prob = 100
elif tinyrollingmean < lowerband:
prob = 0
else:
prob = ((tinyrollingmean - lowerband)/(upperband - lowerband))*100
if ((30 > prob) and (sum(self.repeating) != -5)):
self.repeating.append(-1)
if (prob == 0):
orders.append(Order(event.instrument, -1, 0))
orders.append(Order(event.instrument, -1, 0))
if ((70 < prob) and (sum(self.repeating) != 5)):
self.repeating.append(1)
if (prob == 1):
orders.append(Order(event.instrument, 1, 0))
orders.append(Order(event.instrument, 1, 0))
if len(orders) > 0:
for order in orders:
print(order.print())
return orders
def fill(self, id, instrument, price, quantity, status):
super().fill(id, instrument, price, quantity, status)
self.side += quantity
print(self.position)
print(evaluateHist(BrainyApeTrade(), {'IBOV': '^BVSP.csv'}))
return avg_high / avg_low if avg_low else 0
def _calculate_rsi(self):
rs = self._get_rs()
rsi = 100 - 100 /(1 + rs)
return rsi
def push(self, event):
orders = []
price = event.price[3]
self.prices.append(price)
if len(self.prices) > 0:
rsi = self._calculate_rsi()
if rsi >= self.OVERBOUGHT:
if self.signal == 1:
orders.append(Order(event.instrument, -1, 0))
orders.append(Order(event.instrument, -1, 0))
if self.signal == 0:
orders.append(Order(event.instrument, -1, 0))
self.signal = -1
elif rsi <= self.OVERSOLD:
if self.signal == -1:
orders.append(Order(event.instrument, 1, 0))
orders.append(Order(event.instrument, 1, 0))
if self.signal == 0:
orders.append(Order(event.instrument, 1, 0))
self.signal = 1
return orders
print(evaluateHist(RSI(), {'IBOV':'^BVSP.csv'}))
def _create_sell_order(self, event):
orders = []
self.count_sell = 0
if self.signal == 1:
orders.append(Order(event.instrument, -1, 0))
orders.append(Order(event.instrument, -1, 0))
self.signal = -1
return orders
def push(self, event):
orders = []
price = event.price[3]
if self.prev:
self._update_counts(price)
if self.count_buy == self.max_count:
orders = self._create_buy_order(event)
if self.count_sell == self.max_count:
orders = self._create_sell_order(event)
self.prev = price
return orders
print(evaluateHist(RSI(), {'IBOV': '^BVSP.csv'}))
print(evaluateHist(MarceloStrategy(), {'IBOV': '^BVSP.csv'}))
print(
evaluateIntr(MarketMaker(), {
'USDBRL': 'USDBRL.csv',
'PETR3': 'PETR3.csv',
'PBR': None
}))
self.std = 0
self.ref = 0
def push(self, event):
price = event.price[3]
self.prices.append(price)
orders = []
if len(self.prices) >= self.sizeq:
maq = sum(self.prices[-self.sizeq:]) / self.sizeq
if len(self.prices) == self.sizes:
mas = sum(self.prices) / self.sizes
if maq > mas and self.signal != 1:
if self.signal == -1:
orders.append(Order(event.instrument, 1, 0))
orders.append(Order(event.instrument, 1, 0))
self.signal = 1
elif maq < mas and self.signal != -1:
if self.signal == 1:
orders.append(Order(event.instrument, -1, 0))
orders.append(Order(event.instrument, -1, 0))
self.signal = -1
del self.prices[0]
return orders
print(evaluateHist(BuynHold(), {'IBOV': '^BVSP.csv'}))
print(evaluateHist(MAVG(), {'IBOV': '^BVSP.csv'}))
else:
if not buy:
result = [order, order]
return result
def pushPetr(self, event):
self.petr = event.price[2]
return []
def push(self, event):
if event.instrument == STOCK:
return self.pushStock(event)
elif event.instrument == COIN:
return self.pushCoin(event)
elif event.instrument == PETR:
return self.pushPetr(event)
else:
raise ValueError('Event instrument not accepted')
return []
print(evaluateHist(SAR(), {'IBOV': '^BVSP.csv'}))
print(evaluateHist(PedroStrategy(), {'IBOV': 'dataPedro/test_data.csv'}))
print(
evaluateIntr(PedroIntr(), {
STOCK: ['dataPedro/ADR.csv', ',', '%d/%m/%y %H:%M'],
COIN: ['USDBRL.csv', ';', '%d/%m/%Y %H:%M:%S'],
PETR: [PETR, ';', '%d/%m/%Y %H:%M:%S'],
},
has_config=True))