class MomoAfternoonBreakoutDailyTrigger(DailyTrigger): def __init__(self, settings): DailyTrigger.__init__(self, settings) self.minprice = settings.getfloat("Strategy", "minprice") self.minvolume = settings.getint("Strategy", "minvolume") self.minmove = settings.getfloat("Strategy", "minmove") smatrend = settings.get("Strategy", "dailysmatrendfilter") if smatrend == "None": self.dailysmatrendfilter = None else: self.dailysmatrendfilter = int(smatrend) self.volume = Volume() self.avgvol = SimpleMovingAverage(self.volume, 21) self.close = Close() if self.dailysmatrendfilter is not None: self.ma = SimpleMovingAverage(period=self.dailysmatrendfilter) else: self.ma = None def ready(self): return (self.ma is None or self.ma.ready()) and self.avgvol.ready() and self.close.ready() def check(self): if self.ready() and self.lastpd is not None: # todo would be a lot faster if I could implement a peek at today to check the move is big enough if self.close.value() >= self.minprice \ and (self.ma is None or self.close.value() > self.ma.value()) \ and self.avgvol.value() >= self.minvolume \ and ((self.peekpd.high - self.peekpd.open) / self.peekpd.open) >= self.minmove: return True return False def handle(self, perioddata): if self.ma is not None: self.ma.handle(perioddata) self.volume.handle(perioddata) self.avgvol.handle(perioddata) self.close.handle(perioddata) self.lastpd = perioddata def recommendedPreload(self): mapreload = 0 if self.ma is not None: mapreload = self.ma.recommendedPreload() return max(mapreload, self.avgvol.recommendedPreload())
class BollingerBreakoutEntryManager(NoScaleInEntryManager): def __init__(self, settings=None, name=None): NoScaleInEntryManager.__init__(self, settings, name) self.min_price = self._getfloatsetting("BollingerBreakoutEntryManager", "minPrice") self.min_vol = self._getintsetting("BollingerBreakoutEntryManager", "minVolume") bb_period = self._getintsetting("BollingerBreakoutEntryManager", "bbPeriod") bb_stdevs = self._getfloatsetting("BollingerBreakoutEntryManager", "bbStdevs") self.do_long = self._getboolsetting("BollingerBreakoutEntryManager", "doLong") self.do_short = self._getboolsetting("BollingerBreakoutEntryManager", "doShort") sma_period = self._getintsetting("BollingerBreakoutEntryManager", "smaPeriod") if sma_period is not None: self.sma = SimpleMovingAverage(period=sma_period) else: self.sma = None self.raw_close = Close() self.close = AdjustedClose() self.vol = AverageVolume() self.bb = BollingerBands(metric=self.close, period=bb_period, stdev=bb_stdevs) self._addMetrics(self.sma, self.raw_close, self.close, self.vol, self.bb) def _checkTradeNoScale(self): trade = None if self.raw_close.value() >= self.min_price and self.vol.value() >= self.min_vol \ and self.close.value() > self.bb.upperBand() and self.do_long \ and (self.sma is None or self.close.value() > self.sma.value()): entry_price = self.close.value() stop = 0 trade = Trade(stock=self.periodData.stock, entry=self.periodData.date, entryPrice=entry_price, stop=stop) if self.raw_close.value() >= self.min_price and self.vol.value() >= self.min_vol \ and self.close.value() < self.bb.upperBand() and self.do_short \ and (self.sma is None or self.close.value() < self.sma.value()): entry_price = self.close.value() stop = entry_price * 10 trade = Trade(stock=self.periodData.stock, entry=self.periodData.date, entryPrice=entry_price, stop=stop) return trade
class JBMarwoodSupernovaShortEntryManager(NoScaleInEntryManager): def __init__(self, settings, name=None): NoScaleInEntryManager.__init__(self, settings, name) self.minPrice = settings.getfloat("JBMarwoodSupernovaShortEntry", "minPrice") self.maxPrice = settings.getfloat("JBMarwoodSupernovaShortEntry", "maxPrice") self.minVol = settings.getint("JBMarwoodSupernovaShortEntry", "minVol") self.minPctChange = settings.getfloat("JBMarwoodSupernovaShortEntry", "minPctChange") self.numdays = settings.getint("JBMarwoodSupernovaShortEntry", "numBars") self.onOpen = settings.getboolean("JBMarwoodSupernovaShortEntry", "enterNextOpen") self.onDownClose = settings.getboolean("JBMarwoodSupernovaShortEntry", "enterNextDayDownClose") targetstr = settings.get("JBMarwoodSupernovaShortEntry", "target") if targetstr == "None": self.target = None else: self.target = float(targetstr) self.stopPercent = settings.getfloat("JBMarwoodSupernovaShortEntry", "stopPercent") self.setupYesterday = True self.rawclose = Close() self.close = AdjustedClose() self.oldClose = HistoricMetric(self.close, period=self.numdays) self.change = Subtract(self.close, self.oldClose) self.pctChange = Divide(self.change, self.oldClose) self.volume = Volume() self._addMetric(self.rawclose) self._addMetric(self.close) self._addMetric(self.oldClose) self._addMetric(self.change) self._addMetric(self.pctChange) self._addMetric(self.volume) def _checkTradeNoScale(self): trade = None if self.setupYesterday: if self.onOpen: entry = self.periodData.adjustedOpen stop = entry * (1 + self.stopPercent) if entry != stop: trade = Trade(self.periodData.stock, self.periodData.date, entry, stop) if self.target != None: target = self.close.value() * (1.0 - self.target) trade.target = target elif self.onDownClose and self.periodData.adjustedClose < self.periodData.adjustedOpen: stop = self.periodData.adjustedHigh + 0.01 # stop = self.close.value()*(1+self.stopPercent) if stop != self.close.value(): trade = Trade(self.periodData.stock, self.periodData.date, self.close.value(), stop) if self.target != None: target = self.close.value() * (1.0 - self.target) trade.target = target if ( self.pctChange.ready() and self.rawclose.value() >= self.minPrice and self.rawclose.value() <= self.maxPrice and self.volume.value() >= self.minVol and self.pctChange.value() >= self.minPctChange ): if not self.onDownClose and not self.onOpen: # enter immediately stop = self.close.value() * (1 + self.stopPercent) if stop != self.close.value(): trade = Trade(self.periodData.stock, self.periodData.date, self.close.value(), stop) if self.target != None: target = self.close.value() * (1.0 - self.target) trade.target = target self.setupYesterday = True else: self.setupYesterday = False if trade is not None and (trade.entryPrice == 0 or trade.entryPrice == trade.stop): return None return trade