def morning_star(key, dataList, time_frame):
price_action = pd.DataFrame(
dataList,
columns=[id.time, id.open, id.close, id.high, id.low, id.volume])
if price_action.empty:
return
window_size = constants.strategy_params[id.window_size]
downtrend = utils.__downtrend(
price_action.iloc[-window_size - 3:-3][id.close].values, window_size)
morning_star = utils.__is_bull(price_action.iloc[-1][id.open], price_action.iloc[-1][id.close]) \
and utils.__percentage_change(price_action.iloc[-1][id.open], price_action.iloc[-1][id.close]) > constants.strategy_params[id.body_percentage] \
and utils.__is_gap_up(price_action.iloc[-1][id.open], price_action.iloc[-2][id.open], price_action.iloc[-2][id.close]) \
and utils.__percentage_change(price_action.iloc[-2][id.open], price_action.iloc[-2][id.close]) < constants.strategy_params[id.small_body_percentage] \
and utils.__is_gap_up(price_action.iloc[-3][id.open], price_action.iloc[-2][id.open], price_action.iloc[-2][id.close]) \
and utils.__is_bear(price_action.iloc[-3][id.open], price_action.iloc[-3][id.close]) \
and utils.__percentage_change(price_action.iloc[-3][id.open], price_action.iloc[-3][id.close]) > constants.strategy_params[id.body_percentage] \
and utils.__threshold_down(price_action.iloc[-3][id.open], price_action.iloc[-3][id.close], price_action.iloc[-1][id.close])
if downtrend and morning_star:
try:
#db.insert_strategy(key, time_frame, values.morning_star, price_action.iloc[-1][id.time])
return {
id.name: id.morning_star,
id.key: key,
id.price_action: dataList
}
except:
print('Unable to add to database')
return {}
def bullish_abandoned_baby(key, dataList, time_frame):
price_action = pd.DataFrame(
dataList,
columns=[id.time, id.open, id.close, id.high, id.low, id.volume])
if price_action.empty:
return
window_size = constants.strategy_params[id.window_size]
downTrend = utils.__downtrend(
price_action.iloc[-2 * window_size - 3:-3][id.close].values,
window_size)
abandonedBaby = utils.__is_bull(price_action.iloc[-1][id.open], price_action.iloc[-1][id.close]) \
and utils.__percentage_change(price_action.iloc[-1][id.open], price_action.iloc[-1][id.close]) > constants.strategy_params[id.body_percentage] \
and price_action.iloc[-1][id.low] > price_action.iloc[-2][id.high] \
and utils.__is_doji(price_action.iloc[-2][id.open], price_action.iloc[-2][id.close]) \
and price_action.iloc[-3][id.high] > price_action.iloc[-2][id.low] \
and utils.__is_bear(price_action.iloc[-3][id.open], price_action.iloc[-3][id.close]) \
and utils.__percentage_change(price_action.iloc[-2][id.open], price_action.iloc[-2][id.close]) > constants.strategy_params[id.body_percentage]
if downTrend and abandonedBaby:
try:
#db.insert_strategy(key, time_frame, values.bullish_abandoned_baby, price_action.iloc[-1][id.time])
return {
id.name: id.bullish_abandoned_baby,
id.key: key,
id.price_action: price_action.to_dict()
}
except:
print('Unable to add to database')
return {}
def double_top_double_bottom(key, dataList, time_frame):
price_action = pd.DataFrame(
dataList,
columns=[id.time, id.open, id.close, id.high, id.low, id.volume])
if price_action.empty:
return
window_size = constants.strategy_params[id.window_size]
# To determine up/down trend and the strength
upTrend = utils.__uptrend(
price_action.iloc[-2 * window_size - 3:-3][id.close].values,
window_size)
downTrend = utils.__downtrend(
price_action.iloc[-2 * window_size - 3:-3][id.close].values,
window_size)
# ADX to determine the strength of the trend and OBV to get volume of trades placed
adx = ta.ADX(price_action[id.high], price_action[id.low],
price_action[id.close], window_size)
obv = ta.OBV(price_action[id.close], price_action[id.volume])
# Calculate the local maxima and minima in the window frame
local_minima, local_maxima, indices_minima, indices_maxima = utils.__local_min_max(
np.array(price_action[id.high]))
notifier = {values.double_top: False, values.double_bottom: False}
if upTrend and adx[len(adx) -
1] >= constants.strategy_params[id.trend_strength]:
notifier[values.double_top] = check_double_top(price_action,
indices_maxima, obv)
if downTrend and adx[len(adx) -
1] >= constants.strategy_params[id.trend_strength]:
notifier[values.double_bottom] = check_double_bottom(
price_action, indices_minima, obv)
if notifier[values.double_top]:
try:
#db.insert_strategy(key, time_frame, values.double_top, price_action.iloc[-1][id.time])
return {
id.name: id.double_top,
id.key: key,
id.price_action: dataList
}
except:
print('Unable to add to database')
return {}
if notifier[values.double_bottom]:
try:
#db.insert_strategy(key, time_frame, values.double_bottom, price_action.iloc[-1][id.time])
return {
id.name: id.double_bottom,
id.key: key,
id.price_action: dataList
}
except:
print('Unable to add to database')
return {}
def bullish_abandoned_baby(key, price_action, time_frame):
window_size = constants.strategy_params[id.window_size]
downTrend = utils.__downtrend(
price_action.iloc[-2 * window_size - 3:-3][id.close].values,
window_size)
abandonedBaby = utils.__is_bull(price_action.iloc[-1][id.open], price_action.iloc[-1][id.close]) \
and utils.__percentage_change(price_action.iloc[-1][id.open], price_action.iloc[-1][id.close]) > constants.strategy_params[id.body_percentage] \
and price_action.iloc[-1][id.low] > price_action.iloc[-2][id.high] \
and utils.__is_doji(price_action.iloc[-2][id.open], price_action.iloc[-2][id.close]) \
and price_action.iloc[-3][id.high] > price_action.iloc[-2][id.low] \
and utils.__is_bear(price_action.iloc[-3][id.open], price_action.iloc[-3][id.close]) \
and utils.__percentage_change(price_action.iloc[-2][id.open], price_action.iloc[-2][id.close]) > constants.strategy_params[id.body_percentage]
if downTrend and abandonedBaby:
db.insert_strategy(key, time_frame, values.bullish_abandoned_baby,
price_action.iloc[-1][id.time])
def three_white_soldiers(key, price_action, time_frame):
window_size = constants.strategy_params[id.window_size]
# soldiers=check if the last 3 candles are soldiers
soldiers = utils.__is_bull(price_action.iloc[-1][id.open], price_action.iloc[-1][id.close]) \
and utils.__is_bull(price_action.iloc[-2][id.open], price_action.iloc[-2][id.close]) \
and utils.__is_bull(price_action.iloc[-3][id.open], price_action.iloc[-3][id.close]) \
and __is_higher(price_action.iloc[-1][id.open], price_action.iloc[-1][id.close], price_action.iloc[-1][id.low],
price_action.iloc[-2][id.open], price_action.iloc[-2][id.close]) \
and __is_higher(price_action.iloc[-2][id.open], price_action.iloc[-2][id.close], price_action.iloc[-2][id.low],
price_action.iloc[-3][id.open], price_action.iloc[-3][id.close])
# check lower wick
lower_wick = __small_upper_wick(price_action.iloc[-1]) \
and __small_upper_wick(price_action.iloc[-2]) \
and __small_upper_wick(price_action.iloc[-3])
# find trend for candles from -17 to -3, extra window_size data for sma buffer
trend = utils.__downtrend(price_action.iloc[-2*window_size - 3:-3][id.close].values, window_size)
# check strategy
if trend and soldiers and lower_wick:
db.insert_strategy(key, time_frame, values.three_white_soldiers, price_action.iloc[-1][id.time])
def three_white_soldiers(key, dataList, time_frame):
price_action = pd.DataFrame(
dataList,
columns=[id.time, id.open, id.close, id.high, id.low, id.volume])
if price_action.empty:
return
window_size = constants.strategy_params[id.window_size]
# soldiers=check if the last 3 candles are soldiers
soldiers = utils.__is_bull(price_action.iloc[-1][id.open], price_action.iloc[-1][id.close]) \
and utils.__is_bull(price_action.iloc[-2][id.open], price_action.iloc[-2][id.close]) \
and utils.__is_bull(price_action.iloc[-3][id.open], price_action.iloc[-3][id.close]) \
and __is_higher(price_action.iloc[-1][id.open], price_action.iloc[-1][id.close], price_action.iloc[-1][id.low],
price_action.iloc[-2][id.open], price_action.iloc[-2][id.close]) \
and __is_higher(price_action.iloc[-2][id.open], price_action.iloc[-2][id.close], price_action.iloc[-2][id.low],
price_action.iloc[-3][id.open], price_action.iloc[-3][id.close])
# check lower wick
lower_wick = __small_upper_wick(price_action.iloc[-1]) \
and __small_upper_wick(price_action.iloc[-2]) \
and __small_upper_wick(price_action.iloc[-3])
# find trend for candles from -17 to -3, extra window_size data for sma buffer
trend = utils.__downtrend(
price_action.iloc[-2 * window_size - 3:-3][id.close].values,
window_size)
# check strategy
if trend and soldiers and lower_wick:
try:
#db.insert_strategy(key, time_frame, values.three_white_soldiers, price_action.iloc[-1][id.time])
return {
id.name: id.three_white_soldiers,
id.key: key,
id.price_action: dataList
}
except:
print('Unable to add to database')
return {}
# shooting star
for window_size in range(5, 21):
small_body = 0.05
while small_body <= 0.50:
lower_wick = 0
while lower_wick < 1.00:
w_start = 0
correct = 0
identify = 0
while w_start != data.shape[0] - 2 * window_size:
# do this for all the strategies...
uptrend = utils.__uptrend(
data['close'][w_start:w_start +
window_size].values, window_size)
downtrend = utils.__downtrend(
data['close'][w_start:w_start +
window_size].values, window_size)
# shooting star
shooting_star = ss.shooting_star(
data, w_start, window_size, lower_wick, small_body)
if uptrend and shooting_star:
# verify if it is followed by a downtrend
downtrend = utils.__downtrend(
data['close'][w_start + window_size +
1:w_start + 2 * window_size +
1].values, window_size)
if downtrend:
print('up_down')
correct += 1
identify += 1
dt_identify = 0
db_correct = 0
db_identify = 0
while w_start != data.shape[0] - 3 * window_size:
print(w_start)
# do this for all the strategies...
res = dtdb.double_top_double_bottom(
price_action=data.iloc[w_start:w_start +
3 * window_size],
window_size=window_size,
trend_strength=trend_strength,
diff_threshold=diff_threshold)
if res['dt']:
downtrend = utils.__downtrend(
data['close'][w_start + 3 * window_size +
1:w_start +
4 * window_size].values,
window_size)
if downtrend:
print('Yay')
dt_correct += 1
dt_identify += 1
if res['db']:
uptrend = utils.__uptrend(
data['close'][w_start + 3 * window_size +
1:w_start +
4 * window_size].values,
window_size)
if uptrend:
print('Yay')
db_correct += 1