hikyuu 2.2.2__py3-none-win_amd64.whl

hikyuu/include/hikyuu/indicator/crt/HHVBARS.h

@@ -0,0 +1,44 @@
+/*
+ * HHVBARS.h
+ *
+ *  Copyright (c) 2019 hikyuu.org
+ *
+ *  Created on: 2019-4-11
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef INDICATOR_CRT_HHVBARS_H_
+#define INDICATOR_CRT_HHVBARS_H_
+
+#include "../Indicator.h"
+
+namespace hku {
+
+/**
+ * 上一高点位置 求上一高点到当前的周期数。
+ * @details
+ * <pre>
+ * 用法：HHVBARS(X,N):求N周期内X最高值到当前周期数N=0表示从第一个有效值开始统计
+ * 例如：HHVBARS(HIGH,0)求得历史新高到到当前的周期数
+ * </pre>
+ * @ingroup Indicator
+ */
+Indicator HKU_API HHVBARS(int n = 20);
+Indicator HKU_API HHVBARS(const IndParam& n);
+
+inline Indicator HHVBARS(const Indicator& ind, int n = 20) {
+    return HHVBARS(n)(ind);
+}
+
+inline Indicator HHVBARS(const Indicator& ind, const IndParam& n) {
+    return HHVBARS(n)(ind);
+}
+
+inline Indicator HHVBARS(const Indicator& ind, const Indicator& n) {
+    return HHVBARS(IndParam(n))(ind);
+}
+
+}  // namespace hku
+
+#endif /* INDICATOR_CRT_HHVBARS_H_ */

hikyuu/include/hikyuu/indicator/crt/HSL.h

@@ -0,0 +1,39 @@
+/*
+ * HSL.h
+ *
+ *  Created on: 2019年3月6日
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef INDICATOR_CRT_HSL_H_
+#define INDICATOR_CRT_HSL_H_
+
+#include "KDATA.h"
+#include "LIUTONGPAN.h"
+#include "HSL.h"
+
+namespace hku {
+
+/**
+ * 获取换手率，等于 VOL(k) / CAPITAL(k)
+ * @param k 关联的K线数据
+ * @ingroup Indicator
+ */
+Indicator HSL(const KData& k);
+Indicator HSL();
+
+inline Indicator HSL() {
+    Indicator hsl = VOL() / LIUTONGPAN();
+    hsl.name("HSL");
+    return hsl;
+}
+
+inline Indicator HSL(const KData& k) {
+    Indicator hsl = HSL();
+    hsl.setContext(k);
+    return hsl;
+}
+
+}  // namespace hku
+#endif /* INDICATOR_CRT_HSL_H_ */

hikyuu/include/hikyuu/indicator/crt/IC.h

@@ -0,0 +1,41 @@
+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-03-09
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "hikyuu/Block.h"
+#include "../Indicator.h"
+
+namespace hku {
+
+/**
+ * @brief 计算指定的因子相对于参考证券的 IC （实际为 RankIC）
+ * @param stks 证券组合
+ * @param query 查询条件
+ * @param ref_stk 参照证券，默认 sh000300 沪深300
+ * @param n 时间窗口 (对应 n 日收益率)
+ * @param spearman 使用 spearman 相关系数，否则为 pearson
+ * @return Indicator
+ * @ingroup Indicator
+ */
+Indicator HKU_API IC(const StockList& stks, const KQuery& query,
+                     const Stock& ref_stk = getStock("sh000300"), int n = 1, bool spearman = true);
+
+Indicator HKU_API IC(const Block& blk, const KQuery& query,
+                     const Stock& ref_stk = getStock("sh000300"), int n = 1, bool spearman = true);
+
+inline Indicator IC(const Indicator& ind, const StockList& stks, const KQuery& query,
+                    const Stock& ref_stk = getStock("sh000300"), int n = 1, bool spearman = true) {
+    return IC(stks, query, ref_stk, n, spearman)(ind);
+}
+
+inline Indicator IC(const Indicator& ind, const Block& blk, const KQuery& query,
+                    const Stock& ref_stk = getStock("sh000300"), int n = 1, bool spearman = true) {
+    return IC(blk, query, ref_stk, n, spearman)(ind);
+}
+
+}  // namespace hku

hikyuu/include/hikyuu/indicator/crt/ICIR.h

@@ -0,0 +1,51 @@
+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-03-10
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "MA.h"
+#include "STDEV.h"
+
+namespace hku {
+
+/**
+ * @brief 计算指定的因子相对于参考证券的 ICIR （实际为 RankIC）
+ * @details IR:信息比率(Information Ratio,简称IR)=
+ * IC的多周期均值/IC的标准方差，代表因子获取稳定Alpha的能力。
+ * @param ind 因子公式
+ * @param stks 证券组合
+ * @param query 查询条件
+ * @param ref_stk 参照证券，默认 sh000300 沪深300
+ * @param n IC对应的N日收益率
+ * @param rolling_n 滚动时间窗口
+ * @param spearman 使用 spearman 相关系数，否则为 pearson
+ * @return Indicator
+ * @ingroup Indicator
+ */
+inline Indicator ICIR(const Indicator& ind, const StockList& stks, const KQuery& query,
+                      const Stock& ref_stk = getStock("sh000300"), int n = 1, int rolling_n = 120,
+                      bool spearman = true) {
+    Indicator ic = IC(ind, stks, query, ref_stk, n, spearman);
+    Indicator x = MA(ic, rolling_n) / STDEV(ic, rolling_n);
+    x.name("ICIR");
+    x.setParam<int>("n", n);
+    x.setParam<int>("rolling_n", rolling_n);
+    return x;
+}
+
+inline Indicator ICIR(const Indicator& ind, const Block& blk, const KQuery& query,
+                      const Stock& ref_stk = getStock("sh000300"), int n = 1, int rolling_n = 120,
+                      bool spearman = true) {
+    Indicator ic = IC(ind, blk, query, ref_stk, n, spearman);
+    Indicator x = MA(ic, rolling_n) / STDEV(ic, rolling_n);
+    x.name("ICIR");
+    x.setParam<int>("n", n);
+    x.setParam<int>("rolling_n", rolling_n);
+    return x;
+}
+
+}  // namespace hku

hikyuu/include/hikyuu/indicator/crt/INSUM.h

@@ -0,0 +1,33 @@
+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-05-21
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../Indicator.h"
+
+namespace hku {
+
+/**
+ * 返回板块各成分该指标相应输出按计算类型得到的计算值.计算类型:0-累加,1-平均数,2-最大值,3-最小值.
+ * @param block 指定板块
+ * @param query 指定范围
+ * @param ind 指定指标
+ * @param mode 计算类型:0-累加,1-平均数,2-最大值,3-最小值.
+ * @return Indicator
+ */
+Indicator HKU_API INSUM(const Block& block, const KQuery& query, const Indicator& ind, int mode);
+
+/**
+ * 返回板块各成分该指标相应输出按计算类型得到的计算值.计算类型:0-累加,1-平均数,2-最大值,3-最小值.
+ * @param block 指定板块
+ * @param ind 指定指标
+ * @param mode 计算类型:0-累加,1-平均数,2-最大值,3-最小值.
+ * @return Indicator
+ */
+Indicator HKU_API INSUM(const Block& block, const Indicator& ind, int mode);
+
+}  // namespace hku

hikyuu/include/hikyuu/indicator/crt/INTPART.h

@@ -0,0 +1,38 @@
+/*
+ * INTPART.h
+ *
+ *  Copyright (c) 2019 hikyuu.org
+ *
+ *  Created on: 2019-4-18
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef INDICATOR_CRT_INTPART_H_
+#define INDICATOR_CRT_INTPART_H_
+
+#include "CVAL.h"
+
+namespace hku {
+
+/**
+ * 向上舍入 (向数值增大方向舍入)
+ * 用法：CEILING(A)返回沿A数值增大方向最接近的整数
+ * 例如：CEILING(12.3)求得13；CEILING(-3.5)求得-3
+ * @ingroup Indicator
+ */
+Indicator HKU_API INTPART();
+Indicator INTPART(Indicator::value_t);
+Indicator INTPART(const Indicator& ind);
+
+inline Indicator INTPART(const Indicator& ind) {
+    return INTPART()(ind);
+}
+
+inline Indicator INTPART(Indicator::value_t val) {
+    return INTPART(CVAL(val));
+}
+
+}  // namespace hku
+
+#endif /* INDICATOR_CRT_INTPART_H_ */

hikyuu/include/hikyuu/indicator/crt/IR.h

@@ -0,0 +1,44 @@
+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-03-10
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "ROCP.h"
+#include "STDEV.h"
+
+namespace hku {
+
+/**
+ * 信息比率（Information Ratio，IR）
+ * @details
+ * <pre>
+ * 公式: (P-B) / TE
+ * P: 组合收益率
+ * B: 比较基准收益率
+ * TE: 投资周期中每天的 p 和 b 之间的标准差
+ * 实际使用时，P 一般为 TM 的资产曲线，B 为沪深 3000 收盘价，如:
+ * ref_k = sm["sh000300"].get_kdata(query)
+ * funds = my_tm.get_funds_curve(ref_k.get_datetime.list())
+ * ir = IR(PRICELIST(funds), ref_k.close, 0)
+ * </pre>
+ * @note 如果希望通过IC值计算IR，请使用 ICIR 指标
+ * @param p
+ * @param b
+ * @param n
+ * @ingroup Indicator
+ */
+inline Indicator IR(const Indicator& p, const Indicator& b, int n = 100) {
+    Indicator p_return = ROCP(p, n);
+    Indicator b_return = ROCP(b, n);
+    Indicator x = (p_return - b_return);
+    Indicator ret = x / STDEV(x, n);
+    ret.name("IR");
+    ret.setParam<int>("n", n);
+    return ret;
+}
+
+}  // namespace hku

hikyuu/include/hikyuu/indicator/crt/KDATA.h

@@ -0,0 +1,72 @@
+/*
+ * IKDATA.h
+ *
+ *  Created on: 2013-2-14
+ *      Author: fasiondog
+ */
+
+#pragma once
+#include "../Indicator.h"
+
+namespace hku {
+
+/**
+ * 包装KData成Indicator，用于其他指标计算
+ * @ingroup Indicator
+ */
+Indicator HKU_API KDATA();
+Indicator HKU_API KDATA(const KData&);
+
+/**
+ * 包装KData的开盘价成Indicator，用于其他指标计算
+ * @ingroup Indicator
+ */
+Indicator HKU_API OPEN();
+Indicator HKU_API OPEN(const KData&);
+
+/**
+ * 包装KData的最高价成Indicator，用于其他指标计算
+ * @ingroup Indicator
+ */
+Indicator HKU_API HIGH();
+Indicator HKU_API HIGH(const KData&);
+
+/**
+ * 包装KData的最低价成Indicator，用于其他指标计算
+ * @ingroup Indicator
+ */
+Indicator HKU_API LOW();
+Indicator HKU_API LOW(const KData&);
+
+/**
+ * 包装KData的收盘价成Indicator，用于其他指标计算
+ * @ingroup Indicator
+ */
+Indicator HKU_API CLOSE();
+Indicator HKU_API CLOSE(const KData&);
+
+/**
+ * 包装KData的成交金额成Indicator，用于其他指标计算
+ * @ingroup Indicator
+ */
+Indicator HKU_API AMO();
+Indicator HKU_API AMO(const KData&);
+
+/**
+ * 包装KData的成交量成Indicator，用于其他指标计算
+ * @ingroup Indicator
+ */
+Indicator HKU_API VOL();
+Indicator HKU_API VOL(const KData&);
+
+/**
+ * 根据字符串选择返回KDATA/OPEN/HIGH/LOW/CLOSE/AMO/VOL
+ * @param kdata K线数据
+ * @param kpart KDATA|OPEN|HIGH|LOW|CLOSE|AMO|VOL
+ * @see KDATA, OPEN, HIGH, LOW, CLOSE, AMO, VOL
+ * @ingroup Indicator
+ */
+Indicator HKU_API KDATA_PART(const KData& kdata, const string& kpart);
+Indicator HKU_API KDATA_PART(const string& kpart);
+
+}  // namespace hku

hikyuu/include/hikyuu/indicator/crt/LAST.h

@@ -0,0 +1,100 @@
+/*
+ * LAST.h
+ *
+ *  Copyright (c) 2019 hikyuu.org
+ *
+ *  Created on: 2019-4-28
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef INDICATOR_CRT_LAST_H_
+#define INDICATOR_CRT_LAST_H_
+
+#include "EVERY.h"
+#include "REF.h"
+#include "MAX.h"
+#include "MIN.h"
+#include "CVAL.h"
+
+namespace hku {
+
+/**
+ * 区间存在
+ * @details
+ * <pre>
+ * 用法：LAST (X,M,N) 表示条件X在前M周期到前N周期存在
+ * 例如：LAST(CLOSE>OPEN,10,5)
+ * 表示从前10日到前5日内一直阳线。若A为0,表示从第一天开始,B为0,表示到最后日止。
+ * </pre>
+ * @ingroup Indicator
+ */
+inline Indicator LAST(int m = 10, int n = 5) {
+    int max = std::max(m, n);
+    int min = std::min(m, n);
+    Indicator result = REF(EVERY(max - min + 1), min);
+    result.name("LAST");
+    return result;
+}
+
+inline Indicator LAST(const IndParam& m, int n = 5) {
+    Indicator ind_m = m.get();
+    Indicator ind_n = CVAL(ind_m, 5);
+    Indicator max = MAX(ind_m, ind_n);
+    Indicator min = MIN(ind_m, ind_n);
+    Indicator result = REF(EVERY(max - min + 1), min);
+    result.name("LAST");
+    return result;
+}
+
+inline Indicator LAST(int m, const IndParam& n) {
+    Indicator ind_n = n.get();
+    Indicator ind_m = CVAL(ind_n, 5);
+    Indicator max = MAX(ind_m, ind_n);
+    Indicator min = MIN(ind_m, ind_n);
+    Indicator result = REF(EVERY(max - min + 1), min);
+    result.name("LAST");
+    return result;
+}
+
+inline Indicator LAST(const IndParam& m, const IndParam& n) {
+    Indicator ind_m = m.get();
+    Indicator ind_n = n.get();
+    Indicator max = MAX(ind_m, ind_n);
+    Indicator min = MIN(ind_m, ind_n);
+    Indicator result = REF(EVERY(max - min + 1), min);
+    result.name("LAST");
+    return result;
+}
+
+inline Indicator LAST(const Indicator& ind, int m = 10, int n = 5) {
+    return LAST(m, n)(ind);
+}
+
+inline Indicator LAST(const Indicator& ind, const IndParam& m, int n = 5) {
+    return LAST(m, n)(ind);
+}
+
+inline Indicator LAST(const Indicator& ind, int m, const IndParam& n) {
+    return LAST(m, n)(ind);
+}
+
+inline Indicator LAST(const Indicator& ind, const IndParam& m, const IndParam& n) {
+    return LAST(m, n)(ind);
+}
+
+inline Indicator LAST(const Indicator& ind, const Indicator& m, int n = 5) {
+    return LAST(IndParam(m), n)(ind);
+}
+
+inline Indicator LAST(const Indicator& ind, int m, const Indicator& n) {
+    return LAST(m, IndParam(n))(ind);
+}
+
+inline Indicator LAST(const Indicator& ind, const Indicator& m, const Indicator& n) {
+    return LAST(IndParam(m), IndParam(n))(ind);
+}
+
+}  // namespace hku
+
+#endif /* INDICATOR_CRT_LAST_H_ */

hikyuu/include/hikyuu/indicator/crt/LIUTONGPAN.h

@@ -0,0 +1,23 @@
+/*
+ * LIUTONGPANG.h
+ *
+ *  Created on: 2019年3月6日
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef INDICATOR_CRT_LIUTONGPAN_H_
+#define INDICATOR_CRT_LIUTONGPAN_H_
+
+#include "../Indicator.h"
+
+#define CAPITAL LIUTONGPAN
+
+namespace hku {
+
+Indicator HKU_API LIUTONGPAN();
+Indicator HKU_API LIUTONGPAN(const KData&);
+
+}  // namespace hku
+
+#endif /* INDICATOR_CRT_LIUTONGPAN_H_ */

hikyuu/include/hikyuu/indicator/crt/LLV.h

@@ -0,0 +1,46 @@
+/*
+ * LLV.h
+ *
+ *  Copyright (c) 2019, hikyuu.org
+ *
+ *  Created on: 2016年4月2日
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef INDICATOR_CRT_LLV_H_
+#define INDICATOR_CRT_LLV_H_
+
+#include "../Indicator.h"
+
+namespace hku {
+
+/**
+ * N日内最低价
+ * @param n N日时间窗口, N=0则从第一个有效值开始。
+ * @ingroup Indicator
+ */
+Indicator HKU_API LLV(int n = 20);
+Indicator HKU_API LLV(const IndParam& n);
+
+/**
+ * N日内最低价, N=0则从第一个有效值开始。
+ * @param ind 待计算的数据
+ * @param n N日时间窗口
+ * @ingroup Indicator
+ */
+inline Indicator LLV(const Indicator& ind, int n = 20) {
+    return LLV(n)(ind);
+}
+
+inline Indicator LLV(const Indicator& ind, const IndParam& n) {
+    return LLV(n)(ind);
+}
+
+inline Indicator LLV(const Indicator& ind, const Indicator& n) {
+    return LLV(IndParam(n))(ind);
+}
+
+}  // namespace hku
+
+#endif /* INDICATOR_CRT_LLV_H_ */

hikyuu/include/hikyuu/indicator/crt/LLVBARS.h

@@ -0,0 +1,44 @@
+/*
+ * LLVBARS.h
+ *
+ *  Copyright (c) 2019 hikyuu.org
+ *
+ *  Created on: 2019-4-14
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef INDICATOR_CRT_LLVBARS_H_
+#define INDICATOR_CRT_LLVBARS_H_
+
+#include "../Indicator.h"
+
+namespace hku {
+
+/**
+ * 上一低点位置 求上一低点到当前的周期数。
+ * @details
+ * <pre>
+ * 用法：LLVBARS(X,N):求N周期内X最低值到当前周期数N=0表示从第一个有效值开始统计
+ * 例如：LLVBARS(HIGH,20)求得20日最低点到当前的周期数
+ * </pre>
+ * @ingroup Indicator
+ */
+Indicator HKU_API LLVBARS(int n = 20);
+Indicator HKU_API LLVBARS(const IndParam& n);
+
+inline Indicator LLVBARS(const Indicator& ind, int n = 20) {
+    return LLVBARS(n)(ind);
+}
+
+inline Indicator LLVBARS(const Indicator& ind, const IndParam& n) {
+    return LLVBARS(n)(ind);
+}
+
+inline Indicator LLVBARS(const Indicator& ind, const Indicator& n) {
+    return LLVBARS(IndParam(n))(ind);
+}
+
+}  // namespace hku
+
+#endif /* INDICATOR_CRT_LLVBARS_H_ */

hikyuu/include/hikyuu/indicator/crt/LN.h

@@ -0,0 +1,36 @@
+/*
+ * LN.h
+ *
+ *  Created on: 2019-4-11
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef INDICATOR_CRT_LN_H_
+#define INDICATOR_CRT_LN_H_
+
+#include "CVAL.h"
+
+namespace hku {
+
+/**
+ * 求自然对数
+ * 用法：LN(X)以e为底的对数
+ * 例如：LN(CLOSE)求收盘价的对数
+ * @ingroup Indicator
+ */
+Indicator HKU_API LN();
+Indicator LN(Indicator::value_t);
+Indicator LN(const Indicator& ind);
+
+inline Indicator LN(const Indicator& ind) {
+    return LN()(ind);
+}
+
+inline Indicator LN(Indicator::value_t val) {
+    return LN(CVAL(val));
+}
+
+}  // namespace hku
+
+#endif /* INDICATOR_CRT_LN_H_ */

hikyuu/include/hikyuu/indicator/crt/LOG.h

@@ -0,0 +1,35 @@
+/*
+ * LOG.h
+ *
+ *  Created on: 2019-4-11
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef INDICATOR_CRT_LOG_H_
+#define INDICATOR_CRT_LOG_H_
+
+#include "CVAL.h"
+
+namespace hku {
+
+/**
+ * 以10为底的对数
+ * 用法：LOG(X)取得X的对数
+ * @ingroup Indicator
+ */
+Indicator HKU_API LOG();
+Indicator LOG(Indicator::value_t);
+Indicator LOG(const Indicator& ind);
+
+inline Indicator LOG(const Indicator& ind) {
+    return LOG()(ind);
+}
+
+inline Indicator LOG(Indicator::value_t val) {
+    return LOG(CVAL(val));
+}
+
+}  // namespace hku
+
+#endif /* INDICATOR_CRT_LOG_H_ */