def __init__(self, settings, name=None):
EntryManager.__init__(self, settings, name)
self.minhour = settings.getint("Strategy", "minhour")
self.maxhour = settings.getint("Strategy", "maxhour")
self.target = self._getintsetting("Strategy", "target")
self.minmove = settings.getfloat("Strategy", "minmove")
self.maxprice = self._getfloatsetting("Strategy", "maxprice")
self.maperiod = self._getintsetting("Strategy", "ma")
self.stopPercentToLow = self._getfloatsetting("Strategy", "stopPercentToLow")
self.hod = None
self.open = None
self.hoddate = None
self.low = None
self.close = Close()
self.ma = ExponentialMovingAverage(metric=self.close, period=self.maperiod)
self.mademove = False
self.lastpd = None
class MomoPullbackEntryManager(EntryManager):
"""
Enter at a moving average after a minimum move. Stop is set at a percentage
between the moving average and the low of day.
"""
def __init__(self, settings, name=None):
EntryManager.__init__(self, settings, name)
self.minhour = settings.getint("Strategy", "minhour")
self.maxhour = settings.getint("Strategy", "maxhour")
self.target = self._getintsetting("Strategy", "target")
self.minmove = settings.getfloat("Strategy", "minmove")
self.maxprice = self._getfloatsetting("Strategy", "maxprice")
self.maperiod = self._getintsetting("Strategy", "ma")
self.stopPercentToLow = self._getfloatsetting("Strategy", "stopPercentToLow")
self.hod = None
self.open = None
self.hoddate = None
self.low = None
self.close = Close()
self.ma = ExponentialMovingAverage(metric=self.close, period=self.maperiod)
self.mademove = False
self.lastpd = None
def handle(self, perioddata):
self.close.handle(perioddata)
self.ma.handle(perioddata)
if self.lastpd is not None and self.lastpd.date.day != perioddata.date.day:
self.low = None
self.hod = None
self.hoddate = None
self.mademove = False
if self.open is None:
self.open = perioddata.open
if self.lastpd is not None and (self.low is None or self.lastpd.low < self.low):
self.low = self.lastpd.low
if self.periodData is not None:
# quick, use previous value to update hod
if self.hod is None or self.periodData.high >= self.hod:
self.hod = self.periodData.high
self.hoddate = self.periodData.date
if not self.mademove and self.low is not None and self.hod is not None and self.open is not None and (
self.hod - self.open) / self.open >= self.minmove:
logger.debug("saw minimum desired move in MomoPullbackManager, waiting for pullback")
self.mademove = True
EntryManager.handle(self, perioddata)
self.lastpd = perioddata
def checkTrade(self, trade):
if trade is not None:
# no scale ins
return trade
if self.mademove \
and self.periodData.date.hour >= self.minhour \
and (self.periodData.date.hour < self.maxhour
or (self.periodData.date.hour == self.maxhour and self.periodData.date.minute == 0)) \
and self.periodData.low <= self.ma.value():
# we have an entry
entry = min(self.periodData.open, self.ma.value())
if self.maxprice is None or entry <= self.maxprice:
stop = self.low - 0.01
if self.stopPercentToLow is not None:
stop = entry - (self.stopPercentToLow * (entry - self.low))
# at least 10c
if stop >= entry - 0.1:
stop = entry - 0.1
trade = Trade(self.periodData.stock, self.periodData.date, entry, stop)
if self.target is not None:
target = entry + ((entry - stop) * self.target)
trade.target = target
if self.periodData.low < stop:
trade.exit = self.periodData.date
trade.exitPrice = stop
return trade
return None
