Esempio n. 1
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 def test_find_breakout_hh20_preceeded_by_exit(self):
     events = [
         Event(Quote({'date': '2010-08-01'}), 'exit'),
         Event(Quote({'date': '2010-09-01'}), 'hh20'),
         Event(Quote({'date': '2010-11-01'}), 'eod'),
     ]
     self.assertFalse(find_recent_breakout(events, '2010-09-15'))
Esempio n. 2
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 def test_find_breakout_a_stop(self):
     events = [
         Event(Quote({'date': '2010-09-01'}), 'hh20'),
         Event(Quote({'date': '2010-09-20'}), 'hh50'),
         Event(Quote({'date': '2010-11-01'}), 'stop'),
     ]
     self.assertFalse(find_recent_breakout(events, '2010-09-15'))
Esempio n. 3
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 def test_find_breakout_hh50_too_old(self):
     events = [
         Event(Quote({'date': '2010-09-01'}), 'hh20'),
         Event(Quote({'date': '2010-09-20'}), 'hh50'),
         Event(Quote({'date': '2010-11-01'}), 'eod'),
     ]
     self.assertFalse(find_recent_breakout(events, '2010-09-25'))
Esempio n. 4
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 def test_find_breakout_hh20_preceeded_by_stop(self):
     events = [
         Event(Quote({'date': '2010-08-01'}), 'stop'),
         Event(Quote({'date': '2010-09-20'}), 'hh20'),
         Event(Quote({'date': '2010-11-01'}), 'eod'),
     ]
     self.assertEquals(events[1],
                       find_recent_breakout(events, '2010-09-15'))
Esempio n. 5
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def find_events(symbol):
  events = []
  quotes = Quote.get_quotes(symbol)
  if len(quotes) < 1:
    return events
  quote = quotes[0]
  stop = None
  entry_price = None
  hh50 = False
  hh20 = False
  while quote:
    prev = quote
    quote = quote.next()
    
    if not quote: # no more data
      if entry_price:
        #print "Still winning ", entry_price, hh50, hh20
        events.append(Event(prev, 'eod', prev.close))
      continue
    
    if not hh50 and quote.is_above_50_day_high():
      #print "Found a hh50 event %s" % quote
      events.append(Event(quote, 'hh50'))
      hh50 = True
      if entry_price == None:
        (entry_price, stop) = get_entry_price_and_stop(quote)

    if not hh20 and quote.is_above_20_day_high():
      #print "Found a hh20 event %s" % quote
      events.append(Event(quote, 'hh20'))
      hh20 = True
      if entry_price == None:
        (entry_price, stop) = get_entry_price_and_stop(quote)

    if(hh20 and quote.low < stop): # hit the stop
      #print "Found a stop event %s" % quote
      events.append(Event(quote, 'stop', stop))
      stop = None 
      entry_price = None
      hh50 = None 
      hh20 = None
      continue

    if(hh20 and quote.close > entry_price and quote.close < quote.get_indicator().ll_10 ): # exit
      #print "Found a exit event %s" % quote
      events.append(Event(quote, 'exit', quote.get_indicator().ll_10))
      stop = None 
      entry_price = None
      hh50 = None 
      hh20 = None
      continue
  #print "Found %s events for ticker %s" %(len(events), symbol)
  #print 
  return events
Esempio n. 6
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  last_event = events[-1]
  if(last_event.type != 'eod'):
    return False

  # Good, we are still in a breakout.
  # When did it start ?
  breakout_start = events[-2]
  
  if breakout_start.quote.date < not_older_than:
    return False
  if breakout_start.type == 'hh50' or events[-3].type == 'stop':
    return breakout_start

account_value = Decimal('550000.0') / Currency.get_rate('SEKSEK')
risk_factor = 100
print "-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------"
print "Symbol\tDate\tBreakout\nClose\tStop\tTarget\tShares\tPosition"
print "-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------"

if __name__ == '__main__':
  for quote in Quote.get_latest_quotes('%'):
    breakout = find_recent_breakout(find_events(quote.symbol), date.today() - timedelta(days=3))
    if breakout:
      #print 'Found breakout for %s %s' % (quote.symbol, breakout)
      stop = quote.get_indicator().calculate_stop(quote.close) #TODO add transaction cost
      risk = quote.close - stop
      target = risk * 6 + quote.close
      shares = Position.get_shares(quote, account_value/risk_factor)
      position = long(shares * quote.close)
      print "%s\t%s\t%s\t%s\t%s\t%s\t%s\t%s" % (quote.symbol, quote.date, breakout, quote.close, stop, target, shares, position)
Esempio n. 7
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from dao import Position
from dao import Quote
from connection import db

 #print("[%s] %s mavg20=%s mavg50=%s" % (symbol, date, days, sma_50))

total = 100000
currency = 'USD'
#stocks = 0
#symbol = 'LUPE.ST'
symbol = 'AAPL'
symbol = 'RIO.L'
symbol = 'SYSR.ST'
position = None
skip = 20
for quote in Quote.get_quotes(symbol):
  skip = skip -1
  if skip > 0:
    continue
  print "\nSimulating %s" % quote
  print "%s" % quote.get_indicator()
  if position:
    position.current_quote = quote
    #print "I already have a position for %s" % symbol
    #if quote.is_below_10_day_low(position):
    if quote.has_met_stop(position):
      print "STOP MET %s" % position.get_stop()
      print "Selling %s" % position
      print "Loss %s" % position.get_gain()
      total = total + position.get_value(currency)
      position = None
Esempio n. 8
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    # When did it start ?
    breakout_start = events[-2]

    if breakout_start.quote.date < not_older_than:
        return False
    if breakout_start.type == 'hh50' or events[-3].type == 'stop':
        return breakout_start


account_value = Decimal('550000.0') / Currency.get_rate('SEKSEK')
risk_factor = 100
print "-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------"
print "Symbol\tDate\tBreakout\nClose\tStop\tTarget\tShares\tPosition"
print "-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------"

if __name__ == '__main__':
    for quote in Quote.get_latest_quotes('%'):
        breakout = find_recent_breakout(find_events(quote.symbol),
                                        date.today() - timedelta(days=3))
        if breakout:
            #print 'Found breakout for %s %s' % (quote.symbol, breakout)
            stop = quote.get_indicator().calculate_stop(
                quote.close)  #TODO add transaction cost
            risk = quote.close - stop
            target = risk * 6 + quote.close
            shares = Position.get_shares(quote, account_value / risk_factor)
            position = long(shares * quote.close)
            print "%s\t%s\t%s\t%s\t%s\t%s\t%s\t%s" % (
                quote.symbol, quote.date, breakout, quote.close, stop, target,
                shares, position)
Esempio n. 9
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 def test_find_breakout_hh20_with_no_past(self):
     events = [
         Event(Quote({'date': '2010-09-20'}), 'hh20'),
         Event(Quote({'date': '2010-11-01'}), 'eod'),
     ]
     self.assertFalse(find_recent_breakout(events, '2010-09-15'))