def test_add_trade_buy_sell_flat(self):
pos = TradePositionFIFO()
pos.add_trade(Trade(datetime(2020, 3, 25), 'DUMMY', 'Buy', 100, 10))
pnl = pos.add_trade(
Trade(datetime(2020, 3, 25), 'DUMMY', 'Sell', 100, 12))
self.assertEqual(200, pnl)
self.assertEqual(0, len(pos.trades))
def test_add_trade_buy_sell_flip(self):
pos = TradePositionFIFO()
pos.add_trade(Trade(datetime(2020, 3, 25), 'DUMMY', 'Buy', 50, 10))
pos.add_trade(Trade(datetime(2020, 3, 25), 'DUMMY', 'Sell', 80, 12))
self.assertEqual(1, len(pos.trades))
self.assertEqual('Sell', pos.trades[0].way)
self.assertEqual(30, sum([t.quantity for t in pos.trades]))
def test_new_negative_quantity(self):
try:
Trade(datetime(2020, 3, 25), 'DUMMY', 'Buy', -100, 10)
except ValueError:
pass
else:
self.fail('ValueError not raised')
def test_new_invalid_way(self):
try:
Trade(datetime(2020, 3, 25), 'DUMMY', 'XXX', 100, 10)
except ValueError:
pass
else:
self.fail('ValueError not raised')
def buy(self, main_amount, amount, profit_percent):
if (self.main_balance - main_amount) >= self.currency.min_main:
log(
'Buying ' + str(amount) + ' ' + self.currency_alt +
' at a rate of ' + str(self.lowest_ask) + ' ' +
self.currency_main, True)
order = Trade().buy(self.poloniex, self.lowest_ask, amount,
self.currency.currency_pair)
if order is not None:
assert isinstance(order, Order)
log(
str(datetime.now()) + ' - Bought ' + str(order.amount) +
' ' + self.currency_alt + ' for ' + str(order.total) +
' ' + self.currency_main + ' at ' + str(order.rate) + ' ' +
self.currency_main + ' for a ' +
"{0:.2f}".format(profit_percent * 100) + '% profit', True)
return TradeResult.success
elif self.last_trade_type != TradeResult.failure:
if self.last_trade_type != TradeResult.failure:
log(
'Not enough funds in your ' + self.currency_main +
' account! You need at least ' +
str(self.currency.min_main) + ' ' + self.currency_main,
True)
return TradeResult.failure
def sell(self, amount, profit_percent):
if (self.alt_balance - amount) >= self.currency.min_alt and amount > 0:
log(
'Selling ' + str(amount) + ' ' + self.currency_alt +
' at a rate of ' + str(self.highest_bid) + ' ' +
self.currency_main, True)
order = Trade().sell(self.poloniex, self.highest_bid, amount,
self.currency.currency_pair)
if order is not None:
assert isinstance(order, Order)
log(
str(datetime.now()) + ' - Sold ' + str(order.amount) +
' ' + self.currency_alt + ' for ' + str(order.total) +
' ' + self.currency_main + ' at ' + str(order.rate) + ' ' +
self.currency_main + ' for a ' +
"{0:.2f}".format(profit_percent * 100) + '% profit', True)
return TradeResult.success
elif self.last_trade_type != TradeResult.failure:
if self.last_trade_type != TradeResult.failure:
log(
'Not enough funds in your ' + self.currency_alt +
' account! You need at least ' +
str(self.currency.min_alt) + ' ' + self.currency_alt, True)
return TradeResult.failure
def open(candle, fb, symbol, trades, params):
trade = None
allowed_to_buy = False
allowed_to_sell = False
has_buy_signal = False
has_sell_signal = False
open_reason = None
if True:
# TAIL
if params.get('open_TAIL', False):
bs = 0.01 if candle.body_size() == 0 else candle.body_size()
if candle.low_tail()/bs > 0.2:
has_buy_signal = True
open_reason = 'TAIL_BUY'
elif candle.high_tail()/bs > 0.2:
has_sell_signal = True
open_reason = 'TAIL_SELL'
if fb.pointer > 5:
# BREAKUP
if params.get('open_BREAK', False):
f = fb.last(symbol, 5, figure=True)
if f.is_breakup():
has_buy_signal = True
open_reason = 'BREAKUP_BUY'
if f.is_breakdown():
has_sell_signal = True
open_reason = 'BREAKDOWN_SELL'
#HAMMER
if params.get('open_HAMMER', False):
f = fb.last(symbol, 3, figure=True)
if f.summary().is_hammer() or f.summary(last=2).is_hammer():
has_buy_signal = True
open_reason = 'HAMMER_BUY'
elif f.summary().is_shooting_star() or f.summary(last=2).is_shooting_star():
has_sell_signal = True
open_reason = "S_STAR_SELL"
#FRACTAL
if params.get('open_FRACTAL', False):
f = fb.last(symbol, 5, figure=True)
if f.is_bottom_fractal():
has_buy_signal = True
open_reason = 'FRAC_BUY'
elif f.is_top_fractal():
has_sell_signal = True
open_reason = 'FRAC_SELL'
if params.get('open_C2', False):
if CCI(fb.last(symbol, 2)) > CCI(fb.last(symbol, 2, -1)):
has_buy_signal = True
open_reason = 'C2_BUY'
elif CCI(fb.last(symbol, 2)) > CCI(fb.last(symbol, 2, -1)):
has_buy_signal = True
open_reason = 'C2_SELL'
filter_passed = True
if params.get('use_FILTERS', False):
filter_passed = False
max_per = params.get('f_max_per', 250)
th = params.get('f_max_th', 0.8)
if fb.pointer > max_per:
m = max(bar['high'] for bar in fb.last(symbol, max_per))
if candle.close_price > m*th:
filter_passed = True
if filter_passed and (has_buy_signal or has_sell_signal):
tp_value = candle.close_price*params.get('rel_tp_k', 0.2)
if has_buy_signal:
#if ts['open_long'] > ts['open_short'] or ts['open'] == 0:
allowed_to_buy = True
# else:
# if ts['open_profit'] > -0.5: # PARAMS!
# if params.get('use_FLIP', False):
# close_all(trades, candle, 'FLIP')
# allowed_to_sell = True
if has_sell_signal:
# if ts['open_long'] < ts['open_short'] or ts['open'] == 0:
allowed_to_sell = True
# else:
# if ts['open_profit'] > -0.5:
# if params.get('use_FLIP', False):
# close_all(trades, candle, 'FLIP')
# allowed_to_buy = True
if allowed_to_buy and allowed_to_sell:
allowed_to_buy = False
allowed_to_sell = False
if allowed_to_buy:
trade = Trade()
trade.open_trade(symbol,'BUY', candle, candle.close_price, candle.low_price*params.get('init_sl_k', 0.98), candle.close_price + tp_value, open_reason)
if allowed_to_sell and params.get('trade_short', False):
trade = Trade()
trade.open_trade(symbol,'SELL', candle, candle.close_price, candle.high_price*(2-params.get('init_sl_k', 0.98)), candle.close_price - tp_value, open_reason)
return trade
def test_add_trade_unrealized_pnl(self):
pos = TradePositionFIFO()
pos.add_trade(Trade(datetime(2020, 3, 25), 'DUMMY', 'Buy', 100, 10))
pos.add_trade(Trade(datetime(2020, 3, 25), 'DUMMY', 'Buy', 50, 11))
self.assertEqual(250, pos.unrealized_pnl(12))
def test_new(self):
t = Trade(datetime(2020, 3, 25), 'DUMMY', 'Buy', 100, 10)
self.assertIsInstance(t, Trade)
def open(cc, f, symbol, trades, params):
trade = None
#ts = trade_stats(trades)
allowed_to_buy = False
has_buy_signal = False
open_reason = None
if True:
# TAIL
if params.get('open_TAIL', False):
bs = 0.01 if cc.body_size() == 0 else cc.body_size()
if cc.low_tail() / bs > 0.2:
has_buy_signal = True
open_reason = 'TAIL_BUY'
if f.pointer > 50:
# BREAKUP
if params.get('open_BREAK', False):
ff = f.last(symbol, 5, figure=True)
if ff.is_breakup():
has_buy_signal = True
open_reason = 'BREAKUP_BUY'
#HAMMER
if params.get('open_HAMMER', False):
ff = f.last(symbol, 3, figure=True)
if ff.summary().is_hammer() or ff.summary(last=2).is_hammer():
has_buy_signal = True
open_reason = 'HAMMER_BUY'
#DOUBLE HAMMER
if params.get('open_DOUBLE_HAMMER', False):
pf = params.get('dh_fast', 2)
ps = params.get('dh_slow', 20)
if f.last(symbol, pf,
figure=True).summary().is_hammer() and f.last(
symbol, ps, figure=True).summary().is_hammer():
has_buy_signal = True
open_reason = 'DOUBLE_HAMMER'
#FRACTAL
if params.get('open_FRACTAL', False):
ff = f.last(symbol, 5, figure=True)
if ff.is_bottom_fractal():
has_buy_signal = True
open_reason = 'FRAC_BUY'
#C2
if params.get('open_C2', False):
if CCI(f.last(symbol, 2)) > CCI(f.last(symbol, 2, -1)):
has_buy_signal = True
open_reason = 'C2_BUY'
passed_filters = []
if params.get('use_HIGH_FILTER', False):
high_filter_passed = 0
max_per = params.get('hf_max_per', 250)
th = params.get('hf_max_th', 0.8)
if f.pointer > max_per:
m = max(bar['high'] for bar in f.last(symbol, max_per))
if cc.close_price > m * th:
high_filter_passed = 1
passed_filters.append(high_filter_passed)
if params.get('use_CCI_FILTER', False):
cci_filter_passed = 0
per = params.get('cci_f_per', 14)
if CCI(f.last(symbol, per)) > CCI(f.last(symbol, per, -1)):
cci_filter_passed = 1
passed_filters.append(cci_filter_passed)
# if params.get('use_COS_FILTER', False):
# cos_filter_passed = 0
# per = params.get('cos_f_per', 14)
# if CCI(f.last(symbol, per)) > params.get('cos_f_val', 50):
# cos_filter_passed = 1
# passed_filters.append(cos_filter_passed)
if params.get('use_SMA_FILTER', False):
sma_filter_passed = 0
per1 = params.get('sma_f_per_1', 12) # 5 - 15
per2 = params.get('sma_f_per_2', 24) # 16 - 30
per3 = params.get('sma_f_per_3', 50) # 31 - 50
if SMA(f.last(symbol, per1)) > SMA(f.last(symbol, per2)) > SMA(
f.last(symbol, per3)):
sma_filter_passed = 1
passed_filters.append(sma_filter_passed)
all_filters_passed = sum(passed_filters) == len(passed_filters)
if all_filters_passed and has_buy_signal:
tp_value = cc.close_price * params.get('rel_tp_k', 0.2)
if has_buy_signal:
allowed_to_buy = True
if allowed_to_buy:
trade = Trade()
trade.open_trade(symbol, 'BUY', cc, cc.close_price,
cc.low_price * params.get('init_sl_k', 0.98),
cc.close_price + tp_value, open_reason)
return trade
def open(cc, c, trades, params):
trade = None
#ts = trade_stats(trades)
allowed_to_buy = False
has_buy_signal = False
open_reason = None
if True: #ts['open'] <= params.get('max_pos', 50):
# TAIL
if params.get('open_TAIL', False):
bs = 0.01 if cc.body_size() == 0 else cc.body_size()
if cc.low_tail()/bs > 0.2:
has_buy_signal = True
open_reason = 'TAIL_BUY'
if c.pointer > 5:
# BREAKUP
if params.get('open_BREAK', False):
f = c.last(5, figure=True)
if f.is_breakup():
has_buy_signal = True
open_reason = 'BREAKUP_BUY'
#HAMMER
if params.get('open_HAMMER', False):
f = c.last(3, figure=True)
if f.summary().is_hammer() or f.summary(last=2).is_hammer():
has_buy_signal = True
open_reason = 'HAMMER_BUY'
#DOUBLE HAMMER
if params.get('open_DOUBLE_HAMMER', False):
pf = params.get('dh_fast', 2)
ps = params.get('dh_slow', 20)
if c.last(pf, figure=True).summary().is_hammer() and c.last(ps, figure=True).summary().is_hammer():
has_buy_signal = True
open_reason = 'DOUBLE_HAMMER'
#FRACTAL
if params.get('open_FRACTAL', False):
f = c.last(5, figure=True)
if f.is_bottom_fractal():
has_buy_signal = True
open_reason = 'FRAC_BUY'
if params.get('open_C2', False):
if CCI(c.last(2)) > CCI(c.last(2, -1)):
has_buy_signal = True
open_reason = 'C2_BUY'
passed_filters = []
if params.get('use_HIGH_FILTER', False):
high_filter_passed = 0
max_per = params.get('hf_max_per', 250)
th = params.get('hf_max_th', 0.8)
if c.pointer > max_per:
m = max(bar['high'] for bar in c.last(max_per))
if cc.close_price > m*th:
high_filter_passed = 1
passed_filters.append(high_filter_passed)
if params.get('use_CCI_FILTER', False):
cci_filter_passed = 0
per = params.get('cci_f_per', 14)
if CCI(c.last(per)) > CCI(c.last(per, -1)):
cci_filter_passed = 1
passed_filters.append(cci_filter_passed)
all_filters_passed = sum(passed_filters) == len(passed_filters)
if all_filters_passed and has_buy_signal:
tp_value = cc.close_price*params.get('rel_tp_k', 0.2)
if has_buy_signal:
#if ts['open_long'] > ts['open_short'] or ts['open'] == 0:
allowed_to_buy = True
if allowed_to_buy:
trade = Trade()
trade.open_trade(c.symbol, 'BUY', cc, cc.close_price, cc.low_price*params.get('init_sl_k', 0.98), cc.close_price + tp_value, open_reason)
return trade