def onBars(self, bars):
# Wait for enough bars to be available to calculate a SMA.
bar = bars[self.__instrument]
#getfeed
barDs = self.getFeed().getDataSeries("orcl")
closeDs = self.getFeed().getDataSeries("orcl").getCloseDataSeries()
volumeDs = self.getFeed().getDataSeries("orcl").getVolumeDataSeries()
#Long entry (2): engulfing signal: engulfing where 100 for bullish engulfing; -100 for bearish engulfing; 0 for no engulfing
engulfing = indicator.CDLENGULFING(barDs,50000)
#recognize decreasing trend by previous 3 price and 3 volume
trenddropprice = indicator.ROC(closeDs,50000,timeperiod=3)
trenddropvol = indicator.ROC(volumeDs,50000,timeperiod=2)
#Long exit (2): zigzag function to recognize divergence
##zigzag for Price
pivots = peak_valley_pivots(closeDs, 0.2, -0.2)
zigPrice = compute_segment_returns(np.array(closeDs), pivots)
##zigzag for Volume
pivotV = peak_valley_pivots(volumeDs, 0.2, -0.2)
zigVolume = compute_segment_returns(np.array(volumeDs), pivots)
##zigzag for RSI
###create rsi series
if self.__rsi[-1] is None:
self.x=np.append(self.x,[50])
else:
self.x=np.append(self.x,self.__rsi[-1])
pivotRSI = peak_valley_pivots(self.x, 0.2, -0.2)
zigVolume = compute_segment_returns(np.array(volumeDs), pivots)
zigRSI = compute_segment_returns(self.x, pivots)
#Long exit (1) action: Edit the 90% price if price goes up
if self.__position is not None and not self.__position.exitActive() and bar.getPrice()> (self.stoplossprice/0.9):
self.stoplossprice=bar.getPrice()*0.9
# If a position was not opened, check if we should enter a long position.
if self.__position is None:
# Long entry (2) action: [candle stick (try bullish engulfing first)] AND [rsi below 50] AND [price increase with volume high]
# Enter a buy market order for 10 shares. The order is good till canceled.
if engulfing[-1]==100 and trenddropprice[-2]<-2 and self.__rsi[-1]<50 and trenddropvol[-1]>0:
self.__position = self.enterLong(self.__instrument, 10, True)
self.stoplossprice= bar.getPrice()*0.9 #Stop Long loss
self.longprice=bar.getPrice() #calculate profit only
# Check if we have to exit the position.
# Long exit (1) action AND Stop Long loss Long exit (2)
elif not self.__position.exitActive() and (bar.getPrice() < self.stoplossprice or (zigPrice[-1]>0 and zigVolume[-1]<=0)):
self.__position.exitMarket()
def test_rise_fall_rise(self):
data = np.array([1.0, 1.05, 1.1, 1.0, 0.9, 1.5])
pivots = zigzag.peak_valley_pivots(data, 0.1, -0.1)
assert_array_almost_equal(zigzag.compute_segment_returns(data, pivots),
np.array([0.1, -0.181818, 0.6666666]))
def test_strictly_decreasing(self):
data = np.linspace(100.0, 1.0, 10)
pivots = zigzag.peak_valley_pivots(data, 0.1, -0.1)
assert_array_almost_equal(zigzag.compute_segment_returns(data, pivots),
np.array([-0.99]))
def test_rise_fall_rise(self):
data = np.array([1.0, 1.05, 1.1, 1.0, 0.9, 1.5])
pivots = zigzag.peak_valley_pivots(data, 0.1, -0.1)
assert_array_almost_equal(zigzag.compute_segment_returns(data, pivots),
np.array([0.1, -0.181818, 0.6666666]))
def test_strictly_decreasing(self):
data = np.linspace(100.0, 1.0, 10)
pivots = zigzag.peak_valley_pivots(data, 0.1, -0.1)
assert_array_almost_equal(zigzag.compute_segment_returns(data, pivots),
np.array([-0.99]))
