Stock_program_transaction

• 第四屆高雄盃程式交易競賽

└── README.md 

├── main.py                 main programe
└── KPI.py                  evaluation 

Quick Run

To test the program, run main.py to get the transaction csv Record.csv

python main.py

To set the parameters in main, run

python main.py --product product_name --stop_loss_rate stop_loss_rate --finish_time time(HHMMSSffffff) --QTY quantity

Here is an example to perform 2330.TW:

python main.py --product '2330' --stop_loss_rate 0.03 --finish_time '103000000000' --QTY 1

Predict strategy

Calculate 1, 5 and 20 days average prices to find Golden cross, Death cross

• Golden cross (a20 < a5 < a1): Long
• Death cross (a20 > a5 > a1): Short

Buy, Sell strategy

    if BS == 0:  # 手上沒股票
        cost = 0
        profit = 0
    else:  # 手上有股票，計算利潤
        # 利潤 = 價差 - 成本(手續費+交易稅)
        profit = (float(Price) - float(open_price)) * 1000 * args.QTY - \
                 (round(float(Price) * 1000 * (args.tax_rate + args.handling_fee) * args.QTY) + cost)

    # 手中沒股票，且在門檻時間以前。 若價格小於基礎價格買入。
    if Price == open_price and BS == 0 and Time < args.finish_time:
        open_price = Price
        w.writerow([args.product, 'B', Date, str(Time), Price, args.QTY, ])
        cost = round(float(Price) * 1000 * args.handling_fee * args.QTY)  # 買入成本
        BS = BS + 1

    # 手中有股票，且在門檻時間以前。 若利潤(價差) > 0 賣出
    elif profit > 0 and BS > 0 and Time < args.finish_time:
        w.writerow([args.product, 'S', Date, str(Time), Price, args.QTY, ])
        BS = BS - 1

    # 超過門檻時間 (價格浮動期)，且還未平倉，找後面時間有利潤 > 0的賣出。 結束今天買賣
    elif profit > 0 and BS > 0 and Time >= args.finish_time:
        w.writerow([args.product, 'S', Date, str(Time), Price, args.QTY, ])
        BS = BS - 1
        # break

    # 超過門檻時間 (價格浮動期)，且還未平倉，並到達停損點，趕快賣出。 結束今天買賣
    elif 0 > profit and float(Price) < float(open_price) * args.stop_loss_rate and BS > 0 \
            and Time >= args.finish_time:
        w.writerow([args.product, 'S', Date, str(Time), Price, args.QTY, ])
        BS = BS - 1

    # 超過門檻時間 (價格浮動期)，且還未平倉，以收盤價賣出。 結束今天買賣
    elif BS > 0 and Time == data[len(data) - 1][0]:
        close = data[len(data) - 1][2]
        w.writerow([args.product, 'S', Date, str(Time), close, args.QTY, ])
        BS = 0

KPI (evaluation)

To evaluate the report, run KPI.py to get the result csv: KPI.csv

python KPI.py

Our KPI result KPI.csv is showed bellow:

總損益	總交易次數	平均損益	勝率	獲利因子	賺賠比	最大資金回落	夏普比率	是否超額交易
1509853	874	1727.5256	0.638	3.179	1.801	585472	0.368	否

Report

• Preliminary written report: 書面報告.pdf

Contact us

If you have any question, please contact:

• Chi-Mao Fan: [email protected]
• Yu-Fang Huang: [email protected]
• Kai-Hua Yeh: [email protected]
• Wei-Hsiang Liao: [email protected]
• Li-Chi Lan: [email protected]