def compute(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)
if self.rsi:
self.rsi.compute(timestamp, prices)
if self.pivotpoint:
if self.pivotpoint.compute_at_close and self.last_closed:
self.pivotpoint.compute(timestamp, self.price.open,
self.price.high, self.price.low,
self.price.close)
if self.atr:
if self.last_closed:
self.atr.compute(timestamp, self.price.high, self.price.low,
self.price.close)
if self.tomdemark:
if self.tomdemark.compute_at_close and self.last_closed:
# last_timestamp
self.tomdemark.compute(timestamp, self.price.timestamp,
self.price.high, self.price.low,
self.price.prices)
# sell-setup
if self.tomdemark.c.c == 9 and self.tomdemark.c.d < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
# buy-setup
elif self.tomdemark.c.c == 9 and self.tomdemark.c.d > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = -1
signal.p = self.price.close[-1]
if self.bsawe:
if self.last_closed:
# use OHLC4 as price in place of close
bsawe = self.bsawe.compute(timestamp, self.price.high,
self.price.low, self.price.prices)
if bsawe > 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
if len(self.pivotpoint.resistances[2]):
signal.tp = np.max(self.pivotpoint.resistances[2])
elif bsawe < 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
if len(self.pivotpoint.supports[2]):
signal.tp = np.min(self.pivotpoint.supports[2])
return signal
def compute(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)
if self.rsi:
self.rsi.compute(last_timestamp, prices)
# if self.volume_ema:
# self.volume_ema.compute(last_timestamp, volumes)
# if self.volume.last > self.volume_ema.last:
# volume_signal = 1
# elif self.volume.last < self.volume_ema.last:
# volume_signal = -1
if self.pivotpoint:
self.pivotpoint.compute(last_timestamp, self.price.open,
self.price.high, self.price.low,
self.price.close)
# 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)
if self.bbawe:
# use OHLC4 as price in place of close
bbawe = self.bbawe.compute(last_timestamp, self.price.high,
self.price.low, self.price.prices)
if self.tomdemark:
self.tomdemark.compute(last_timestamp, self.price.timestamp,
self.price.high, self.price.low,
self.price.prices)
level1_signal = 0
if bbawe > 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
if len(self.pivotpoint.resistances[2]):
signal.tp = np.max(self.pivotpoint.resistances[2])
elif bbawe < 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
if len(self.pivotpoint.supports[2]):
signal.tp = np.min(self.pivotpoint.supports[2])
#
# setup completed
#
# sell-setup
if self.tomdemark.c.c == 9 and self.tomdemark.c.d < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
# buy-setup
elif self.tomdemark.c.c == 9 and self.tomdemark.c.d > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = -1
signal.p = self.price.close[-1]
return signal
def process_ch(self, timestamp, last_timestamp, candles, prices, volumes):
"""
Entry : EMA trend + RSI level + TD9 entry confirmation
Exit : TD9 or opposite signal
"""
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.tf == 4*60*60:
self.sma200.compute(timestamp, prices)
self.sma55.compute(timestamp, prices)
if self.rsi:
self.rsi.compute(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(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_ema:
# self.volume_ema.compute(timestamp, volumes)
# if self.volume.last > self.volume_ema.last:
# volume_signal = 1
# elif self.volume.last < self.volume_ema.last:
# volume_signal = -1
if self.sma and self.ema:
self.sma.compute(timestamp, prices)
self.ema.compute(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(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:
if self.last_closed:
self.atr.compute(timestamp, self.price.high, self.price.low, self.price.close)
if self.pivotpoint:
if self.pivotpoint.compute_at_close and self.last_closed:
self.pivotpoint.compute(timestamp, self.price.open, 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:
if self.tomdemark.compute_at_close and self.last_closed:
# last_timestamp
self.tomdemark.compute(timestamp, self.price.timestamp, self.price.high, self.price.low, self.price.close)
# long entry on sell-setup
if self.tomdemark.c.c >= 1 and self.tomdemark.c.c <= 6 and self.tomdemark.c.d < 0 and level1_signal > 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
if len(self.pivotpoint.resistances[1]):
signal.tp = np.max(self.pivotpoint.resistances[1])
# Terminal.inst().info("Entry long %s %s" % (self.tomdemark.c.tdst, signal.sl), view='default')
# short entry on buy-setup
elif self.tomdemark.c.c >= 1 and self.tomdemark.c.c <= 6 and self.tomdemark.c.d > 0 and level1_signal < 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
if len(self.pivotpoint.supports[1]):
signal.tp = np.min(self.pivotpoint.supports[1])
# Terminal.inst().info("Entry short %s %s" % (self.tomdemark.c.tdst, signal.sl), view='default')
# aggressive long entry
elif self.tomdemark.c.c >= 8 and self.tomdemark.c.d > 0 and level1_signal > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = self.price.close[-1]
if len(self.pivotpoint.resistances[1]):
signal.tp = np.max(self.pivotpoint.resistances[1])
# td9 cannot provide us a SL, take it from ATR
signal.sl = self.atr.stop_loss(signal.dir)
# Terminal.inst().info("Aggressive long entry %s %s" % (self.tomdemark.c.tdst, signal.sl), view='default')
# aggressive long entry
elif self.tomdemark.c.c >= 8 and self.tomdemark.c.d < 0 and level1_signal < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = -1
signal.p = self.price.close[-1]
if len(self.pivotpoint.supports[1]):
signal.tp = np.min(self.pivotpoint.supports[1])
# td9 cannot provide us a SL, take it from ATR
signal.sl = self.atr.stop_loss(signal.dir)
# Terminal.inst().info("Aggressive short entry %s %s" % (self.tomdemark.c.tdst, signal.sl), view='default')
#
# setup completed
#
# sell-setup
elif self.tomdemark.c.c >= 8 and self.tomdemark.c.d < 0 and level1_signal < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
# Terminal.inst().info("Exit long %s %s c8p-c9 (%s%s)" % (self.strategy_trader.instrument.symbol, self.tf, self.tomdemark.c.c, 'p' if signal.p else ''), view='default')
# buy-setup
elif self.tomdemark.c.c >= 8 and self.tomdemark.c.d > 0 and level1_signal > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = -1
signal.p = self.price.close[-1]
# Terminal.inst().info("Exit short %s %s c8p-c9 (%s%s)" % (self.strategy_trader.instrument.symbol, self.tf, self.tomdemark.c.c, 'p' if signal.p else ''), view='default')
#
# setup aborted (@todo how to in this long/short case)
#
elif ((self.tomdemark.c.c >= 4 and self.tomdemark.c.c <= 7) and self.tomdemark.c.d < 0) and level1_signal < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
# Terminal.inst().info("Abort long %s %s c3-c7 (%s%s)" % (self.strategy_trader.instrument.symbol, self.tf, self.tomdemark.c.c, 'p' if signal.p else ''), view='default')
elif ((self.tomdemark.c.c >= 4 and self.tomdemark.c.c <= 7) and self.tomdemark.c.d > 0) and level1_signal > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = -1
signal.p = self.price.close[-1]
# Terminal.inst().info("Abort long %s %s c3-c7 (%s%s)" % (self.strategy_trader.instrument.symbol, self.tf, self.tomdemark.c.c, 'p' if signal.p else ''), view='default')
# #
# # invalidation 2 of opposite setup
# #
# elif self.tomdemark.c.c > 2 and self.tomdemark.c.d > 0 and level1_signal < 0:
# signal = StrategySignal(self.tf, timestamp)
# signal.signal = StrategySignal.SIGNAL_EXIT
# signal.dir = 1
# signal.p = self.price.close[-1]
# Terminal.inst().info("Canceled long entry %s c2-c3, p:%s tf:%s" % (self.strategy_trader.instrument.symbol, signal.p, self.tf), view='default')
if signal and signal.signal == StrategySignal.SIGNAL_ENTRY:
# if level1_signal > 0 and len(self.pivotpoint.supports[1]):
# # cancel if not below a support (long direction)
# if self.price.last >= np.nanmax(self.pivotpoint.supports[1]):
# level1_signal = 0
# if level1_signal < 0 and len(self.pivotpoint.resistances[1]):
# # cancel if not above a resistance (short direction)
# if self.price.last <= np.nanmin(self.pivotpoint.resistances[1]):
# level1_signal = 0
if level1_signal > 0 and len(self.pivotpoint.supports[1]):
# cancel if not below a support (long direction)
if self.price.last >= np.nanmax(self.pivotpoint.supports[1]):
level1_signal = 0
signal = None
if level1_signal < 0 and len(self.pivotpoint.resistances[1]):
# cancel if not below a resistance (short direction)
if self.price.last <= np.nanmin(self.pivotpoint.resistances[1]):
level1_signal = 0
signal = None
return signal
def process_cb(self, timestamp, last_timestamp, candles, prices, volumes):
"""
Entry : EMA crossing + TD9 entry confirmation
Exit : TD9 or opposite signal + EMA trend + RSI level
"""
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.tf == Instrument.TF_4HOUR:
self.sma200.compute(timestamp, prices)
self.sma55.compute(timestamp, prices)
if self.rsi:
self.rsi.compute(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(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_ema:
# self.volume_ema.compute(timestamp, volumes)
# if self.volume.last > self.volume_ema.last:
# volume_signal = 1
# elif self.volume.last < self.volume_ema.last:
# volume_signal = -1
if self.sma and self.ema:
self.sma.compute(timestamp, prices)
self.ema.compute(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(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:
if self.last_closed:
self.atr.compute(timestamp, self.price.high, self.price.low, self.price.close)
if self.pivotpoint:
if self.pivotpoint.compute_at_close and self.last_closed:
self.pivotpoint.compute(timestamp, self.price.open, self.price.high, self.price.low, self.price.close)
if self.bsawe:
if self.last_closed:
# use OHLC4 as price in place of close
bsawe = self.bsawe.compute(timestamp, self.price.high, self.price.low, self.price.prices)
#
# trend signal
#
ema_rsi_signal = 0
if self.ema.last < self.sma.last:
# bear trend
if self.rsi.last > 0.5: # initial: 0.5
ema_rsi_signal = -1
elif self.rsi.last < 0.2: # initial: 0.2
ema_rsi_signal = 1
else:
# bull trend
if self.rsi.last > 0.8: # initial: 0.8
ema_rsi_signal = -1
elif self.rsi.last < 0.6: # initial: 0.6
ema_rsi_signal = 1
#
# entry computation
#
if bsawe > 0 and ema_rsi_signal != -1:
# long entry
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = self.price.close[-1]
if self.tomdemark.c.tdst and signal.sl < signal.p:
signal.sl = self.tomdemark.c.tdst
if len(self.pivotpoint.resistances[2]):
tp = np.max(self.pivotpoint.resistances[2])
if tp > self.atr.stop_loss(-1):
# try with twice (same for short)
signal.tp = (tp - signal.p) * 2.0 + signal.p
# signal.tp = tp
elif bsawe < 0 and ema_rsi_signal != 1:
# short entry
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = -1
signal.p = self.price.close[-1]
if self.tomdemark.c.tdst and signal.sl > signal.p:
signal.sl = self.tomdemark.c.tdst
if len(self.pivotpoint.supports[2]):
tp = np.min(self.pivotpoint.supports[2])
if tp < self.atr.stop_loss(1):
signal.tp = signal.p - (signal.p - tp) * 2.0
# signal.tp = tp
#
# exit computation
#
if self.tomdemark:
if self.tomdemark.compute_at_close and self.last_closed:
# last_timestamp
self.tomdemark.compute(timestamp, self.price.timestamp, self.price.high, self.price.low, self.price.close)
# only on 5min timeframe, or could manage at strategy only for parent timeframe
# sell-setup
if self.tomdemark.c.c >= 8 and self.tomdemark.c.d < 0 and ema_rsi_signal < 0 and self.tf == Instrument.TF_5MIN:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
# buy-setup
elif self.tomdemark.c.c >= 8 and self.tomdemark.c.d > 0 and ema_rsi_signal > 0 and self.tf == Instrument.TF_5MIN:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = -1
signal.p = self.price.close[-1]
#
# setup aborted (@todo how to in this long/short case)
#
elif ((self.tomdemark.c.c >= 4 and self.tomdemark.c.c <= 7) and self.tomdemark.c.d < 0) and ema_rsi_signal < 0 and self.tf == Instrument.TF_5MIN:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
elif ((self.tomdemark.c.c >= 4 and self.tomdemark.c.c <= 7) and self.tomdemark.c.d > 0) and ema_rsi_signal > 0 and self.tf == Instrument.TF_5MIN:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = -1
signal.p = self.price.close[-1]
return signal
def process4(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.tf == 4*60*60:
self.sma200.compute(last_timestamp, prices)
self.sma55.compute(last_timestamp, prices)
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_ema:
# self.volume_ema.compute(last_timestamp, volumes)
# if self.volume.last > self.volume_ema.last:
# volume_signal = 1
# elif self.volume.last < self.volume_ema.last:
# 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.pivotpoint:
self.pivotpoint.compute(last_timestamp, self.price.open, self.price.high, self.price.low, self.price.close)
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)
if self.bbawe:
bbawe = self.bbawe.compute(last_timestamp, self.price.high, self.price.low, self.price.close)
if self.tomdemark:
self.tomdemark.compute(last_timestamp, self.price.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.ema.last < self.sma.last:
# level1_signal = -1
# else:
# level1_signal = 1
# if level1_signal > 0 and bb_break <= 0:
# level1_signal = 0
# elif bb_break > 0 and level1_signal >= 0:
# level1_signal = 1
# if bb_break > 0:
# level1_signal = 1
if bbawe > 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
if len(self.pivotpoint.resistances[2]):
signal.tp = np.max(self.pivotpoint.resistances[2])
elif bbawe < 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
if len(self.pivotpoint.supports[2]):
signal.tp = np.min(self.pivotpoint.supports[2])
#
# setup completed
#
# sell-setup
if self.tomdemark.c.c == 9 and self.tomdemark.c.d < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
# buy-setup
elif self.tomdemark.c.c == 9 and self.tomdemark.c.d > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = -1
signal.p = self.price.close[-1]
# if signal and signal.signal == StrategySignal.SIGNAL_ENTRY:
# # if level1_signal > 0 and len(self.pivotpoint.supports[1]):
# # # cancel if not below a support (long direction)
# # if self.price.last >= np.nanmax(self.pivotpoint.supports[1]):
# # level1_signal = 0
# # if level1_signal < 0 and len(self.pivotpoint.resistances[1]):
# # # cancel if not above a resistance (short direction)
# # if self.price.last <= np.nanmin(self.pivotpoint.resistances[1]):
# # level1_signal = 0
# if level1_signal > 0 and len(self.pivotpoint.supports[1]):
# # cancel if not below a support (long direction)
# if self.price.last >= np.nanmax(self.pivotpoint.supports[1]):
# level1_signal = 0
# signal = None
# if level1_signal < 0 and len(self.pivotpoint.resistances[1]):
# # cancel if not below a resistance (short direction)
# if self.price.last <= np.nanmin(self.pivotpoint.resistances[1]):
# level1_signal = 0
# signal = None
return signal