def exitPos(myExitPrice, myExitDate, tempName, myCurShares):
global mp, commission
global tradeName, entryPrice, entryQuant, exitPrice, numShares, myBPV, cumuProfit
if mp < 0:
trades = tradeInfo('liqShort', myExitDate, tempName, myExitPrice,
myCurShares, 0)
profit = trades.calcTradeProfit('liqShort', mp, entryPrice,
myExitPrice, entryQuant,
myCurShares) * myBPV
profit = profit - myCurShares * commission
trades.tradeProfit = profit
cumuProfit += profit
trades.cumuProfit = cumuProfit
if mp > 0:
trades = tradeInfo('liqLong', myExitDate, tempName, myExitPrice,
myCurShares, 0)
profit = trades.calcTradeProfit('liqLong', mp, entryPrice, myExitPrice,
entryQuant, myCurShares) * myBPV
profit = profit - myCurShares * commission
trades.tradeProfit = profit
cumuProfit += profit
trades.cumuProfit = cumuProfit
curShares = 0
for remShares in range(0, len(entryQuant)):
curShares += entryQuant[remShares]
return (profit, trades, curShares)
def exitTrade(self):
if self.mp < 0:
trades = tradeInfo('liqShort', self.myExitDate, self.tempName,
self.myExitPrice, self.myCurShares, 0)
profit = trades.calcTradeProfit(
'liqShort', self.mp, self.entryPrice, self.myExitPrice,
self.entryQuant, self.myCurShares) * self.myBPV
profit = profit - myCurShares * commission
trades.tradeProfit = profit
cumuProfit += profit
trades.cumuProfit = cumuProfit
if self.mp > 0:
trades = tradeInfo('liqLong', myExitDate, tempName, myExitPrice,
myCurShares, 0)
profit = trades.calcTradeProfit('liqLong', mp, entryPrice,
myExitPrice, entryQuant,
myCurShares) * myBPV
profit = profit - myCurShares * commission
trades.tradeProfit = profit
cumuProfit += profit
trades.cumuProfit = cumuProfit
curShares = 0
for remShares in range(0, len(entryQuant)):
curShares += entryQuant[remShares]
return (profit, trades, curShares)
def bookTrade(entryOrExit, lOrS, price, date, tradeName, shares):
global mp, commission, totProfit, curShares, barsSinceEntry, listOfTrades
global entryPrice, entryQuant, exitPrice, numShares, myBPV, cumuProfit
if entryOrExit == -1:
profit, trades, curShares = exitPos(price, date, tradeName, shares)
listOfTrades.append(trades)
mp = 0
else:
profit = 0
curShares = curShares + shares
barsSinceEntry = 1
entryPrice.append(price)
entryQuant.append(shares)
if lOrS == 1:
mp += 1
marketPosition[i] = mp
trades = tradeInfo('buy', date, tradeName, entryPrice[-1], shares,
1)
if lOrS == -1:
mp -= 1
marketPosition[i] = mp
trades = tradeInfo('sell', date, tradeName, entryPrice[-1], shares,
1)
listOfTrades.append(trades)
return (profit, curShares)
def exitTrade(self):
if self.mp < 0:
trades = tradeInfo('liqShort',self.myExitDate,self.tempName,self.myExitPrice,self.myCurShares,0)
profit = trades.calcTradeProfit('liqShort',self.mp,self.entryPrice,self.myExitPrice,self.entryQuant,self.myCurShares) * self.myBPV
profit = profit - myCurShares *commission
trades.tradeProfit = profit
cumuProfit += profit
trades.cumuProfit = cumuProfit
if self.mp > 0:
trades = tradeInfo('liqLong',myExitDate,tempName,myExitPrice,myCurShares,0)
profit = trades.calcTradeProfit('liqLong',mp,entryPrice,myExitPrice,entryQuant,myCurShares) * myBPV
profit = profit - myCurShares * commission
trades.tradeProfit = profit
cumuProfit += profit
trades.cumuProfit = cumuProfit
curShares = 0
for remShares in range(0,len(entryQuant)):
curShares += entryQuant[remShares]
return (profit,trades,curShares)
def exitPos(myExitPrice,myExitDate,tempName,myCurShares):
global mp,commission
global tradeName,entryPrice,entryQuant,exitPrice,numShares,myBPV,cumuProfit
if mp < 0:
trades = tradeInfo('liqShort',myExitDate,tempName,myExitPrice,myCurShares,0)
profit = trades.calcTradeProfit('liqShort',mp,entryPrice,myExitPrice,entryQuant,myCurShares) * myBPV
profit = profit - myCurShares *commission
trades.tradeProfit = profit
cumuProfit += profit
trades.cumuProfit = cumuProfit
if mp > 0:
trades = tradeInfo('liqLong',myExitDate,tempName,myExitPrice,myCurShares,0)
profit = trades.calcTradeProfit('liqLong',mp,entryPrice,myExitPrice,entryQuant,myCurShares) * myBPV
profit = profit - myCurShares * commission
trades.tradeProfit = profit
cumuProfit += profit
trades.cumuProfit = cumuProfit
curShares = 0
for remShares in range(0,len(entryQuant)):
curShares += entryQuant[remShares]
return (profit,trades,curShares)
profit = 0
price = myClose[i]
if mp <= -1:
profit, trades, curShares = exitPos(price, myDate[i],
"RevShrtLiq", curShares)
listOfTrades.append(trades)
mp = 0
todaysCTE = profit
tradeName = "TMA Buy"
mp += 1
marketPosition[i] = mp
numShares = 1
entryPrice.append(price)
entryQuant.append(numShares)
curShares = curShares + numShares
trades = tradeInfo('buy', myDate[i], tradeName, entryPrice[-1],
numShares, 1)
barsSinceEntry = 1
totProfit += profit
listOfTrades.append(trades)
#Long Exit - 1 Fixed Dollar Stop Loss
if mp >= 1 and myClose[
i] < entryPrice[-1] - stopAmt and barsSinceEntry > 1:
price = myClose[i]
tradeName = "L-MMLoss"
exitDate = myDate[i]
numShares = curShares
exitQuant.append(numShares)
profit, trades, curShares = exitPos(price, myDate[i], tradeName,
numShares)
if curShares == 0: mp = marketPosition[i] = 0
totProfit += profit
if (mp != 1) and avg1 > avg2 and avg2 > avg3:
profit = 0
price = myClose[i]
if mp <= -1:
profit,trades,curShares = exitPos(price,myDate[i],"RevShrtLiq",curShares)
listOfTrades.append(trades)
mp = 0
todaysCTE = profit
tradeName = "TMA Buy"
mp += 1
marketPosition[i] = mp
numShares = 1
entryPrice.append(price)
entryQuant.append(numShares)
curShares = curShares + numShares
trades = tradeInfo('buy',myDate[i],tradeName,entryPrice[-1],numShares,1)
barsSinceEntry = 1
totProfit += profit
listOfTrades.append(trades)
#Long Exit - 1 Fixed Dollar Stop Loss
if mp >= 1 and myClose[i] < entryPrice[-1] - stopAmt and barsSinceEntry > 1:
price = myClose[i]
tradeName = "L-MMLoss"
exitDate =myDate[i]
numShares = curShares
exitQuant.append(numShares)
profit,trades,curShares = exitPos(price,myDate[i],tradeName,numShares)
if curShares == 0 : mp = marketPosition[i] = 0
totProfit += profit
todaysCTE = profit
listOfTrades.append(trades)
curShares)
smtl[j].tradesList.append(trades)
mp = 0
todaysCTE = profit
totProfit += profit
tradeName = "Test B"
mp += 1
numShares = 1
curShares = curShares + numShares
barsSinceEntry = 1
smtl[j].setSysMarkTrackingInfo(price, numShares,
tradeName, totProfit,
mp, barsSinceEntry,
curShares)
trades = tradeInfo('buy', marketList[j].date[k],
tradeName, smtl[j].entryPrice[-1],
numShares, 1)
smtl[j].tradesList.append(trades)
if marketList[j].low[k] <= lowest(
marketList[j].low, 40, k,
1) and barsSinceEntry > 1 and mp != -1:
price = min(marketList[j].open[k],
marketList[j].low[k - 1])
if mp >= 1:
profit, trades, curShares = exitPos(
price, marketList[j].date[k], "RevLongLiq",
curShares)
smtl[j].tradesList.append(trades)
mp = 0
todaysCTE = profit
totProfit += profit
