[Python 与 炒股] TuShare 使用篇之三
2016年新年第一贴，大年夜搞这个只能说明春晚实在是有点无聊。
在之前的blog里写了一个最简单的例子：
http://blog.csdn.net/robertsong2004/article/details/50642655
现在试一下简单的分析，即设定一个策略：以20日线为标准，当前股价低于20日线的时候就卖出，高于20日线的时候就买入。
然后计算一下这个策略的效果。
主要用 TuShare 里的 get_hist_data 这个接口，用于获取到目前为止3年的历史数据。
主要的用法参照如下：
获取个股历史交易数据（包括均线数据），可以通过参数设置获取日k线、周k线、月k线，以及5分钟、15分钟、30分钟和60分钟k线数据。本接口只能获取近3年的日线数据，适合搭配均线数据进行选股和分析，如果需要全部历史数据，请调用下一个接口get_h_data()。
参数说明：
- code：股票代码，即6位数字代码，或者指数代码（sh=上证指数 sz=深圳成指 hs300=沪深300指数 sz50=上证50 zxb=中小板 cyb=创业板）
- start：开始日期，格式YYYY-MM-DD
- end：结束日期，格式YYYY-MM-DD
- ktype：数据类型，D=日k线 W=周 M=月 5=5分钟 15=15分钟 30=30分钟 60=60分钟，默认为D
- retry_count：当网络异常后重试次数，默认为3
- pause:重试时停顿秒数，默认为0
返回值说明：
- date：日期
- open：开盘价
- high：最高价
- close：收盘价
- low：最低价
- volume：成交量
- price_change：价格变动
- p_change：涨跌幅
- ma5：5日均价
- ma10：10日均价
- ma20:20日均价
- v_ma5:5日均量
- v_ma10:10日均量
- v_ma20:20日均量
- turnover:换手率[注：指数无此项]
OK，写了一个很简单的程序：
#!/usr/bin/python
# coding: UTF-8
"""This script parse stock info"""
import tushare as ts
def parse(code_list):
'''process stock'''
is_buy = 0
buy_val = []
buy_date = []
sell_val = []
sell_date = []
df = ts.get_hist_data(STOCK)
ma20 = df[u'ma20']
close = df[u'close']
rate = 1.0
idx = len(ma20)
while idx > 0:
idx -= 1
close_val = close[idx]
ma20_val = ma20[idx]
if close_val > ma20_val:
if is_buy == 0:
is_buy = 1
buy_val.append(close_val)
buy_date.append(close.keys()[idx])
elif close_val < ma20_val:
if is_buy == 1:
is_buy = 0
sell_val.append(close_val)
sell_date.append(close.keys()[idx])
print "stock number: %s" %STOCK
print "buy count : %d" %len(buy_val)
print "sell count : %d" %len(sell_val)
for i in range(len(sell_val)):
rate = rate * (sell_val[i] * (1 - 0.002) / buy_val[i])
print "buy date : %s, buy price : %.2f" %(buy_date[i], buy_val[i])
print "sell date: %s, sell price: %.2f" %(sell_date[i], sell_val[i])
print "rate: %.2f" % rate
if __name__ == '__main__':
STOCK = '600000' ##浦发银行
parse(STOCK)
主要就是调 parse 这个函数，这个函数就会从数据中读 20 日线的值和当日收盘价做对比，如果当日收盘价比20日线值高且之前没有买入，那就买入。
如果当日收盘价比20日线值低且之前已经买入，那就卖出。
然后加了一个 rate 参数，这是用于统计每次买卖后的收益。这里有个0.002的值，表示两块一个是印花税卖出后有1%的印花税要抽，一个是券商的佣金，按万5来算，
一来一回也是千分之一。
跑一下结果如下，
stock number: 600000 buy count : 39 sell count : 38 buy date : 2013-02-28, buy price : 11.06 sell date: 2013-03-04, sell price: 10.39 buy date : 2013-03-05, buy price : 11.07 sell date: 2013-03-07, sell price: 10.76 buy date : 2013-03-19, buy price : 10.65 sell date: 2013-03-26, sell price: 10.70 buy date : 2013-04-22, buy price : 10.22 sell date: 2013-04-23, sell price: 9.84 buy date : 2013-05-03, buy price : 10.01 sell date: 2013-06-03, sell price: 9.84 buy date : 2013-07-11, buy price : 8.86 sell date: 2013-07-19, sell price: 8.03 buy date : 2013-08-12, buy price : 8.31 sell date: 2013-09-26, sell price: 10.17 buy date : 2013-10-29, buy price : 10.48 sell date: 2013-11-06, sell price: 10.03 buy date : 2013-11-12, buy price : 10.12 sell date: 2013-11-13, sell price: 9.64 buy date : 2013-11-18, buy price : 10.10 sell date: 2013-11-19, sell price: 9.97 buy date : 2013-11-29, buy price : 9.99 sell date: 2013-12-11, sell price: 9.93 buy date : 2014-01-10, buy price : 9.41 sell date: 2014-01-15, sell price: 9.23 buy date : 2014-01-22, buy price : 9.34 sell date: 2014-01-23, sell price: 9.22 buy date : 2014-01-29, buy price : 9.29 sell date: 2014-01-30, sell price: 9.17 buy date : 2014-02-10, buy price : 9.29 sell date: 2014-02-18, sell price: 9.26 buy date : 2014-02-19, buy price : 9.49 sell date: 2014-02-21, sell price: 9.29 buy date : 2014-03-14, buy price : 8.99 sell date: 2014-03-18, sell price: 8.89 buy date : 2014-03-19, buy price : 9.05 sell date: 2014-04-17, sell price: 9.76 buy date : 2014-04-22, buy price : 9.90 sell date: 2014-04-24, sell price: 9.87 buy date : 2014-05-12, buy price : 9.93 sell date: 2014-05-15, sell price: 9.73 buy date : 2014-05-26, buy price : 9.74 sell date: 2014-05-27, sell price: 9.66 buy date : 2014-06-13, buy price : 9.73 sell date: 2014-06-24, sell price: 9.04 buy date : 2014-07-22, buy price : 9.06 sell date: 2014-08-20, sell price: 9.64 buy date : 2014-09-02, buy price : 9.60 sell date: 2014-10-23, sell price: 9.75 buy date : 2014-10-30, buy price : 9.81 sell date: 2015-01-19, sell price: 14.82 buy date : 2015-01-21, buy price : 15.74 sell date: 2015-01-26, sell price: 15.43 buy date : 2015-02-26, buy price : 14.62 sell date: 2015-03-03, sell price: 14.00 buy date : 2015-03-09, buy price : 14.51 sell date: 2015-03-10, sell price: 14.10 buy date : 2015-03-11, buy price : 14.25 sell date: 2015-05-04, sell price: 17.81 buy date : 2015-05-22, buy price : 17.76 sell date: 2015-05-28, sell price: 17.04 buy date : 2015-06-01, buy price : 17.93 sell date: 2015-06-19, sell price: 17.06 buy date : 2015-07-06, buy price : 17.22 sell date: 2015-07-08, sell price: 15.98 buy date : 2015-07-10, buy price : 17.31 sell date: 2015-07-14, sell price: 16.74 buy date : 2015-07-15, buy price : 17.07 sell date: 2015-07-20, sell price: 16.68 buy date : 2015-08-31, buy price : 14.97 sell date: 2015-09-07, sell price: 14.41 buy date : 2015-09-08, buy price : 15.10 sell date: 2015-12-11, sell price: 18.61 buy date : 2015-12-21, buy price : 19.16 sell date: 2015-12-22, sell price: 18.89 buy date : 2015-12-24, buy price : 19.03 sell date: 2015-12-28, sell price: 18.72 rate: 1.23
最终收益率为23%，这样就是一个最简单的量化工具了。
这里还有一些问题，上述的接口是没有复权的，这个如果除权或分红比较多的话就有比较大的偏差，要加上前复权的处理。
另外就是有时候非必是买卖都能完成的，比如无量涨停和无量跌停以及之前的熔断机制，这种情况可以往后推直到涨跌停破了为止。