def onBars(self, bars):
if self._active:
for instrument, bar in bars.items():
# Wait for enough bars to be available to calculate a SMA.
if not self._smaLong[instrument] or self._smaLong[instrument][-1] is None:
return
barDs = self.getFeed().getDataSeries(instrument)
aroon = indicator.AROONOSC(barDs, self._aroonPeriod + 1, self._aroonPeriod)
self._aroon[instrument].appendWithDateTime(self.getCurrentDateTime(), aroon[-1])
pri = self._macdPrice[instrument]
vol = self._macdVol[instrument]
if instrument in self._posLong:
if cross.cross_below(self._smaShort[instrument], self._smaLong[instrument]) and aroon[-1] < -self._aroonOut:
position = self._posLong[instrument]
self.prepareExit(position)
elif instrument in self._posShort:
if cross.cross_above(pri.getSignal(), pri) and aroon[-1] > 25:
position = self._posShort[instrument]
self.prepareExit(position)
if cross.cross_above(self._smaShort[instrument], self._smaLong[instrument]) and aroon[-1] > 25:
self.prepareEnter(instrument, bars)
elif cross.cross_below(pri.getSignal(), pri) and cross.cross_above(vol.getSignal(), vol) and aroon[-1] < -self._aroonIn:
self.prepareEnter(instrument, bars, broker.Order.Action.SELL_SHORT)
def onBars(self, bars):
# If a position was not opened, check if we should enter a long position.
if self.__prices > self.__long_sma:
# just long if price is above long sma
if self.__position is None:
if cross.cross_above(self.__short_sma, self.__medium_sma) > 0:
shares = int(self.getBroker().getCash() * 0.9 /
bars[self.__instrument].getPrice())
# Enter a buy market order. The order is good till canceled.
self.__position = self.enterLong(self.__instrument, shares,
True)
else:
if not self.__position.exitActive() and cross.cross_below(
self.__short_sma, self.__medium_sma) > 0:
self.__position.exitMarket()
elif self.__prices < self.__long_sma:
if self.__position is not None:
if cross.cross_below(self.__short_sma, self.__medium_sma) > 0:
shares = int(self.getBroker().getCash() * 0.9 /
bars[self.__instrument].getPrice())
self.__position = self.enterShort(self.__instrument,
shares, True)
else:
if not self.__position.exitActive() and cross.cross_above(
self.__short_sma, self.__long_sma) > 0:
self.__position.exitMarket()
def onBars(self, bars):
for instrument, bar in bars.items():
# Wait for enough bars to be available to calculate a SMA.
if not self._smaLong[
instrument] or self._smaLong[instrument][-1] is None:
return
pri = self._macdPrice[instrument]
vol = self._macdVol[instrument]
if instrument in self._posLong:
if cross.cross_below(self._smaShort[instrument],
self._smaLong[instrument]):
position = self._posLong[instrument]
self.prepareExit(position)
elif instrument in self._posShort:
if cross.cross_above(pri.getSignal(), pri):
position = self._posShort[instrument]
self.prepareExit(position)
if cross.cross_above(self._smaShort[instrument],
self._smaLong[instrument]):
self.prepareEnter(instrument, bars)
elif cross.cross_below(pri.getSignal(), pri) and cross.cross_above(
vol.getSignal(), vol):
self.prepareEnter(instrument, bars,
broker.Order.Action.SELL_SHORT)
def enterLongSignal(self, bar): # Conditiond for long
thismacd = self.macd[-1]
macdsig = self.macd.getSignal()[-1]
if self.belowzero:
if cross.cross_below(self.macd,
self.macd.getSignal()) and macdsig < 0:
#print "Entering long trade below zero macd", thismacd, macdsig
return True
else:
if cross.cross_below(self.macd,
self.macd.getSignal()) and macdsig > 0:
#print "Entering long trade above zero macd", thismacd, macdsig
return True
def onBars(self, bars): if self.__position is None: if cross.cross_above(self.__prices, self.__sma) >0: shares = int(self.getBroker().getCash() * 0.9 / bars[self.__instrument].getPrice()) self.__position = self.enterLong(self.__instrument, shares, True) elif not self.__position.exitActive() and cross.cross_below(self.__prices,self.__sma) >0:
def onBars(self, bars):
for instrument in bars.keys():
# Wait for enough bars to be available to calculate a SMA.
if not self._entrySmas[instrument] or self._entrySmas[instrument][-1] is None\
or not self._exitSmas[instrument] or self._exitSmas[instrument][-1] is None:
return
# If a position was not opened, check if we should enter a long position.
if instrument in self._longPositions:
if cross.cross_above(self._prices[instrument],
self._exitSmas[instrument]):
if not self._longPositions[instrument].exitActive():
self._longPositions[instrument].exitMarket()
elif instrument in self._shortPositions:
if cross.cross_below(self._prices[instrument],
self._exitSmas[instrument]):
if not self._shortPositions[instrument].exitActive():
self._shortPositions[instrument].exitMarket()
elif self.posCount() < self._posMax:
bar = bars[instrument]
if bar.getPrice(
) > self._entrySmas[instrument][-1] and self._rsis[instrument][
-1] <= self._overSoldThreshold:
self.prepareOrder(broker.Order.Action.BUY, instrument,
bars)
elif bar.getPrice(
) < self._entrySmas[instrument][-1] and self._rsis[instrument][
-1] >= self._overBoughtThreshold:
self.prepareOrder(broker.Order.Action.SELL_SHORT,
instrument, bars)
def short(self, bars):
if cross.cross_below(
self.fast_ma,
self.slow_ma): #and self.__trend.trend_current_ratio() >=0:
return True
return False
pass
def onBars(self, bars):
if self.__position != None and self.__position.getReturn() < -0.05:
self.__position.exitMarket()
# If a position was not opened, check if we should enter a long position.
if self.__position is None:
ds = self.getFeed().getDataSeries(self.__instrument).getCloseDataSeries()
if self.touchBottom(): # and LINEARREG(ds, 20)[1] > 0:
shares = int(self.getBroker().getCash() * 0.9 / bars[self.__instrument].getPrice())
# Enter a buy market order. The order is good till canceled.
self.__position = self.enterShort(self.__instrument, shares, True)
self.__pos_kind = "Short"
print str(bars[self.__instrument].getDateTime()) + " " + "buy Short"
elif self.touchTop(): # and LINEARREG(ds, 20)[1] < 0:
shares = int(self.getBroker().getCash() * 0.9 / bars[self.__instrument].getPrice())
# Enter a buy market order. The order is good till canceled.
self.__position = self.enterLong(self.__instrument, shares, True)
self.__pos_kind = "Long"
print str(bars[self.__instrument].getDateTime()) + " " + "buy Long"
return
# Check if we have to exit the position.
elif (not self.__position.exitActive()):
if self.__pos_kind == "Long" and (cross.cross_below(self.__prices, self.__sma, -2) > 0 or self.touchBottom()):
self.__position.exitMarket() #Long exit
print str(bars[self.__instrument].getDateTime()) + " " + "exit " + self.__pos_kind
elif self.__pos_kind == "Short" and (cross.cross_above(self.__prices, self.__sma, -2) > 0 or self.touchTop()):
self.__position.exitMarket() #Short exit
print str(bars[self.__instrument].getDateTime()) + " " + "exit " + self.__pos_kind
def onBars(self, bars):
# logger.debug('onbars')
quantity = 10
if self.realTrade:
self.sma = talib.SMA(self.prices.values, 10)
self.sma1 = talib.SMA(self.prices.values, 20)
logger.debug('sma是')
logger.debug(str(self.sma[-3:]))
logger.debug(str(self.sma1[-3:]))
if self.sma[-2] > self.sma1[-2] and self.sma[-3] < self.sma1[-3]:
if self.getBroker().getShares(
self.transInstrument(self.__instrument)) != 0:
ret = self.getBroker().createLimitOrder(
broker.Order.Action.BUY_TO_COVER,
self.transInstrument(self.__instrument), quantity)
self.getBroker().submitOrder(ret)
logger.debug('平仓1')
ret = self.getBroker().createLimitOrder(
broker.Order.Action.BUY,
self.transInstrument(self.__instrument), quantity)
self.getBroker().submitOrder(ret)
logger.debug('买1 ' + str(bars.getDateTime()))
elif self.sma[-2] < self.sma1[-2] and self.sma[-3] > self.sma1[-3]:
if self.getBroker().getShares(self.__instrument) != 0:
ret = self.getBroker().createLimitOrder(
broker.Order.Action.SELL,
self.transInstrument(self.__instrument), quantity)
self.getBroker().submitOrder(ret)
logger.debug('平仓2')
ret = self.getBroker().createLimitOrder(
broker.Order.Action.SELL_SHORT,
self.transInstrument(self.__instrument), quantity)
self.getBroker().submitOrder(ret)
logger.debug('卖1 ' + str(bars.getDateTime()))
else:
if cross.cross_above(self.sma, self.sma1) > 0:
if self.getBroker().getShares(self.__instrument) != 0:
ret = self.getBroker().createMarketOrder(
broker.Order.Action.BUY_TO_COVER,
self.transInstrument(self.__instrument), quantity)
self.getBroker().submitOrder(ret)
logger.debug('平仓3')
ret = self.getBroker().createMarketOrder(
broker.Order.Action.BUY,
self.transInstrument(self.__instrument), quantity)
self.getBroker().submitOrder(ret)
logger.debug('买2' + str(bars.getDateTime()))
elif cross.cross_below(self.sma, self.sma1) > 0:
if self.getBroker().getShares(self.__instrument) != 0:
ret = self.getBroker().createMarketOrder(
broker.Order.Action.SELL,
self.transInstrument(self.__instrument), quantity)
self.getBroker().submitOrder(ret)
logger.debug('平仓4')
ret = self.getBroker().createMarketOrder(
broker.Order.Action.SELL_SHORT,
self.transInstrument(self.__instrument), quantity)
self.getBroker().submitOrder(ret)
logger.debug('卖2' + str(bars.getDateTime()))
def onBars(self, bars):
# NOTE: something weird going on with the cash variable here; why leftover cash?
shares = self.getBroker().getShares(self.__instrument)
bar = bars[self.__instrument]
# self.info(bar.getOpen() * self.prev_shares)
# self.prev_shares = shares
if shares == 0 and cross.cross_above(self.__prices, self.__sma) > 0:
sharesToBuy = self.getBroker().getCash(False) / bar.getClose()
self.info("{} Bought {} {}, unit price = ${:.2f}, using cash = {} (cash / price = {})".format(
bars[self.__instrument].getDateTime(),
sharesToBuy,
self.__instrument,
bars[self.__instrument].getClose(),
self.getBroker().getCash(),
self.getBroker().getCash() / bar.getClose()))
self.marketOrder(self.__instrument, sharesToBuy)
elif shares > 0 and cross.cross_below(self.__prices, self.__sma) > 0:
self.marketOrder(self.__instrument, -1*shares)
self.info("{} Gave an order to exit position (1 {} = ${:.2f}), leftover cash?? = {:.2f}".format(
bars[self.__instrument].getDateTime(),
self.__instrument,
bar.getClose(),
self.getBroker().getCash()))
self.info("NOTE: the exit will happen at the opening price of the next tick")
def onBars(self, bars):
for instrument, bar in bars.items():
infoout = None
if cross.cross_above(self.__dt[instrument],
self.__zeroema[instrument]) > 0:
# If the derivative crosses above zero (deriv - -> +),
# buy the instrument.
now_cash, now_shares = self.inventory(instrument)
buyqty = self.buyamount(instrument, bar.getClose(),
bar.getVolume(), now_cash, .2)
self.marketOrder(instrument, buyqty)
infoout = 'Order %d shares of %s @$%.2f. COH $%.2f' % (
buyqty, instrument, bar.getClose(), now_cash)
elif cross.cross_below(self.__dt[instrument],
self.__zeroema[instrument]) > 0:
# If the derivative crosses below zero (deriv + -> -),
# sell the instrument.
now_cash, now_shares = self.inventory(instrument)
if now_shares > 0:
# Sell all shares
self.marketOrder(instrument, -now_shares)
infoout = 'Sell %d shares of %s @$%.2f. COH $%.2f' % (
now_shares, instrument, bar.getClose(), now_cash)
if infoout and self.printinfo:
self.info(infoout)
def onBars(self, bars):
self.__halfLifeHelper.update()
if bars.getBar(self.__instrument):
hurst = self.getHurstValue()
halfLife = self.__halfLifeHelper.getHalfLife()
stdDev = self.__halfLifeHelper.getStdDev()
ma = self.__halfLifeHelper.getSma()
bar = bars[self.__instrument]
open = bar.getOpen()
currentPos = abs(self.getBroker().getShares(self.__instrument))
if hurst is not None:
if hurst < 0.5:
if hurst < 0.5 and open < ma - stdDev:
self.buy(bars)
elif hurst < 0.5 and open > ma - stdDev and currentPos > 0:
self.sell(bars)
if hurst > 0.5:
if cross.cross_below(self.__shortWindowMa,
self.__longWindowMa,
10) > 0 and currentPos > 0:
self.sell(bars)
if cross.cross_above(self.__longWindowMa,
self.__shortWindowMa, 10) > 0:
self.buy(bars)
def onBars(self, bars):
# Wait for enough bars to be available to calculate a SMA.
bar = bars[self.__instrument]
if self.getFeed().isHistory():
return
if self.__sma[60][-1] is None:
return
logger.info(
"onBars %s:%s: close:%.2f" %
(self.__instrument, bar.getDateTimeLocal(), bar.getPrice()))
bar = bars[self.__instrument]
# If a position was not opened, check if we should enter a long position.
if self.__position is None:
if cross.cross_above(self.__sma[10], self.__sma[30]) > 0:
mbroker = self.getBroker()
shares = mbroker.getCash() / bar.getPrice() * 0.9
self.__position = self.enterLongLimit(self.__instrument,
bar.getPrice(), shares,
True)
# Check if we have to exit the position.
elif not self.__position.exitActive() and cross.cross_below(
self.__sma[10], self.__sma[30]) > 0:
self.__position.exitLimit(bar.getPrice())
def onBars(self, bars):
# If a position was not opened, check if we should enter a long position.
if self.__ma2[-1] is None:
return
print "on bars code ", self.__instrument, bars[
self.__instrument].getDateTime(), bars[
self.__instrument].getPrice()
if self.__position is not None:
if not self.__position.exitActive() and cross.cross_below(
self.__ma1, self.__ma2) > 0:
self.__position.exitMarket()
print("=== sell")
print bars[self.__instrument].getDateTime(), bars[
self.__instrument].getPrice()
#self.info("sell %s" % (bars.getDateTime()))
if self.__position is None:
if self.buyCon1() and self.buyCon2():
shares = int(self.getBroker().getCash() * 0.2 /
bars[self.__instrument].getPrice())
self.__position = self.enterLong(self.__instrument, shares)
print("=== buy")
print bars[self.__instrument].getDateTime(), bars[
self.__instrument].getPrice()
def onBars(self, bars):
for instrument, bar in bars.items():
infoout = None
if cross.cross_below(self.__shorttrix[instrument],
self.__longtrix[instrument]) > 0:
# If the derivative crosses above zero (deriv - -> +),
# buy the instrument.
now_cash, now_shares = self.inventory(instrument)
buyqty = self.buyamount(
instrument, bar.getClose(), bar.getVolume(), now_cash, .2)
self.marketOrder(instrument, buyqty)
infoout = 'Order %d shares of %s @$%.2f. COH $%.2f' % (
buyqty, instrument, bar.getClose(), now_cash)
elif cross.cross_above(self.__shorttrix[instrument],
self.__longtrix[instrument]) > 0:
# If the derivative crosses below zero (deriv + -> -),
# sell the instrument.
now_cash, now_shares = self.inventory(instrument)
if now_shares > 0:
# Sell all shares
self.marketOrder(instrument, -now_shares)
infoout = 'Sell %d shares of %s @$%.2f. COH $%.2f' % (
now_shares, instrument, bar.getClose(), now_cash)
if infoout and self.printinfo:
self.info(infoout)
def onBars(self, bars): if self.__position is None: if cross.cross_above(self.__prices, self.__sma) >0: shares = int(self.getBroker().getCash() * 0.9 / bars[self.__instrument].getPrice()) self.__position = self.enterLong(self.__instrument, shares, True) elif not self.__position.exitActive() and cross.cross_below(self.__prices,self.__sma) >0: self.__position.exitMarket()
def onBars(self, bars):
if bars.getBar(self.__lead):
if cross.cross_above(self.__adjClose, self.__slowSMA) == 1 and self.__pos is None:
shares = self.__calculatePosSize()
if shares:
self.__pos = self.enterLong(self.__lag, shares)
elif cross.cross_below(self.__adjClose, self.__fastSMA) == 1 and self.__pos is not None:
self.__pos.exitMarket()
def onBars(self, bars): if bars.getBar(self.__lead): if cross.cross_above(self.__adjClose, self.__slowSMA) == 1 and self.__pos == None: shares = self.__calculatePosSize() if shares: self.__pos = self.enterLong(self.__lag, shares) elif cross.cross_below(self.__adjClose, self.__fastSMA) == 1 and self.__pos != None: self.exitPosition(self.__pos)
def onBars(self, bars):
# If a position was not opened, check if we should enter a long position.
if self.__position == None:
if cross.cross_above(self.__adjClose, self.__sma) > 0:
# Enter a buy market order for 10 shares. The order is good till canceled.
self.__position = self.enterLong(self.__instrument, 10, True)
# Check if we have to exit the position.
elif cross.cross_below(self.__adjClose, self.__sma) > 0:
self.__position.exit()
def onBars(self, bars):
# If a position was not opened, check if we should enter a long position.
if self.__position == None:
if cross.cross_above(self.__adjClose, self.__sma) > 0:
# Enter a buy market order for 10 shares. The order is good till canceled.
self.__position = self.enterLong(self.__instrument, 10, True)
# Check if we have to exit the position.
elif cross.cross_below(self.__adjClose, self.__sma) > 0:
self.__position.exit()
def doTechnical(self, bars, members, leaders):
for instrument in members:
if instrument in bars:
if not instrument in self._prices:
self._prices[instrument] = macd.MACD(self._feed[instrument].getPriceDataSeries(), 12, 26, 9)
self._vols[instrument] = macd.MACD(self._feed[instrument].getVolumeDataSeries(), 12, 26, 9)
elif self._session >= 200:
pri = self._prices[instrument]
vol = self._vols[instrument]
if instrument in self._positions:
if cross.cross_below(pri.getSignal(), pri) and cross.cross_below(vol.getSignal(), vol):
position = self._positions[instrument]
if not position.getExitOrder():
position.exitMarket()
elif instrument in leaders:
if cross.cross_above(pri.getSignal(), pri) and cross.cross_above(vol.getSignal(), vol):
if len(self._positions) < self._posMax:
self.prepareEnter(instrument, bars)
def onBars(self, bars):
if self.__position is None:
if cross.cross_above(self.__closed, self.__ma) > 0:
shares = int(self.getBroker().getCash() * 0.9 / bars[self.__instrument].getPrice())
print("cross_above shares,", shares)
# Enter a buy market order. The order is good till canceled.
self.__position = self.enterLong(self.__instrument, shares, True)
elif not self.__position.exitActive() and cross.cross_below(self.__closed, self.__ma) > 0:
print("cross_below")
self.__position.exitMarket()
def onBars(self, bars):
# If a position was not opened, check if we should enter a long position.
if self.__position is None:
if cross.cross_above(self.__prices, self.__sma) > 0:
shares = int(self.getBroker().getCash() * 0.9 / bars[self.__instrument].getPrice())
# Enter a buy market order. The order is good till canceled.
self.__position = self.enterLong(self.__instrument, shares, True)
# Check if we have to exit the position.
elif not self.__position.exitActive() and cross.cross_below(self.__prices, self.__exit_sma) > 0:
self.__position.exitMarket()
def onBars(self, bars):
# If a position was not opened, check if we should enter a long position.
if self.__position is None:
if cross.cross_above(self.__prices, self.__sma) > 0:
shares = int(self.getBroker().getCash() * 0.9 / bars[self.__instrument].getPrice())
# Enter a buy market order. The order is good till canceled.
self.__position = self.enterLong(self.__instrument, shares, True)
# Check if we have to exit the position.
elif not self.__position.exitActive() and cross.cross_below(self.__prices, self.__sma) > 0:
self.__position.exitMarket()
def exitShortSignal(self, shortPos, extPriceBarDS, extPriceDS):
upper, middle, lower = indicator.BBANDS(extPriceDS,
count=100,
timeperiod=self.bBandsPeriod,
matype=MA_Type.SMA,
nbdevup=self.numStdDev,
nbdevdn=self.numStdDev)
shortExitFilter_1 = cross.cross_below(extPriceDS, middle) > 0
shortExitFilter_2 = shortPos.exitActive()
return shortExitFilter_1 and not shortExitFilter_2
def exitLongSignal(self) :
if self.__UpperBand[-1-self.__circ] is None:
return False
m1 = 0
for i in range(self.__circ):
if self.__close[-i-1] >= self.__UpperBand[-i-2]:
m1 += 1
if m1 >= self.__circ-1 and cross.cross_below(self.__close,self.__UpperBand)>0:
return True
else:
return False
def enterShortSignal(self) :
if self.__UpperBand[-1-self.__circ] is None:
return False
m1 = 0
for i in range(self.__circ):
if self.__macd[-i-1] >= self.__UpperBand[-i-2]:
m1 += 1
if m1 >= self.__circ-1 and cross.cross_below(self.__macd,self.__UpperBand)>0:
return True
else:
return False
def handle_data(self,bars):
for instrument in bars.getInstruments():
# If a position was not opened, check if we should enter a long position.
if self.__position[instrument] is None:
if cross.cross_above(self.__prices[instrument], self.__sma[instrument]) > 0:
shares = int(self.getBroker().getCash() * 0.9 / bars[instrument].getPrice())
# Enter a buy market order. The order is good till canceled.
self.__position[instrument] = self.enterLong(instrument, shares, True)
# Check if we have to exit the position.
elif not self.__position[instrument].exitActive() and cross.cross_below(self.__prices[instrument], self.__sma[instrument]) > 0:
self.__position[instrument].exitMarket()
def onBars(self, bars):
if len(self.__longsma) < 2:
return
bar = bars[self.__instrument]
shares = self.getBroker().getShares(self.__instrument)
if self.__position is None:
if cross.cross_above(self.__shortsma, self.__longsma) > 0:
self.__position = self.enterLong(self.__instrument, 100, True)
elif not self.__position.exitActive() and cross.cross_below(self.__shortsma, self.__longsma) > 0:
self.__position.exitMarket()
def calcSignal(self):
self.buySignal, self.sellSignal = False, False
if (self.longAllowed):
if self.longPosition is None:
#mid 无多仓，检查是否需要开多仓
if cross.cross_above(self.__sma, self.__lma) > 0:
self.buySignal = True
if (self.shortAllowed):
if self.shortPosition is None:
if cross.cross_below(self.__sma, self.__lma) > 0:
self.sellSignal = True
def onBars(self, bars):
if len(self.__longsma) < 2:
return
bar = bars[self.__instrument]
shares = self.getBroker().getShares(self.__instrument)
if self.__position is None:
if cross.cross_above(self.__shortsma, self.__longsma) > 0:
self.__position = self.enterLong(self.__instrument, 100, True)
elif not self.__position.exitActive() and cross.cross_below(
self.__shortsma, self.__longsma) > 0:
self.__position.exitMarket()
def short_signal(self):
if cross.cross_below(self.kd.getKD_k(), self.kd.getKD_d()) :#and self.__trend.trend_current_ratio() >=0:
return True
#if self.trend_short(self.slow_ma):
# return True
''' adjust'''
#if self.kd.getKD_d()[-1] < 30 :
# return True
#if self.trend_short(self.fast_ma) :
# return True
return False
pass
def enterShortSignal(self, extPriceBarDS, extPriceDS):
trixNear = indicator.TRIX(extPriceDS,
count=100,
timeperiod=self.trixNearPeriod)
trixFar = indicator.TRIX(extPriceDS,
count=100,
timeperiod=self.trixFarPeriod)
shortEntryFilter_1 = cross.cross_below(trixNear, trixFar) > 0
return shortEntryFilter_1
def testCrossBelowMany(self):
count = 100
values1 = [0 for i in range(count)]
values2 = [-1 if i % 2 == 0 else 1 for i in range(count)]
# Check first value
self.assertEqual(cross.cross_below(values1, values2, 0, 0), 0)
# Check every 2 values.
period = 2
for i in range(1, count):
if i % 2 == 0:
self.assertEqual(
cross.cross_below(values1, values2, i - period + 1, i + 1),
0)
else:
self.assertEqual(
cross.cross_below(values1, values2, i - period + 1, i + 1),
1)
# Check every 4 values.
period = 4
for i in range(3, count):
if i % 2 == 0:
self.assertEqual(
cross.cross_below(values1, values2, i - period + 1, i + 1),
1)
else:
self.assertEqual(
cross.cross_below(values1, values2, i - period + 1, i + 1),
2)
# Check for all values.
self.assertEqual(cross.cross_below(values1, values2, 0, count),
count / 2)
def testCrossBelowMany(self):
count = 100
values1 = [0 for i in range(count)]
values2 = [-1 if i % 2 == 0 else 1 for i in range(count)]
# Check first value
self.assertEqual(cross.cross_below(values1, values2, 0, 0), 0)
# Check every 2 values.
period = 2
for i in range(1, count):
if i % 2 == 0:
self.assertEqual(cross.cross_below(values1, values2, i - period + 1, i + 1), 0)
else:
self.assertEqual(cross.cross_below(values1, values2, i - period + 1, i + 1), 1)
# Check every 4 values.
period = 4
for i in range(3, count):
if i % 2 == 0:
self.assertEqual(cross.cross_below(values1, values2, i - period + 1, i + 1), 1)
else:
self.assertEqual(cross.cross_below(values1, values2, i - period + 1, i + 1), 2)
# Check for all values.
self.assertEqual(cross.cross_below(values1, values2, 0, count), count / 2)
def checkBB(self, bars):
signal = 0
bb = self.__bb[['bull', 'bear', 'bb']][self.__bb.index <= bars.getDateTime()].tail(2)
self.__bull, self.__bear = bb.bull.values, bb.bear.values
if bb is None: # to check the first item is Nan
return signal
if cross.cross_above(self.__prices, self.__bull):
signal = 1
elif cross.cross_below(self.__prices, self.__bear):
signal = -1
return signal
def short(self, bars):
lower = self.__bbands.getLowerBand()[-1]
upper = self.__bbands.getUpperBand()[-1]
prices = self.__prices
if upper is None:
return False
#if bars[self.__instrument].getClose() > upper:
#if cross.cross_below(self.__prices, self.__bbands.getUpperBand()):
#if cross.cross_below(self.__prices, self.__bbands.getUpperBand()) or treand_check(prices) <= -1:
#if cross.cross_below(self.__prices, self.__bbands.getUpperBand()) or self.__trend.trend_current() == 'down':
if cross.cross_below(self.__prices, self.__bbands.getUpperBand()) or self.__trend.trend_current_ratio() < 0 :
return True
return False
def calcSignal(self):
self.buySignal,self.sellSignal = {},{}
for instrument in self.instruments:
self.buySignal[instrument],self.sellSignal[instrument] = False,False
#if(self.longAllowed):
if self.longPosition[instrument] is None:
#mid 无多仓，检查是否需要开多仓
if cross.cross_above(self.__sma[instrument], self.__lma[instrument]) > 0:
self.buySignal[instrument] = True
#if(self.shortAllowed ):
if self.shortPosition[instrument] is None:
if cross.cross_below(self.__sma[instrument], self.__lma[instrument]) > 0:
self.sellSignal[instrument] = True
def onBars(self, bars):
if self.__position is None:
if cross.cross_above(self.__Close, self.__sma) > 0:
self.buyPrice = bars.getBar("btc").getClose()
quantity = self.getBroker().getCash() / bars.getBar("btc").getClose() * 0.99
self.__position = self.enterLong(self.__instrument, quantity)
self.numOrder += 1
elif cross.cross_below(self.__Close, self.__sma) > 0:
# if (abs(self.buyPrice - bars.getBar("btc").getClose()) > 0.002 * (bars.getBar("btc").getClose())):
if (abs(self.buyPrice - bars.getBar("btc").getClose()) > 10):
self.__position.exitMarket()
def sellSignal(self, bars):
# a> 价格下穿20日均线 并且 价格<SMA价格的97%
# b> 亏损超10%
# c> RSI>80
# c> 价格小于买入后最高价的90%
if self.__buy_pos is None or self.__sell_pos is None:
high_period = 0
else:
high_period = self.__buy_pos - self.__sell_pos
return (cross.cross_below(self.__prices, self.__sma20) and self.__prices[-1] < self.__sma[-1] * 0.97) \
or (self.__last_buy * 0.9 > self.getResult()) \
or (self.__rsi > 80) \
or (self.__prices < highlow.High(self.__prices, high_period) * 0.9)
def onBars(self, bars):
bar = bars.getBar("orcl")
self.printDebug("%s: O=%s H=%s L=%s C=%s" % (bar.getDateTime(), bar.getOpen(), bar.getHigh(), bar.getLow(), bar.getClose()))
if cross.cross_above(self.__fastSMADS, self.__slowSMADS) == 1:
if self.__shortPos:
self.exitShortPosition(bars, self.__shortPos)
assert(self.__longPos is None)
self.__longPos = self.enterLongPosition(bars)
elif cross.cross_below(self.__fastSMADS, self.__slowSMADS) == 1:
if self.__longPos:
self.exitLongPosition(bars, self.__longPos)
assert(self.__shortPos is None)
self.__shortPos = self.enterShortPosition(bars)
def checkkdj(self,bars):
signal = 0
# this time we can use k[-1]'s data
########################## using talib
# If a position was not opened, check if we should enter a long position.
# self.__stoch = indicator.STOCH(self.__feed[self.__instrument],len(self.__feed[self.__instrument]),
# self.__param[0],self.__param[1],self.__param[2],self.__param[3],self.__param[4])
# self.__k,self.__d = self.__stoch[0],self.__stoch[1]
########################## using utils.formular for kdj:this is true
kd = self.__kd[['KDJ_K', 'KDJ_D']][self.__kd.index <= bars.getDateTime()].tail(2)
self.__k, self.__d = kd.KDJ_K.values, kd.KDJ_D.values
if self.__k.__len__() < 2:
return signal
#########################
if cross.cross_above(self.__k, [self.__param[6], self.__param[6]]) > 0 \
or cross.cross_above(self.__k, [self.__param[5],self.__param[5]]) > 0: # 得取其high前一天的值cross 参数为2，所以high中至少应当有3个值
signal = 1
elif cross.cross_below(self.__k, [self.__param[6],self.__param[6]]) > 0 \
or cross.cross_below(self.__k, [self.__param[5],self.__param[5]]) > 0:
signal = -1
return signal
def checkAroon(self,bars):
signal = 0
self.__aroondown,self.__aroonup = indicator.Adx(self.__feed[self.__instrument],len(self.__feed[self.__instrument]),20)
self.__aroon = self.__aroonup[-2:] - self.__aroondown[-2:]
if self.__aroon is None or np.isnan(self.__aroon[0]): # to check the first item is Nan
return signal
if cross.cross_above(self.__aroon,[15,15]):
signal = 1
elif cross.cross_below(self.__aroon,[15,15]):
signal = -1
return signal
def onBars(self, bars):
bar = bars.getBar("orcl")
self.printDebug("%s: O=%s H=%s L=%s C=%s" % (bar.getDateTime(), bar.getOpen(), bar.getHigh(), bar.getLow(), bar.getClose()))
if cross.cross_above(self.__fastSMADS, self.__slowSMADS) == 1:
if self.__shortPos:
self.exitShortPosition(bars, self.__shortPos)
assert(self.__longPos is None)
self.__longPos = self.enterLongPosition(bars)
elif cross.cross_below(self.__fastSMADS, self.__slowSMADS) == 1:
if self.__longPos:
self.exitLongPosition(bars, self.__longPos)
assert(self.__shortPos is None)
self.__shortPos = self.enterShortPosition(bars)
def enterShortSignal(self) :
if self.__lastShortPos is not None:
if self.__barNum-self.__lastShortPos<60:
return 0
if self.__UpperBand[-1-self.__circ] is None:
return 0
m1 = 0
for i in range(self.__circ):
if self.__close[-i-1] >= self.__UpperBand[-i-2]:
m1 += 1
if m1 >= self.__circ-1 and cross.cross_below(self.__close,self.__UpperBand)>0:
return 1
else:
return 0
def exitLongSignal(self) :
if self.__UpperBand[-1-self.__circ] is None:
return False
m1 = 0
for i in range(self.__circ):
if self.__macd[-i-1] >= self.__UpperBand[-i-2]:
m1 += 1
if m1 >= self.__circ-1 and cross.cross_below(self.__macd,self.__UpperBand)>0:
return True
elif self.__macd[-1]>=self.__UpperBand[-1] and self.__macdMax==self.__macd[-1]:
return True
elif self.__macd[-1]*1.001>=self.__UpperBand[-1] and self.__macd[-1]>-0.1:
return True
else:
return False
def onBars(self, bars):
# If a position was not opened, check if we should enter a long position.
if self.__ma3[-1] is None:
return
if self.__position is not None:
if not self.__position.exitActive() and cross.cross_below(self.__ma1, self.__ma2) > 0:
self.__position.exitMarket()
# self.info("sell %s" % (bars.getDateTime()))
if self.__position is None:
if self.buyCon1() and self.buyCon2():
shares = int(self.getBroker().getCash() * 0.2 / bars[self.__instrument].getPrice())
self.__position = self.enterLong(self.__instrument, shares)
def onBars(self, bars):
bar = bars[self.__instrument]
self.info("Price: %s. Volume: %s." % (bar.getClose(), bar.getVolume()))
# Wait until we get the current bid/ask prices.
if self.__ask is None:
return
# If a position was not opened, check if we should enter a long position.
if self.__position is None:
if cross.cross_above(self.__prices, self.__sma) > 0:
self.info("Entry signal. Buy at %s" % (self.__ask))
self.__position = self.enterLongLimit(self.__instrument, self.__ask, self.__posSize, True)
# Check if we have to close the position.
elif not self.__position.exitActive() and cross.cross_below(self.__prices, self.__sma) > 0:
self.info("Exit signal. Sell at %s" % (self.__bid))
self.__position.exitLimit(self.__bid)
def onBars(self, bars):
# If a position was not opened, check if we should enter a long position.
closeDs = self.getFeed().getDataSeries(instrument).getCloseDataSeries()
self.__ma1 = indicator.MA(closeDs, 40, self.__malength1)
self.__ma2 = indicator.MA(closeDs, 40, self.__malength2)
if self.__ma2[-1]is None:
return
if self.__position is not None:
if not self.__position.exitActive() and cross.cross_below(self.__ma1, self.__ma2) > 0:
self.__position.exitMarket()
#self.info("sell %s" % (bars.getDateTime()))
if self.__position is None:
if cross.cross_above(self.__ma1, self.__ma2) > 0:
shares = int(self.getBroker().getEquity() * 0.2 / bars[self.__instrument].getPrice())
self.__position = self.enterLong(self.__instrument, shares)
print bars[self.__instrument].getDateTime(), bars[self.__instrument].getPrice()
def onBars(self, bars):
inst0_cond = cross.cross_above(self.__prices[self.__instrumentList[0]], self.__sma[self.__instrumentList[0]])
inst2_cond = cross.cross_above(self.__prices[self.__instrumentList[2]], self.__sma[self.__instrumentList[2]])
# If a position was not opened, check if we should enter a long position.
if not self.__positions:
if inst0_cond > 0 or inst2_cond > 0:
if inst0_cond > 0:
shares_0 = int(self.getBroker().getCash() * 0.6 / bars[self.__instrumentList[0]].getPrice())
shares_2 = int(self.getBroker().getCash() * 0.3 / bars[self.__instrumentList[2]].getPrice())
else:
shares_0 = int(self.getBroker().getCash() * 0.3 / bars[self.__instrumentList[0]].getPrice())
shares_2 = int(self.getBroker().getCash() * 0.6 / bars[self.__instrumentList[2]].getPrice())
# Enter a buy market order. The order is good till canceled.
print "%%%%%$$$$: ", shares_0, shares_2
self.__positions[self.__instrumentList[0]] = self.enterLong(self.__instrumentList[0], int(shares_0), True)
self.__positions[self.__instrumentList[2]] =self.enterLong(self.__instrumentList[2], int(shares_2), True)
self.__activePosition = self.__instrumentList[0]
# Check if we have to exit the position.
elif cross.cross_below(self.__prices[self.__activePosition], self.__sma[self.__activePosition]) > 0:
self.__position[self.__instrumentList[0]].exitMarket()
self.__position[self.__instrumentList[2]].exitMarket()
def onBars(self, bars):
bar = bars[self.instrument]
for m in self.s:
if m[-1] is None:
return
if self.atr[-1] is None:
return
# test if it is open day
if bar.getVolume() <= 0:
return
if self.position is None:
open_long = False
if cross.cross_above(self.price, self.s[0]):
# if bar.getPrice()> self.s[0][-1]:
open_long = True
for i in range(0,len(self.s)-1):
if self.s[i][-1] < self.s[i+1][-1]:
open_long = False
if open_long:
shares = min(math.floor(self.getBroker().getCash()*0.01/self.atr[-1]), 0.9*math.floor(self.getBroker().getCash()/bar.getPrice()))
# print('shares {}'.format(shares))
self.position = self.enterLong(self.instrument, shares, True)
elif not self.position.exitActive():
open_short = False
# the mv exit
if cross.cross_below(self.price, self.s[0]):
# if bar.getPrice() < self.s[0][-1]:
open_short = True
for i in range(0,len(self.s)-1):
if self.s[i][-1] > self.s[i+1][-1]:
open_short=False
# if bar.getPrice() < self.atr_stop_loss(bar):
# open_short = True
if open_short:
self.position.exitMarket()
def sellCon1(self):
if cross.cross_below(self.__ma1, self.__ma2) > 0:
return True
def onBars(self, bars):
# If a position was not opened, check if we should enter a long position.
bar = bars[self.__instrument]
# filter datetime
###################################################################################
filterCon = len(self.__close) < max(self.__bollingerlength, self.__malength, self.__closelength)
self.__filterCon.append(filterCon)
if filterCon:
return
# record position
####################################################################################
if self.__longPos is not None and self.__shortPos is None:
self.__p.append(1)
elif self.__longPos is None and self.__shortPos is not None:
self.__p.append(-1)
else:
self.__p.append(0)
# calculate ccMA
####################################################################################
ccMACon1 = self.__longPos is not None or self.__shortPos is not None
ccMACon2 = self.__malength > self.__ccMAlength
if ccMACon1 and ccMACon2:
self.__malength = self.__malength - 1
elif not ccMACon1:
self.__malength = 50
self.__ccMA = np.mean(self.__close[-self.__malength:])
# print self.__malength, self.__ccMA
self.__MA.append(self.__ccMA)
self.__ccMACon1.append(ccMACon1)
self.__ccMACon2.append(ccMACon2)
#open and close condition
######################################################################################
self.__enterLong1 = (cross.cross_above(self.__high, self.__UpperBand) > 0)
self.__enterLong2 = (bar.getClose() >= max(self.__close[-self.__closelength:]))
self.__enter = ((self.__UpperBand[-1] - self.__LowerBand[-1]) / bar.getClose() > float(self.__space) / 1000)
# print (self.__UpperBand[-1] - self.__LowerBand[-1]) / bar.getClose()
self.__enterShort1 = cross.cross_below(self.__low, self.__LowerBand) > 0
self.__enterShort2 = bar.getClose() <= min(self.__close[-self.__closelength:])
self.__exitLong1 = (bar.getClose() < self.__ccMA)
self.__exitLong2 = (self.__ccMA < self.__UpperBand[-1])
self.__exitShort1 = (bar.getClose() > self.__ccMA)
self.__exitShort2 = (self.__ccMA > self.__LowerBand[-1])
self.__enterCon.append(self.__enter)
self.__enterLongCon1.append(self.__enterLong1)
self.__enterLongCon2.append(self.__enterLong2)
self.__enterShortCon1.append(self.__enterShort1)
self.__enterShortCon2.append(self.__enterShort2)
self.__exitLongCon1.append(self.__exitLong1)
self.__exitLongCon2.append(self.__exitLong2)
self.__exitShortCon1.append(self.__exitShort1)
self.__exitShortCon2.append(self.__exitShort2)
#open and close
#######################################################################################
if self.__longPos is not None:
if self.exitLongSignal():
self.__longPos.exitMarket()
# if self.__shortPos is not None:
# print 11
# self.info("intend long close")
# print (self.__UpperBand[-1] - self.__LowerBand[-1]) / bar.getClose()
elif self.__shortPos is not None:
if self.exitShortSignal():
self.__shortPos.exitMarket()
# self.info("intend short close")
# print (self.__UpperBand[-1] - self.__LowerBand[-1]) / bar.getClose()
else:
if self.enterLongSignal():
shares = int(self.getBroker().getCash() * 0.2 / bars[self.__instrument].getPrice())
self.__longPos = self.enterLong(self.__instrument, shares)
# self.info("intend long open")
# print (self.__UpperBand[-1] - self.__LowerBand[-1]) / bar.getClose()
elif self.enterShortSignal():
shares = int(self.getBroker().getCash() * 0.2 / bars[self.__instrument].getPrice())
self.__shortPos = self.enterShort(self.__instrument, shares)
def exitLongSignal(self, bar):
slope = self.__slope.getValueAbsolute(len(self.__slope) - 1)
return cross.cross_below(self.__prices, self.__sma) > 0 or slope < 0.05
def testCrossBelowOnce(self):
values1 = self.__buildSeqDS([2, 2, 2, 2, 2, 2, 2])
values2 = self.__buildSeqDS([1, 1, 1, 10, 1, 1, 1])
# Check every 2 values.
self.assertEqual(cross.cross_below(values1, values2, 0, 2), 0)
self.assertEqual(cross.cross_below(values1, values2, 1, 3), 0)
self.assertEqual(cross.cross_below(values1, values2, 2, 4), 1)
self.assertEqual(cross.cross_below(values1, values2, 3, 5), 0)
self.assertEqual(cross.cross_below(values1, values2, 4, 6), 0)
self.assertEqual(cross.cross_below(values1, values2, 5, 7), 0)
# Check every 3 values.
self.assertEqual(cross.cross_below(values1, values2, 0, 3), 0)
self.assertEqual(cross.cross_below(values1, values2, 1, 4), 1)
self.assertEqual(cross.cross_below(values1, values2, 2, 5), 1)
self.assertEqual(cross.cross_below(values1, values2, 3, 6), 0)
self.assertEqual(cross.cross_below(values1, values2, 4, 7), 0)
# Check for all values.
self.assertEqual(cross.cross_below(values1, values2, 0, 7), 1)
self.assertEqual(cross.cross_below(values1, values2, 0, -1), 1)
def exitShortSignal(self):
return cross.cross_below(self.__priceDS, self.__exitSMA) and not self.__shortPos.exitActive()
def exitLongSignal(self) :
if cross.cross_below(self.__mass, self.__masl) > 0 and not self.__longPos.exitActive():
return True
def enterShortSignal(self) :
if cross.cross_below(self.__mals, self.__mall) > 0:
return True
def enterShortSignal(self, bar):
slope = self.__slope.getValueAbsolute(len(self.__slope) - 1)
return cross.cross_below(self.__prices, self.__sma) > 0 and slope < -0.1