230 lines
9.2 KiB
Python
230 lines
9.2 KiB
Python
# -*- encoding:utf-8 -*-
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"""资金仓位管理策略图形可视化"""
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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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from ..BetaBu.ABuAtrPosition import AbuAtrPosition
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from ..BetaBu.ABuKellyPosition import AbuKellyPosition
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from ..BetaBu.ABuPtPosition import AbuPtPosition
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from ..WidgetBu.ABuWGPosBase import WidgetPositionBase
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__author__ = '阿布'
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__weixin__ = 'abu_quant'
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class AtrPosWidget(WidgetPositionBase):
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"""对应AbuAtrPosition策略widget"""
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def _init_widget(self):
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"""构建AbuAtrPosition策略参数界面"""
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description = widgets.Textarea(
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value=u'atr资金仓位管理策略：\n'
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u'默认的仓位资金管理全局策略\n'
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u'根据决策买入当天的价格波动决策资金仓位配比\n'
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u'注意不同于卖策，选股，一个买入因子只能有唯一个资金仓位管理策略',
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description=u'atr资管',
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disabled=False,
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layout=self.description_layout
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)
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atr_pos_base_label = widgets.Label(u'仓位基础配比：默认0.1即资金10%为仓位基数',
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layout=self.label_layout)
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# 需要精确到小数点后5位
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self.atr_pos_base = widgets.FloatSlider(
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value=0.10,
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min=0.00001,
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max=1.0,
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step=0.00001,
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description=u'基配',
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disabled=False,
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orientation='horizontal',
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readout=True,
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readout_format='.5f'
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)
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atr_pos_base_box = widgets.VBox([atr_pos_base_label, self.atr_pos_base])
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atr_base_price_label = widgets.Label(u'常数价格设定：默认15，建议在12-20之间',
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layout=self.label_layout)
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self.atr_base_price = widgets.IntSlider(
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value=15,
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min=12,
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max=20,
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step=1,
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description=u'常价',
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disabled=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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atr_base_price_box = widgets.VBox([atr_base_price_label, self.atr_base_price])
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# TODO AbuAtrPosition策略中std_atr_threshold的设置
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self.widget = widgets.VBox([description, atr_pos_base_box, atr_base_price_box,
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self.add_box], layout=self.widget_layout)
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def make_position_unique(self):
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"""对应按钮添加AbuAtrPosition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': AbuAtrPosition,
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'atr_pos_base': self.atr_pos_base.value,
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'atr_base_price': self.atr_base_price.value}
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factor_desc_key = u'atr资管仓位基数:{}常数价格:{}'.format(
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self.atr_pos_base.value, self.atr_base_price.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AbuAtrPosition"""
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return AbuAtrPosition
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class KellyPosWidget(WidgetPositionBase):
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"""对应AbuKellyPosition策略widget"""
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def _init_widget(self):
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"""构建AbuKellyPosition策略参数界面"""
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description = widgets.Textarea(
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value=u'kelly资金仓位管理策略：\n'
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u'根据策略历史胜率期望，盈利期望，亏损期望决策资金仓位配比\n'
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u'仓位资金配比 = 胜率 - 败率/(盈利期望/亏损期望)\n'
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u'注意不同于卖策，选股，一个买入因子只能有唯一个资金仓位管理策略',
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description=u'kelly资管',
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disabled=False,
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layout=self.description_layout
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)
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win_rate_label = widgets.Label(u'策略历史胜率期望，默认0.5即50%胜率',
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layout=self.label_layout)
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# 需要精确到小数点后5位
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self.win_rate = widgets.FloatSlider(
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value=0.50,
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min=0.01,
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max=1.00,
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step=0.0001,
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description=u'胜率期望',
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disabled=False,
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orientation='horizontal',
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readout=True,
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readout_format='.4f'
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)
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win_rate_box = widgets.VBox([win_rate_label, self.win_rate])
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gains_mean_label = widgets.Label(u'策略历史盈利期望，默认0.1即10%',
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layout=self.label_layout)
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self.gains_mean = widgets.FloatSlider(
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value=0.10,
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min=0.01,
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max=100.00,
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step=0.0001,
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description=u'盈利期望',
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disabled=False,
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orientation='horizontal',
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readout=True,
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readout_format='.4f'
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)
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gains_mean_box = widgets.VBox([gains_mean_label, self.gains_mean])
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losses_mean_label = widgets.Label(u'策略历史亏损期望，默认0.05即5%',
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layout=self.label_layout)
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self.losses_mean = widgets.FloatSlider(
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value=0.05,
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min=0.01,
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max=100.00,
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step=0.0001,
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description=u'亏损期望',
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disabled=False,
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orientation='horizontal',
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readout=True,
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readout_format='.4f'
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)
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losses_mean_box = widgets.VBox([losses_mean_label, self.losses_mean])
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self.widget = widgets.VBox([description, win_rate_box, gains_mean_box,
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losses_mean_box, self.add_box], layout=self.widget_layout)
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def make_position_unique(self):
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"""对应按钮添加AbuKellyPosition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': AbuKellyPosition,
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'win_rate': self.win_rate.value,
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'gains_mean': self.gains_mean.value,
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'losses_mean': self.losses_mean.value}
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factor_desc_key = u'kelly资管仓位胜率:{}盈期:{}亏期:{}'.format(
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self.win_rate.value, self.gains_mean.value, self.losses_mean.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AbuKellyPosition"""
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return AbuKellyPosition
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class PtPosition(WidgetPositionBase):
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"""对应AbuPtPosition策略widget"""
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def _init_widget(self):
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"""构建AbuPtPosition策略参数界面"""
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description = widgets.Textarea(
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value=u'价格位置仓位管理策略：\n'
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u'针对均值回复类型策略的仓位管理策略\n'
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u'根据买入价格在之前一段时间的价格位置来决策仓位大小\n'
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u'假设过去一段时间的价格为[10, 9, 8, 7, 6, 5, 4, 3, 2, 1]\n'
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u'如果当前买入价格为2元：则买入仓位配比很高(认为均值回复有很大向上空间)\n'
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u'如果当前买入价格为9元：则买入仓位配比很低(认为均值回复向上空间比较小)',
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description=u'价格位置',
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disabled=False,
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layout=self.description_layout
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)
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pos_base_label = widgets.Label(u'仓位基础配比：默认0.1即资金10%为仓位基数',
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layout=self.label_layout)
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# 需要精确到小数点后5位
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self.pos_base = widgets.FloatSlider(
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value=0.10,
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min=0.00001,
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max=1.0,
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step=0.00001,
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description=u'基配',
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disabled=False,
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orientation='horizontal',
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readout=True,
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readout_format='.5f'
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)
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pos_base_box = widgets.VBox([pos_base_label, self.pos_base])
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past_day_cnt_label = widgets.Label(u'根据过去多长一段时间的价格趋势做为参考，默认20',
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layout=self.label_layout)
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self.past_day_cnt = widgets.IntSlider(
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value=20,
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min=5,
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max=250,
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step=1,
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description=u'参考天数',
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disabled=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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past_day_cnt_box = widgets.VBox([past_day_cnt_label, self.past_day_cnt])
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self.widget = widgets.VBox([description, pos_base_box,
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past_day_cnt_box, self.add_box], layout=self.widget_layout)
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def make_position_unique(self):
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"""对应按钮添加AbuPtPosition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': AbuPtPosition,
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'pos_base': self.pos_base.value,
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'past_day_cnt': self.past_day_cnt.value}
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factor_desc_key = u'价格位置基仓比例:{} 参考天数:{}'.format(
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self.pos_base.value, self.past_day_cnt.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AbuPtPosition"""
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return AbuPtPosition
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