def process1(self, timestamp, last_timestamp, candles, prices, volumes):
signal = None
# volume sma, increase signal strength when volume increase over its SMA
# volume_sma = utils.MM_n(self.depth-1, self.volume.volumes)
#
# signals analysis
#
rsi_30_70 = 0 # -1 30, 1 70
rsi_40_60 = 0 # 1 if RSI in 40-60
volume_signal = 0
ema_sma_cross = 0
ema_sma_height = 0
if self.rsi:
self.rsi.compute(last_timestamp, prices)
if self.rsi.last < self.rsi_low:
rsi_30_70 = 1.0
elif self.rsi.last > self.rsi_high:
rsi_30_70 = -1.0
if self.rsi.last > 0.4 and self.rsi.last < 0.6:
rsi_40_60 = 1
# if self.volume.last > volume_sma[-1]:
# volume_signal = 1
# elif self.volume.last < volume_sma[-1]:
# volume_signal = -1
if self.sma and self.ema:
self.sma.compute(last_timestamp, prices)
self.ema.compute(last_timestamp, prices)
# ema over sma crossing
ema_sma_cross = utils.cross((self.ema.prev, self.sma.prev), (self.ema.last, self.sma.last))
if self.ema.last > self.sma.last:
ema_sma_height = 1
elif self.ema.last < self.sma.last:
ema_sma_height = -1
if ema_sma_cross > 0 and rsi_30_70 > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = candles[-1].close
elif ema_sma_cross < 0 and rsi_30_70 < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = candles[-1].close
if self.pivotpoint:
self.pivotpoint.compute(last_timestamp, self.price.open, self.price.high, self.price.low, self.price.close)
return signal
def is_cross_last(self, with_score):
if len(self._scores < 2):
return False
return utils.cross((self._scores[-2], with_score._scores[-2]),
self._scores[-1], with_score._scores[-1]) != 0
def process3(self, timestamp, last_timestamp, candles, prices, volumes):
signal = None
# volume sma, increase signal strength when volume increase over its SMA
# volume_sma = utils.MM_n(self.depth-1, self.volume.volumes)
rsi_30_70 = 0 # 1 <30, -1 >70
rsi_40_60 = 0 # 1 if RSI in 40-60
rsi_trend = 0
stochrsi_20_80 = 0 # 1 <20, -1 >80
stochrsi_40_60 = 0 # 1 if stochRSI in 40-60
volume_signal = 0
ema_sma_cross = 0
ema_sma_height = 0
if self.rsi:
self.rsi.compute(last_timestamp, prices)
if self.rsi.last < self.rsi_low:
rsi_30_70 = 1.0
elif self.rsi.last > self.rsi_high:
rsi_30_70 = -1.0
if self.rsi.last > 0.4 and self.rsi.last < 0.6:
rsi_40_60 = 1
rsi_trend = utils.trend_extremum(self.rsi.rsis)
if self.stochrsi:
self.stochrsi.compute(last_timestamp, prices)
if self.stochrsi.last_k < 0.2:
stochrsi_20_80 = 1.0
elif self.stochrsi.last_k > 0.8:
stochrsi_20_80 = -1.0
if self.stochrsi.last_k > 0.4 and self.stochrsi.last_k < 0.6:
stochrsi_40_60 = 1
# if self.volume.last > volume_sma[-1]:
# volume_signal = 1
# elif self.volume.last < volume_sma[-1]:
# volume_signal = -1
if self.sma and self.ema:
self.sma.compute(last_timestamp, prices)
self.ema.compute(last_timestamp, prices)
# ema over sma crossing
ema_sma_cross = utils.cross((self.ema.prev, self.sma.prev),
(self.ema.last, self.sma.last))
if self.ema.last > self.sma.last:
ema_sma_height = 1
elif self.ema.last < self.sma.last:
ema_sma_height = -1
if self.bollingerbands:
self.bollingerbands.compute(last_timestamp, prices)
bb_break = 0
bb_ma = 0
if prices[-1] > self.bollingerbands.last_top:
bb_break = 1
elif prices[-1] < self.bollingerbands.last_bottom:
bb_break = -1
if prices[-1] > self.bollingerbands.last_ma:
bb_ma = -1
elif prices[-1] > self.bollingerbands.last_ma:
bb_ma = 1
if self.atr:
self.atr.compute(last_timestamp, self.price.high, self.price.low,
self.price.close)
level1_signal = 0
if self.ema.last < self.sma.last:
# bear trend
if self.rsi.last > 0.5: # initial: 0.5
level1_signal = -1
elif self.rsi.last < 0.2: # initial: 0.2
level1_signal = 1
else:
# bull trend
if self.rsi.last > 0.8: # initial: 0.8
level1_signal = -1
elif self.rsi.last < 0.6: # initial: 0.6
level1_signal = 1
if self.tomdemark:
self.tomdemark.compute(last_timestamp, self.price.timestamp,
self.price.high, self.price.low,
self.price.close)
#
# setup entry
#
# long entry on sell-setup + rsi oversell
if (self.tomdemark.c.c == 2 and self.tomdemark.c.d < 0
and self.price.close[-1] > self.price.close[-2]) or (
self.tomdemark.c.c == 3): # avec td3
# if (td.c == 1 and td.d < 0 and candles[-1].close > candles[-2].close):
# if (td.c == 2 and td.d < 0 and candles[-1].close > candles[-2].close):
# if ((td.c == 2 or td.c == 3) and td.d < 0 and candles[-1].close > candles[-2].close):
# if ((td.c == 2 or td.c == 3) and td.d < 0) and candles[-1].close > candles[-2].close:
# if bb_break == 0:
# if (bb_break == 0 and bb_ma < 0): # test with aggressive + bb
# if (stochrsi_20_80 > 0 or rsi_30_70 > 0):
# if (ema_sma_height > 0 or rsi_30_70 > 0) and bb_break >= 0:
# if (bb_break == 0 and bb_ma < 0) and (stochrsi_20_80 > 0 or rsi_30_70 > 0): # used with average case but not with aggressive
# if (bb_break == 0 and bb_ma < 0) and (ema_sma_height > 0 or rsi_30_70 > 0): # and volume_signal > 0:
# if (stochrsi_20_80 > 0 or rsi_30_70 > 0): # la classique mais prend des risk, a voir avec un bon SL peut-être
# if (rsi_trend > 0) and (ema_sma_height > 0 or rsi_30_70 > 0): # protege de perte mais rate des gains
# if (ema_sma_height > 0 or rsi_30_70 > 0): # and volume_signal > 0: # C4
# if ema_sma_height > 0: # C5
# if ema_sma_height > 0 and bb_break >= 0 and rsi_trend > 0: # C6
# if ema_sma_height > 0 and bb_break >= 0 and stochrsi_20_80 > 0:
# if 1: # C1
# if rsi_trend > 0 and bb_break > 0: # pas mal evite des entrees foireuses mais pas assez de profits
if level1_signal > 0:
# if (stochrsi_20_80 > 0 or rsi_30_70 > 0): # la classique mais prend des risk, il faut un bon stop-loss
# if rsi_trend and (stochrsi_20_80 > 0 or rsi_30_70 > 0):
# if (stochrsi_20_80 > 0 and rsi_30_70 > 0):
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = self.price.close[-1]
if self.tomdemark.c.tdst:
signal.sl = self.tomdemark.c.tdst
# aggressive entry
if self.tomdemark.c.c == 9 and self.tomdemark.c.d > 0:
# if ((self.tomdemark.c.c == 9 or (self.tomdemark.c.c == 8 and self.tomdemark.c.p)) and self.tomdemark.c.d > 0):
# if stochrsi_20_80 > 0 and rsi_30_70 > 0 and candles[-1].close > candles[-2].close: # C1 -
# if 1: # C4 +++
# if stochrsi_20_80 > 0 and candles[-1].close > candles[-2].close: # C3 ++
# if rsi_30_70 > 0 and candles[-1].close > candles[-2].close: # C5 ??
# if ema_sma_height > 0 and bb_break >= 0 and rsi_trend > 0: # C6 ??
# if ema_sma_height > 0 and bb_break >= 0 and stochrsi_20_80 > 0: # C7 ??
# if (ema_sma_height > 0 or rsi_30_70 > 0): # C2 +
# if 1:
# if stochrsi_20_80 > 0 and candles[-1].close > candles[-2].close: # C3 ++
# if (stochrsi_20_80 > 0 or rsi_30_70 > 0): # C8 ??
if level1_signal > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = self.price.close[-1]
#
# invalidation 2 of opposite setup
#
# @todo or if a >= 3 <= 7 close below the previous candle close
# can make loss in bull run
# second condition might be optimized
elif (self.tomdemark.c.c == 2 and self.tomdemark.c.d > 0
and self.price.close[-1] < self.price.close[-2]) or (
self.tomdemark.c.c == 3 and self.tomdemark.c.d > 0):
# elif td.c == 3 and td.d > 0: # and self.price.close < self.price.close:
# long cancelation on buy-setup formation
# if ema_sma_height < 0 or rsi_40_60 > 0: # (excess of volume and ema under sma)
# if stochrsi_20_80 < 0: # and volume_signal > 0:
# if bb_break < 0:
# if (rsi_trend < 0): # C2
# if ema_sma_height < 0: # and volume_signal > 0:
if 1: # C1 +
# if level1_signal < 0:
# if (bb_break == 0 and bb_ma < 0): # C3 ++
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT # CANCEL
signal.dir = 1
signal.p = self.price.close[-1]
#
# setup completed
#
elif (((self.tomdemark.c.c >= 8 and self.tomdemark.c.p) or
(self.tomdemark.c.c == 9)) and self.tomdemark.c.d <
0): # and self.price.close[-1] > self.price.close[-2]:
# if 1: # stochrsi_20_80 > 1:
if 1: # if level1_signal < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
#
# setup aborted
#
elif ((self.tomdemark.c.c >= 2 and self.tomdemark.c.c <= 7)
and self.tomdemark.c.d < 0
) and self.price.close[-1] < self.price.close[-2]: # C1
# if stochrsi_20_80 < 0 or rsi_30_70 < 0: # bearish stoch OR rsi # C1
# if stochrsi_20_80 < 0 and rsi_30_70 < 0: # bearish stoch AND rsi (seems better) # C2
if 1: # level1_signal < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
#
# CD entry
#
if self.tomdemark.cd.c >= 1 and self.tomdemark.cd.c <= 3:
# count-down buy-setup + rsi oversell
if self.tomdemark.cd.d < 0: # and self.price.close[-1] > self.price.high[-2]:
# if rsi_30_70 > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = self.price.close[-1]
signal.sl = self.tomdemark.c.tdst
#
# CD13 setup
#
elif self.tomdemark.cd.c == 13:
# count-down sell-setup completed
if self.tomdemark.cd.d < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.p = self.price.close[-1]
signal.dir = 1
return signal
def process1(self, timestamp, last_timestamp, candles, prices, volumes):
signal = None
# volume sma, increase signal strength when volume increase over its SMA
# volume_sma = utils.MM_n(self.depth-1, self.volume.volumes)
#
# signals analysis
#
rsi_30_70 = 0 # -1 30, 1 70
rsi_40_60 = 0 # 1 if RSI in 40-60
volume_signal = 0
ema_sma_cross = 0
ema_sma_height = 0
if self.rsi:
self.rsi.compute(last_timestamp, prices)
if self.rsi.last < self.rsi_low:
rsi_30_70 = 1.0
elif self.rsi.last > self.rsi_high:
rsi_30_70 = -1.0
if self.rsi.last > 0.4 and self.rsi.last < 0.6:
rsi_40_60 = 1
# if self.volume.last > volume_sma[-1]:
# volume_signal = 1
# elif self.volume.last < volume_sma[-1]:
# volume_signal = -1
if self.sma200:
self.sma200.compute(last_timestamp, prices)
if self.sma55:
self.sma55.compute(last_timestamp, prices)
if self.sma and self.ema:
self.sma.compute(last_timestamp, prices)
self.ema.compute(last_timestamp, prices)
# ema over sma crossing
ema_sma_cross = utils.cross((self.ema.prev, self.sma.prev),
(self.ema.last, self.sma.last))
if self.ema.last > self.sma.last:
ema_sma_height = 1
elif self.ema.last < self.sma.last:
ema_sma_height = -1
bb_way = 0
if self.bollingerbands:
self.bollingerbands.compute(last_timestamp, prices)
if self.bollingerbands.last_ma < prices[
-1] < self.bollingerbands.last_top:
bb_way = -1
# if ema_sma_cross > 0 and rsi_30_70 > 0:
# self.trend = 1
# elif ema_sma_cross < 0 and rsi_30_70 < 0:
# signal = StrategySignal(self.tf, timestamp)
# signal.signal = StrategySignal.SIGNAL_EXIT
# signal.dir = 1
# signal.p = candles[-1].close
# self.trend = -1
# else:
# self.trend = 0
level1_signal = 0
if self.ema.last < self.sma.last:
# bear trend
if self.rsi.last > 0.5: # initial: 0.5
level1_signal = -1
elif self.rsi.last < 0.2: # initial: 0.2
level1_signal = 1
else:
# bull trend
if self.rsi.last > 0.8: # initial: 0.8
level1_signal = -1
elif self.rsi.last < 0.6: # initial: 0.6
level1_signal = 1
if level1_signal < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = candles[-1].close
self.trend = -1
elif level1_signal > 0:
self.trend = 1
else:
self.trend = 0
self.can_long = self.trend >= 0
if self.pivotpoint:
self.pivotpoint.compute(last_timestamp, self.price.open,
self.price.high, self.price.low,
self.price.close)
if self.atr:
self.atr.compute(last_timestamp, self.price.high, self.price.low,
self.price.close)
return signal