def set_datalines(self):
# Override stat line:
self.stat_asset = self.data.spread = SpreadConstructor()
# Spy on reward behaviour:
self.reward_tracker = CumSumReward()
self.data.std1 = btind.StdDev(self.datas[0],
period=self.p.time_dim,
safepow=True)
self.data.std1.plotinfo.plot = False
self.data.std2 = btind.StdDev(self.datas[1],
period=self.p.time_dim,
safepow=True)
self.data.std2.plotinfo.plot = False
self.data.features1 = [
btind.EMA(self.datas[0], period=period)
for period in self.p.features_parameters
]
self.data.features2 = [
btind.EMA(self.datas[1], period=period)
for period in self.p.features_parameters
]
initial_time_period = np.asarray(
self.p.features_parameters).max() + self.p.time_dim
self.data.dim_sma = btind.SimpleMovingAverage(
self.datas[0], period=initial_time_period)
self.data.dim_sma.plotinfo.plot = False
def __init__(self):
first, second = self.datas[0], self.datas[1]
beta = btind.SMA(first, period=self.p.period) / btind.SMA(
second, period=self.p.period)
spread = first - (beta * second)
self.lines.signal = (spread - btind.SMA(spread, period=self.p.period)
) / btind.StdDev(spread, period=self.p.period)
def set_datalines(self):
self.data.spread = btind.SimpleMovingAverage(self.datas[0] - self.datas[1], period=1)
self.data.spread.plotinfo.subplot = True
self.data.spread.plotinfo.plotabove = True
self.data.spread.plotinfo.plotname = list(self.p.asset_names)[0]
# Override stat line:
# self.stat_asset = btind.SimpleMovingAverage((self.datas[0] + self.datas[1]) / 2, period=1)
# self.stat_asset.plotinfo.plot = False
self.stat_asset = self.data.spread
self.data.std = btind.StdDev(self.data.spread, period=self.p.time_dim, safepow=True)
self.data.std.plotinfo.plot = False
self.data.features = [
# btind.SimpleMovingAverage(self.data.spread, period=period) for period in self.p.features_parameters
btind.EMA(self.data.spread, period=period) for period in self.p.features_parameters
]
initial_time_period = np.asarray(self.p.features_parameters).max() + self.p.time_dim
self.data.dim_sma = btind.SimpleMovingAverage(
self.datas[0],
period=initial_time_period
)
self.data.dim_sma.plotinfo.plot = False
def set_datalines(self):
self.data.high = self.data.low = self.data.close = self.data.open
self.data.std = btind.StdDev(self.data.open, period=self.p.time_dim, safepow=True)
self.data.std.plotinfo.plot = False
self.data.features = [
btind.SimpleMovingAverage(self.data.open, period=period) for period in self.p.features_parameters
]
initial_time_period = np.asarray(self.p.features_parameters).max() + self.p.time_dim
self.data.dim_sma = btind.SimpleMovingAverage(
self.datas[0],
period=initial_time_period
)
self.data.dim_sma.plotinfo.plot = False
def __init__(self):
super().__init__()
# self.ema_short = btind.MovAv.EMA(self.data.close, period=self.p.ema_short_period)
self.atr = btind.ATR(self.data, period=self.p.atr_period)
self.stddev = btind.StdDev(self.data.close,
period=self.p.stddev_period)
self.highest = btind.Highest(self.data.high,
period=self.p.squeeze_period,
plot=False)
self.lowest = btind.Lowest(self.data.low,
period=self.p.squeeze_period,
plot=False)
self.sma = btind.MovAv.SMA(self.data.close,
period=self.p.squeeze_period,
plot=False)
self.mean = ((self.highest + self.lowest) / 2.0 + self.sma) / 2.0
self.squeeze = btind.MovAv.SMA(
(self.data.close - self.mean) / self.data.close,
period=self.p.squeeze_period)
# self.macd_fast = btind.MovAv.EMA(self.data.close, period=self.p.macd_fast_period, plot=False)
# self.macd_slow = btind.MovAv.EMA(self.data.close, period=self.p.macd_slow_period, plot=False)
# self.macd = self.macd_fast - self.macd_slow
# self.macd_signal = btind.MovAv.EMA(self.macd, period=self.p.macd_signal_period, plot=False)
# self.macd_histogram = self.macd - self.macd_signal
self.macd = btind.MACDHisto(self.data.close,
period_me1=self.p.macd_fast_period,
period_me2=self.p.macd_slow_period,
period_signal=self.p.macd_signal_period)
self.macd_ema = btind.MovAv.EMA(self.data.close,
period=self.p.macd_ema_period)
self.stage = self.Start
self.main_order = None
self.stop_order = None
self.limit_order = None
self.exit_order = None
self.main_order_price = None
self.target1_price = None
self.size = None
self.symbol_parameter = SymbolParameter(self.p.symbol,
self.broker.get_cash(),
self.p.max_loss_percent)
