def __init__(self):
super().__init__()
self.broker.set_coc(True)
self.dataclose={}
self.dataopen={}
self.datalow={}
self.datahigh={}
self.volume={}
self.order={}
self.trade_sig={}
self.signal1={}
self.signal2={}
self.signal3={}
self.close_sig={}
self.w_portfolio=w_portfolio
self.w_close=[0]*num
self.option_ratio=option_ratio[opt]
self.sma5 = bt.indicators.SMA(self.data, period=5)
self.sma10 = bt.indicators.SMA(self.data, period=10)
self.sma20 = bt.indicators.SMA(self.data, period=20)
self.sma30 = bt.indicators.SMA(self.data, period=30)
self.sma60 = bt.indicators.SMA(self.data, period=60)
vix=Vix()
vixRatio10=VixRatio10()
crossOver=bt.Or(bt.And(self.sma5/self.sma10<1,self.sma20/self.sma60<1,\
vixRatio10<=vixRatio10_buy[opt]),\
bt.And(self.sma5/self.sma10<1,self.sma20/self.sma60<1,\
vix<=self.p.vix_upBound))
crossDown=bt.Or(vixRatio10>=self.p.vixRatio10_sell,\
self.sma5/self.sma10>self.p.smaRatio_sell)
if opt6:
percent=Percentile()
cover_call=percent<=0.2
protect_put=percent>=0.8
collar=bt.And(percent<0.8,percent>0.2)
# Keep a reference to the "close" line in the data dataseries
for i,data in enumerate(self.datas):
self.dataclose[i] = self.datas[i].close
self.dataopen[i]=self.datas[i].open
self.datalow[i]=self.datas[i].low
self.datahigh[i]=self.datas[i].high
self.volume[i]=abs(self.datas[i].volume)
# To keep track of pending orders and buy price/commission
self.order[i] = None
self.buyprice = None
self.buycomm = None
self.bar_executed=None
self.trade_sig[i]=crossOver
self.close_sig[i]=crossDown
if opt6:
self.signal1[i]=cover_call
self.signal2[i]=protect_put
self.signal3[i]=collar
def __init__(self):
self.sma5 = btind.SimpleMovingAverage(period=5) # 5日均线
self.sma10 = btind.SimpleMovingAverage(period=10) # 10日均线
# bt.And 中所有条件都满足时返回 1；有一个条件不满足就返回 0
self.And = bt.And(self.data > self.sma5, self.data > self.sma10,
self.sma5 > self.sma10)
# bt.Or 中有一个条件满足时就返回 1；所有条件都不满足时返回 0
self.Or = bt.Or(self.data > self.sma5, self.data > self.sma10,
self.sma5 > self.sma10)
# bt.If(a, b, c) 如果满足条件 a，就返回 b，否则返回 c
self.If = bt.If(self.data > self.sma5, 1000, 5000)
# bt.All,同 bt.And
self.All = bt.All(self.data > self.sma5, self.data > self.sma10,
self.sma5 > self.sma10)
# bt.Any，同 bt.Or
self.Any = bt.Any(self.data > self.sma5, self.data > self.sma10,
self.sma5 > self.sma10)
# bt.Max，返回同一时刻所有指标中的最大值
self.Max = bt.Max(self.data, self.sma10, self.sma5)
# bt.Min，返回同一时刻所有指标中的最小值
self.Min = bt.Min(self.data, self.sma10, self.sma5)
# bt.Sum，对同一时刻所有指标进行求和
self.Sum = bt.Sum(self.data, self.sma10, self.sma5)
# bt.Cmp(a,b), 如果 a>b ，返回 1；否则返回 -1
self.Cmp = bt.Cmp(self.data, self.sma5)
def exit_indicator(self, ind, params, plot=True):
"""
Function that returns and binary exit confirmation indicator for simple strategy logic useage
:param ind: Indicator choice (string type) - must be in list of self.indicators
:param params: Parameters for Indicator - must have right amount of parameters or error thrown
:return: Binary Trade Exit Indicator
"""
# Check Inputs
self.check_input(ind, params)
# Create Logic Blocks for Binaries
if ind == 'heikenashi':
heiken = HeikenAshi(self.data, plot=plot)
ups = [
heiken.signal(-i if i > 0 else i) == 1.0
for i in range(0, params[0])
]
downs = [
heiken.signal(-i if i > 0 else i) == -1.0
for i in range(0, params[0])
]
exit = bt.Or(bt.All(*ups), bt.All(*downs)) * heiken.signal
return exit
elif ind == 'ssl':
ssl = SSLChannel(self.data, period=params[0], plot=plot)
exit = bt.Cmp(ssl.sslu, ssl.ssld)
return exit
elif ind == 'itrend':
itrend = iTrend(self.data, period=params[0], plot=plot)
exit = bt.Cmp(itrend.trigger, itrend.itrend)
return exit
elif ind == 'mama':
mama = MAMA(self.data, fast=params[0], slow=params[1], plot=plot)
exit = bt.Cmp(mama.MAMA, mama.FAMA)
return exit
elif ind == 'dosc':
dosc = DecyclerOscillator(self.data,
hp_period=params[0],
plot=plot)
exit = bt.Cmp(dosc.osc, 0.0)
return exit
def __init__(self):
# Let the indicator get enough data
self.addminperiod(self.p.period)
# Plot horizontal Line
self.plotinfo.plotyhlines = [0]
# Aliases to avoid long lines
c = self.data.close
h = self.data.high
l = self.data.low
v = self.data.volume
self.data.ad = bt.If(bt.Or(bt.And(c == h, c == l), h == l), 0, ((2 * c - l - h) / (h - l)) * v)
self.lines.money_flow = bt.indicators.SumN(self.data.ad, period=self.p.period) / bt.indicators.SumN(
self.data.volume, period=self.p.period)