def getModifiedSignalLine(macd, signalLine, K):
periods = getTradingPeriods(macd, signalLine)
modifiedSignalLine = pd.Series(float('nan'), index=signalLine.index)
for period in periods:
avmin = getAvailablyMinimumPointsInAPeriod(macd, signalLine, period)
avmax = getAvailablyMaximumPointsInAPeriod(macd, signalLine, period)
dmin = getMinimumCertainties(macd, signalLine, period)
dmax = getMaximumCertainties(macd, signalLine, period)
upCrossingPoint = None
for t in period:
if upCrossingPoint is None and isAnUpCrossingPoint(
macd, signalLine, t):
upCrossingPoint = t
if upCrossingPoint is None:
hMinimum = macd[avmin[t]] - signalLine[avmin[t]]
modifiedSignalLine[t] = signalLine[t] + hMinimum * (dmin[t]**K)
elif t == period[-1]:
modifiedSignalLine[t] = signalLine[t]
else:
hMaximum = macd[avmax[t]] - signalLine[avmax[t]]
modifiedSignalLine[t] = signalLine[t] + hMaximum * (dmax[t]**K)
return modifiedSignalLine
def getAllSellPoints(pricesData, macd, modifiedSignalLineWithK):
periods = getTradingPeriods(macd, modifiedSignalLineWithK)
allSellPoints = []
for period in periods:
totalTrade = getTotalTradesInAPeriod(pricesData, macd, modifiedSignalLineWithK, period)
if totalTrade is not None:
for trade in totalTrade.tradeList:
allSellPoints.append(trade.sellPoint)
print('total sell' ,len(allSellPoints))
return allSellPoints
def getAllSellPoints(pricesData, macd, modifiedSignalLineWithK):
periods = getTradingPeriods(macd, modifiedSignalLineWithK)
allSellPoints = []
for period in periods:
totalTrade = getTotalTradesInAPeriod(pricesData, macd, modifiedSignalLineWithK, period)
if totalTrade is not None:
for trade in totalTrade.tradeList:
allSellPoints.append(trade.sellPoint)
print('total sell' ,len(allSellPoints))
return allSellPoints
def getAllBuyPoints(pricesData, macd, signalLine):
periods = getTradingPeriods(macd, signalLine)
allBuyPoints = []
for period in periods:
totalTrade = getTotalTradesInAPeriod(macd, signalLine, period)
if totalTrade is not None:
for trade in totalTrade.tradeList:
allBuyPoints.append(trade.buyPoint)
print('total buy', len(allBuyPoints))
#print allBuyPoints
return allBuyPoints
def getAllBuyPoints(pricesData, macd, signalLine):
periods = getTradingPeriods(macd, signalLine)
allBuyPoints = []
for period in periods:
totalTrade = getTotalTradesInAPeriod(macd, signalLine, period)
if totalTrade is not None:
for trade in totalTrade.tradeList:
allBuyPoints.append(trade.buyPoint)
print('total buy' ,len(allBuyPoints))
#print allBuyPoints
return allBuyPoints
def getAllSellPoints(pricesData, macd, signalLine, modifiedSignalLine):
periods = getTradingPeriods(macd, signalLine)
allSellPoints = []
for period in periods:
upPoint = getUpCrossingPointInAPeriod(macd, signalLine, period)
totalTrade = getTotalTradesInAPeriod(macd, modifiedSignalLine, period, upPoint)
if totalTrade is not None:
for trade in totalTrade.tradeList:
allSellPoints.append(trade.sellPoint)
print('total sell' ,len(allSellPoints))
return allSellPoints
def getAllSellPoints(pricesData, macd, signalLine, modifiedSignalLine):
periods = getTradingPeriods(macd, signalLine)
allSellPoints = []
for period in periods:
upPoint = getUpCrossingPointInAPeriod(macd, signalLine, period)
totalTrade = getTotalTradesInAPeriod(macd, modifiedSignalLine, period,
upPoint)
if totalTrade is not None:
for trade in totalTrade.tradeList:
allSellPoints.append(trade.sellPoint)
print('total sell', len(allSellPoints))
return allSellPoints
def MACDK1Test(pricesData, macd, modifiedSignalLineWithK):
periods = getTradingPeriods(macd, modifiedSignalLineWithK)
profitRateList = []
successList = []
for period in periods:
totalTrade = getTotalTradesInAPeriod(pricesData, macd, modifiedSignalLineWithK, period)
if totalTrade is not None:
profitRate = totalTrade.getProfitRate(pricesData)
profitRateList.append(profitRate)
if profitRate > 0:
successList.append(1)
else:
successList.append(0)
if len(profitRateList) > 0:
return np.mean(successList), np.mean(profitRateList)
else:
return None, None
def originalMACDTest(pricesData, macd, signalLine):
periods = getTradingPeriods(macd, signalLine)
profitRateList = []
successList = []
for period in periods:
totalTrade = getTotalTradesInAPeriod(macd, signalLine, period)
if totalTrade is not None:
profitRate = totalTrade.getProfitRate(pricesData)
profitRateList.append(profitRate)
if profitRate > 0:
successList.append(1)
else:
successList.append(0)
if len(profitRateList) > 0:
return np.mean(successList), np.mean(profitRateList)
else:
return None, None
def modifiedSignalLineTest(pricesData, macd, signalLine, modifiedSignalLine):
periods = getTradingPeriods(macd, signalLine)
profitRateList = []
successList = []
for period in periods:
upPoint = getUpCrossingPointInAPeriod(macd, signalLine, period)
totalTrade = getTotalTradesInAPeriod(macd, modifiedSignalLine, period, upPoint)
if totalTrade is not None:
profitRate = totalTrade.getProfitRate(pricesData)
profitRateList.append(profitRate)
if profitRate > 0:
successList.append(1)
else:
successList.append(0)
if len(profitRateList) > 0:
return np.mean(successList), np.mean(profitRateList)
else:
return None, None
def modifiedSignalLineTest(pricesData, macd, signalLine, modifiedSignalLine):
periods = getTradingPeriods(macd, signalLine)
profitRateList = []
successList = []
for period in periods:
upPoint = getUpCrossingPointInAPeriod(macd, signalLine, period)
totalTrade = getTotalTradesInAPeriod(macd, modifiedSignalLine, period,
upPoint)
if totalTrade is not None:
profitRate = totalTrade.getProfitRate(pricesData)
profitRateList.append(profitRate)
if profitRate > 0:
successList.append(1)
else:
successList.append(0)
if len(profitRateList) > 0:
return np.mean(successList), np.mean(profitRateList)
else:
return None, None
def getModifiedSignalLine(macd, signalLine, K):
periods = getTradingPeriods(macd, signalLine)
modifiedSignalLine = pd.Series(float('nan'), index=signalLine.index)
for period in periods:
avmin = getAvailablyMinimumPointsInAPeriod(macd, signalLine, period)
avmax = getAvailablyMaximumPointsInAPeriod(macd, signalLine, period)
dmin = getMinimumCertainties(macd, signalLine, period)
dmax = getMaximumCertainties(macd, signalLine, period)
upCrossingPoint = None
for t in period:
if upCrossingPoint is None and isAnUpCrossingPoint(macd, signalLine, t):
upCrossingPoint = t
if upCrossingPoint is None:
hMinimum = macd[avmin[t]] - signalLine[avmin[t]]
modifiedSignalLine[t] = signalLine[t] + hMinimum*(dmin[t]**K)
elif t == period[-1]:
modifiedSignalLine[t] = signalLine[t]
else:
hMaximum = macd[avmax[t]] - signalLine[avmax[t]]
modifiedSignalLine[t] = signalLine[t] + hMaximum*(dmax[t]**K)
return modifiedSignalLine
