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):
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 __init__(self):
movav = self.p.movav(self.data, period=self.p.period)
self.l.overunder = bt.Cmp(movav, self.data)
def volume_indicator(self, ind, params, plot=True):
"""
Function that returns and binary volume 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 Volume Indicator
"""
# Check Inputs
self.check_input(ind, params)
# Create Logic Blocks
if ind == 'cvi':
chaikin = ChaikinVolatility(self.data,
ema_period=params[0],
roc_period=params[1],
plot=plot)
volume = chaikin.cvi > 0.0
return volume
elif ind == 'tdfi':
tdfi = TrendDirectionForceIndex(self.data,
period=params[0],
plot=plot)
volume1 = bt.If(tdfi.ntdf > params[1], 1.0, 0.0)
volume2 = bt.If(tdfi.ntdf < -params[1], -1.0, 0.0)
volume = volume1 + volume2
return volume
elif ind == 'wae':
wae = WaddahAttarExplosion(self.data,
sensitivity=params[0],
fast=params[1],
slow=params[2],
channel=params[3],
mult=params[4],
dead=params[5],
plot=plot)
# Buy Volume
buy = bt.All(wae.utrend > wae.exp, wae.utrend > wae.dead,
wae.exp > wae.dead)
sell = bt.All(wae.dtrend > wae.exp, wae.dtrend > wae.dead,
wae.exp > wae.dead)
volume = buy - sell
return volume
elif ind == 'squeeze':
sqz = SqueezeVolatility(self.data,
period=params[0],
mult=params[1],
period_kc=params[2],
mult_kc=params[3],
movav=params[4])
return sqz.sqz
elif ind == 'damiani':
dv = DamianiVolatmeter(self.data,
atr_fast=params[0],
std_fast=params[1],
atr_slow=params[2],
std_slow=params[3],
thresh=params[4],
lag_supress=params[5])
volume = bt.If(bt.Cmp(dv.v, dv.t) > 0, 1.0, 0.0)
return volume
def entry_indicator(self, ind, params, plot=True):
"""
Function that returns and binary entry 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 Entry Indicator
"""
# Check Inputs
self.check_input(ind, params)
# Create Logic Blocks for Each Indicator
if ind == 'itrend':
itrend = iTrend(self.data, period=params[0], plot=plot)
entry = bt.Cmp(itrend.trigger, itrend.itrend)
return entry
elif ind == 'cybercycle':
cc = CyberCycle(self.data, period=params[0], plot=plot)
entry = bt.Cmp(cc.trigger, cc.cycle)
return entry
elif ind == 'adaptivecybercycle':
acc = AdaptiveCyberCycle(self.data,
period=params[0],
lag=params[1],
plot=plot)
entry = bt.Cmp(acc.signal, acc.trigger)
return entry
elif ind == 'ssl':
ssl = SSLChannel(self.data, period=params[0], plot=plot)
entry = bt.Cmp(ssl.sslu, ssl.ssld)
return entry
elif ind == 'aroon':
aud = bt.indicators.AroonUpDown(self.data,
period=params[0],
plot=plot)
entry = bt.Cmp(aud.aroonup, aud.aroondown)
return entry
elif ind == 'ttf':
ttf = TrendTriggerFactor(self.data, period=params[0], plot=plot)
long = bt.indicators.CrossUp(ttf.ttf, -100.0, plot=plot)
short = bt.indicators.CrossDown(ttf.ttf, 100.0, plot=plot)
entry = long + -1 * short
return entry
elif ind == 'tdfi':
tdfi = TrendDirectionForceIndex(self.data,
period=params[0],
plot=plot)
e1 = bt.If(tdfi.ntdf > params[1], 1.0, 0.0)
e2 = bt.If(tdfi.ntdf < -params[1], -1.0, 0.0)
entry = e1 + e2
return entry
elif ind == 'cmf':
chaikin = ChaikinMoneyFlow(self.data, period=params[0], plot=plot)
entry = bt.Cmp(chaikin.money_flow, 0.0)
return entry
elif ind == 'ash':
ash = ASH(self.data,
period=params[0],
smoothing=params[1],
mode=params[2],
rsifactor=params[3],
movav=params[4],
smoothav=params[5],
pointsize=params[6])
entry = bt.Cmp(ash.bulls, ash.bears)
return entry
elif ind == 'roof':
roof = RoofingFilter(self.data,
hp_period=params[0],
ss_period=params[1],
smooth=params[2],
plot=plot)
entry = bt.Cmp(roof.iroof, 0.0)
return entry
elif ind == 'mama':
mama = MAMA(self.data, fast=params[0], slow=params[1], plot=plot)
entry = bt.Cmp(mama.MAMA, mama.FAMA)
return entry
elif ind == 'dosc':
dosc = DecyclerOscillator(self.data,
hp_period=params[0],
plot=plot)
entry = bt.Cmp(dosc.osc, 0.0)
return entry
elif ind == 'idosc':
idosc = iDecycler(self.data,
hp_period=params[0],
smooth=params[1],
plot=plot)
entry = bt.Cmp(idosc.idosc, 0.0)
return entry
elif ind == 'schaff':
schaff = SchaffTrendCycle(self.data,
fast=params[0],
slow=params[1],
cycle=params[2],
factor=params[3],
plot=plot)
buy = bt.indicators.CrossUp(schaff.schaff, 25.0, plot=plot)
sell = bt.indicators.CrossDown(schaff.schaff, 75.0, plot=plot)
binary = buy - sell
entry = SignalFiller(binary, plot=plot).signal
return entry