def _check_sell_sign(self, dateidx, buyprice):
code = self.code
price = self.tm.prices[code][dateidx]
# Max holding period
self.watching_prices.append(price)
if len(self.watching_prices) >= self.max_holding_period:
return True, "Reached max holding period %d." % self.max_holding_period
# Loss cut
rate = ((price-buyprice)*1.0/buyprice)*100*(-1)*self.mp
if rate > self.loss_cut_rate:
return True, "Loss cut. rule:%s, current loss rate:%s" % (str(self.loss_cut_rate), str(rate))
# Stop order
if self.mp*price > self.mp*self.base_price:
self.base_price = price
if self.stop_order_rate > self.stop_order_decrease_rate:
self.stop_order_rate -= self.stop_order_decrease_rate
stop_order_price = math.floor(self.base_price * (100-self.mp*self.stop_order_rate)*1.0/100)
if self.mp*price < self.mp*stop_order_price:
return True, "Stop order. rule:%d, stop price:%d, current price:%d" % \
(self.stop_order_rate, stop_order_price, price)
# Watch slope
if len(self.watching_prices) > self.estimated_period:
del self.watching_prices[0]
if len(self.watching_prices) > 1:
slope = f.get_regression(self.watching_prices)/self.watching_prices[0]*1.0*100
if slope < self.estimated_profit:
self.waited_period += 1
else:
self.waited_period = 0
if self.waited_period >= self.waiting_period:
return True, "Not enough slope %d for %d days. current slope:%s" % \
(self.estimated_profit, self.estimated_period, str(slope))
if self.enough_profit > 0:
profit_rate = self.mp*1.0*(price - buyprice)/buyprice*100
if profit_rate >= self.enough_profit:
return True, "Gained enough profit %f percent." % (profit_rate)
return False, ""
def judge_enter(self, datei):
point = 0
(direction, forec_point) = self.check_forecast(datei)
(last_pm, idx, pm_idx) = self._get_last_pm(datei)
if last_pm == 1 and direction == DIR_UP:
return (NO_ENTER, "Last peak and forecast don't match.", point)
if last_pm == -1 and direction == DIR_DOWN:
return (NO_ENTER, "Last peak and forecast don't match.", point)
(enter_level, msg, tmp_direction) = self.check_enter(datei)
if enter_level == YES_ENTER_BUY and direction == DIR_DOWN:
enter_level = NO_ENTER
if enter_level == YES_ENTER_SELL and direction == DIR_UP:
enter_level = NO_ENTER
(open, high, low, close, volume) = self._get_prices(datei-1, self.validate_period)
r = f.get_regression(close, "s")
if enter_level == YES_ENTER_BUY:
if r > 0:
point +=1
if enter_level == YES_ENTER_SELL:
if r < 0:
point +=1
if enter_level == NO_ENTER:
if direction == DIR_UP and last_pm != 0:
if self.trade_mode == "BUY" or self.trade_mode == "BOTH":
enter_level = YES_ENTER_BUY
msg = "Bottom peak. Forecast=Up"
point += 1
if direction == DIR_DOWN and last_pm != 0:
if self.trade_mode == "SELL" or self.trade_mode == "BOTH":
enter_level = YES_ENTER_SELL
msg = "Top peak, Forecast=Down"
point += 1
if enter_level != NO_ENTER:
point += abs(tmp_direction)
self.curr_enter_point = point
return (enter_level, msg, point)
