def market_in(context, bar_dict, security):
hist = history_bars(security, context.period, '1d', ['high','low','close'])
# 按照context.long_period计算每一天对应的
ATR(平均真实振幅)值，然后取最后一天的值返回
N_long = ATR(hist['high'], hist['low'], hist['close'], timeperiod=context.long_period)[-1]
# 按照context.short_period计算每一天对应的
ATR(平均真实振幅)值，然后取最后一天的值返回
N_short = ATR(hist['high'], hist['low'], hist['close'], timeperiod=context.short_period)[-1]
close = hist['close']
# print('*************************************************************')
# macd短期均线
macdsignal是长期均线
# 短穿长 为金叉
macd,macdsignal,macdhist = talib.MACD(close, fastperiod=12, slowperiod=26, signalperiod=9)
# print('*************************************************************')
# 买入手数
amount_long = int(context.portfolio.cash*0.001/N_long)
amount_short = int(context.portfolio.cash*0.001/N_short)
# 最新价大于前20天的最高价
if macd[-1] > macdsignal[-1] and amount_long >0 and bar_dict[security].last>max(hist['high'][-20:-1]):
buy_open(security, amount_long)
print("buy_open")
# 最新价小于前40天的最高价
if macd[-1] < macdsignal[-1] and amount_short >0 and bar_dict[security].last<min(hist['low'][-40:-1]):
sell_open(security, amount_short)
print("sell_open")
def calcAtr(self, tempDf, longOrShort, atrPeriod: int = 14):
warnings.filterwarnings("ignore")
tempDf2 = self.histTrades.loc[str(tempDf.index[-1]
):str(tempDf.index[-1] +
datetime.timedelta(minutes=5))]
try:
if longOrShort == 'l':
mask = (tempDf2.index > str(tempDf.index[-1])) & (
tempDf2.index <= str(tempDf2[tempDf2['price'].ge(
tempDf['close'][-1])].index[id]))
else:
mask = (tempDf2.index > str(tempDf.index[-1])) & (
tempDf2.index <= str(tempDf2[tempDf2['price'].le(
tempDf['close'][-1])].index[id]))
atrRow = tempDf2.loc[mask].groupby(pd.Grouper(freq='5T')).agg({
'price': ['first', max, min, 'last'],
'amount':
sum
}) # TODO: Change Timeframe
atrRow.columns = ['open', 'high', 'low', 'close', 'volume']
atrDf = pd.concat([tempDf[:-1].copy(), atrRow])
except IndexError:
atrDf = tempDf.copy()
atr = ATR(atrDf['high'], atrDf['low'], atrDf['close'], atrPeriod)
return atr
def test_talib_ATR(self):
#
# code_name = ('300623', '捷捷微电')
# code_name = ('600145', '*ST新亿')
# code_name = ('601700', '风范股份')
# code_name = ('000725', '京东方Ａ')
# code_name = ('002157', '正邦科技')
code_name = ('300663', '科蓝软件')
end = '2020-12-30'
data = utils.read_data(code_name)
print(data.head())
result = enter.check_volume(code_name, data, end_date=end)
print("\nlow atr check {0}'s result: {1}".format(code_name, result))
rolling_window = 21
moving_average = 20
average_true_range = ATR(data.high.values[-rolling_window:],
data.low.values[-rolling_window:],
data.close.values[-rolling_window:],
timeperiod=moving_average)
print("*" * 50)
print(data['high'].values)
print("*" * 50)
print(average_true_range)
print("*" * 10)
def _calc_indicator(self, OHLCV_input):
"""
Calculates the ATR - Average True Range using a wrapper for the TA-lib
Args:
:param OHLCV_input: the dataframe with the Open, High, Low, Close and Volume values
:type OHLCV_input: pandas DataFrame
Returns:
DataFrame with the indicators values.
"""
try:
high = OHLCV_input['high'].values[:, 0]
except IndexError:
high = OHLCV_input['high'].values
try:
low = OHLCV_input['low'].values[:, 0]
except IndexError:
low = OHLCV_input['low'].values
try:
close = OHLCV_input['close'].values[:, 0]
except IndexError:
close = OHLCV_input['close'].values
output = DataFrame(ATR(high, low, close, self.__timeperiod))
output.columns = ['ATR%d' % self.__timeperiod]
return output
def market_add(context, bar_dict, security):
hist = history_bars(security, context.period, '1d', ['high','low','close'])
N_long = ATR(hist['high'], hist['low'], hist['close'], timeperiod=context.long_period)[-1]
N_short = ATR(hist['high'], hist['low'], hist['close'], timeperiod=context.short_period)[-1]
close = hist['close']
position = context.portfolio.positions[security]
macd,macdsignal,macdhist = talib.MACD(close, fastperiod=12, slowperiod=26, signalperiod=9)
amount_long = int(context.portfolio.cash*0.001/N_long)
amount_short = int(context.portfolio.cash*0.001/N_short)
if amount_long>0 and macd[-1] > macdsignal[-1] and bar_dict[security].last > (position.buy_avg_holding_price + 2*N_long):
buy_open(security, amount_long)
print("buy_add")
if amount_short>0 and macd[-1] < macdsignal[-1] and bar_dict[security].last < (position.sell_avg_holding_price - 2*N_short):
sell_open(security, amount_short)
print("sell_add")
def WADDAH_ATTAR_EXPLOSION(close, high, low, sensitive = 150, fast_period=20, slow_period = 40, channel_period = 20, channel_mult = 2, dead_zone=30):
from talib import MACD
from talib import BBANDS
from talib import ATR
from talib import WMA
macd, macdsignal, macdhist = MACD(close, fastperiod=fast_period, slowperiod=slow_period, signalperiod=9)
upperband, middleband, lowerband = BBANDS(close, timeperiod=channel_period, nbdevup=channel_mult, nbdevdn=channel_mult, matype=0)
ind_trend1 = np.full(len(close), np.nan)
ind_itrend1 = np.full(len(close), np.nan)
ind_explo1 = np.full(len(close), np.nan)
tr = WMA(ATR(high, low, close, 20),3)
ind_dead = tr*dead_zone / 10
for i in range(0,len(close)):
if(i<2):
continue
trend1 = (macd[i] - macd[i-1]) * sensitive;
trend2 = (macd[i-1] - macd[i-2]) * sensitive;
explo1 = (upperband[i] - lowerband[i])
#explo2 = (upperband[i-1] - lowerband[i-1])
if(trend1>=0):
ind_trend1[i]=trend1
ind_itrend1[i]=0
if(trend1<0):
ind_trend1[i]=0
ind_itrend1[i]=(trend1*-1)
ind_explo1[i] = explo1
#print(str(i)+"\t "+str(close[i])+"\t "+str(close[i])+"\t "+str(ind_trend1[i])+"\t"+str(ind_itrend1[i]))
return ind_trend1, ind_itrend1, ind_explo1, ind_dead
def compute_average_true_ranges(context, data):
# data is not used
"""
Compute average true ranges, or N.
"""
if context.is_timed:
start_time = time()
rolling_window = 21
moving_average = 20
for sym in context.tradable_symbols:
context.average_true_range[sym] = ATR(
context.prices.loc[sym, 'high'][-rolling_window:],
context.prices.loc[sym, 'low'][-rolling_window:],
context.prices.loc[sym, 'close'][-rolling_window:],
timeperiod=moving_average)[-1]
if context.is_test:
assert (len(context.average_true_range) > 0)
if context.is_timed:
time_taken = (time() - start_time) * 1000
log.debug('Executed in %f ms.' % time_taken)
assert (time_taken < 1024)
def stop_loss(context, bar_dict, security):
hist = history_bars(security, context.period, '1d', ['high','low','close'])
N_long = ATR(hist['high'], hist['low'], hist['close'], timeperiod=context.long_period)[-1]
N_short = ATR(hist['high'], hist['low'], hist['close'], timeperiod=context.short_period)[-1]
position = context.portfolio.positions[security]
# buy_avg_holding_price float 多头持仓均价
if position.buy_quantity >0 and bar_dict[security].last < (position.buy_avg_holding_price - 0.5 *N_long):
# 多单清仓
sell_close(security,position.buy_quantity)
print("long_stop_loss")
# sell_avg_holding_price float 空头持仓均价
if position.sell_quantity >0 and bar_dict[security].last > (position.sell_avg_holding_price + 0.5*N_short):
# 空单清仓
buy_close(security,position.sell_quantity)
print("short_stop_loss")
def atr(high,
low,
close,
length=None,
mamode=None,
talib=None,
drift=None,
offset=None,
**kwargs):
"""Indicator: Average True Range (ATR)"""
# Validate arguments
length = int(length) if length and length > 0 else 14
mamode = mamode.lower() if mamode and isinstance(mamode, str) else "rma"
high = verify_series(high, length)
low = verify_series(low, length)
close = verify_series(close, length)
drift = get_drift(drift)
offset = get_offset(offset)
mode_tal = bool(talib) if isinstance(talib, bool) else True
if high is None or low is None or close is None: return
# Calculate Result
if Imports["talib"] and mode_tal:
from talib import ATR
atr = ATR(high, low, close, length)
else:
tr = true_range(high=high, low=low, close=close, drift=drift)
atr = ma(mamode, tr, length=length)
percentage = kwargs.pop("percent", False)
if percentage:
atr *= 100 / close
# Offset
if offset != 0:
atr = atr.shift(offset)
# Handle fills
if "fillna" in kwargs:
atr.fillna(kwargs["fillna"], inplace=True)
if "fill_method" in kwargs:
atr.fillna(method=kwargs["fill_method"], inplace=True)
# Name and Categorize it
atr.name = f"ATR{mamode[0]}_{length}{'p' if percentage else ''}"
atr.category = "volatility"
return atr
def ATRcalc(df):
df = df.dropna()
##d. ATR
priceaction = df.head(15)
pricehigh = priceaction['high'].values
pricelow = priceaction['low'].values
priceclose = priceaction['close'].values
atr = ATR(pricehigh, pricelow, priceclose, timeperiod=14)
# print("ATR\n", atr[-1])
return atr[-1]
def sell_signal(context, data):
cash_freed = 0.0
s = ""
context.stop = {}
for stock in context.portfolio.positions:
position = context.portfolio.positions[stock]
cash_worth = position.amount * position.last_sale_price
# anything not in the pool of allowed stocks is immediately sold
cost_basis = position.cost_basis
highs = data.history(stock, 'high', 25, '1d').ffill().bfill()
lows = data.history(stock, 'low', 25, '1d').ffill().bfill()
closes = data.history(stock, 'close', 25, '1d').ffill().bfill()
#front fill the values vs bfill() which back fills the values
current_price = data.current(stock, 'price')
if np.all(np.isnan(highs)):
continue
if np.all(np.isnan(lows)):
continue
if np.all(np.isnan(closes)):
continue
# atr_stop=0.90
atr_stop = ATR(highs, lows, closes, timeperiod=10)[-1] * 2
# if the stock is in the context stop then it is the previous price
if stock in context.stop:
stop = context.stop[stock]
# if it is not in context.stop then we will calculate the new stop price
else:
stop = cost_basis - atr_stop
# move up the stock if the current price is still greater than the stop
if (current_price) >= stop:
stop = current_price - atr_stop
context.stop[stock] = stop
# if the stop price is higher then sell the position
elif (current_price) < stop:
position = context.portfolio.positions[sid]
cash_worth = position.amount * position.last_sale_price
# anything not in the pool of allowed stocks is immediately sold
s = s + "%s, " % stock.symbol
if get_open_orders(stock):
continue
if data.can_trade(stock):
order_target_percent(stock, 0)
# log.info("Sell: Hit Stop " +str(stock))
cash_freed = cash_freed + cash_worth
log.info(s)
return cash_freed
def compute_average_true_ranges(context, data):
"""
Compute ATR, aka N
"""
rolling_window = context.strat_one_breakout+1
moving_average = context.strat_one_breakout
for sym in context.tradable_symbols:
context.MT[sym]['ATR'] = ATR(
context.prices.loc[sym, 'high'][-rolling_window:],
context.prices.loc[sym, 'low'][-rolling_window:],
context.prices.loc[sym, 'close'][-rolling_window:],
timeperiod=moving_average
)[-1]
def handle_data_csv(context):
long_range_slopes = []
try:
liq = context.performance.get_latest_performance()['portfolio_value']
except:
liq = 0
new_pos_sizes = []
isbull = []
symbols = context.data.items
for symbol in symbols:
hist = get_history(context, symbol, '500D', 'four')
MA = mean(hist)
isbull.append(get_current_price(context, symbol) > MA)
try:
lr = stats.linregress(range(len(hist)), hist)
atr = ATR(asarray(get_history(context, symbol, '500D', 'two')),
asarray(get_history(context, symbol, '500D', 'three')),
asarray(get_history(context, symbol, '500D', 'four')),
context.atr_lkbk)[-1]
new_pos_sizes.append(floor(liq * context.risk_factor / atr))
long_range_slopes.append(lr[0] * abs(lr[2]) *
context.long_range_slope_lkbk)
except:
new_pos_sizes.append(np.nan)
long_range_slopes.append(np.nan)
print traceback.format_exc()
tradable_symbols = argsort(long_range_slopes[::-1])[:context.max_items]
for i, symbol in enumerate(symbols):
if isnan(new_pos_sizes[i]) or isnan(long_range_slopes[i]): continue
if symbol in context.portfolio.positions:
order_size = new_pos_sizes[i] - sum(
context.portfolio.positions[symbol])
if isbull[i] and (i in tradable_symbols) and order_size:
order(context, symbol, order_size)
elif not isbull[i] and sum(context.portfolio.positions[symbol]):
order(context, symbol,
-sum(context.portfolio.positions[symbol]))
else:
order_size = new_pos_sizes[i]
if isbull[i] and (i in tradable_symbols) and order_size:
order(context, symbol, order_size)
def compute_average_true_ranges(context):
"""
Compute average true ranges, or N.
"""
if context.is_debug:
start_time = time()
rolling_window = 21
moving_average = 20
for market in context.prices.items:
context.average_true_range[market] = ATR(
context.prices[market].high[-rolling_window:],
context.prices[market].low[-rolling_window:],
context.prices[market].close[-rolling_window:],
timeperiod=moving_average)[-1]
if context.is_test:
assert (len(context.average_true_range) > 0)
if context.is_debug:
time_taken = (time() - start_time) * 1000
log.debug('Executed in %f ms.' % time_taken)
assert (time_taken < 1024)
2).shift(26)
high_52 = DATA['h_1'].rolling(window=52).max()
low_52 = DATA['l_1'].rolling(window=52).min()
DATA['senkou_span_b'] = ((high_52 + low_52) / 2).shift(26)
DATA['chikou_span'] = DATA['c_1'].shift(-26) # sometimes -22
DATA.loc[DATA.tenkan_sen > DATA.kijun_sen, 'cross'] = 1
DATA.loc[DATA.tenkan_sen < DATA.kijun_sen, 'cross'] = -1
DATA.loc[DATA.tenkan_sen == DATA.kijun_sen, 'cross'] = 0
DATA['cross_2'] = DATA.cross.shift(2)
DATA['sygnal'] = 0
DATA.loc[DATA.senkou_span_a > DATA.senkou_span_b, 'kumo'] = 1
DATA.loc[DATA.senkou_span_a < DATA.senkou_span_b, 'kumo'] = -1
DATA.loc[DATA.senkou_span_a == DATA.senkou_span_b, 'kumo'] = 0
DATA['kumo26'] = DATA.kumo.shift(-26)
DATA['c26'] = DATA.c_1.shift(26)
DATA['atr26'] = ATR(DATA.c_1, DATA.l_1, DATA.h_1, timeperiod=26)
DATA['atr_sl'] = DATA.atr26 * ATR_RATIO
data = DATA.tail(SAMPLES)
'''
kolumny = ['close', 'kijun_sen', 'tenkan_sen', 'senkou_span_a',
'senkou_span_b', 'chikou_span']#, 'sygnal']
'''
data['signal'] = data.apply(ALGO[0], axis=1)
man_close_date = get_prev_workday_datestring()
if TRANS.in_transaction:
try:
TRANS.close_transaction(data['close'].loc[man_close_date],
date_close=man_close_date,
be_verbose=BE_VERBOSE)
except KeyError:
print('przy tej spolce {} KeyError'.format(STOCK))
def compute_atr(stock_data):
df = ATR(stock_data.high, stock_data.low, stock_data.close, timeperiod=14)
return df.sub(df.mean()).div(df.std())
def getTechnicalInd(data, window=10):
close = data['Close']
high = data['High']
low = data['Low']
volume = data['Volume']
#madev = roc = willr=rsi=apo=atr=obv=adosc=slowk=fastk=slowd=fastd=vpos=vneg={}
window = 10
for i in range(0, window):
# momentum indicators
# rate of change: (price/prevPrice - 1)*100
data["roc{0}".format(i)] = ROC(close.shift(i), timeperiod=10)
# williams oscillator
data["willr{0}".format(i)] = WILLR(high.shift(i),
low.shift(i),
close.shift(i),
timeperiod=14)
# relative strength index
data["rsi{0}".format(i)] = RSI(close.shift(i), timeperiod=14)
# absolute price oscillator: slowMA(price) - fastMA(price)
data["apo{0}".format(i)] = APO(close.shift(i),
fastperiod=12,
slowperiod=26,
matype=0)
# volatility indicator
data["atr{0}".format(i)] = ATR(high.shift(i),
low.shift(i),
close.shift(i),
timeperiod=14) # average true range
# Volume indicator
# on balance volume
data["obv{0}".format(i)] = OBV(close.shift(i), volume.shift(i))
# chaikin A/D oscillator
data["adosc{0}".format(i)] = ADOSC(high.shift(i),
low.shift(i),
close.shift(i),
volume.shift(i),
fastperiod=3,
slowperiod=10)
# Stochastic Oscillator Slow %k: (C-L)/(H-L)*100
data["slowk{0}".format(i)], data["slowd{0}".format(i)] = STOCH(
high.shift(i),
low.shift(i),
close.shift(i),
fastk_period=5,
slowk_period=3,
slowk_matype=0,
slowd_period=3,
slowd_matype=0)
# STOCHF - Stochastic Fast
data["fastk{0}".format(i)], data["fastd{0}".format(i)] = STOCHF(
high.shift(i),
low.shift(i),
close.shift(i),
fastk_period=5,
fastd_period=3,
fastd_matype=0)
#vortex
data["vortex_indicator_pos{0}".format(i)] = vortex_indicator_pos(
high.shift(i), low.shift(i), close.shift(i), n=14, fillna=False)
data["vortex_indicator_neg{0}".format(i)] = vortex_indicator_neg(
high.shift(i), low.shift(i), close.shift(i), n=14, fillna=False)
# returns
for i in range(1, window):
# overlap studies
data["madev{0}".format(i)] = close - close.shift(1).rolling(
window=i).mean()
data["return{0}".format(i)] = close - close.shift(i)
# std
for i in range(2, window):
data["std{0}".format(i)] = close.rolling(
i).std() #Standard deviation for a period of 5 days
return data #madev, roc,willr,rsi,apo,atr,obv,adosc,slowk,slowd,fastk,fastd,vpos, vneg, returns, stds
def rebalance(context, data):
# Return the 20-day 'high', 'low', and 'close' for True Range calculation
price_history = data.history(context.my_futures,
['high', 'low', 'close', 'price'], 21, '1d')
# Return the 10-day 'price' history of our futures
recent_prices = data.history(context.my_futures, ['high', 'low', 'price'],
10, '1d')
# Return the current contract of each of our futures
contracts = data.current(context.my_futures, 'contract')
# TRADE LOGIC
#-------------
for future in context.my_futures:
# Position size constraints
starting_cash = context.portfolio.starting_cash
position_size = starting_cash * 0.01
future_contract = contracts[future]
# N CALCULATION (VOLATILITY METRIC)
#---------------------------------
highs = price_history['high'][future]
lows = price_history['low'][future]
closes = price_history['close'][future]
# N is the 20-Day Average True Range
N = ATR(highs, lows, closes, timeperiod=20)[-1]
if np.isnan(N):
continue
# DOLLAR VOLATILITY ADJUSTMENT
#------------------------------
# Dollar Volatility
dV = N * future_contract.multiplier
# Unit Calculation
unit = math.floor(position_size / dV)
price = data.current(future, 'price')
# Logs to see the price and unit data every time the function is called
# log.info("Today's price of %s is: " % (future_contract.asset_name) + str(price))
# log.info("The 20-day high of %s is: " % (future_contract.asset_name) + str(max(price_history['high'][future]))
# log.info("The 20-day low of %s is: " % (future_contract.asset_name) + str(min(price_history['low'][future]))
# log.info("Current unit of %s is: " % (future_contract.asset_name) + str(unit))
high_20 = True if price >= max(
price_history['high'][future]) else False
low_20 = True if price <= min(price_history['low'][future]) else False
high_10 = True if price >= max(
recent_prices['high'][future]) else False
low_10 = True if price <= min(recent_prices['low'][future]) else False
# ENTRY STRATEGY
#----------------
# Long Entry
if high_20:
log.info("Entering long position in %s at $" %
(future_contract.asset_name) + str(price))
order(future_contract, unit)
# Short Entry
elif low_20:
log.info("Entering short position in %s at $" %
(future_contract.asset_name) + str(price))
order(future_contract, -unit)
# EXIT STRATEGY
#---------------
# Long Exit
elif low_10:
log.info("Exiting long position in %s at $" %
(future_contract.asset_name) + str(price))
order_target_percent(future_contract, 0)
# Short Exit
elif high_10:
log.info("Exiting short position in %s at $" %
(future_contract.asset_name) + str(price))
order_target_percent(future_contract, 0)
else:
pass
# CHECK POSITIONS
#-----------------
current_position = context.portfolio.positions[data.current(
context.my_futures, 'contract')[future]]
current_contract = current_position.asset
if current_contract in context.portfolio.positions and data.can_trade(
current_contract) and not get_open_orders(current_contract):
# Positon details
cost_basis = context.portfolio.positions[
current_contract].cost_basis
price = data.current(current_contract, 'price')
holding = context.portfolio.positions[current_contract].amount
long_position = True if holding > 0 else False
short_position = True if holding < 0 else False
# Log details for each position
log.info("=================================")
log.info("Position details for %s" %
str(current_contract.asset_name))
log.info("The price is $ %s" % str(price))
log.info("We are holding %s shares" % str(holding))
log.info("Our cost basis is $ %s" % str(cost_basis))
log.info(
"Dollar value is $ %s" %
str(abs((cost_basis * holding) * current_contract.multiplier)))
log.info("=================================")
# ADDING UNITS (Units are added at N/2 intervals)
#---------------------------------------------------
# Additional Long Unit
if price >= (cost_basis + (N / 2)) and long_position:
log.info("Purchased additional unit of %s at $" %
(future_contract.asset_name) + str(price))
log.info("N is %s" % str(N))
order(current_contract, unit)
# Additional Short Unit
if price <= (cost_basis - (N / 2)) and short_position:
log.info("Shorted additional unit of %s at $" %
(future_contract.asset_name) + str(price))
log.info("N is %s" % str(N))
order(current_contract, -unit)
# STOP LOSSES (We stop out at +/-1.05 * our cost_basis)
#-------------------------------------------
# Long Loss
if price <= (cost_basis * -1.05) and long_position:
log.info("Stopped out of long in %s at $" %
(future_contract.asset_name) + str(price))
order_target_percent(current_contract, 0)
# Short Loss
if price >= (cost_basis * 1.05) and short_position:
log.info("Stopped out of short in %s at $" %
(future_contract.asset_name) + str(price))
order_target_percent(current_contract, 0)
def Volatility_Indicator(open, high, low, close, volume):
#Volatility Indicator Functions
df["atr"] = ATR(high, low, close, timeperiod=14) #Average True Range
df["natr"] = NATR(high, low, close,
timeperiod=14) #Normalized Average True Range
df["tr"] = TRANGE(high, low, close)
def rebalance(context, data):
context.total_price = 0 # to be used later as a sort of benchmark
# for each security in the list
context.total_price = sum(data.current(context.security_list, 'price'))
hist = data.history(context.security_list, ['high', 'low', 'close'], 30,
'1d')
for security in context.security_list:
highs = hist['high'][security][:-1]
lows = hist['low'][security][:-1]
closes = hist['close'][security][:-1]
N = ATR(highs, lows, closes, timeperiod=20)[-1]
if np.isnan(N):
continue
# count how many shares we have in open orders and own
shares = 0
for o in get_open_orders(security):
shares += o.amount
shares += context.portfolio.positions[security].amount
# determine account size
current_value = context.portfolio.cash + context.portfolio.positions_value
if current_value < context.portfolio.starting_cash:
account_size = -context.portfolio.starting_cash + 2 * current_value
else:
account_size = current_value
# compute how many units to buy or sell
trade_amt = math.floor(account_size * .01 / N)
# 20-day high?
h_20 = True if data.current(
security, 'price') > context.past_high_max[security] else False
# 20-day low?
l_20 = True if data.current(
security, 'price') < context.past_low_min[security] else False
goal_shares = shares
if h_20:
# long
goal_shares = trade_amt
elif l_20:
# sell or short
if context.long_only:
goal_shares = 0
else:
goal_shares = -trade_amt
# goal_shares = shares + (amount to buy or sell)
amt_to_buy = goal_shares - shares
if amt_to_buy != 0:
if amt_to_buy > 0:
log.info("buying %s shares of %s" %
(amt_to_buy, security.symbol))
if amt_to_buy < 0:
log.info("selling %s shares of %s" %
(-amt_to_buy, security.symbol))
order(security, amt_to_buy)
# keep deques updated
context.past_high_max[security] = max(context.past_high_max[security],
data.current(security, 'high'))
context.past_low_min[security] = min(context.past_low_min[security],
data.current(security, 'low'))
def calculate_signals(self):
for symbol in self.symbol_list:
print('Searching for {1} signals ...'.format(symbol))
last_price = self.data_handler.current_price(symbol)[0]
h1_highs = self.data_handler.get_latest_bars_values(
symbol, 'high', timeframe='H1', N=self.bars_window)
h1_lows = self.data_handler.get_latest_bars_values(
symbol, 'low', timeframe='H1', N=self.bars_window)
h1_closes = self.data_handler.get_latest_bars_values(
symbol, 'close', timeframe='H1', N=self.bars_window)
h1_hlc3 = (h1_highs + h1_lows + h1_closes) / 3
h1_ema_50 = EMA(h1_hlc3, timeperiod=50)
h1_ema_100 = EMA(h1_hlc3, timeperiod=100)
h1_ema_200 = EMA(h1_hlc3, timeperiod=200)
m15_highs = self.data_handler.get_latest_bars_values(
symbol, 'high', timeframe='m15', N=self.bars_window)
m15_lows = self.data_handler.get_latest_bars_values(
symbol, 'low', timeframe='m15', N=self.bars_window)
m15_closes = self.data_handler.get_latest_bars_values(
symbol, 'close', timeframe='m15', N=self.bars_window)
m15_hlc3 = (m15_highs + m15_lows + m15_closes) / 3
m15_ema_50 = EMA(m15_hlc3, timeperiod=50)
m15_ema_100 = EMA(m15_hlc3, timeperiod=100)
m15_ema_200 = EMA(m15_hlc3, timeperiod=200)
m15_price_bb_up, m15_price_bb_mid, m15_price_bb_low = BBANDS(
m15_hlc3, timeperiod=20, nbdevup=2, nbdevdn=2)
m15_price_bb_low_dist = (m15_price_bb_mid + m15_price_bb_low) / 2
m15_price_bb_up_dist = (m15_price_bb_up + m15_price_bb_mid) / 2
m15_rsi = RSI(m15_closes, timeperiod=14)
m15_rsi_bb_up, m15_rsi_bb_mid, m15_rsi_bb_low = BBANDS(
m15_rsi, timeperiod=20, nbdevup=2, nbdevdn=2)
m15_stochrsi = STOCHRSI(pd.Series(m15_closes), timeperiod=14)
m15_atr = ATR(m15_highs, m15_lows, m15_closes, timeperiod=14)
datetime = self.data_handler.get_latest_bar_datetime(symbol)[0]
direction = None
status = None
position = 'Not yet'
print(datetime)
if last_price > h1_ema_50[-1] and last_price > h1_ema_100[
-1] and last_price > h1_ema_200[-1]:
print('Uprend detected')
if last_price > m15_ema_50[-1] and last_price > m15_ema_100[
-1] and last_price > m15_ema_200[-1]:
print('Uprend confirmed')
direction = 'LONG'
if m15_rsi[-1] < m15_rsi_bb_low[-1]:
print('Reversal Detected')
status = 'Reversal detected'
if last_price < m15_price_bb_low_dist[-1]:
print('Reversal confirmed')
status = 'Reversal confirmed'
if m15_stochrsi[-1] < 25:
print('Go LONG')
position = 'Go ahead'
elif last_price < h1_ema_50[-1] and last_price < h1_ema_100[
-1] and last_price < h1_ema_200[-1]:
print('Downrend detected')
if last_price < m15_ema_50[-1] and last_price < m15_ema_100[
-1] and last_price < m15_ema_200[-1]:
print('Downrend confirmed')
direction = 'SHORT'
if m15_rsi[-1] > m15_rsi_bb_up[-1]:
print('Reversal Detected')
status = 'Reversal detected'
if last_price > m15_price_bb_up_dist[-1]:
print('Reversal confirmed')
status = 'Reversal confirmed'
if m15_stochrsi[-1] > 75:
print('Go SHORT')
position = 'Go ahead'
else:
pass
print(symbol, direction, status, position, datetime)
if status is not None:
self.telegram.send_text({
'symbol':
symbol,
'direction':
direction,
'status':
status,
'position':
position,
'atr':
np.around(m15_atr[-1], decimals=5),
'datetime':
datetime
})
2).shift(26)
high_52 = DATA['high'].rolling(window=52).max()
low_52 = DATA['low'].rolling(window=52).min()
DATA['senkou_span_b'] = ((high_52 + low_52) / 2).shift(26)
DATA['chikou_span'] = DATA['close'].shift(-26) # sometimes -22
DATA.loc[DATA.tenkan_sen > DATA.kijun_sen, 'cross'] = 1
DATA.loc[DATA.tenkan_sen < DATA.kijun_sen, 'cross'] = -1
DATA.loc[DATA.tenkan_sen == DATA.kijun_sen, 'cross'] = 0
DATA['cross_2'] = DATA.cross.shift(2)
DATA['sygnal'] = 0
DATA.loc[DATA.senkou_span_a > DATA.senkou_span_b, 'kumo'] = 1
DATA.loc[DATA.senkou_span_a < DATA.senkou_span_b, 'kumo'] = -1
DATA.loc[DATA.senkou_span_a == DATA.senkou_span_b, 'kumo'] = 0
DATA['kumo26'] = DATA.kumo.shift(-26)
DATA['c26'] = DATA.close.shift(26)
DATA['atr26'] = ATR(DATA.close, DATA.low, DATA.high, timeperiod=26)
DATA['atr_sl'] = DATA.atr26 * ATR_RATIO
data = DATA.tail(SAMPLES)
data['signal'] = data.apply(ALGO[0], axis=1)
man_close_date = get_prev_workday_datestring()
if SAVE_RESULTS:
try:
F_N = 'Results/' + str(ALGO[0]).split(' ')[1] + '-'
F_N = F_N + str(NOW.year) + '-' + str(NOW.month) + '-' + str(NOW.day)
F_N = F_N + '_' + str(NOW.hour) + '_' + str(NOW.minute) + '_'
F_N = F_N + str(NOW.second)
ALL_TRANS_DETAILS = F_N + '-d-atr-' + str(ATR_RATIO) + '-' \
+ str(YEARS) + '-years.xlsx'
ALL_TRANS_SUMMARY = F_N + '-s-atr-' + str(ATR_RATIO) + '-' \
+ str(YEARS) + '-years.xlsx'
def ATR_STOPLOSS(close, high, low, times=3, period=14, early_stop_profit=0.02, stop_early_times=3, repaint = False, median=False, average_high_low=False):
starting_close = close[period]
from talib import ATR
if(average_high_low == False):
if(median==False):
atr= ATR(high,low, close ,timeperiod=period)
else:
atr=MATR(high,low, close ,timeperiod=period)
else:
atr=CLOSE_ATR(high,low, close ,timeperiod=period)
first = 1
import math
atr_trailing_stoploss = np.full(len(close)+1, np.nan)
for i in range(0,len(close)):
if(i>0 and math.isnan(atr[i])==False and repaint==True):
if((close[i-1]<atr_trailing_stoploss[i-1] and close[i]>atr_trailing_stoploss[i])
or (close[i-1]>atr_trailing_stoploss[i-1] and close[i]<atr_trailing_stoploss[i])):
starting_close = close[i]
multiplier = times
if(i>0 and math.isnan(atr[i])==False):
if(close[i-1]>atr_trailing_stoploss[i] and close[i]<atr_trailing_stoploss[i]):
loss = atr[i]*multiplier
atr_trailing_stoploss[i+1]=close[i]+loss
continue
if(i>0 and math.isnan(atr[i])==False):
if(close[i-1]<atr_trailing_stoploss[i] and close[i]>atr_trailing_stoploss[i]):
loss = atr[i]*multiplier
atr_trailing_stoploss[i+1]=close[i]-loss
continue
if(math.isnan(atr[i])==False):
loss = atr[i]*multiplier
atr_trailing_stoploss[i+1]=close[i]-loss
if(close[i]<atr_trailing_stoploss[i]):
if(atr_trailing_stoploss[i]>close[i]+loss):
'''
ratio_to_target = ((close[i]-starting_close)/(starting_close))/early_stop_profit
if(((close[i]-starting_close)/(starting_close))<-early_stop_profit):
loss = atr[i]*stop_early_times
else:
if(ratio_to_target<0):
loss = atr[i]*(times-((times - stop_early_times)*(-ratio_to_target)))
else:
loss = atr[i]*multiplier
'''
atr_trailing_stoploss[i+1]=close[i]+loss
else:
if(math.isnan(atr_trailing_stoploss[i])==False):
atr_trailing_stoploss[i+1]=atr_trailing_stoploss[i]
else:
if(atr_trailing_stoploss[i]<close[i]-loss):
ratio_to_target = ((close[i]-starting_close)/(starting_close))/early_stop_profit
if(((close[i]-starting_close)/(starting_close))>early_stop_profit):
loss = atr[i]*stop_early_times
else:
if(ratio_to_target>0):
loss = atr[i]*(times-((times - stop_early_times)*ratio_to_target))
else:
loss = atr[i]*multiplier
atr_trailing_stoploss[i+1]=close[i]-loss
else:
if(math.isnan(atr_trailing_stoploss[i])==False):
atr_trailing_stoploss[i+1]=atr_trailing_stoploss[i]
return atr_trailing_stoploss[:-1], atr_trailing_stoploss[-1:]
def process_col(data, col="", *argv):
params = '_'.join(str(x) for x in argv)
if(col+"_"+params in data.columns):
return
if(col=="zero"):
data['zero'] = np.full(len(data), 0)
if(col=="atr_risk"):
from talib import ATR
data["atr_risk_"+params]= ATR(data['high'].values, data['low'].values, data['close'].values ,timeperiod=argv[0])
if(col=="macd"):
from talib import MACD
data['macd_'+params], data['macd_signal_'+params], data['macd_hist_'+params] = MACD(data['close'], fastperiod=argv[0], slowperiod=argv[1], signalperiod=argv[2])
if(col=="rsi"):
from talib import RSI
data['rsi_'+params] = RSI(data['close'].values, timeperiod=argv[0])
if(col=="adx"):
from talib import ADX
data['adx_'+params] = ADX(data['high'].values, data['low'].values, data['close'].values, timeperiod=argv[0])
if(col=="kijunsen"):
data['kijunsen_'+params] = KIJUNSEN(data['high'],data['low'], timeperiod=argv[0])
if(col=="ema"):
from talib import EMA
data['ema_'+params] = EMA(data[argv[0]], timeperiod=argv[1])
if(col=="sma"):
from talib import SMA
data['sma_'+params] = SMA(data[argv[0]], timeperiod=argv[1])
if(col=="hma"):
data['hma_'+params] = HMA(data[argv[0]], timeperiod=argv[1])
if(col=="linearreg"):
from talib import LINEARREG_ANGLE
data['linearreg_'+params] = LINEARREG_ANGLE(data[argv[0]], timeperiod=argv[1])
if(col=="linearreg"):
from talib import LINEARREG_ANGLE
data['linearreg_'+params] = LINEARREG_ANGLE(data[argv[0]], timeperiod=argv[1])
if(col=="atr_stoploss"):
from talib import LINEARREG_ANGLE
data['atr_stoploss_'+params] = ATR_STOPLOSS(close = data.close.values,
high = data.high.values,
low = data.low.values,
times=argv[0], stop_early_times=argv[1], early_stop_profit=argv[2], period=argv[3], repaint=True)[0]
if(col=="atr"):
from talib import ATR
data['atr_'+params] = ATR(data['high'].values, data['low'].values, data['close'].values ,timeperiod=argv[0])
if(col=="ssl"):
data["ssl_up_"+params],data["ssl_down_"+params]= SSL(data['high'].values, data['low'].values, data['close'].values ,timeperiod=argv[0])
if(col=="ha"):
data["ha_open"],data["ha_high"],data["ha_low"],data["ha_close"] = HEIKIN_ASHI(data['open'].values, data['high'].values, data['low'].values, data['close'].values)
if(col=="rvi"):
data["rvi_"+params],data["rvi_signal_"+params]= RVI(data['high'].values, data['low'].values, data['close'].values, data['open'].values,timeperiod=argv[0])
if(col=="waddah"):
data["waddah_bull_"+params],data["waddah_bear_"+params],data["waddah_explo_"+params],data["waddah_dead_"+params]= WADDAH_ATTAR_EXPLOSION(data['close'].values,data['high'].values,data['low'].values, sensitive = argv[0] , fast_period= argv[1], slow_period = argv[2], channel_period = argv[3], channel_mult = argv[4], dead_zone= argv[5])
if(col=="ash"):
data["ASH_bull_"+params],data["ASH_bear_"+params]= ASH(data['close'].values, timerperiod=argv[0], smooth =argv[1])
