def checkTrade(self):
if self.close.ready() and self.lastClose.ready() \
and self.opn.ready() and self.volume.ready() \
and self.avgvol.ready():
if self.lastdd.close >= self.minPrice and self.avgvol.value() >= self.minAvgVol \
and self.lastClose.value() > 0 and self.opn.value() > 0 \
and ((self.opn.value()-self.lastClose.value())/self.lastClose.value()) >= self.minPercent \
and self.low.value() >= self.lastHigh.value() \
and (self.inBottomRange == None or ((self.lastdd.adjustedHigh != self.lastdd.adjustedLow) and (self.close.value()-self.lastdd.adjustedLow)/(self.lastdd.adjustedHigh-self.lastdd.adjustedLow)) <= self.inBottomRange) \
and (self.inTopRange == None or ((self.lastdd.adjustedHigh != self.lastdd.adjustedLow) and (self.close.value()-self.lastdd.adjustedLow)/(self.lastdd.adjustedHigh-self.lastdd.adjustedLow)) >= self.inTopRange):
stop = max(0.0, self.low.value() - 0.01)
# stop = max(0.0, self.lastHigh.value())
trade = Trade(self.lastdd.stock, self.lastdd.date, self.close.value(), stop)
if self.target != None:
target = self.close.value() + ((self.close.value()-stop)*self.target)
trade.target = target
return trade
return None
def checkTrade(self):
if self.lastrange.ready() and self.lastminrange.ready() \
and self.lastrange.value() < self.lastminrange.value():
# we have an N-bar, take a break long or short and hold to close
if self.lastdd.high > self.lasthigh.value():
entry = max(self.lastdd.open, self.lasthigh.value() + 0.01)
stop = self.lastlow.value() - 0.01
if entry < 0:
entry = 0
if stop < 0:
stop = 0
if entry > stop and entry > 0:
trade = Trade(self.lastdd.stock, self.lastdd.date, entry, stop)
trade.exit = self.lastdd.date
if self.lastdd.low <= stop:
trade.exitPrice = stop
else:
trade.exitPrice = self.lastdd.close
return trade
elif self.lastdd.low < self.lastlow.value():
entry = min(self.lastdd.open,self.lastlow.value() - 0.01)
stop = self.lasthigh.value() + 0.01
if entry < 0:
entry = 0
if stop < 0:
stop = 0
if entry < stop and entry > 0:
trade = Trade(self.lastdd.stock, self.lastdd.date, entry, stop)
trade.exit = self.lastdd.date
if self.lastdd.high >= stop:
trade.exitPrice = stop
else:
trade.exitPrice = self.lastdd.close
return trade
return None
def findsetups(self, fromdt, todt): stocks = self._getTickers(fromdt, datastore) for stock in stocks: # padded extra to make sure 200 day sma has enough trading days to work with before our window smafromdt = fromdt - timedelta(days=self.period+1) dailydata = datastore.getData(stock, self.timescale, smafromdt, todt) bb = BollingerBands(period=self.period, stdev=float(self.bandwidth)) outerbb = None if self.bandStop != None: outerbb = BollingerBands(period=self.period, stdev=self.bandStop) sma = None if self.sma: sma = SimpleMovingAverage(period=self.sma) lastdd = None trade = None for pd in dailydata: bb.handle(pd) if outerbb != None: outerbb.handle(pd) if sma != None: sma.handle(pd) # check for long stopout if trade != None and trade.stop < trade.entryPrice and pd.low <= trade.trailingstop: trade.exit = pd.date trade.exitPrice = min(pd.open, trade.trailingstop) self.tradeManager.addTrade(trade) trade = None # check for long exit if trade != None and ((self.exitAtOtherBand == False and pd.close > bb.movingAverage()) or (self.exitAtOtherBand and pd.close >= bb.upperBand())): trade.exit = pd.date trade.exitPrice = pd.close self.tradeManager.addTrade(trade) trade = None # check for short stopout if trade != None and trade.stop > trade.entryPrice and pd.high >= trade.trailingstop: trade.exit = pd.date trade.exitPrice = max(pd.open, trade.trailingstop) self.tradeManager.addTrade(trade) trade = None # check for short exit if trade != None and ((self.exitAtOtherBand == False and pd.close < bb.movingAverage()) or (self.exitAtOtherBand and pd.close <= bb.lowerBand())): trade.exit = pd.date trade.exitPrice = pd.close self.tradeManager.addTrade(trade) trade = None # check for new long if trade == None and self.doLong and pd.close > self.minprice and bb.ready() and pd.date >= fromdt and \ pd.close < bb.lowerBand() and (sma == None or sma.value() < pd.close): stop = 0 if self.percentStop != None: stop = pd.close * (1-self.percentStop) if self.bandStop != None: stop = outerbb.lowerBand() trade = Trade(stock=stock, entry=pd.date, entryPrice=pd.close, stop=stop) # check for new short if trade == None and self.doShort and pd.close > self.minprice and bb.ready() and pd.date >= fromdt and \ pd.close > bb.upperBand() and (sma == None or sma.value() > pd.close): stop = 0 if self.percentStop != None: stop = pd.close * (1+self.percentStop) if self.bandStop != None: stop = outerbb.upperBand() trade = Trade(stock=stock, entry=pd.date, entryPrice=pd.close, stop=stop) if trade != None and trade.entry == None: trade.exit = lastdd.date trade.exitPrice = lastdd.close self.tradeManager.addTrade(trade) trade = None return self.tradeManager.getStats()
def findsetups(self, fromdt, todt): stocks = self._getTickers(fromdt, datastore) for stock in stocks: close = Close() sma = None if self.dailysmatrendfilter != None: sma = SimpleMovingAverage(close, period=self.dailysmatrendfilter) # padded extra to make sure 50 day sma has enough trading days to work with before our window dailydata = datastore.getDailyData(stock, fromdt - timedelta(days=100), todt) prevpd = None for pd in dailydata: if prevpd != None and pd.date >= fromdt: trade = None if pd.open == prevpd.close or prevpd.close == 0: gapsize=0 else: gapsize = (prevpd.close - pd.open)/prevpd.close if gapsize >= self.mingap and (sma == None or (sma.ready() and pd.open < sma.value())) and pd.open >= self.minprice: intrafromdt = pd.date intratodt = pd.date + timedelta(hours=24) intradaydata = iter(datastore.getIntradayData(stock, 300, intrafromdt, intratodt)) try: intradaypd = intradaydata.next() entry = None lod = intradaypd.low prevpd = intradaypd high = High() highesthigh = Highest(metric=high, period=self.donchianstop) high.handle(intradaypd) highesthigh.handle(intradaypd) for intradaypd in intradaydata: if trade == None \ and highesthigh.ready() \ and intradaypd.date.hour >= self.minhour \ and (intradaypd.date.hour < self.maxhour \ or (intradaypd.date.hour == self.maxhour and intradaypd.date.minute==0)) \ and intradaypd.low < lod: entry = lod - 0.01 trade = Trade(stock, intradaypd.date, min(entry, intradaypd.open), highesthigh.value()+0.01) if self.target != None: trade.target = trade.entryPrice + (self.target * (trade.entryPrice-trade.stop)) if trade != None and trade.exit == None: if intradaypd.high >= trade.trailingstop: trade.exit = intradaypd.date trade.exitPrice = max(trade.stop, intradaypd.open) if trade.exit == None and trade.target != None and intradaypd.low <= trade.target: trade.exit = intradaypd.date trade.exitPrice = min(intradaypd.open, trade.target) if intradaypd.low < lod: lod = intradaypd.low high.handle(intradaypd) highesthigh.handle(intradaypd) except StopIteration: pass # eod, close it if it is still open if trade != None and trade.exit == None: trade.exit = intradaypd.date trade.exitPrice = intradaypd.close if trade != None: self.tradeManager.addTrade(trade) # now we can update the indicators - since we finished trading the day close.handle(pd) if sma != None: sma.handle(pd) prevpd = pd return self.tradeManager.getStats()
def findsetups(self, fromdt, todt): numstopouts = 0 stocks = self._getTickers(fromdt, datastore) for stock in stocks: # padded extra to make sure 200 day sma has enough trading days to work with before our window dailydata = datastore.getDailyData(stock, fromdt - timedelta(days=(self.slowma*2)), todt) close = Close() fastma = SimpleMovingAverage(period=self.fastma) slowma = SimpleMovingAverage(period=self.slowma) lastfastma = HistoricMetric(metric=fastma, period=1) lastslowma = HistoricMetric(metric=slowma, period=1) atr = ATR(period=14) lastdd = None trade = None for pd in dailydata: close.handle(pd) fastma.handle(pd) slowma.handle(pd) lastfastma.handle(pd) lastslowma.handle(pd) atr.handle(pd) # check for long stopout if trade != None and pd.low < trade.trailingstop: trade.exit = pd.date trade.exitPrice = min(pd.open, trade.trailingstop) self.tradeManager.addTrade(trade) numstopouts = numstopouts + 1 trade = None # check for long exit if trade != None and fastma.value() < slowma.value(): trade.exit = pd.date trade.exitPrice = pd.close self.tradeManager.addTrade(trade) trade = None if fastma.ready() and slowma.ready() and lastfastma.ready() and lastslowma.ready() and atr.ready(): pass # check for new long if trade == None and fastma.ready() and slowma.ready() \ and lastfastma.ready() and lastslowma.ready() \ and (self.atrStop == None or atr.ready()) \ and pd.date >= fromdt \ and fastma.value() > slowma.value() \ and lastfastma.value() <= lastslowma.value() \ and pd.close >= self.minprice: stop = 0 if self.atrStop != None: stop = max(0,pd.close - (float(self.atrStop) * atr.value())) if self.percentStop != None: stop = max(0, pd.close * (1.0 - self.percentStop)) trade = Trade(stock=stock, entry=pd.date, entryPrice=pd.close, stop=stop) if trade != None and trade.entry == None: trade.exit = lastdd.date trade.exitPrice = lastdd.close self.tradeManager.addTrade(trade) trade = None print "num stopouts was %d" % numstopouts return self.tradeManager.getStats()