def onBars(self, bars):
if bars.getBar(self.__lead):
if cross.cross_above(self.__adjClose, self.__slowSMA) == 1 and self.__pos is None:
shares = self.__calculatePosSize()
if shares:
self.__pos = self.enterLong(self.__lag, shares)
elif cross.cross_below(self.__adjClose, self.__fastSMA) == 1 and self.__pos is not None:
self.__pos.exitMarket()
def onBars(self, bars):
if bars.getBar(self.__lead):
if cross.cross_above(self.__adjClose,
self.__slowSMA) == 1 and self.__pos is None:
shares = self.__calculatePosSize()
if shares:
self.__pos = self.enterLong(self.__lag, shares)
elif cross.cross_below(
self.__adjClose,
self.__fastSMA) == 1 and self.__pos is not None:
self.__pos.exitMarket()
def testCrossBelowMany(self):
count = 100
values1 = [0 for i in range(count)]
values2 = [-1 if i % 2 == 0 else 1 for i in range(count)]
# Check first value
self.assertEqual(cross.cross_below(values1, values2, 0, 0), 0)
# Check every 2 values.
period = 2
for i in range(1, count):
if i % 2 == 0:
self.assertEqual(
cross.cross_below(values1, values2, i - period + 1, i + 1),
0)
else:
self.assertEqual(
cross.cross_below(values1, values2, i - period + 1, i + 1),
1)
# Check every 4 values.
period = 4
for i in range(3, count):
if i % 2 == 0:
self.assertEqual(
cross.cross_below(values1, values2, i - period + 1, i + 1),
1)
else:
self.assertEqual(
cross.cross_below(values1, values2, i - period + 1, i + 1),
2)
# Check for all values.
self.assertEqual(cross.cross_below(values1, values2, 0, count),
count / 2)
def testCrossBelowMany(self):
count = 100
values1 = [0 for i in range(count)]
values2 = [-1 if i % 2 == 0 else 1 for i in range(count)]
# Check first value
self.assertEqual(cross.cross_below(values1, values2, 0, 0), 0)
# Check every 2 values.
period = 2
for i in range(1, count):
if i % 2 == 0:
self.assertEqual(cross.cross_below(values1, values2, i - period + 1, i + 1), 0)
else:
self.assertEqual(cross.cross_below(values1, values2, i - period + 1, i + 1), 1)
# Check every 4 values.
period = 4
for i in range(3, count):
if i % 2 == 0:
self.assertEqual(cross.cross_below(values1, values2, i - period + 1, i + 1), 1)
else:
self.assertEqual(cross.cross_below(values1, values2, i - period + 1, i + 1), 2)
# Check for all values.
self.assertEqual(cross.cross_below(values1, values2, 0, count), count / 2)
def onBars(self, bars):
# If a position was not opened, check if we should enter a long position.
if self.__ma2[-1]is None:
return
if self.__position is not None:
if not self.__position.exitActive() and cross.cross_below(self.__ma1, self.__ma2) > 0:
self.__position.exitMarket()
#self.info("sell %s" % (bars.getDateTime()))
if self.__position is None:
if self.buyCon1() and self.buyCon2():
shares = int(self.getBroker().getCash() * 0.2 / bars[self.__instrument].getPrice())
self.__position = self.enterLong(self.__instrument, shares)
print bars[self.__instrument].getDateTime(), bars[self.__instrument].getPrice()
def onBars(self, bars):
# If a position was not opened, check if we should enter a long position.
if self.__ma2[-1]is None:
return
if self.__position is not None:
if not self.__position.exitActive() and cross.cross_below(self.__ma1, self.__ma2) > 0:
self.__position.exitMarket()
#self.info("sell %s" % (bars.getDateTime()))
if self.__position is None:
if self.buyCon1() and self.buyCon2():
shares = int(self.getBroker().getCash() * 0.2 / bars[self.__instrument].getPrice())
self.__position = self.enterLong(self.__instrument, shares)
print bars[self.__instrument].getDateTime(), bars[self.__instrument].getPrice()
def onBars(self, bars):
bar = bars.getBar("orcl")
self.printDebug("%s: O=%s H=%s L=%s C=%s" %
(bar.getDateTime(), bar.getOpen(), bar.getHigh(),
bar.getLow(), bar.getClose()))
if cross.cross_above(self.__fastSMADS, self.__slowSMADS) == 1:
if self.__shortPos:
self.exitShortPosition(bars, self.__shortPos)
assert (self.__longPos is None)
self.__longPos = self.enterLongPosition(bars)
elif cross.cross_below(self.__fastSMADS, self.__slowSMADS) == 1:
if self.__longPos:
self.exitLongPosition(bars, self.__longPos)
assert (self.__shortPos is None)
self.__shortPos = self.enterShortPosition(bars)
def testCrossBelowOnce(self):
values1 = self.__buildSeqDS([2, 2, 2, 2, 2, 2, 2])
values2 = self.__buildSeqDS([1, 1, 1, 10, 1, 1, 1])
# Check every 2 values.
self.assertEqual(cross.cross_below(values1, values2, 0, 2), 0)
self.assertEqual(cross.cross_below(values1, values2, 1, 3), 0)
self.assertEqual(cross.cross_below(values1, values2, 2, 4), 1)
self.assertEqual(cross.cross_below(values1, values2, 3, 5), 0)
self.assertEqual(cross.cross_below(values1, values2, 4, 6), 0)
self.assertEqual(cross.cross_below(values1, values2, 5, 7), 0)
# Check every 3 values.
self.assertEqual(cross.cross_below(values1, values2, 0, 3), 0)
self.assertEqual(cross.cross_below(values1, values2, 1, 4), 1)
self.assertEqual(cross.cross_below(values1, values2, 2, 5), 1)
self.assertEqual(cross.cross_below(values1, values2, 3, 6), 0)
self.assertEqual(cross.cross_below(values1, values2, 4, 7), 0)
# Check for all values.
self.assertEqual(cross.cross_below(values1, values2, 0, 7), 1)
self.assertEqual(cross.cross_below(values1, values2, 0, -1), 1)
def sellCon1(self):
if cross.cross_below(self.__ma1, self.__ma2) > 0:
return True
def sellCon1(self):
if cross.cross_below(self.__ma1, self.__ma2) > 0:
return True
def exitLongSignal(self) :
if cross.cross_below(self.__mass, self.__masl) > 0 and not self.__longPos.exitActive():
return True
def enterShortSignal(self) :
if cross.cross_below(self.__mals, self.__mall) > 0:
return True
def onBars(self, bars):
# If a position was not opened, check if we should enter a long position.
bar = bars[self.__instrument]
# filter datetime
###################################################################################
filterCon = len(self.__close) < max(self.__bollingerlength, self.__malength, self.__closelength)
self.__filterCon.append(filterCon)
if filterCon:
return
# record position
####################################################################################
if self.__longPos is not None and self.__shortPos is None:
self.__p.append(1)
elif self.__longPos is None and self.__shortPos is not None:
self.__p.append(-1)
else:
self.__p.append(0)
# calculate ccMA
####################################################################################
ccMACon1 = self.__longPos is not None or self.__shortPos is not None
ccMACon2 = self.__malength > self.__ccMAlength
if ccMACon1 and ccMACon2:
self.__malength = self.__malength - 1
elif not ccMACon1:
self.__malength = 50
self.__ccMA = np.mean(self.__close[-self.__malength:])
# print self.__malength, self.__ccMA
self.__MA.append(self.__ccMA)
self.__ccMACon1.append(ccMACon1)
self.__ccMACon2.append(ccMACon2)
#open and close condition
######################################################################################
self.__enterLong1 = (cross.cross_above(self.__high, self.__UpperBand) > 0)
self.__enterLong2 = (bar.getClose() >= max(self.__close[-self.__closelength:]))
self.__enter = ((self.__UpperBand[-1] - self.__LowerBand[-1]) / bar.getClose() > float(self.__space) / 1000)
# print (self.__UpperBand[-1] - self.__LowerBand[-1]) / bar.getClose()
self.__enterShort1 = cross.cross_below(self.__low, self.__LowerBand) > 0
self.__enterShort2 = bar.getClose() <= min(self.__close[-self.__closelength:])
self.__exitLong1 = (bar.getClose() < self.__ccMA)
self.__exitLong2 = (self.__ccMA < self.__UpperBand[-1])
self.__exitShort1 = (bar.getClose() > self.__ccMA)
self.__exitShort2 = (self.__ccMA > self.__LowerBand[-1])
self.__enterCon.append(self.__enter)
self.__enterLongCon1.append(self.__enterLong1)
self.__enterLongCon2.append(self.__enterLong2)
self.__enterShortCon1.append(self.__enterShort1)
self.__enterShortCon2.append(self.__enterShort2)
self.__exitLongCon1.append(self.__exitLong1)
self.__exitLongCon2.append(self.__exitLong2)
self.__exitShortCon1.append(self.__exitShort1)
self.__exitShortCon2.append(self.__exitShort2)
#open and close
#######################################################################################
if self.__longPos is not None:
if self.exitLongSignal():
self.__longPos.exitMarket()
# if self.__shortPos is not None:
# print 11
# self.info("intend long close")
# print (self.__UpperBand[-1] - self.__LowerBand[-1]) / bar.getClose()
elif self.__shortPos is not None:
if self.exitShortSignal():
self.__shortPos.exitMarket()
# self.info("intend short close")
# print (self.__UpperBand[-1] - self.__LowerBand[-1]) / bar.getClose()
else:
if self.enterLongSignal():
shares = int(self.getBroker().getCash() * 0.2 / bars[self.__instrument].getPrice())
self.__longPos = self.enterLong(self.__instrument, shares)
# self.info("intend long open")
# print (self.__UpperBand[-1] - self.__LowerBand[-1]) / bar.getClose()
elif self.enterShortSignal():
shares = int(self.getBroker().getCash() * 0.2 / bars[self.__instrument].getPrice())
self.__shortPos = self.enterShort(self.__instrument, shares)
def testCrossBelowOnce(self):
values1 = self.__buildSeqDS([2, 2, 2, 2, 2, 2, 2])
values2 = self.__buildSeqDS([1, 1, 1, 10, 1, 1, 1])
# Check every 2 values.
self.assertEqual(cross.cross_below(values1, values2, 0, 2), 0)
self.assertEqual(cross.cross_below(values1, values2, 1, 3), 0)
self.assertEqual(cross.cross_below(values1, values2, 2, 4), 1)
self.assertEqual(cross.cross_below(values1, values2, 3, 5), 0)
self.assertEqual(cross.cross_below(values1, values2, 4, 6), 0)
self.assertEqual(cross.cross_below(values1, values2, 5, 7), 0)
# Check every 3 values.
self.assertEqual(cross.cross_below(values1, values2, 0, 3), 0)
self.assertEqual(cross.cross_below(values1, values2, 1, 4), 1)
self.assertEqual(cross.cross_below(values1, values2, 2, 5), 1)
self.assertEqual(cross.cross_below(values1, values2, 3, 6), 0)
self.assertEqual(cross.cross_below(values1, values2, 4, 7), 0)
# Check for all values.
self.assertEqual(cross.cross_below(values1, values2, 0, 7), 1)
self.assertEqual(cross.cross_below(values1, values2, 0, -1), 1)
