fix macd signal

fix: ewm bug and new collector
2022-06-12 18:13:54 +09:00 · 2022-06-06 10:55:12 +09:00
5 changed files with 529 additions and 159 deletions
--- a/app.py
+++ b/app.py
@ -18,6 +18,7 @@ def index():
    return flask.render_template("index.html", pages = pages.GenLists)


+
 if __name__ == '__main__':
    args = parser.parse_args()
    app.run(host=args.host, port=args.port, debug=args.debug)
--- a/gen.py
+++ b/gen.py
@ -75,8 +75,8 @@ def isVolumeMulPriceGreaterThan(stock: pd.DataFrame, threshold: int, nday: int)
    return stock.iloc[nday]['VOLUME'] * stock.iloc[nday]['CLOSE'] > threshold

 def isMACDCrossSignal(signal: pd.Series, macd: pd.Series, nday: int, order=1) -> bool:
-    return (signal.iloc[nday] <  macd.iloc[nday] and 
-            signal.iloc[nday+order] > macd.iloc[nday+order])
+    return (signal.iloc[nday] >  macd.iloc[nday] and 
+            signal.iloc[nday+order] < macd.iloc[nday+order])

 def isRelativeDiffLessThan(a:pd.Series,b:pd.Series, threshold: float,nday:int) -> bool:
    return (a.iloc[nday] - b.iloc[nday]) / b.iloc[nday] < threshold
@ -103,6 +103,9 @@ def collect(data: DataStore, collector: OutputCollector, corp: database.KRXCorp
    d60 = stock["CLOSE"].loc[::-1].rolling(window=60
        ).mean().dropna().loc[::-1]

+    if (d60.iloc[nday+2] > d60.iloc[nday+1] and d60.iloc[nday+1] < d60.iloc[nday]):
+        collector.collect("60일선반등",corp, stock.index[nday])
+
    if (isRelativeDiffLessThan(d5, d20, 0.01, nday) and 
        isRelativeDiffLessThan(d5, d60, 0.01, nday)):
        collector.collect("cross 2", corp, stock.index[nday])
@ -133,10 +136,10 @@ def collect(data: DataStore, collector: OutputCollector, corp: database.KRXCorp
    if (isVolumeNTimes(stock, 5, nday)):
        collector.collect("volumeX5", corp, stock.index[nday])

-    ewm12 =  stock["CLOSE"].loc[::-1].ewm(span=12).mean().loc[::-1]
-    ewm26 =  stock["CLOSE"].loc[::-1].ewm(span=26).mean().loc[::-1]
-    macd = (ewm12 - ewm26)
-    signal = macd.ewm(span=9).mean()
+    ewm5 =  stock["CLOSE"].loc[::-1].ewm(span=5).mean().loc[::-1]
+    ewm10 =  stock["CLOSE"].loc[::-1].ewm(span=10).mean().loc[::-1]
+    macd = (ewm5 - ewm10)
+    signal = macd.loc[::-1].ewm(span=4).mean().loc[::-1]

    if (isMACDCrossSignal(macd, signal, nday)):
        collector.collect("macd", corp, stock.index[nday])
@ -183,11 +186,10 @@ if __name__ == "__main__":
            
            days = v.corpListByDate.keys()
            days = list(days)
-            days.append(datetime.date.today().isoformat())
            days.sort(reverse=True)
            days = days[:5]
            
-            html = template.render(collected=v, title=k, days=days)
+            html = template.render(collected=v, title=k, days=days, lastUpdate=datetime.date.today().isoformat())
            if args.printStdout:
                print(html)
            else:
--- a/pages.py
+++ b/pages.py
@ -34,7 +34,12 @@ d20d5의 조건에서 더해서 거래량이 이전 날짜보다 5배 증가한
 거래량이 이전 날짜보다 5배 증가한 시점을 찾습니다.
 """},
    {name:"macd",desc: """\
-signal과 macd가 서로 교차한 시점을 찾습니다. 즉 signal이 아래로 떨어지고
-macd가 위로 올라가는 시점을 찾습니다.
+signal과 macd가 서로 교차한 시점을 찾습니다. 즉 signal이 올라가고
+macd가 아래로 내려가는 시점을 찾습니다. macd 는 5일선과 10일선으로 이루어지고
+시그널을 구하기 위한 이동 평균은 4일입니다.
 """},
+    {
+        name:"60일선반등",desc: """\
+60일선이 반등하는 시점을 찾습니다."""
+    }
 ]
--- a/templates/Lists.html
+++ b/templates/Lists.html
@ -40,6 +40,7 @@
    <body>
        <div style="margin: auto; max-width: 750px;">
            <h1>{{title}} Stock List</h1>
+            <h3>{{lastUpdate}}</h3>
            <section class="description">
                {{collected.description}}
            </section>
--- a/test.ipynb
+++ b/test.ipynb
Author	SHA1	Message	Date
monoid	790052c2a2	fix macd signal	2022-06-12 18:13:54 +09:00
monoid	e86ada382c	fix: ewm bug and new collector	2022-06-06 10:55:12 +09:00