量化交易-条件选股（基于区间价格、MACD、均线、成交量、市值等条件）

策略定义：
获取所有上市股票，剔除停牌股、百日内新股、退市股；
获取时间范围内股票信息（百日内最高价，最低价，均价，涨跌幅，最新价，市值）
计算5日，10日，20日均线，及MACD
提取价值股（几个低于最高价*0.75，均线金叉，MACD金叉，前一天成交量大于5.5亿）

# 策略中必须有init方法
# coding=utf-8
from __future__ import print_function, absolute_import, unicode_literals
from gm.api import *
import numpy as np
import datetime
import talib
import time

start = time.perf_counter()
set_token('2c705a9dd13617610384e13505253dbe93d698eb')
date = datetime.datetime.now()
date1 = date.strftime("%Y-%m-%d %H:%M:%S")
date2 = (date + datetime.timedelta(days=-100)).strftime("%Y-%m-%d %H:%M:%S")
# date1 = context.now.strftime("%Y-%m-%d %H:%M:%S")
# date2 = (context.now - timedelta(days=100)).strftime("%Y-%m-%d %H:%M:%S")

# 通过get_instruments获取所有的上市股票代码
all_stock = get_instruments(exchanges='SHSE, SZSE', sec_types=[1], fields='symbol, listed_date, delisted_date', df=True)
# 剔除停牌和st股和上市不足100日的新股和退市股和B股
code = all_stock[(all_stock['listed_date'] < date2) & (all_stock['delisted_date'] > date1) & (all_stock['symbol'].str[5] != '9') & (all_stock['symbol'].str[5] != '2')]
fundamenta_1 = get_fundamentals('trading_derivative_indicator', code['symbol'].to_list(),
                                start_date=date2, end_date=date1,
                                fields='TOTMKTCAP', df=True,
                                filter='TOTMKTCAP>5000000000')
taget_symbol_1 = []
taget_symbol_2 = []
taget_symbol_3 = []
for sym in fundamenta_1['symbol']:
    # 获取股票基础信息(开盘、最高、最低、现价、买卖5档、成交总手、成交总额)
    # data1 = current(symbols='SHSE.603589', fields='open,high,low,close,price,cum_volume,cum_amount,quotes')
    # 获取历史数据用于计算(价格、成交量)
    # history_data = history(symbol='sym', frequency='1d', start_time=date2, end_time=date1, count=100, df=True)
    history_data = history_n(symbol=sym, frequency='1d', end_time=date1, count=100,
                             fill_missing='last', df=True)
    # symbol_data = history_n(symbol='SHSE.603589', frequency='1d', end_time=date1, count=3, fill_missing='last', df=True)
    # 获取其他数据（股票衍生表、资产负债表、现价流量表、利润表）
    # 股票衍生表:trading_derivative_indicator
    # (NEGOTIABLEMV/流通市值,PB/市净率(PB),PELFY/市盈率LFY,PELFYNPAAEI/扣非市盈率,TOTMKTCAP/总市值,NEGOTIABLEMV/流通市值,TURNRATE/当日换手率)
    # get_fund = get_fundamentals(table='trading_derivative_indicator', symbols='SHSE.603589', start_date=date2,
    #                             end_date=date1,
    #                             fields='TCLOSE,NEGOTIABLEMV,TOTMKTCAP,TURNRATE,PELFY,PETTM,PEMRQ,PELFYNPAAEI,PETTMNPAAEI')
    close_price = history_data['close'].values
    max_x = history_data['high'].values  # 最高价
    min_n = history_data['low'].values  # 最低价
    max_high = np.max(max_x)  # 最高收盘价
    min_colse = np.min(min_n)  # 最低收盘价
    amount = history_data['amount'].values  # 成交量
    # 获取均线的数据，通过timeperiod参数来分别获取 5,10,20 日均线的数据。
    ma5 = talib.SMA(close_price, timeperiod=5)
    ma10 = talib.SMA(close_price, timeperiod=10)
    ma20 = talib.SMA(close_price, timeperiod=20)
    # print(ma5[-1], ma10[-1], ma20[-1])
    #  获取MACD的数据
    macd, signal, hist = talib.MACD(close_price, fastperiod=12, slowperiod=26, signalperiod=9)
    # print(macd[-1])   # 快线
    # print(signal[-1])   # 慢线
    # print(hist[-1])   # 快线-慢线
    if amount[-1] > 3000000000:
        taget_symbol_3.append(sym)
    if amount[-1] > 3000000000 and close_price[-1] <= ma10[-1]:
        taget_symbol_2.append(sym)

    if close_price[-1] < max_high*0.75 and close_price[-1] < min_colse*1.15 and hist[-1] >= 0 and ma5[-1] >= ma10[-1] \
            and amount[-1] > 550000000:
        taget_symbol_1.append(sym)
KCB = list(filter(lambda x: x[6] == '8', taget_symbol_1))  # 科创板
target_symbol = list(set(taget_symbol_1) - set(KCB))  # 主板
end = time.perf_counter()
print('开始时间：{},结束时间：{},运行时间 : {} 秒'.format(start, end, end - start))
print(target_symbol)
print(taget_symbol_2)
print(taget_symbol_3)