def __init__(self, feed, instrument, n): strategy.BacktestingStrategy.__init__(self, feed) self.__instrument = instrument self.getBroker().setFillStrategy(DefaultStrategy(None)) self.getBroker().setCommission(TradePercentage(0.001)) self.__apDataSeries = feed['orcl'].getApDataSeries() self.__sma = ma.SMA(self.__apDataSeries, n) self.__position = None
def __init__(self, feed, instrument, bBandsPeriod): strategy.BacktestingStrategy.__init__(self, feed) self.__instrument = instrument self.getBroker().setFillStrategy(DefaultStrategy(None)) self.getBroker().setCommission(TradePercentage(0.0002)) self.__position = None self.setUseAdjustedValues(False) self.__bbands = bollinger.BollingerBands(feed[instrument].getCloseDataSeries(), bBandsPeriod, 2)
def __init__(self, feed, instrument, n, m): strategy.BacktestingStrategy.__init__(self, feed) self.__instrument = instrument self.getBroker().setFillStrategy(DefaultStrategy(None)) self.getBroker().setCommission(TradePercentage(0.001)) self.__position = None self.__prices = feed[instrument].getPriceDataSeries() self.__malength1 = int(n) self.__malength2 = int(m)
def __init__(self, feed, instrument, n, initialCash=1000000): strategy.BacktestingStrategy.__init__(self, feed, initialCash) self.__instrument = instrument self.getBroker().setFillStrategy(DefaultStrategy(None)) self.getBroker().setCommission(TradePercentage(0.001)) self.__position = None self.__prices = feed[instrument].getPriceDataSeries() self.__malength = int(n) self.__ma = ma.SMA(self.__prices, self.__malength) self.__pos = SequenceDataSeries() # record signal
def __init__(self, feed, instrument, mall, mals, masl, mass): strategy.BacktestingStrategy.__init__(self, feed) self.getBroker().setFillStrategy(DefaultStrategy(None)) self.getBroker().setCommission(TradePercentage(0.001)) self.__instrument = instrument self.__close = feed[instrument].getCloseDataSeries() self.__longPos = None self.__shortPos = None self.__mall = ma.SMA(self.__close, int(mall)) self.__mals = ma.SMA(self.__close, int(mals)) self.__masl = ma.SMA(self.__close, int(masl)) self.__mass = ma.SMA(self.__close, int(mass)) self.__position = SequenceDataSeries()
def __init__(self, feed, instrument, bollingerlength, numStdDev, closelength, ccMAlength, malength, space): strategy.BacktestingStrategy.__init__(self, feed) self.getBroker().setFillStrategy(DefaultStrategy(None)) self.getBroker().setCommission(TradePercentage(0.002)) self.__instrument = instrument self.__bollingerlength = int(bollingerlength) numStdDev = float(numStdDev) / 10 self.__closelength = int(closelength) self.__ccMAlength = int(ccMAlength) self.__malength = int(malength) self.__longPos = None self.__shortPos = None self.__close = feed[instrument].getCloseDataSeries() self.__open = feed[instrument].getOpenDataSeries() self.__high = feed[instrument].getHighDataSeries() self.__low = feed[instrument].getLowDataSeries() self.__datetime = feed[instrument].getDateTimes() self.__bollinger = bollinger.BollingerBands(self.__close, self.__bollingerlength, int(numStdDev)) self.__UpperBand = self.__bollinger.getUpperBand() self.__LowerBand = self.__bollinger.getLowerBand() self.__MA = SequenceDataSeries() self.__space = int(space) self.__enter = 0 self.__enterLong1 = 0 self.__enterLong2 = 0 self.__enterShort1 = 0 self.__enterShort2 = 0 self.__exitLong1 = 0 self.__exitLong2 = 0 self.__exitShort1 = 0 self.__exitShort1 = 0 #for test ######################################################################### self.__p = SequenceDataSeries() self.__filterCon = SequenceDataSeries() self.__ccMACon1 = SequenceDataSeries() self.__ccMACon2 = SequenceDataSeries() self.__enterCon = SequenceDataSeries() self.__enterLongCon1 = SequenceDataSeries() self.__enterLongCon2 = SequenceDataSeries() self.__enterShortCon1 = SequenceDataSeries() self.__enterShortCon2 = SequenceDataSeries() self.__exitLongCon1 = SequenceDataSeries() self.__exitLongCon2 = SequenceDataSeries() self.__exitShortCon1 = SequenceDataSeries() self.__exitShortCon2 = SequenceDataSeries()
def __init__(self, feed, instrument, length, initialCash=1000000): strategy.BacktestingStrategy.__init__(self, feed, initialCash) self.__instrument = instrument self.getBroker().setFillStrategy(DefaultStrategy(None)) self.getBroker().setCommission(TradePercentage(0.001)) self.__position = None self.__prices = feed[instrument].getPriceDataSeries() self.__malength = int(length) self.__datetime = feed[instrument].getDateTimes() self.__open = feed[instrument].getOpenDataSeries() self.__high = feed[instrument].getHighDataSeries() self.__low = feed[instrument].getLowDataSeries() self.__close = feed[instrument].getCloseDataSeries()
def __init__(self, feed, instrument, short_l, mid_l, long_l, up_cum): strategy.BacktestingStrategy.__init__(self, feed) self.__instrument = instrument self.getBroker().setFillStrategy(DefaultStrategy(None)) self.getBroker().setCommission(TradePercentage(0.001)) self.__position = None self.__prices = feed[instrument].getPriceDataSeries() self.__malength1 = int(short_l) self.__malength2 = int(mid_l) self.__malength3 = int(long_l) self.__circ = int(up_cum) self.__ma1 = ma.SMA(self.__prices, self.__malength1) self.__ma2 = ma.SMA(self.__prices, self.__malength2) self.__ma3 = ma.SMA(self.__prices, self.__malength3)
def __init__(self, feed, instrument, fast, slow, signal, initialCash=1000000): strategy.BacktestingStrategy.__init__(self, feed, initialCash) self.__instrument = instrument self.getBroker().setFillStrategy(DefaultStrategy(None)) self.getBroker().setCommission(TradePercentage(0.001)) self.__position = None self.__prices = feed[instrument].getPriceDataSeries() self.__fast = int(fast) self.__slow = int(slow) self.__signal = int(signal)
def __init__(self, feed, instrument, short_l, mid_l, long_l, up_cum): strategy.BacktestingStrategy.__init__(self, feed) self.__instrument = instrument self.getBroker().setFillStrategy(DefaultStrategy(None)) self.getBroker().setCommission(TradePercentage(0.0002)) self.__position = None self.setUseAdjustedValues(False) self.__prices = feed[instrument].getPriceDataSeries() self.__malength1 = int(short_l) self.__malength2 = int(mid_l) self.__malength3 = int(long_l) self.__circ = int(up_cum) self.__ma1 = ma.SMA(self.__prices, self.__malength1) self.__ma2 = ma.SMA(self.__prices, self.__malength2) self.__ma3 = ma.SMA(self.__prices, self.__malength3) self.__datetime = feed[instrument].getDateTimes() self.__open = feed[instrument].getOpenDataSeries() self.__high = feed[instrument].getHighDataSeries() self.__low = feed[instrument].getLowDataSeries() self.__close = feed[instrument].getCloseDataSeries()
def __init__(self, feed, instrument,up_cum,cash_or_brk=10000): strategy.BacktestingStrategy.__init__(self, feed) self.__instrument = instrument self.getBroker().setFillStrategy(DefaultStrategy(None)) self.getBroker().setCommission(TradePercentage(0.001)) self.__position = None self.__prices = feed[instrument].getPriceDataSeries() self.__circ = int(up_cum) #self.bardata = feed[instrument] #self.N = atr.ATR(self.bardata, up_cum) self.N = atr.ATR(self.getFeed()[self.__instrument], up_cum) self.U = 0 # 总资金100w self.U = acount/(50*atr) 2%最大回撤+10倍杠杆 atr day:100 10min:20 1min:5 5w本金 day :1 10min:5 1min:20 #单个市场上 最多建立4个U self.buyPrice = [] self.shortPrice = [] self.max20 = 0 self.min10 = 0 self.max10 = 0 self.min20 = 0 self.buyPrice0 = 0 self.shortPrice0 = 0 self.lastPrice0 = 0 self.lastPrice1 =0
def __init__(self, feed, instrument, bBandsPeriod, dl): strategy.BacktestingStrategy.__init__(self, feed) self.__instrument = instrument self.getBroker().setFillStrategy(DefaultStrategy(None)) self.getBroker().setCommission(TradePercentage(0.0002)) self.__position = None self.bBandsPeriod = bBandsPeriod # self.setUseAdjustedValues(False) self.close = feed[instrument].getCloseDataSeries() self.open = feed[instrument].getOpenDataSeries() self.high = feed[instrument].getHighDataSeries() self.low = feed[instrument].getLowDataSeries() self.datetime = feed[instrument].getDateTimes() self.volume = feed[instrument].getVolumeDataSeries() self.feed = feed.get_dataFrame() # self.__bollinger = bollinger.BollingerBands(self.__close, self.bBandsPeriod,2) # self.__UpperBand = self.__bollinger.getUpperBand() # self.__LowerBand = self.__bollinger.getLowerBand() # self.feed = feed[instrument].getCloseDataSeries() # self.bar = feed[instrument].getClose() self.dl = dl self.op = [] # self.ra = [] self.ral = [] self.rah = [] self.boll = [] self.macd = [] self.rsi = [] self.kdj = [] self.rsi = [] self.ma = [] self.adj = [] # self.adjh = [] self.bdj = [] # self.bdjh = [] self.statusl = [] self.statush = []