def runStrategy(in_prices):
global prices, mas, emas, smas, lwmas, vmas, vemas, vsmas, vlwmas
log.debug('beginning vma strategy ...')
prices = in_prices
vols = [p['vol'] for p in prices]
vmalength = const.VMA_MAX + 1
vmas = [0] * vmalength
vemas = [0] * vmalength
vsmas = [0] * vmalength
vlwmas = [0] * vmalength
for period in range(1, vmalength):
vmas[period] = ma.calc_ma(vols, period)
vemas[period] = ma.calc_ema(vols, period)
vsmas[period] = ma.calc_sma(vols, period)
vlwmas[period] = ma.calc_lwma(vols, period)
ps = [p['close'] for p in prices]
malength = const.MA_MAX + 1
mas = [0] * malength
emas = [0] * malength
smas = [0] * malength
lwmas = [0] * malength
for period in range(1, malength):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
log.debug('running ma strategy ...')
starttime = datetime.datetime.now()
pool = Pool(const.POOL_SIZE)
for vft, vf in [(matype, period) for matype in const.VMA_TYPES for period in const.VMA_FAST]:
for vst, vs in [(matype, period) for matype in const.VMA_TYPES for period in const.VMA_SLOW]:
if vs != 0 and vs <= vf: continue
poola = Pool(const.POOL_SIZE)
poolb = Pool(const.POOL_SIZE)
for ft, f in [(matype, period) for matype in const.MA_TYPES for period in const.MA_FAST]:
for s1t, s1 in [(matype, period) for matype in const.MA_TYPES for period in const.MA_SLOW1]:
if s1 != 0 and s1 <= f: continue
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + vft + '_' + str(vf) + ',' + vst + '_' + str(vs) + ',' + ft + '_' + str(f) + ',' + s1t + '_' + str(s1) + ' ==')
doTrade(poola, vft, vf, vst, vs, ft, f, s1t, s1, '', 0, '', 0)
doTrade(poolb, vft, vf, vst, vs, '', 0, '', 0, ft, f, s1t, s1)
for ia in range(len(poola.strategies)):
for ib in range(len(poolb.strategies)):
sa = poola.strategies[ia]
sb = poolb.strategies[ib]
if sa[0] == 0 or sb[0] == 0: continue
t = doTrade(pool, vft, vf, vst, vs, sa[0].args[0], sa[0].args[1], sa[0].args[2], sa[0].args[3], sb[0].args[4], sb[0].args[5], sb[0].args[6], sb[0].args[7])
pool.showStrategies()
return pool.strategies[0][0]
def calc_kd(prices, kPeriod = 5, dPeriod = 3, slowing =3):
phighs = [p['high'] for p in prices]
plows = [p['low'] for p in prices]
ps = [p['close'] for p in prices]
l = len(prices)
highest = [0] * l
lowest = [0] * l
kds = {}
kds['k'] = [0] * l
for i in range(kPeriod - 1, l):
highest[i] = max(phighs[i-kPeriod+1 : i+1])
lowest[i] = min(plows[i-kPeriod+1 : i+1])
if i >= kPeriod + slowing - 1:
highsum, lowsum = 0, 0
for j in range(i - slowing + 1, i + 1):
highsum += highest[j] - lowest[j]
lowsum += ps[j] - lowest[j]
#print i, highest[i], lowest[i], prices[j], highsum, lowsum
#print i, highsum
if highsum != 0:
kds['k'][i] = round(lowsum / highsum * 100, 5)
#print i, kds['k'][i]
#print kds['k']
kds['d'] = ma.calc_ma(kds['k'], dPeriod)
return kds
def calc_kd(prices, kPeriod=5, dPeriod=3, slowing=3):
phighs = [p['high'] for p in prices]
plows = [p['low'] for p in prices]
ps = [p['close'] for p in prices]
l = len(prices)
highest = [0] * l
lowest = [0] * l
kds = {}
kds['k'] = [0] * l
for i in range(kPeriod - 1, l):
highest[i] = max(phighs[i - kPeriod + 1:i + 1])
lowest[i] = min(plows[i - kPeriod + 1:i + 1])
if i >= kPeriod + slowing - 1:
highsum, lowsum = 0, 0
for j in range(i - slowing + 1, i + 1):
highsum += highest[j] - lowest[j]
lowsum += ps[j] - lowest[j]
#print i, highest[i], lowest[i], prices[j], highsum, lowsum
#print i, highsum
if highsum != 0:
kds['k'][i] = round(lowsum / highsum * 100, 5)
#print i, kds['k'][i]
#print kds['k']
kds['d'] = ma.calc_ma(kds['k'], dPeriod)
return kds
def calc_macd(prices, fast = 12, slow = 26, sign = 9):
ps = [p['close'] for p in prices]
macds = {}
macds['fast'] = ma.calc_ema(ps, fast)
macds['slow'] = ma.calc_ema(ps, slow)
macds['macd'] = map(lambda f,s: round(f - s, 5), macds['fast'], macds['slow'])
macds['sign'] = ma.calc_ma(macds['macd'], sign)
#macds['macd'] = map(lambda f,s: round(f - s, 5), macds['dif'], macds['sign'])
return macds
def calc_macd(prices, fast=12, slow=26, sign=9):
ps = [p['close'] for p in prices]
macds = {}
macds['fast'] = ma.calc_ema(ps, fast)
macds['slow'] = ma.calc_ema(ps, slow)
macds['macd'] = map(lambda f, s: round(f - s, 5), macds['fast'],
macds['slow'])
macds['sign'] = ma.calc_ma(macds['macd'], sign)
#macds['macd'] = map(lambda f,s: round(f - s, 5), macds['dif'], macds['sign'])
return macds
def getMas(matype, period, ps):
if matype == 'MA':
return ma.calc_ma(ps, period)
elif matype == 'EMA':
return ma.calc_ema(ps, period)
elif matype == 'SMA':
return ma.calc_sma(ps, period)
elif matype == 'LWMA':
return ma.calc_lwma(ps, period)
else:
return None
def getMas(matype, period, ps): if matype == 'MA': return ma.calc_ma(ps, period) elif matype == 'EMA': return ma.calc_ema(ps, period) elif matype == 'SMA': return ma.calc_sma(ps, period) elif matype == 'LWMA': return ma.calc_lwma(ps, period) else: return None
def getMas(matype, period, ps):
if matype == "MA":
return ma.calc_ma(ps, period)
elif matype == "EMA":
return ma.calc_ema(ps, period)
elif matype == "SMA":
return ma.calc_sma(ps, period)
elif matype == "LWMA":
return ma.calc_lwma(ps, period)
else:
return None
def runStrategy(in_prices):
global mas, emas, smas, lwmas, std, prices
log.debug('beginning ma strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = np.std(ps[i - period + 1:i + 1],
dtype=np.float64,
ddof=0)
malength = const.MA_MAX + 1
mas = [0] * malength
emas = [0] * malength
smas = [0] * malength
lwmas = [0] * malength
for period in range(1, malength):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
log.debug('running ma strategy ...')
starttime = datetime.datetime.now()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
pool = Pool(const.POOL_SIZE)
for ft, f in [(matype, period) for matype in matypes
for period in const.MA_FAST]:
for s1t, s1 in [(matype, period) for matype in matypes
for period in const.MA_SLOW1]:
if s1 != 0 and s1 <= f: continue
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ',' +
s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes
for period in const.MA_SLOW2]:
if s2 != 0 and s2 <= s1: continue
#run
doTrade(pool, ft, f, s1t, s1, s2t, s2)
pool.showStrategies()
return pool.strategies[0][0]
def runStrategy(in_prices):
global mas, emas, smas, lwmas, std, prices
log.debug('beginning ma strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = np.std(ps[i-period+1 : i+1], dtype=np.float64, ddof=0)
malength = const.MA_MAX + 1
mas = [0] * malength
emas = [0] * malength
smas = [0] * malength
lwmas = [0] * malength
for period in range(1, malength):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
log.debug('running ma strategy ...')
starttime = datetime.datetime.now()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
pool = Pool(const.POOL_SIZE)
for ft, f in [(matype, period) for matype in matypes for period in const.MA_FAST]:
for s1t, s1 in [(matype, period) for matype in matypes for period in const.MA_SLOW1]:
if s1 != 0 and s1 <= f: continue
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes for period in const.MA_SLOW2]:
if s2 != 0 and s2 <= s1: continue
#run
doTrade(pool, ft, f, s1t, s1, s2t, s2)
pool.showStrategies()
return pool.strategies[0][0]
def runStrategy(in_prices):
global prices, mas, emas, smas, lwmas, vmas, vemas, vsmas, vlwmas
log.debug('beginning vma strategy ...')
prices = in_prices
vols = [p['vol'] for p in prices]
vmalength = const.VMA_MAX + 1
vmas = [0] * vmalength
vemas = [0] * vmalength
vsmas = [0] * vmalength
vlwmas = [0] * vmalength
for period in range(1, vmalength):
vmas[period] = ma.calc_ma(vols, period)
vemas[period] = ma.calc_ema(vols, period)
vsmas[period] = ma.calc_sma(vols, period)
vlwmas[period] = ma.calc_lwma(vols, period)
ps = [p['close'] for p in prices]
malength = const.MA_MAX + 1
mas = [0] * malength
emas = [0] * malength
smas = [0] * malength
lwmas = [0] * malength
for period in range(1, malength):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
log.debug('running ma strategy ...')
starttime = datetime.datetime.now()
pool = Pool(const.POOL_SIZE)
for vft, vf in [(matype, period) for matype in const.VMA_TYPES
for period in const.VMA_FAST]:
for vst, vs in [(matype, period) for matype in const.VMA_TYPES
for period in const.VMA_SLOW]:
if vs != 0 and vs <= vf: continue
poola = Pool(const.POOL_SIZE)
poolb = Pool(const.POOL_SIZE)
for ft, f in [(matype, period) for matype in const.MA_TYPES
for period in const.MA_FAST]:
for s1t, s1 in [(matype, period) for matype in const.MA_TYPES
for period in const.MA_SLOW1]:
if s1 != 0 and s1 <= f: continue
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + vft + '_' +
str(vf) + ',' + vst + '_' + str(vs) + ',' + ft +
'_' + str(f) + ',' + s1t + '_' + str(s1) + ' ==')
doTrade(poola, vft, vf, vst, vs, ft, f, s1t, s1, '', 0, '',
0)
doTrade(poolb, vft, vf, vst, vs, '', 0, '', 0, ft, f, s1t,
s1)
for ia in range(len(poola.strategies)):
for ib in range(len(poolb.strategies)):
sa = poola.strategies[ia]
sb = poolb.strategies[ib]
if sa[0] == 0 or sb[0] == 0: continue
t = doTrade(pool, vft, vf, vst, vs, sa[0].args[0],
sa[0].args[1], sa[0].args[2], sa[0].args[3],
sb[0].args[4], sb[0].args[5], sb[0].args[6],
sb[0].args[7])
pool.showStrategies()
return pool.strategies[0][0]