.threshold_sd.value,
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'reversed': self.reversed.value,
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'threshold_max_cnt': self.min_max_range.value[1],
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'threshold_min_cnt': self.min_max_range.value[0]}
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factor_desc_key = u'位移路程选股大波动:{}最大:{}最小:{},反转:{}'.format(
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self.threshold_sd.value, self.min_max_range.value[1], self.min_max_range.value[0], self.reversed.value)
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return factor_dict, factor_desc_key
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def delegate_class(self):
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"""子类因子所委托的具体因子类AbuPickStockShiftDistance"""
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return AbuPickStockShiftDistance
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class PSNTopWidget(WidgetPickStockBase):
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"""对应AbuPickStockNTop策略widget"""
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def _init_widget(self):
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"""构建AbuPickStockNTop策略参数界面"""
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self.description = widgets.Textarea(
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value=u'涨跌幅top N选股因子策略：\n'
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u'选股周期上对多只股票涨跌幅进行排序，选取top n个股票做为交易目标：\n'
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u'(只对在股池中选定的symbol序列生效，对全市场回测暂时不生效)\n',
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description=u'top N涨跌',
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disabled=False,
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layout=self.description_layout
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)
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n_top_label = widgets.Label(u'设定选取top个交易目标数量，默认3', layout=self.label_layout)
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self.n_top = widgets.IntText(
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value=3,
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description=u'TOP N',
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disabled=False
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)
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self.n_top_box = widgets.VBox([n_top_label, self.n_top])
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direction_top_label1 = widgets.Label(u'direction_top参数的意义为选取方向：', layout=self.label_layout)
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direction_top_label2 = widgets.Label(u'默认值为正：即选取涨幅最高的n_top个股票', layout=self.label_layout)
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direction_top_label3 = widgets.Label(u'可设置为负：即选取跌幅最高的n_top个股票', layout=self.label_layout)
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self.direction_top = widgets.Dropdown(
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options={u'正(涨幅)': 1, u'负(跌幅)': -1},
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value=1,
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description=u'选取方向:',
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)
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self.direction_top_box = widgets.VBox([direction_top_label1, direction_top_label2, direction_top_label3,
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self.direction_top])
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self.widget = widgets.VBox([self.description, self.n_top_box, self.direction_top_box,
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self.xd_box, self.reversed_box, self.add_box],
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# border='solid 1px',
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layout=self.widget_layout)
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def seed_choice_symbol_key(self):
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"""返回更新股池中的种子symbol到具体策略中需要的策略关键字定义"""
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return 'symbol_pool'
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def make_pick_stock_unique(self):
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"""对应按钮添加AbuPickStockNTop策略，构建策略字典对象factor_dict以及唯一策略描述字符串factor_desc_key"""
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factor_dict = {'class': AbuPickStockNTop,
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'n_top': self.n_top.value,
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'direction_top': self.direction_top.value,
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'reversed': self.reversed.value,
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'xd': self.xd.value}
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factor_desc_key = u'涨跌幅选股n_top:{},方向:{},xd:{},反转:{}'.format(
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self.n_top.value, self.direction_top.value, self.xd.value, self.reversed.value)
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return factor_dict, factor_desc_key
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def delegate_class(self):
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"""子类因子所委托的具体因子类AbuPickStockNTop"""
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return AbuPickStockNTop
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