def bbstrat(quotes, params={}):
# define a function that takes a quotes object, so it is an array with elements [day,o,h,l,c]
# and returns a dictionary with keys of buy and sell times
# values are not used (1 here), so that gives us room to pack in more information with this function
timesclose = quotes[:, [0, 4]]
timesclose = np.array(timesclose)
bbands = ind.bbtimes(timesclose, 20)
quotes = np.array(quotes[-len(bbands):])
dBuy = {}
dSell = {}
previous = 0
price = 0
position = False
for quote, band in zip(quotes, bbands):
last_quote = quote[1]
if position == True:
if quote[1] > 1.20 * price or band[6] > 0.7 or quote[
1] < 0.93 * price or band[6] < -0.03:
position = False
dSell[quote[0]] = 1
else:
if band[6] > 0.06 and previous < 0.06:
position = True
dBuy[quote[0]] = 1
price = quote[1]
previous = band[6]
return dBuy, dSell
nh = round(h - o, 2)
nl = round(l - o, 2)
nc = round(c - o, 2)
quotes.append([day, o, h, l, c])
normquotes.append([day, no, nh, nl, nc])
# fractions.append( abs(o-c)/(h-l) ) # what fraction of (high-low) is |open-close|?
fractions.append(((o + c) / 2 - l) / (h - l)) # how far from the low is the center of the body?
timesclose.append([day, c])
# makeHist(prices[:,0], "openhist.png")
u.makeHist(fractions, "../plots/fractions.png", title="|o-c|/(h-l)", nbins=50)
timesclose = np.array(timesclose)
bbands = ind.bbtimes(timesclose, 14)
u.makePlot(bbands[:, 0], bbands[:, 1], "../plots/bbands_upper.png", title="Bollinger Bands")
u.makePlot(bbands[:, 0], bbands[:, 3], "../plots/bbands_lower.png", title="Bollinger Bands")
normquotes = np.array(normquotes)
quotes = np.array(quotes)
km = skc.KMeans(n_clusters=5)
clusters = km.fit_predict(normquotes[:, [1, 2, 3, 4]])
shading = []
colors = list("krbgcmyw") # only allows up to 8 colors :(
for i, day in enumerate(quotes[:, 0]):
shading.append([day, colors[clusters[i]]])
nc = round(c - o, 2)
quotes.append([day, o, h, l, c])
normquotes.append([day, no, nh, nl, nc])
# fractions.append( abs(o-c)/(h-l) ) # what fraction of (high-low) is |open-close|?
fractions.append(
((o + c) / 2 - l) /
(h - l)) # how far from the low is the center of the body?
timesclose.append([day, c])
# makeHist(prices[:,0], "openhist.png")
u.makeHist(fractions, "../plots/fractions.png", title="|o-c|/(h-l)", nbins=50)
timesclose = np.array(timesclose)
bbands = ind.bbtimes(timesclose, 14)
u.makePlot(bbands[:, 0],
bbands[:, 1],
"../plots/bbands_upper.png",
title="Bollinger Bands")
u.makePlot(bbands[:, 0],
bbands[:, 3],
"../plots/bbands_lower.png",
title="Bollinger Bands")
normquotes = np.array(normquotes)
quotes = np.array(quotes)
km = skc.KMeans(n_clusters=5)
clusters = km.fit_predict(normquotes[:, [1, 2, 3, 4]])
