import pandas as pd

def rsi(n=10,close=close):
    sma1=[]
    sma2=[]
    ut=[max(close[i]-close[i-1],0) for i in arange(1,len(close))]
    dt=[max(close[i-1]-close[i],0) for i in arange(1,len(close))]
    for i in arange(n,len(close)):
        sma1.append(mean(ut[i-n:i]))
        sma2.append(mean(dt[i-n:i]))
    rs=[sma1[j]/sma2[j] for j in arange(len(sma1))]
    rsi=[100*(rs[jj])/(1+rs[jj]) for jj in arange(len(rs))]
    return rsi

hs300=get_price('IF8888.CCFX', start_date='2012-01-01', end_date='2017-10-31', frequency='1d', fields='close', skip_paused=False, fq='pre')
close1=hs300['close']
#IC8888.CCFX中证500  IH8888.CCFX上证50  IF8888.CCFX沪深300
n=7
rsitest=rsi(n=7,close=close1)
rate=(close1.diff(1)[1:]/list(close1[:-1]))[n:]
tempt=0
tempt11=[]
for i in arange(len(rsitest)):
    if rsitest[i]>80:
        tempt=-1
    elif rsitest[i]<20:
        tempt=1
    tempt11.append(tempt)
tempt11=tempt11[1:]
tempt13=1.
cumrate=[]
for i in arange(len(rate)-1):
    tempt13=tempt13*list(tempt11[:-1]*rate[1:]+1)[i]
    cumrate.append(tempt13)
plt.plot(cumrate)
plt.title('传统RSI反转策略——按天')

hs300=get_price('IF8888.CCFX', start_date='2012-01-01', end_date='2012-10-31', frequency='5m', fields='close', skip_paused=False, fq='pre')
close2=hs300['close']
#IC8888.CCFX中证500  IH8888.CCFX上证50  IF8888.CCFX沪深300
n=14
rsitest=rsi(n=14,close=close2)
rate=(close2.diff(1)[1:]/list(close2[:-1]))[n:]
tempt=0
tempt11=[]
for i in arange(len(rsitest)):
    if rsitest[i]>80:
        tempt=-1
    elif rsitest[i]<20:
        tempt=1
    tempt11.append(tempt)
tempt11=tempt11[1:]
tempt13=1.
cumrate=[]
for i in arange(len(rate)-1):
    tempt13=tempt13*list(tempt11[:-1]*rate[1:]+1)[i]
    cumrate.append(tempt13)
plt.plot(cumrate)
plt.title('传统RSI反转策略——按五分钟')

###趋势策略，包含金叉死叉
hs300=get_price('IF8888.CCFX', start_date='2012-01-01', end_date='2017-10-31', frequency='1d', fields='close', skip_paused=False, fq='pre')
close1=hs300['close']
#IC8888.CCFX中证500  IH8888.CCFX上证50  IF8888.CCFX沪深300
n1=7
n2=14
rsitest1=rsi(n=7,close=close1)[n2-n1:]
rsitest2=rsi(n=14,close=close1)
rate=(close1.diff(1)[1:]/list(close1[:-1]))[n2:]
tempt=0
tempt11=[]
for i in arange(len(rsitest1)-1):
    if rsitest1[i]<rsitest2[i] and rsitest1[i+1]>rsitest2[i+1]:#快线穿过慢线金叉
        tempt=1
    elif rsitest1[i]>rsitest2[i] and rsitest1[i+1]<rsitest2[i+1]:#慢线穿过快线死叉
        tempt=-1
    tempt11.append(tempt)

tempt13=1.
cumrate=[]
for i in arange(1,len(rate)-1):
    if tempt11[i]*tempt11[i-1]<>1:##发生交易行为，算手续费
        tempt13=tempt13*list(tempt11[:-1]*rate[1:]+1)[i]*(1-0.000023-0.0023)
    else:
        tempt13=tempt13*list(tempt11[:-1]*rate[1:]+1)[i]
    cumrate.append(tempt13)
plt.plot(cumrate)
plt.title('传统RSI趋势策略——按天')

###趋势策略，包含金叉死叉
hs300=get_price('IF8888.CCFX', start_date='2016-01-01', end_date='2016-10-31', frequency='5m', fields='close', skip_paused=False, fq='pre')
close1=hs300['close']
#IC8888.CCFX中证500  IH8888.CCFX上证50  IF8888.CCFX沪深300
n1=7
n2=14
rsitest3=rsi(n=7,close=close1)[n2-n1:]
rsitest4=rsi(n=14,close=close1)
rate=(close1.diff(1)[1:]/list(close1[:-1]))[n2:]
tempt=0
tempt11=[]
for i in arange(len(rsitest3)-1):
    if rsitest3[i]<rsitest4[i] and rsitest3[i+1]>rsitest4[i+1]:#快线穿过慢线金叉
        tempt=1
    elif rsitest3[i]>rsitest4[i] and rsitest3[i+1]<rsitest4[i+1]:#慢线穿过快线死叉
        tempt=-1
    tempt11.append(tempt)
tempt13=1.
cumrate=[]
for i in arange(1,len(rate)-1):
    if tempt11[i]*tempt11[i-1]<>1:##发生交易行为，算手续费，万二加上印花税
        tempt13=tempt13*list(tempt11[:-1]*rate[1:]+1)[i]*(1-0.000023-0.0023)
    else:
        tempt13=tempt13*list(tempt11[:-1]*rate[1:]+1)[i]
    cumrate.append(tempt13)
plt.plot(cumrate)
plt.title('传统RSI趋势策略——按五分钟')

###新的RSI策略
##设置K线周期：长K线周期为15分钟，短K线周期为5分钟
hs300_long=get_price('IF8888.CCFX', start_date='2016-01-01', end_date='2016-10-31', frequency='15m', fields='close', skip_paused=False, fq='pre')
hs300_short=get_price('IF8888.CCFX', start_date='2016-01-01', end_date='2016-10-31', frequency='5m', fields='close', skip_paused=False, fq='pre')
close_long=hs300_long['close']
close_short=hs300_short['close']

###改进的rsi函数，显示index
def rsi2(n,close):
    sma1=[]
    sma2=[]
    rsistore=pd.DataFrame()
    ut=[max(close[i]-close[i-1],0) for i in arange(1,len(close))]
    dt=[max(close[i-1]-close[i],0) for i in arange(1,len(close))]
    for i in arange(n,len(close)):
        sma1.append(mean(ut[i-n:i]))
        sma2.append(mean(dt[i-n:i]))
    rs=[sma1[j]/sma2[j] for j in arange(len(sma1))]
    rsistore['rsi']=[100*(rs[jj])/(1+rs[jj]) for jj in arange(len(rs))]
    rsistore.index=close.index[n:]
    return rsistore

###新的RSI策略
##设置K线周期：长K线周期为15分钟，短K线周期为5分钟
hs300_long=get_price('IF8888.CCFX', start_date='2016-01-01', end_date='2016-10-31', frequency='15m', fields='close', skip_paused=False, fq='pre')
hs300_short=get_price('IF8888.CCFX', start_date='2016-01-01', end_date='2016-10-31', frequency='5m', fields='close', skip_paused=False, fq='pre')
close_long=hs300_long['close']
close_short=hs300_short['close']
n=11
rsi_long=rsi2(n,close=close_long)
rsi_short=rsi2(n,close=close_short)
##归到同一个时间点开始
rsi_short=rsi_short[24:]
S=80
L=50
rate=(close_short.diff(1)[1:]/list(close_short[:-1]))[n+24-1:]
close_short=close_short[(len(close_short)-len(rate)-1):]
tempt=0
tempt11=[]
uu=0
for i in arange(1,len(rsi_short)):
    if tempt==0 and rsi_short['rsi'][i]>100-S and rsi_long['rsi'][i/3]>100-L:#短期rsi>100-S,长期rsi>100-L做空
        tempt=-1
        uu=i##建仓点
    elif tempt==0 and rsi_short['rsi'][i]>S and rsi_long['rsi'][i/3]>L:#短期rsi>S,长期rsi>L做多
        tempt=1
        uu=i##建仓点    
    tempt11.append(tempt)
    if tempt11[-1]<>0 and abs((close_short[i]-close_short[uu])/close_short[uu])>0.02:##止盈止损判断，建仓后 
        tempt=0

tempt13=1.
cumrate=[]

for i in arange(1,len(rate)-1):
    if tempt11[i-1]==0 and tempt11[i]<>0 :##开仓
        tempt13=tempt13*list(tempt11*rate[:-1]+1)[i]*(1-0.000023)
    elif tempt11[i-1]<>0 and tempt11[i]==0:##平仓
        tempt13=tempt13*list(tempt11*rate[:-1]+1)[i]*(1-0.0023)
    elif tempt11[i-1]*tempt11[i]==-1:
        tempt13=tempt13*list(tempt11*rate[:-1]+1)[i]*(1-0.0023-0.000023)
    else:
        tempt13=tempt13*list(tempt11*rate[1:]+1)[i]
    cumrate.append(tempt13)

plt.plot(cumrate)
plt.title('新型RSI交易策略')