一个“追跌卖涨”的股票筛选程序

这是2020年暑假自己调用tushare金融数据库，针对A股市场上所有股票的历史数据，使用“追跌卖涨”的思路编写的一份股票筛选程序，遍历可获得的所有股票数据，输出可以购买的股票组合的名单。代码分为两个部分，一个是策略代码，另外一个是自编的调用的模块代码，如下：

# -*- coding: utf-8 -*-
"""
Created on Mon Aug 31 09:59:41 2020
@author: Tang Shiyu
@e-mail: 1471988744@qq.com
"""
"""
strategy_1.3版本升级说明
编写了get_available_stock函数，将原股票列表中的贵的，买不了的股票删掉
"""

import tool_functions as tf
today = tf.get_today_date()
ago = tf.get_ago_date(15)

import tushare as ts
import my_token
ts.set_token(my_token.tsy_token)
pro = ts.pro_api(my_token.tsy_token)

t0 = tf.get_time()



#查询当前所有正常上市交易的股票列表
'''
exchange为指定的交易所，交易所 SSE上交所 SZSE深交所 HKEX港交所(未上线)
list_status 上市状态： L上市 D退市 P暂停上市，默认L
is_hs是否沪深港通标的，N否 H沪股通 S深股通
fields='ts_code,symbol,name,area,industry,list_date'
'''
all_stocks = pro.stock_basic(exchange='', list_status='L', fields='ts_code,name')

stock_list=[]
for i_1 in range(len(all_stocks["ts_code"])):
    single_stock = pro.daily(ts_code=all_stocks['ts_code'][i_1], start_date=ago, end_date=today)
    try:
        test_key = single_stock.loc[0,"open"] 
    except KeyError:
        continue
    else:
        single_stock["single_label"] = ""
        for i in range(len(single_stock["single_label"])):
            if single_stock["change"][i] < 0:
                single_stock["single_label"][i] = 1#注意，下跌标记为1,不变和上涨标记为0
            else:
                single_stock["single_label"][i] = 0
        groups = single_stock.groupby('single_label')
        counts = groups.size() 
        try:
            counts[0] <= counts[1]#<是跌多涨少，>是涨多跌少
        except KeyError:
            continue
        else:
            if 4*counts[0] < counts[1]:#<是跌多涨少，>是涨多跌少
                stock_list.append(all_stocks['ts_code'][i_1])
                
"""
1.1版本主要更新部分
"""
"""
#考虑到中国平安上次停牌还是在2014年，这里就以中国平安为基准
shai_over_day = tf.get_today_date()
shai_begin_day  =tf.get_ago_date(30)
jz_stock = pro.daily(ts_code="000001.SZ", start_date=shai_begin_day, end_date=shai_over_day)
normal_day = jz_stock.shape[0]#获取了正常交易的天数

stock_list_1_1 = []
for i_2 in stock_list:
    single_stock = pro.daily(ts_code=i_2, start_date=shai_begin_day, end_date=shai_over_day)
    try:
        test_key = single_stock.loc[normal_day-1,"open"] 
    except KeyError:
        continue
    else:
        stock_list_1_1.append(i_2)
"""                
#获取这一个月正常交易的股票
nor_stock_list = tf.get_nor_stock(stock_list, ago, today) 

#获取能买的股票
ava_stock_list = tf.get_available_stock(nor_stock_list, 10, today)  

print(ava_stock_list)
#储存结果
import json
filename = "ava_stock_list_strategy_1.3.json"
with open (filename,"w") as f_object:
    json.dump(stock_list,f_object)
    
    
#读取程序运行时间
t1 = tf.get_time()
tf.get_run_time(t1-t0)

下面是需要调用的模块代码，命名为tool_functions:

# -*- coding: utf-8 -*-
"""
Created on Wed Aug 26 17:07:50 2020
@author: Tang Shiyu
@e-mail: 1471988744@qq.com
"""



def get_today_date():
    """获取系统时间,返回字符串形式当前日期""" 
    import time
    #获取今天的日期
    today = time.strftime("%Y%m%d", time.localtime())
    return today

def get_ago_date(num_day):
    """给定向前推的天数，返回那一天的日期"""
    import datetime
    now_time = datetime.datetime.now()
    yes_time = now_time + datetime.timedelta(days=float(-num_day))#这里的数字决定向前取多少天
    ago = yes_time.strftime('%Y%m%d')
    return ago


def get_newest_trade_day(day):
    """
    给定一个日期，获取离该日期最新的一个交易日，注意本函数最早调用到20100101
    """
    import tool_functions as tf
    import my_token
    import tushare as ts
    import pandas as pd
    ts.set_token(my_token.tsy_token)
    pro = ts.pro_api(my_token.tsy_token)
    jz_stock = pro.daily(ts_code="000001.SZ", start_date="20100101", end_date = day)
    return jz_stock.loc[0,"trade_date"]


def get_time():
    """计算程序运行时间的方法是在程序的开头和结尾各插入两个time函数，计算程序
    读取这两个函数的时间差便是这次程序运行的时间"""
    import time
    t0=time.time()
    print('读时:',time.strftime('%Y-%m-%d %H:%M:%S',time.localtime(time.time())))
    return t0

def get_run_time(subtract):
    '''承接上一个函数'''
    print("用时：%.6fs"%(subtract))
    
def get_por(stock_list,por_begin_day,por_over_day):
    """
    编写一个函数，使其能够接受一个股票代码的列表，与起始日期和终止日期，
    就能够生成一个组合，包含交易日与每天的开盘价与收盘价等相关信息

    Parameters
    ----------
    stock_list : TYPE:list
        构成组合的个股股票代码.
    por_begin_day : TYPE:str
        组合的起始日期.
    por_over_day : TYPE:str
        组合的结束日期.

    Returns
    -------
    hq_por : TYPE:dataframe
        返回一个dataframe，包含组合的交易日，开盘价、前一日收盘价、收盘价
        每日涨跌幅（收盘价之间）、涨跌百分比（收盘价之间）.

    """
    import tool_functions as tf
    import my_token
    import json
    import tushare as ts
    import pandas as pd


    ts.set_token(my_token.tsy_token)
    pro = ts.pro_api(my_token.tsy_token)


    #从一个上市股票的行情中把日期切出来
    hq_get_date = pro.daily(ts_code="000001.SZ", start_date=por_begin_day, end_date=por_over_day)


    #在开盘前选股，开盘后立即买入，成交价格以开盘价格计算
    #获取组合的开盘行情
    hq_open = hq_get_date[["trade_date"]]    
    for item in stock_list:
        hq_open_1 = pro.daily(ts_code=item, start_date=por_begin_day, end_date=por_over_day)
        hq_open_1 = hq_open_1[['trade_date',"open"]]
        hq_open_1.rename(columns = {"open": "open"+item},  inplace=True)
        hq_open = pd.merge(hq_open, hq_open_1,on='trade_date')

    #计算组合开盘价
    num_stocks = len(stock_list)
    hq_open['por_open'] = hq_open.iloc[:,1:num_stocks].sum(axis=1) 
    hq_open = hq_open[["trade_date","por_open"]]
    
    
    #获取组合前一日收盘行情
    hq_pre_close = hq_get_date[["trade_date"]]    
    for item in stock_list:
        hq_pre_close_1 = pro.daily(ts_code=item, start_date=por_begin_day, end_date=por_over_day)
        hq_pre_close_1 = hq_pre_close_1[['trade_date',"pre_close"]]
        hq_pre_close_1.rename(columns = {"pre_close": "pre_close"+item},  inplace=True)
        hq_pre_close = pd.merge(hq_pre_close, hq_pre_close_1,on='trade_date')
 
    #计算组合前一日收盘价
    num_stocks = len(stock_list)
    hq_pre_close['por_pre_close'] = hq_pre_close.iloc[:,1:num_stocks].sum(axis=1) 
    hq_pre_close = hq_pre_close[["trade_date","por_pre_close"]]    
    

    #获取组合收盘行情
    hq_close = hq_get_date[["trade_date"]]    
    for item in stock_list:
        hq_close_1 = pro.daily(ts_code=item, start_date=por_begin_day, end_date=por_over_day)
        hq_close_1 = hq_close_1[['trade_date',"close"]]
        hq_close_1.rename(columns = {"close": "close"+item},  inplace=True)
        hq_close = pd.merge(hq_close, hq_close_1,on='trade_date')
    
    #计算组合收盘价
    num_stocks = len(stock_list)
    hq_close['por_close'] = hq_close.iloc[:,1:num_stocks].sum(axis=1) 
    hq_close = hq_close[["trade_date","por_close"]]
    
    #将开盘行情、前一日收盘行情和收盘行情合并
    hq_por = pd.merge(hq_open, hq_pre_close,on='trade_date')
    hq_por = pd.merge(hq_por, hq_close,on='trade_date')
    
    #计算组合每日涨跌，注意是收盘价之差    
    hq_por["por_chg"] = hq_por["por_close"] - hq_por["por_pre_close"]
    
    #计算组合的每日百分比涨跌幅
    hq_por["por_pct_chg"] = round(((hq_por["por_close"] - hq_por["por_pre_close"])/hq_por["por_pre_close"])*100,2)   
    
    return hq_por

def get_nor_stock(stock_list,begin_day,end_day):
    """
    本函数获取一个列表，筛选出其中给定时间段完全正常交易的股票
    
    Parameters
    ----------
    stock_list : list
        给出你要筛选的股票列表
    begin_day : str
        字符串形式的日期如20200830
    end_day : list
        同上

    Returns
    -------
    返回给定时间段完全正常交易的股票列表

    """
    import tushare as ts
    import my_token
    ts.set_token(my_token.tsy_token)
    pro = ts.pro_api(my_token.tsy_token)
    
    jz_stock = pro.index_daily(ts_code='000300.SH', start_date=begin_day, end_date=end_day)
    normal_day = jz_stock.shape[0]#获取了正常交易的天数

    nor_stock_list = []
    for i in stock_list:
        single_stock = pro.daily(ts_code=i, start_date=begin_day, end_date=end_day)
        try:
            test_key = single_stock.loc[normal_day-1,"open"] 
        except KeyError:
                continue
        else:
            nor_stock_list.append(i)   
    return nor_stock_list
  

def get_available_stock(stock_list,pri,shai_xuan_day):
    """
    接受一个股票列表，对其做以下筛选.1、筛除创业版股票；2、筛除科创板股票；
    3、筛除筛选日价格过高的股票

    Parameters
    ----------
    stock_list : LIST
        接收一个股票列表.
    pri : FLOAT
        你能接受的股票最高价格.
    shai_xuan_day : STR
        字符串形式的日期

    Returns LIST
    -------
    返回筛选后的股票列表.

    """
    import tool_functions as tf
    import tushare as ts
    import my_token
    ts.set_token(my_token.tsy_token)
    pro = ts.pro_api(my_token.tsy_token)
    
    ava_stock_1 = []
    for i in stock_list:
        if i[0:3] != "688" and i[0:3] !="300":
            ava_stock_1.append(i)
            
    ava_stock = []
    #保留筛选日价格没有超过了给定价格的股票
    for i_2 in ava_stock_1:
        single_stock = pro.daily(ts_code=i_2, trade_date = tf.get_newest_trade_day(shai_xuan_day))
        if single_stock.loc[0,"close"] < pri:
            ava_stock.append(i_2)
    return ava_stock