def get_sl(stock):
output = []
#get stock data
stock_data = get_stock_data_wotd(stock)
if (stock_data[0]["open"] <= 0) and (stock_data[0]["close"] <= 0):
output.append("NO DATA")
return output
#indikators
atr = get_atr(stock_data, 14)
stops_15 = []
for i in range(15):
stops_15.append(0)
for i in range(30, 0, -1):
stops_15 = stops_15[1:]
stops_15.append(stock_data[i]["high"]-5*atr[i])
output.append(stock + " aktueller SL: " + str(max(stops_15)))
output.append("aktueller Kurs: " + str(stock_data[0]["close"]))
return output
def check_signal(stock):
stock_data = {}
output = []
#get stock data
stock_data = get_stock_data_wotd(stock)
if (stock_data[0]["open"] <= 0) and (stock_data[0]["close"] <= 0):
output.append(stock + ' ZERO VALUES!')
return output
#set indicators
sma_length = 50
atr_1_length = 14
rsi_length = 14
#get indicator values
sma = get_sma(stock_data, sma_length)
atr_1 = get_atr(stock_data, atr_1_length)
rsi = get_rsi(stock_data, rsi_length)
# Alle Listen so lange machen, wie die kürzeste, damit von hinten durchiteriert werden kann
min_length = min(len(sma), len(atr_1), len(rsi))
sma = sma[:min_length]
atr_1 = atr_1[:min_length]
rsi = rsi[:min_length]
stock_data = stock_data[:min_length]
if ((stock_data[0]["close"] - stock_data[1]["close"]) >=
1.5 * atr_1[1]) and rsi[0] > 50:
if ((sma[0] - sma[1]) > 0) and ((sma[0] - sma[15]) > 0):
vol_avg = 0
for k in range(14):
vol_avg += stock_data[k]["volume"]
vol_avg = vol_avg / 14
if (rsi[0] < 75 and stock_data[0]["volume"] > 2 * vol_avg
) or stock_data[0]["volume"] > 3.5 * vol_avg:
stops_15 = []
for i in range(15):
stops_15.append(stock_data[i]["high"] - 5 * atr_1[i])
trade = {"EK": 0, "Anzahl": 0, "SL": 0}
trade["EK"] = stock_data[0]["close"]
trade["SL"] = max(stops_15)
trade["Anzahl"] = round(300 / (trade["EK"] - trade["SL"]))
output.append(stock + " - " + str(trade["Anzahl"]) +
" Stück für " + str(trade["EK"]) + "SL = " +
str(trade["SL"]))
return output
def backtest(stock):
#set indicators
atr_length = 14
#get stock data
stock_data = get_stock_data_wotd(stock)
if (stock_data[0]["open"] <= 0) and (stock_data[0]["close"] <= 0):
return
atr = get_atr(stock_data, atr_length)
atr = atr[:len(atr)]
stock_data = stock_data[:len(atr)]
trade = {"position": "$", "EK": 0, "Anzahl": 0, "SL": 0, "TP": 0}
sum = 50000
l_count1 = 0
l_count2 = 0
box = {"high": 0, "low": 0, "Trend": 'UP', "Done": True}
box["high"] = stock_data[-1]["high"]
box["low"] = stock_data[-1]["high"] - atr[-1]
box_helper = 0
cd_20 = 0
box_count = 0
highs_20 = []
lows_20 = []
print("Close: " + str(stock_data[0]))
print("ATR1: " + str(atr[0]))
print("box high: " + str(box["high"]))
print("box low: " + str(box["low"]))
for i in range(-1, (-1) * (len(stock_data)), -1):
'''
if stock_data[i]["date"] == '2015-09-17':
print("Close: " + str(stock_data[i]))
print("SMA50: " + str(sma[i]))
print("ATR1: " + str(atr[i]))
print("ATR2: " + str(atr_2[i]))
print("HMA1: " + str(hma_1[i]))
print("HMA2: " + str(hma_2[i]))
print("HMA3: " + str(hma_3[i]))
print("CCI: " + str(cci[i]))
vol_avg = 0
for k in range(14):
vol_avg += stock_data[i+k]["volume"]
vol_avg = vol_avg/14
print("Vol " + str(stock_data[i]["volume"]))
print("Volavg " + str(vol_avg))
'''
l_count1 += 1
##################WENN AUFWÄRTS################
if (box["Done"] or box["Trend"]
== "BUP") and stock_data[i]["high"] > box["high"] + atr[i]:
if box["Trend"] == "DOWN" or box["Trend"] == "BUP":
box_count = 0
box["Done"] = False
box["Trend"] = "UP"
box["low"] = box["high"]
box["high"] = stock_data[i]["high"]
#print(stock_data[i]["date"] + ' ' + "new upbox " +str(box["high"]) + " " + str(box["low"]))
cd_20 = 20
if not box["Done"] and box["Trend"] == "UP":
if stock_data[i]["high"] > box["high"]:
box["high"] = stock_data[i]["high"]
#print(stock_data[i]["date"] + " box high = " + str(box["high"]))
elif stock_data[i]["high"] < box["high"] - 0.5 * atr[i]:
box["Trend"] = "BDOWN"
#print(stock_data[i]["date"] + ' ' + "back down")
if not box["Done"] and box["Trend"] == "BDOWN" and stock_data[i][
"low"] > stock_data[i + 1]["low"] + 0.5 * atr[i]:
box["low"] = stock_data[i + 1]["low"]
box["Done"] = True
box["Trend"] = "UP"
box_count += 1
#print(stock_data[i]["date"] + ' ' + "upbox no. " + str(box_count) + " done")
##############WENN RUNTER##########################
if (box["Done"] or box["Trend"]
== "BDOWN") and stock_data[i]["low"] < box["low"] - atr[i]:
if box["Trend"] == "UP" or box["Trend"] == "BDOWN":
box_count = 0
box["Done"] = False
box["Trend"] = "DOWN"
box["high"] = box["low"]
box["low"] = stock_data[i]["low"]
#print(stock_data[i]["date"] + ' ' + "new downbox")
cd_20 = 20
if not box["Done"] and box["Trend"] == "DOWN":
if stock_data[i]["low"] < box["low"]:
box["low"] = stock_data[i]["low"]
elif stock_data[i]["low"] > box["low"] + 0.5 * atr[i]:
box["Trend"] = "BUP"
#print(stock_data[i]["date"] + ' ' + "back up")
if not box["Done"] and box["Trend"] == "BUP" and stock_data[i][
"high"] < stock_data[i + 1]["high"] - 0.5 * atr[i]:
box["high"] = stock_data[i + 1]["high"]
box["Done"] = True
box["Trend"] = "DOWN"
box_count += 1
#print(stock_data[i]["date"] + ' ' + "downbox no. " + str(box_count) + " done")
#########################################################################################
if cd_20 < 0:
if box["low"] < min(lows_20):
box["low"] = min(lows_20)
if box["high"] > max(highs_20):
box["high"] = max(highs_20)
lows_20 = lows_20[1:]
highs_20 = highs_20[1:]
lows_20.append(stock_data[i]["low"])
highs_20.append(stock_data[i]["high"])
cd_20 -= 1
if trade["position"] == "$" and box["Done"] and box_count >= 3:
if box["Trend"] == 'UP':
trade["position"] = "L"
trade["EK"] = stock_data[i]["close"]
trade["Anzahl"] = round((0.005 * sum) / (2.5 * atr[i]))
trade["SL"] = trade["EK"] - 2.5 * atr[i]
print("--------------------!!!--------------------")
print("Buy " + str(trade["Anzahl"]) + " Stück für " +
str(trade["EK"]) + " am " + str(stock_data[i]["date"]))
print("Stop Loss: " + str(trade["SL"]))
###################################WENN LONG###########################################
if trade["position"] == "L":
l_count2 += 1
'''
if (stock_data[i]["low"] < trade["SL"]):
print(str(stock_data[i]["date"]) + "Verkauf 1. Hälfte - Profit: " + str((trade["SL"] - trade["EK"])*trade["Anzahl"]) +"€ "+ str((trade["SL"] - trade["EK"]) / trade["EK"]*100) + "%")
sum += (trade["SL"] - trade["EK"])*trade["Anzahl"]
print("sum = " + str(sum))
trade["SL"] = 0
trade = {"position" : "$", "EK" : 0, "Anzahl" : 0, "SL" : 0, "TP": 0}
'''
if (box["Trend"] == "DOWN" and box_count == 1 and not box["Done"]):
print(
str(stock_data[i]["date"]) + "Verkauf 2. Box - Profit: " +
str((box["high"] - trade["EK"]) * trade["Anzahl"]) + "€ " +
str((box["high"] - trade["EK"]) / trade["EK"] * 100) + "%")
sum += (box["high"] - trade["EK"]) * trade[
"Anzahl"] #box["high"] weil jetzt == altes box low
print("sum = " + str(sum))
trade = {
"position": "$",
"EK": 0,
"Anzahl": 0,
"SL": 0,
"TP": 0
}
if (stock_data[i]["low"] < trade["SL"]):
print(
str(stock_data[i]["date"]) + "Verkauf SL - Profit: " +
str((trade["SL"] - trade["EK"]) * trade["Anzahl"]) + "€ " +
str((box["high"] - trade["EK"]) / trade["EK"] * 100) + "%")
sum += (trade["SL"] - trade["EK"]) * trade["Anzahl"]
print("sum = " + str(sum))
trade = {
"position": "$",
"EK": 0,
"Anzahl": 0,
"SL": 0,
"TP": 0
}
#if trade["SL"] != 0:
#trade["SL"] = box["low"] - atr[i]
#print(stock_data[i]["date"] + ' ' + str(trade["SL"]<stock_data[i]["low"]))
print(str(sum) + " " + str(l_count2) + "/" + str(l_count1))
def get_sl(symbol, date, ek):
output = []
#get stock data
stock_data = get_stock_data_wotd(symbol)
if (stock_data[0]["open"] <= 0) and (stock_data[0]["close"] <= 0):
output.append("NO DATA")
return output
#indikators
atr = get_atr(stock_data, 14)
sma = get_sma(stock_data, 50)
#get pos of buy date
date_index = 0
last_high = 0
trade = {"EK": ek, "SL": 0, "TP": 0, "Anzahl": 0}
for i in range(len(stock_data)):
if (stock_data[i]["date"] == date):
date_index = i
trade["SL"] = ek - 2.5 * atr[i]
#output.append("initialer SL: " + str(trade["SL"]))
trade["TP"] = ek + 2.5 * atr[i]
#output.append("initialer TP: " + str(trade["TP"]))
break
output.append("---------" + symbol + "----------")
#output.append(date_index)
for i in range(date_index, -1, -1):
if last_high < stock_data[i]["high"]:
last_high = stock_data[i]["high"]
if (trade["TP"] != 0) and (trade["TP"] < last_high - 3 * atr[i]):
trade["TP"] = last_high - 3 * atr[i]
if (stock_data[i]["low"] < trade["SL"]):
output.append(stock_data[i]["date"] + " - SL hit - Sold at " +
str(trade["SL"]))
trade["SL"] = 0
trade["TP"] = 0
break
#output.append(stock_data[i]["date"] + ' ' + str(stock_data[i]["high"]) + str(i))
if (stock_data[i]["high"] > trade["TP"]) and trade["SL"] < trade["EK"]:
trade["SL"] = trade["EK"]
trade["TP"] = last_high - 3 * atr[i]
output.append(
str(stock_data[i]["date"]) +
" - TP überschritten -> Anpassung SL auf EK: " +
str(trade["SL"]))
output.append(
str(stock_data[i]["date"]) +
" - TP überschritten -> Anpassung TP - 3ATR: " +
str(trade["TP"]))
if (stock_data[i]["low"] < trade["TP"]) and trade["SL"] > trade[
"EK"]: #SL > EK damit Gewinnmitnahme erst im Profit
output.append(stock_data[i]["date"] +
" - Gewinnmitnahme 50% verkauft (3ATR)")
#output.append("TP = 0")
trade["TP"] = 0
if ((sma[i] - 1.5 * atr[i]) > trade["SL"]
) and stock_data[i]["high"] > (sma[i] - 1.5 * atr[i]):
trade["SL"] = (sma[i] - 1.5 * atr[i])
#output.append(stock_data[i]["date"] + " - Anpassung SL auf SMA50: " + str(trade["SL"]))
output.append("aktueller SL: " + str(trade["SL"]))
output.append("aktueller TP: " + str(trade["TP"]))
output.append("aktueller Kurs: " + str(stock_data[0]["close"]))
return output
def backtest(stock):
#set indicators
ema_co_long = 50
ema_co_short = 25
cci_length = 20
ppo_length_short = 12
ppo_length_long = 26
atr_length = 14
min_ppo_change = 0.2
min_cci_change = 0
#get stock data
stock_data = get_stock_data_wotd(stock)
if (stock_data["open"][0] <= 0) and (stock_data["close"][0] <= 0):
return
#get indicator values
cci = get_cci(stock_data, cci_length)
ema_short = get_ema(stock_data, ema_co_short)
ema_long = get_sma(stock_data, ema_co_long)
ppo = get_ppo(stock_data, ppo_length_short, ppo_length_long)
atr = get_atr(stock_data, atr_length)
# Alle Listen so lange machen, wie die kürzeste, damit von hinten durchiteriert werden kann
min_length = min(len(cci),len(ema_short),len(ema_long),len(ppo),len(atr))
cci = cci[:min_length]
ema_short = ema_short[:min_length]
ppo = ppo[:min_length]
atr = atr[:min_length]
stock_data["open"] = stock_data["open"][:min_length]
stock_data["high"] = stock_data["high"][:min_length]
stock_data["low"] = stock_data["low"][:min_length]
stock_data["close"] = stock_data["close"][:min_length]
stock_data["volume"] = stock_data["volume"][:min_length]
stock_data["date"] = stock_data["date"][:min_length]
trade = {"position" : "$", "EK" : 0, "SL" : 0}
sum = 10000
#ema_co_long größte Zahl
for i in range(-1, (-1)*(len(stock_data["open"]) - ema_co_long),-1):
cci_reversal = False
if trade["position"] == "L":
if (cci[i]<=-100) or ((cci[i] < 100) and ((ppo[i+1]-ppo[i]) >= min_ppo_change) and ((ppo[i+1]-ppo[i]) > (ppo[i+2]-ppo[i+1])) and ((cci[i+1]-cci[i]) >= min_cci_change)):
print("CCI < -100 - Sold at " + str(stock_data["open"][i]) + " - Profit: " + str((stock_data["open"][i] - trade["EK"]) / trade["EK"]*100) + "%")
sum += sum * ((stock_data["open"][i+1] - trade["EK"]) / trade["EK"])
trade = {"position" : "$", "EK" : 0, "SL" : 0}
elif trade["position"] == "S":
if (cci[i]>=100) or ((cci[i]>=-100) and ((ppo[i]-ppo[i+1]) >= min_ppo_change) and ((ppo[i]-ppo[i+1]) > (ppo[i+1]-ppo[i+2])) and ((cci[i]-cci[i+1]) >= min_cci_change) and ((cci[i]-cci[i+1]) > 0)):
print("CCI < -100 - Sold at " + str(stock_data["open"][i]) + " - Profit: " + str((trade["EK"]-stock_data["open"][i]) / trade["EK"]*100) + "%")
sum += sum * ((trade["EK"]-stock_data["open"][i+1]) / trade["EK"])
trade = {"position" : "$", "EK" : 0, "SL" : 0}
#check trend with ema crossover
if ema_short[i] > ema_long[i]:
if trade["position"] == "S":
print("EMA Cross against Trade - Sold at " + str(stock_data["open"][i]) + " - Profit: " + str((trade["EK"] - stock_data["open"][i]) / trade["EK"]*100) + "%")
trade = {"position" : "$", "EK" : 0, "SL" : 0}
#Kommt CCI aus Short-Trend und ist jetzt neutral/long?
for k in range(1,3):
if i+k > len(cci)-1:
cci_reversal = False
elif (cci[i] > -100) and (cci[i+k] < -100):
cci_reversal = True
break
#wenn CCI im Longtrend oder Reversal aus -100
if (trade["position"] == "$") and ((cci[i] >= 100) or (cci_reversal)):
#Wenn PPO und CCI steigen (mindestens um X) + PPO/CCI-Momentum -> PPO/CCI steigt stärker als am Vortag
if ((ppo[i]-ppo[i+1]) >= min_ppo_change) and (ppo[i]-ppo[i+1] > ppo[i+1]-ppo[i+2]) and ((cci[i]-cci[i+1]) >= min_cci_change):
print("--------------------!!!--------------------")
print("GO LONG " + stock + " am " + str(stock_data["date"][i]) + " at " + str(stock_data["close"][i]))
print("Stop Loss 2D Low - 1 ATR: "+str(min(stock_data["low"][i], stock_data["low"][i+1], stock_data["low"][i+2])-atr[i]))
print("Stop Loss 2 ATR: "+str(stock_data["low"][i]-(2*atr[i])))
print("--------------------!!!--------------------")
trade["position"] = "L"
trade["EK"] = stock_data["close"][i]
trade["SL"] = min(stock_data["low"][i], stock_data["low"][i+1], stock_data["low"][i+2])-atr[i]
elif ((ppo[i]-ppo[i+1]) >= min_ppo_change*0.7) and (ppo[i]-ppo[i+1] > ppo[i+1]-ppo[i+2]) and ((cci[i]-cci[i+1]) >= min_cci_change*0.7) and (cci[i]-cci[i+1] > cci[i+1]-cci[i+2]):
print("--------------------!!!--------------------")
print(stock+": about to show LONG signal")
print("--------------------!!!--------------------")
elif ema_short[i] < ema_long[i]:
if trade["position"] == "L":
print("EMA Cross against Trade - Sold at " + str(stock_data["open"][i]) + " - Profit: " + str((stock_data["open"][i] - trade["EK"]) / trade["EK"]*100) + "%")
trade = {"position" : "$", "EK" : 0, "SL" : 0}
#Kommt CCI aus Long-Trend und ist jetzt neutral/short?
for k in range(1,3):
if (cci[i] < 100) and (cci[i+k] > 100):
cci_reversal = True
break
#wenn CCI im Shorttrend oder Reversal aus 100
if (trade["position"] == "$") and ((cci[i] <= -100) or (cci_reversal)):
#Wenn PPO und CCI fallen (mindestens um X) + PPO-Momentum -> PPO fällt stärker als am Vortag
if ((ppo[i+1]-ppo[i]) >= min_ppo_change) and (ppo[i+1]-ppo[i] > ppo[i+2]-ppo[i+1]) and ((cci[i+1]-cci[i]) >= min_cci_change):
print("--------------------!!!--------------------")
print("GO SHORT " + stock + " am " + str(stock_data["date"][i]) + " at " + str(stock_data["close"][i]))
print("Stop Loss 2D High - 1 ATR: "+str(max(stock_data["high"][i], stock_data["high"][i+1], stock_data["high"][i+2])+atr[i]))
print("Stop Loss 2 ATR: "+str(stock_data["high"][i]+(2*atr[i])))
print("--------------------!!!--------------------")
trade["position"] = "S"
trade["EK"] = stock_data["close"][i]
trade["SL"] = min(stock_data["high"][i], stock_data["high"][i+1], stock_data["high"][i+2])-atr[i]
elif ((ppo[i+1]-ppo[i]) >= min_ppo_change*0.7) and (ppo[i+1]-ppo[i] > ppo[i+2]-ppo[i+1]) and ((cci[i+1]-cci[i]) >= min_cci_change*0.7) and (cci[i+1]-cci[i] > cci[i+2]-cci[i+1]):
print("--------------------!!!--------------------")
print(stock+": about to show SHORT signal")
print("--------------------!!!--------------------")
print(sum)
def check_signal(stock):
stock_data = {}
output = []
#get stock data
sma_length = 50
atr_1_length = 14
vcci_length = 20
#get stock data
stock_data = get_stock_data_wotd(stock)
if (stock_data[0]["open"] <= 0) and (stock_data[0]["close"] <= 0):
return
#get indicator values
sma = get_sma(stock_data, sma_length)
atr_1 = get_atr(stock_data, atr_1_length)
vcci = get_vcci(stock_data, vcci_length)
# Alle Listen so lange machen, wie die kürzeste, damit von hinten durchiteriert werden kann
min_length = min(len(sma), len(atr_1), len(vcci))
sma = sma[:min_length]
atr_1 = atr_1[:min_length]
vcci = vcci[:min_length]
stock_data = stock_data[:min_length]
if (vcci[0] > 200
and (stock_data[0]["close"] - stock_data[1]["close"]) >= atr_1[1]):
l_high = 0
vol_avg = 0
for i in range(20):
vol_avg += stock_data[i]["volume"]
vol_avg = vol_avg / 20
if stock_data[0]["volume"] > vol_avg:
for i in range(1, 100):
if l_high < stock_data[i]["close"]:
l_high = stock_data[i]["close"]
if (stock_data[0]["close"] > l_high):
stops_15 = []
for i in range(15):
stops_15.append(stock_data[i]["high"] - 5 * atr_1[i])
trade = {"EK": 0, "Anzahl": 0, "SL": 0}
trade["EK"] = stock_data[0]["close"]
trade["SL"] = max(stops_15)
trade["Anzahl"] = round(300 / (trade["EK"] - trade["SL"]))
output.append(stock + " - " + str(trade["Anzahl"]) +
" Stück für " + str(trade["EK"]) + "SL = " +
str(trade["SL"]))
return output
def backtest(stock):
#set indicators
sma_length = 50
cci_length = 100
hma_1_length = 12
hma_2_length = 25
hma_3_length = 100
atr_1_length = 14
atr_2_length = 1
#get stock data
stock_data = get_stock_data_wotd(stock)
if (stock_data[0]["open"] <= 0) and (stock_data[0]["close"] <= 0):
return
#get indicator values
sma = get_sma(stock_data, sma_length)
atr_1 = get_atr(stock_data, atr_1_length)
atr_2 = get_atr(stock_data, atr_2_length)
hma_1 = get_hma(stock_data, hma_1_length)
hma_2 = get_hma(stock_data, hma_2_length)
hma_3 = get_hma(stock_data, hma_3_length)
cci = get_cci(stock_data, cci_length)
# Alle Listen so lange machen, wie die kürzeste, damit von hinten durchiteriert werden kann
min_length = min(len(hma_3), len(hma_2), len(hma_1), len(sma), len(atr_1),
len(atr_2), len(cci))
sma = sma[:min_length]
atr_1 = atr_1[:min_length]
atr_2 = atr_2[:min_length]
hma_1 = hma_1[:min_length]
hma_2 = hma_2[:min_length]
hma_3 = hma_3[:min_length]
cci = cci[:min_length]
stock_data = stock_data[:min_length]
trade = {"position": "$", "EK": 0, "Anzahl": 0, "SL": 0, "TP": 0}
sum = 50000
l_count1 = 0
l_count2 = 0
last_high = 0
last_low = 0
print("Close: " + str(stock_data[0]))
print("SMA50: " + str(sma[0]))
print("ATR1: " + str(atr_1[0]))
print("ATR2: " + str(atr_2[0]))
print("HMA1: " + str(hma_1[0]))
print("HMA2: " + str(hma_2[0]))
print("HMA3: " + str(hma_3[0]))
print("CCI: " + str(cci[0]))
for i in range(-1, (-1) * (len(stock_data)), -1):
'''
if stock_data[i]["date"] == '2015-09-17':
print("Close: " + str(stock_data[i]))
print("SMA50: " + str(sma[i]))
print("ATR1: " + str(atr_1[i]))
print("ATR2: " + str(atr_2[i]))
print("HMA1: " + str(hma_1[i]))
print("HMA2: " + str(hma_2[i]))
print("HMA3: " + str(hma_3[i]))
print("CCI: " + str(cci[i]))
vol_avg = 0
for k in range(14):
vol_avg += stock_data[i+k]["volume"]
vol_avg = vol_avg/14
print("Vol " + str(stock_data[i]["volume"]))
print("Volavg " + str(vol_avg))
'''
l_count1 += 1
if last_high < stock_data[i]["high"]:
last_high = stock_data[i]["high"]
if last_low > stock_data[i]["low"]:
last_low = stock_data[i]["low"]
###################################WENN LONG###########################################
if trade["position"] == "L":
l_count2 += 1
if (trade["TP"] != 0) and (trade["TP"] < last_high - 4 * atr_1[i]):
trade["TP"] = last_high - 4 * atr_1[i]
if (stock_data[i]["low"] < trade["SL"]):
print("SL hit - Sold at " + str(trade["SL"]) + " am " +
str(stock_data[i]["date"]))
last_high = 0
last_low = 0
if (trade["TP"] > 0):
print("Verkauf - Profit: " +
str((trade["SL"] - trade["EK"]) * trade["Anzahl"]) +
"€ " + str((trade["SL"] - trade["EK"]) /
trade["EK"] * 100) + "%")
sum += (trade["SL"] - trade["EK"]) * trade["Anzahl"]
print("sum = " + str(sum))
else:
print("Verkauf zweite Hälfte - Profit: " +
str((trade["SL"] - trade["EK"]) * trade["Anzahl"]) +
"€ " + str((trade["SL"] - trade["EK"]) /
trade["EK"] * 100) + "%")
sum += (trade["SL"] - trade["EK"]) * trade["Anzahl"]
print("sum = " + str(sum))
trade = {
"position": "$",
"EK": 0,
"SL": 0,
"TP": 0,
"Anzahl": 0
}
if (trade["SL"] < trade["EK"]) and (stock_data[i]["high"] >
trade["TP"]):
'''
print("Gewinnmitnahme (2.5 ATR) - Profit: " + str((trade["TP"] - trade["EK"])*trade["Anzahl"]) +"€ "+ str((trade["TP"] - trade["EK"]) / trade["EK"]*100) + "%")
sum += (trade["TP"] - trade["EK"])*trade["Anzahl"]
trade["TP"] = 0
trade["Anzahl"] = trade["Anzahl"]/2
'''
trade["SL"] = trade["EK"]
if (trade["TP"] > 0) and (
stock_data[i]["low"] <
trade["TP"]) and trade["SL"] > trade[
"EK"]: #SL > EK damit Gewinnmitnahme erst im Profit
print("Gewinnmitnahme (ATR) - Profit: " +
str((trade["TP"] - trade["EK"]) * trade["Anzahl"]) +
"€ " +
str((trade["TP"] - trade["EK"]) / trade["EK"] * 100) +
"%")
sum += (trade["TP"] - trade["EK"]) * trade["Anzahl"]
print("sum = " + str(sum))
#trade["TP"] = 0
#trade["Anzahl"] = trade["Anzahl"]/2
trade = {
"position": "$",
"EK": 0,
"SL": 0,
"TP": 0,
"Anzahl": 0
}
if ((sma[i] - 1.5 * atr_1[i]) > trade["SL"]
) and stock_data[i]["high"] > (sma[i] - 1.5 * atr_1[i]):
trade["SL"] = (sma[i] - 1.5 * atr_1[i])
#####################################WENN SHORT#########################################
'''
elif trade["position"] == "S":
l_count2 += 1
if (trade["TP"] != 0) and (trade["TP"] > last_low + 3*atr_1[i]):
trade["TP"] = last_low + 3*atr_1[i]
if (stock_data[i]["high"] > trade["SL"]):
print("SL hit - Sold at " + str(trade["SL"]) + " am " + str(stock_data[i]["date"]))
last_high = 0
last_low = 0
if (trade["TP"] > 0):
print("Verkauf - Profit: " + str((trade["EK"] - trade["SL"])*trade["Anzahl"]) +"€ "+ str((trade["EK"] - trade["SL"]) / trade["EK"]*100) + "%")
sum += (trade["EK"] - trade["SL"])*trade["Anzahl"]
print("sum = " + str(sum))
else:
print("Verkauf zweite Hälfte - Profit: " + str((trade["EK"] - trade["SL"])*trade["Anzahl"]) +"€ "+ str((trade["EK"] - trade["SL"]) / trade["EK"]*100) + "%")
sum += (trade["EK"] - trade["SL"])*trade["Anzahl"]
print("sum = " + str(sum))
trade = {"position" : "$", "EK" : 0, "SL" : 0, "TP": 0, "Anzahl" : 0}
if (trade["SL"] < trade["EK"]) and (stock_data[i]["high"] > trade["TP"]):
trade["SL"] = trade["EK"]
if (stock_data[i]["high"] > trade["TP"]) and trade["SL"] < trade["EK"]: #SL < EK damit Gewinnmitnahme erst im Profit
print("Gewinnmitnahme (2.5 ATR) - Profit: " + str((trade["EK"] - trade["TP"])*trade["Anzahl"]/2) +"€ "+ str((trade["EK"] - trade["TP"]) / trade["EK"]*100) + "%")
sum += (trade["EK"] - trade["TP"])*trade["Anzahl"]/2
print("sum = " + str(sum))
trade["TP"] = 0
trade["Anzahl"] = trade["Anzahl"]/2
if ((sma[i] + 1.5 * atr_1[i]) < trade["SL"]) and stock_data[i]["low"] < (sma[i] + 1.5 * atr_1[i]):
trade["SL"] = (sma[i] + 1.5 * atr_1[i])
'''
#####################################GO LONG##################################################
if (cci[i] > 100) and (atr_2[i] > atr_1[i]):
#if (hma_1[i] > hma_2[i]) and (hma_1[i] > hma_3[i]):
if (((hma_1[i] - hma_1[i + 1]) > 0)
and ((hma_2[i] - hma_2[i + 1]) > 0)
and ((hma_3[i] - hma_3[i + 1]) > 0)
and ((sma[i] - sma[i + 1]) > 0)
and ((hma_1[i] - hma_1[i + 1]) >
(hma_1[i + 1] - hma_1[i + 2]))):
vol_avg = 0
for k in range(14):
vol_avg += stock_data[i + k]["volume"]
vol_avg = vol_avg / 14
if ((stock_data[i]["volume"] * atr_2[i] > vol_avg * atr_1[i])
and (stock_data[i]["close"] > stock_data[i]["open"])
and
(stock_data[i]["close"] > stock_data[i + 1]["close"])):
if (trade["position"] != "L"):
trade["position"] = "L"
trade["EK"] = stock_data[i]["close"]
trade["Anzahl"] = round(
(0.005 * sum) / (2.5 * atr_1[i]))
trade["SL"] = stock_data[i]["close"] - (2.5 * atr_1[i])
trade["TP"] = stock_data[i]["close"] + (2.5 * atr_1[i])
print("--------------------!!!--------------------")
print("Buy " + str(trade["Anzahl"]) + " Stück für " +
str(trade["EK"]) + " am " +
str(stock_data[i]["date"]))
print("Stop Loss 2.5 ATR: " + str(trade["SL"]))
break_even = trade["TP"]
'''
if (trade["SL"] > break_even) and (stock_data[i]["close"] > break_even):
l_anzahl = 0
l_anzahl = round((0.02*sum)/(stock_data[i]["close"] - trade["SL"])) # 1% Risiko (Risiko = Abstand zum SL)
trade ["EK"] = ((trade["EK"] * trade["Anzahl"]) + (stock_data[i]["close"] * l_anzahl)) / (trade["Anzahl"] + l_anzahl)
trade["Anzahl"] += l_anzahl
trade["TP"] = stock_data[i]["close"] + (2.5*atr_1[i])
print("NACHKAUF " + str(l_anzahl) + " Stück für " + str(stock_data[i]["close"]) + " am " + str(stock_data[i]["date"]))
print("TP: " + str(trade["TP"]))
break_even = trade["TP"]
'''
########################GO SHORT##################################
'''
elif (cci[i] < -100) and (atr_2[i] > atr_1[i]):
#if (hma_1[i] > hma_2[i]) and (hma_1[i] > hma_3[i]):
if (((hma_1[i] - hma_1[i+1]) < 0) and ((hma_2[i] - hma_2[i+1]) < 0) and ((hma_3[i] - hma_3[i+1]) < 0) and ((sma[i] - sma[i+1]) < 0) and ((hma_1[i] - hma_1[i+1]) < (hma_1[i+1] - hma_1[i+2]))):
vol_avg = 0
for k in range(14):
vol_avg += stock_data[i+k]["volume"]
vol_avg = vol_avg/14
if ((stock_data[i]["volume"]*atr_2[i] > vol_avg*atr_1[i]) and (stock_data[i]["close"] < stock_data[i]["open"]) and (stock_data[i]["close"] < stock_data[i+1]["close"])):
if (trade["position"] != "S"):
trade["position"] = "S"
trade["EK"] = stock_data[i]["close"]
trade["Anzahl"] = round((0.02*sum)/(2.5*atr_1[i]))
trade["SL"] = stock_data[i]["close"] + (2.5*atr_1[i])
trade["TP"] = stock_data[i]["close"] - (2.5*atr_1[i])
print("--------------------!!!--------------------")
print("SHORT " + str(trade["Anzahl"]) + " Stück für " + str(trade["EK"]) + " am " + str(stock_data[i]["date"]))
print("Stop Loss 2.5 ATR: "+str(trade["SL"]))
break_even = trade["TP"]
if (trade["SL"] < break_even) and (stock_data[i]["close"] < break_even):
l_anzahl = 0
l_anzahl = round((0.02*sum)/(trade["SL"] - stock_data[i]["close"])) # 1% Risiko (Risiko = Abstand zum SL)
trade ["EK"] = ((trade["EK"] * trade["Anzahl"]) + (stock_data[i]["close"] * l_anzahl)) / (trade["Anzahl"] + l_anzahl)
trade["Anzahl"] += l_anzahl
trade["TP"] = stock_data[i]["close"] - (2.5*atr_1[i])
print("NACHKAUF " + str(l_anzahl) + " Stück für " + str(stock_data[i]["close"]) + " am " + str(stock_data[i]["date"]))
print("TP: " + str(trade["TP"]))
break_even = trade["TP"]
'''
print(str(sum) + " " + str(l_count2) + "/" + str(l_count1))
def backtest(stock):
#set indicators
sma_long_len = 100
ema_short_len = 38
cci_length = 20
atr_length = 14
#get stock data
stock_data = get_stock_data_wotd(stock)
if (stock_data["open"][0] <= 0) and (stock_data["close"][0] <= 0):
return
#get indicator values
cci = get_cci(stock_data, cci_length)
ema_short = get_ema(stock_data, ema_short_len)
sma_long = get_sma(stock_data, sma_long_len)
atr = get_atr(stock_data, atr_length)
# Alle Listen so lange machen, wie die kürzeste, damit von hinten durchiteriert werden kann
min_length = min(len(cci), len(ema_short), len(sma_long), len(atr))
cci = cci[:min_length]
ema_short = ema_short[:min_length]
atr = atr[:min_length]
stock_data["open"] = stock_data["open"][:min_length]
stock_data["high"] = stock_data["high"][:min_length]
stock_data["low"] = stock_data["low"][:min_length]
stock_data["close"] = stock_data["close"][:min_length]
stock_data["volume"] = stock_data["volume"][:min_length]
stock_data["date"] = stock_data["date"][:min_length]
trade = {"position": "$", "EK": 0, "SL": 0}
sum = 10000
cci_reversal = False
#sma_long_len größte Zahl
for i in range(-1, (-1) * (len(stock_data["open"])), -1):
if (trade["position"] == "$"):
cci_reversal = False
elif (trade["position"] == "L") and (cci[i] > 0):
cci_reversal = False
elif (trade["position"] == "S") and (cci[i] < 0):
cci_reversal = False
if trade["position"] == "L":
if ((cci[i] < 0) and (cci[i + 1] < 0) and
(cci[i] < cci[i + 1]) and not cci_reversal) or (cci[i] < -100):
print("CCI = " + str(cci[i]) + " - Sold at " +
str(stock_data["open"][i - 1]) + " am " +
str(stock_data["date"][i]) + " - Profit: " +
str((stock_data["open"][i - 1] - trade["EK"]) /
trade["EK"] * 100) + "%")
sum += sum * (
(stock_data["open"][i - 1] - trade["EK"]) / trade["EK"])
trade = {"position": "$", "EK": 0, "SL": 0}
cci_reversal = False
elif trade["position"] == "S":
if ((cci[i] > 0) and
(cci[i + 1] > 0) and not cci_reversal) or (cci[i] > 100):
print("CCI = " + str(cci[i]) + " - Sold at " +
str(stock_data["open"][i - 1]) + " - Profit: " +
str((trade["EK"] - stock_data["open"][i - 1]) /
trade["EK"] * 100) + "%")
sum += sum * (
(trade["EK"] - stock_data["open"][i - 1]) / trade["EK"])
trade = {"position": "$", "EK": 0, "SL": 0}
cci_reversal = False
#check trend with ema crossover
if ema_short[i] > sma_long[i]:
if trade["position"] == "S":
print("EMA Cross against Trade - Sold at " +
str(stock_data["open"][i - 1]) + " - Profit: " +
str((stock_data["open"][i - 1] - trade["EK"]) /
trade["EK"] * 100) + "%")
trade = {"position": "$", "EK": 0, "SL": 0}
#Kommt CCI aus Short-Trend und ist jetzt neutral/long?
for k in range(1, 3):
if i + k > len(cci) - 1:
cci_reversal = False
elif (cci[i] > -100) and (cci[i + k] < -100):
cci_reversal = True
break
'''
print("LONG")
print("DATE " + str(stock_data["date"][i]))
print("POS " + trade["position"])
print("CCI " + str(cci[i]))
print("CCI Rev " + str(cci_reversal))
print("EMA heute " + str(ema_short[i]))
print("EMA gestern " + str(ema_short[i+1]))
print("SMA heute " + str(sma_long[i]))
'''
ema_momentum = ((ema_short[i] - ema_short[i + 1]) > 0) and (
(ema_short[i] - ema_short[i + 1]) >
(ema_short[i + 1] - ema_short[i + 2])) and (
(ema_short[i + 1] - ema_short[i + 2]) >
(ema_short[i + 2] - ema_short[i + 3]))
sma_momentum = ((sma_long[i] - sma_long[i + 1]) > 0.0015) and (
(sma_long[i] - sma_long[i + 1]) >
(sma_long[i + 1] - sma_long[i + 2])) and (
(sma_long[i + 1] - sma_long[i + 2]) >
(sma_long[i + 2] - sma_long[i + 3]))
rel_abstand_ema_sma = (
(ema_short[i] - sma_long[i]) / sma_long[i] > 0.05) and (
(ema_short[i] - sma_long[i]) >
(ema_short[i + 1] - sma_long[i + 1]))
#wenn CCI im Longtrend oder Reversal aus -100 und ema steigt
if (trade["position"] == "$") and (
(cci[i] > 0) or (cci_reversal)) and (cci[i] > cci[i + 1]) and (
ema_momentum) and (sma_momentum) and (rel_abstand_ema_sma):
print("--------------------!!!--------------------")
print("GO LONG am " + str(stock_data["date"][i]) + " at " +
str(stock_data["close"][i]))
print("Stop Loss 2D Low - 1 ATR: " + str(
min(stock_data["low"][i], stock_data["low"][i + 1],
stock_data["low"][i + 2]) - atr[i]))
print("Stop Loss 2 ATR: " + str(stock_data["low"][i] -
(2 * atr[i])))
print("--------------------!!!--------------------")
trade["position"] = "L"
trade["EK"] = stock_data["close"][i]
trade["SL"] = min(stock_data["low"][i],
stock_data["low"][i + 1],
stock_data["low"][i + 2]) - atr[i]