class BollingerBreakoutExitManager(ExitManager):
def __init__(self, settings=None, name=None):
self.name = name
ExitManager.__init__(self, settings)
bb_period = self._getintsetting("BollingerBreakoutExitManager", "bbPeriod")
bb_stdevs = self._getfloatsetting("BollingerBreakoutExitManager", "bbStdevs")
self.close = AdjustedClose()
self.bb = BollingerBands(metric=self.close, period=bb_period, stdev=bb_stdevs)
self._addMetrics(self.close, self.bb)
def checkTrade(self, trade):
if trade is not None and trade.is_open():
if trade.is_long():
if self.close.value() < self.bb.lowerBand():
trade.close(self.perioddata.date, self.perioddata.adjustedClose)
else:
if self.close.value() > self.bb.upperBand():
trade.close(self.perioddata.date, self.perioddata.adjustedClose)
return trade
class BollingerFadeEntryManager(NoScaleInEntryManager):
def __init__(self, settings, triggerLongPrice=None, trigerShortPrice=None):
bbperiod = settings.getint("BollingerFadeEntry", "bbperiod")
stdev = settings.getfloat("BollingerFadeEntry", "stdev")
minHourStr = settings.get("BollingerFadeEntry", "minHour")
maxHourStr = settings.get("BollingerFadeEntry", "maxHour")
if minHourStr == None or minHourStr == "None":
self.minHour = None
else:
self.minHour = int(minHourStr)
if maxHourStr == None or maxHourStr == "None":
self.maxHour = None
else:
self.maxHour = int(maxHourStr)
self.bb = BollingerBands(period=bbperiod, stdev=stdev)
self.mode = None
def handle(self, perioddata):
self.bb.handle(perioddata)
if self.bb.ready() and perioddata.low < self.bb.lowerBand():
self.mode = "short"
elif self.bb.ready() and perioddata.high > self.bb.upperBand():
self.mode = "long"
self.lastpd = perioddata
def _checkTradeNoScale(self):
trade = None
if self.bb.ready() and self.lastpd.date.hour >= self.minHour and self.lastpd.date.hour < self.maxHour:
if self.mode == "long" and self.lastpd.close <= self.bb.sma.value():
trade = Trade(self.lastpd.stock, self.lastpd.date, self.lastpd.close, self.bb.lowerBand() - 0.01)
if self.mode == "short" and self.lastpd.close >= self.bb.sma.value():
trade = Trade(self.lastpd.stock, self.lastpd.date, self.lastpd.close, self.bb.upperBand() + 0.01)
return trade
class ExitManager:
def __init__(self, settings):
bbperiod = settings.getint("BollingerFadeEntry", "bbperiod")
stdev = settings.getfloat("BollingerFadeEntry", "stdev")
self.bb = BollingerBands(period=bbperiod, stdev=stdev)
def handle(self, perioddata):
self.perioddata = perioddata
self.bb.handle(self.perioddata)
def checkTrade(self, trade):
if (
trade != None
and self.bb.ready()
and (self.perioddata.close >= self.bb.upperBand() or self.perioddata.close <= self.bb.lowerBand())
):
trade.exit = self.perioddata.date
trade.exitPrice = self.perioddata.close
return trade
def findsetups(self, fromdt, todt): stocks = self._getTickers(fromdt, datastore) for stock in stocks: # padded extra to make sure 200 day sma has enough trading days to work with before our window smafromdt = fromdt - timedelta(days=self.period+1) dailydata = datastore.getData(stock, self.timescale, smafromdt, todt) bb = BollingerBands(period=self.period, stdev=float(self.bandwidth)) outerbb = None if self.bandStop != None: outerbb = BollingerBands(period=self.period, stdev=self.bandStop) sma = None if self.sma: sma = SimpleMovingAverage(period=self.sma) lastdd = None trade = None for pd in dailydata: bb.handle(pd) if outerbb != None: outerbb.handle(pd) if sma != None: sma.handle(pd) # check for long stopout if trade != None and trade.stop < trade.entryPrice and pd.low <= trade.trailingstop: trade.exit = pd.date trade.exitPrice = min(pd.open, trade.trailingstop) self.tradeManager.addTrade(trade) trade = None # check for long exit if trade != None and ((self.exitAtOtherBand == False and pd.close > bb.movingAverage()) or (self.exitAtOtherBand and pd.close >= bb.upperBand())): trade.exit = pd.date trade.exitPrice = pd.close self.tradeManager.addTrade(trade) trade = None # check for short stopout if trade != None and trade.stop > trade.entryPrice and pd.high >= trade.trailingstop: trade.exit = pd.date trade.exitPrice = max(pd.open, trade.trailingstop) self.tradeManager.addTrade(trade) trade = None # check for short exit if trade != None and ((self.exitAtOtherBand == False and pd.close < bb.movingAverage()) or (self.exitAtOtherBand and pd.close <= bb.lowerBand())): trade.exit = pd.date trade.exitPrice = pd.close self.tradeManager.addTrade(trade) trade = None # check for new long if trade == None and self.doLong and pd.close > self.minprice and bb.ready() and pd.date >= fromdt and \ pd.close < bb.lowerBand() and (sma == None or sma.value() < pd.close): stop = 0 if self.percentStop != None: stop = pd.close * (1-self.percentStop) if self.bandStop != None: stop = outerbb.lowerBand() trade = Trade(stock=stock, entry=pd.date, entryPrice=pd.close, stop=stop) # check for new short if trade == None and self.doShort and pd.close > self.minprice and bb.ready() and pd.date >= fromdt and \ pd.close > bb.upperBand() and (sma == None or sma.value() > pd.close): stop = 0 if self.percentStop != None: stop = pd.close * (1+self.percentStop) if self.bandStop != None: stop = outerbb.upperBand() trade = Trade(stock=stock, entry=pd.date, entryPrice=pd.close, stop=stop) if trade != None and trade.entry == None: trade.exit = lastdd.date trade.exitPrice = lastdd.close self.tradeManager.addTrade(trade) trade = None return self.tradeManager.getStats()