Merge pull request #1534 from yutiansut/master

update to 1.9.20
yutiansut · May 16, 2020 · 0cf5fb3 · 0cf5fb3
2 parents 2809b73 + 144809f
commit 0cf5fb3
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Showing 3 changed files with 33 additions and 5 deletions.
diff --git a/QUANTAXIS/QAARP/QARisk.py b/QUANTAXIS/QAARP/QARisk.py
@@ -467,7 +467,8 @@ def calc_annualize_return(self, assets, days):
             2)
 
     def calc_profitpctchange(self, assets):
-        return assets[::-1].pct_change()[::-1]
+        #return assets[::-1].pct_change()[::-1]
+        return assets.diff().pct_change()
 
     def calc_beta(self, assest_profit, benchmark_profit):
 
@@ -1358,6 +1359,14 @@ def netprofio_maxloss_ratio(self, pnl):
             return 0
 
     def continue_profit_amount(self, pnl):
+        """最大连续利润单数
+
+        Arguments:
+            pnl {[type]} -- [description]
+
+        Returns:
+            [type] -- [description]
+        """
         w = []
         w1 = 0
         for _, item in pnl.pnl_money.iteritems():
@@ -1372,14 +1381,22 @@ def continue_profit_amount(self, pnl):
             return max(w)
 
     def continue_loss_amount(self, pnl):
+        """最大连续亏损单数
+
+        Arguments:
+            pnl {[type]} -- [description]
+
+        Returns:
+            [type] -- [description]
+        """
         l = []
         l1 = 0
         for _, item in pnl.pnl_money.iteritems():
             if item > 0:
-                l1 += 1
-            elif item < 0:
                 l.append(l1)
                 l1 = 0
+            elif item < 0:
+                l1 += 1
         if len(l) == 0:
             return 0
         else:

diff --git a/QUANTAXIS/QAARP/market_preset.py b/QUANTAXIS/QAARP/market_preset.py
@@ -896,7 +896,18 @@ def get_code(self, code):
                 code = code[0:-2]
             else:
                 code = code[0:2]
-        return self.table.get(str(code).upper(), {})
+        return self.table.get(str(code).upper(), {
+                'name': 'default',
+                'unit_table': 1.0,
+                'price_tick': 1.0,
+                'buy_frozen_coeff': 1,
+                'sell_frozen_coeff': 1,
+                'exchange':  'stock_cn',
+                'commission_coeff_peramount': 0.001,
+                'commission_coeff_pervol': 0,
+                'commission_coeff_today_peramount': 0.001,
+                'commission_coeff_today_pervol': 0
+            })
 
     # 合约所属交易所代码
 

diff --git a/QUANTAXIS/__init__.py b/QUANTAXIS/__init__.py
@@ -31,7 +31,7 @@
 2017/4/8
 """
 
-__version__ = '1.9.18'
+__version__ = '1.9.20'
 __author__ = 'yutiansut'
 
 import argparse