def __init__(self, feed, instrument, n):
strategy.BacktestingStrategy.__init__(self, feed)
self.__instrument = instrument
self.getBroker().setFillStrategy(DefaultStrategy(None))
self.getBroker().setCommission(TradePercentage(0.001))
self.__apDataSeries = feed['orcl'].getApDataSeries()
self.__sma = ma.SMA(self.__apDataSeries, n)
self.__position = None
def __init__(self, feed, instrument, bBandsPeriod):
strategy.BacktestingStrategy.__init__(self, feed)
self.__instrument = instrument
self.getBroker().setFillStrategy(DefaultStrategy(None))
self.getBroker().setCommission(TradePercentage(0.0002))
self.__position = None
self.setUseAdjustedValues(False)
self.__bbands = bollinger.BollingerBands(feed[instrument].getCloseDataSeries(), bBandsPeriod, 2)
def __init__(self, feed, instrument, n, m):
strategy.BacktestingStrategy.__init__(self, feed)
self.__instrument = instrument
self.getBroker().setFillStrategy(DefaultStrategy(None))
self.getBroker().setCommission(TradePercentage(0.001))
self.__position = None
self.__prices = feed[instrument].getPriceDataSeries()
self.__malength1 = int(n)
self.__malength2 = int(m)
def __init__(self, feed, instrument, n, initialCash=1000000):
strategy.BacktestingStrategy.__init__(self, feed, initialCash)
self.__instrument = instrument
self.getBroker().setFillStrategy(DefaultStrategy(None))
self.getBroker().setCommission(TradePercentage(0.001))
self.__position = None
self.__prices = feed[instrument].getPriceDataSeries()
self.__malength = int(n)
self.__ma = ma.SMA(self.__prices, self.__malength)
self.__pos = SequenceDataSeries() # record signal
def __init__(self, feed, instrument, mall, mals, masl, mass):
strategy.BacktestingStrategy.__init__(self, feed)
self.getBroker().setFillStrategy(DefaultStrategy(None))
self.getBroker().setCommission(TradePercentage(0.001))
self.__instrument = instrument
self.__close = feed[instrument].getCloseDataSeries()
self.__longPos = None
self.__shortPos = None
self.__mall = ma.SMA(self.__close, int(mall))
self.__mals = ma.SMA(self.__close, int(mals))
self.__masl = ma.SMA(self.__close, int(masl))
self.__mass = ma.SMA(self.__close, int(mass))
self.__position = SequenceDataSeries()
def __init__(self, feed, instrument, bollingerlength, numStdDev,
closelength, ccMAlength, malength, space):
strategy.BacktestingStrategy.__init__(self, feed)
self.getBroker().setFillStrategy(DefaultStrategy(None))
self.getBroker().setCommission(TradePercentage(0.002))
self.__instrument = instrument
self.__bollingerlength = int(bollingerlength)
numStdDev = float(numStdDev) / 10
self.__closelength = int(closelength)
self.__ccMAlength = int(ccMAlength)
self.__malength = int(malength)
self.__longPos = None
self.__shortPos = None
self.__close = feed[instrument].getCloseDataSeries()
self.__open = feed[instrument].getOpenDataSeries()
self.__high = feed[instrument].getHighDataSeries()
self.__low = feed[instrument].getLowDataSeries()
self.__datetime = feed[instrument].getDateTimes()
self.__bollinger = bollinger.BollingerBands(self.__close,
self.__bollingerlength,
int(numStdDev))
self.__UpperBand = self.__bollinger.getUpperBand()
self.__LowerBand = self.__bollinger.getLowerBand()
self.__MA = SequenceDataSeries()
self.__space = int(space)
self.__enter = 0
self.__enterLong1 = 0
self.__enterLong2 = 0
self.__enterShort1 = 0
self.__enterShort2 = 0
self.__exitLong1 = 0
self.__exitLong2 = 0
self.__exitShort1 = 0
self.__exitShort1 = 0
#for test
#########################################################################
self.__p = SequenceDataSeries()
self.__filterCon = SequenceDataSeries()
self.__ccMACon1 = SequenceDataSeries()
self.__ccMACon2 = SequenceDataSeries()
self.__enterCon = SequenceDataSeries()
self.__enterLongCon1 = SequenceDataSeries()
self.__enterLongCon2 = SequenceDataSeries()
self.__enterShortCon1 = SequenceDataSeries()
self.__enterShortCon2 = SequenceDataSeries()
self.__exitLongCon1 = SequenceDataSeries()
self.__exitLongCon2 = SequenceDataSeries()
self.__exitShortCon1 = SequenceDataSeries()
self.__exitShortCon2 = SequenceDataSeries()
def __init__(self, feed, instrument, length, initialCash=1000000):
strategy.BacktestingStrategy.__init__(self, feed, initialCash)
self.__instrument = instrument
self.getBroker().setFillStrategy(DefaultStrategy(None))
self.getBroker().setCommission(TradePercentage(0.001))
self.__position = None
self.__prices = feed[instrument].getPriceDataSeries()
self.__malength = int(length)
self.__datetime = feed[instrument].getDateTimes()
self.__open = feed[instrument].getOpenDataSeries()
self.__high = feed[instrument].getHighDataSeries()
self.__low = feed[instrument].getLowDataSeries()
self.__close = feed[instrument].getCloseDataSeries()
def __init__(self, feed, instrument, short_l, mid_l, long_l, up_cum):
strategy.BacktestingStrategy.__init__(self, feed)
self.__instrument = instrument
self.getBroker().setFillStrategy(DefaultStrategy(None))
self.getBroker().setCommission(TradePercentage(0.001))
self.__position = None
self.__prices = feed[instrument].getPriceDataSeries()
self.__malength1 = int(short_l)
self.__malength2 = int(mid_l)
self.__malength3 = int(long_l)
self.__circ = int(up_cum)
self.__ma1 = ma.SMA(self.__prices, self.__malength1)
self.__ma2 = ma.SMA(self.__prices, self.__malength2)
self.__ma3 = ma.SMA(self.__prices, self.__malength3)
def __init__(self,
feed,
instrument,
fast,
slow,
signal,
initialCash=1000000):
strategy.BacktestingStrategy.__init__(self, feed, initialCash)
self.__instrument = instrument
self.getBroker().setFillStrategy(DefaultStrategy(None))
self.getBroker().setCommission(TradePercentage(0.001))
self.__position = None
self.__prices = feed[instrument].getPriceDataSeries()
self.__fast = int(fast)
self.__slow = int(slow)
self.__signal = int(signal)
def __init__(self, feed, instrument, short_l, mid_l, long_l, up_cum):
strategy.BacktestingStrategy.__init__(self, feed)
self.__instrument = instrument
self.getBroker().setFillStrategy(DefaultStrategy(None))
self.getBroker().setCommission(TradePercentage(0.0002))
self.__position = None
self.setUseAdjustedValues(False)
self.__prices = feed[instrument].getPriceDataSeries()
self.__malength1 = int(short_l)
self.__malength2 = int(mid_l)
self.__malength3 = int(long_l)
self.__circ = int(up_cum)
self.__ma1 = ma.SMA(self.__prices, self.__malength1)
self.__ma2 = ma.SMA(self.__prices, self.__malength2)
self.__ma3 = ma.SMA(self.__prices, self.__malength3)
self.__datetime = feed[instrument].getDateTimes()
self.__open = feed[instrument].getOpenDataSeries()
self.__high = feed[instrument].getHighDataSeries()
self.__low = feed[instrument].getLowDataSeries()
self.__close = feed[instrument].getCloseDataSeries()
def __init__(self, feed, instrument,up_cum,cash_or_brk=10000):
strategy.BacktestingStrategy.__init__(self, feed)
self.__instrument = instrument
self.getBroker().setFillStrategy(DefaultStrategy(None))
self.getBroker().setCommission(TradePercentage(0.001))
self.__position = None
self.__prices = feed[instrument].getPriceDataSeries()
self.__circ = int(up_cum)
#self.bardata = feed[instrument]
#self.N = atr.ATR(self.bardata, up_cum)
self.N = atr.ATR(self.getFeed()[self.__instrument], up_cum)
self.U = 0 # 总资金100w self.U = acount/(50*atr) 2%最大回撤+10倍杠杆 atr day:100 10min:20 1min:5 5w本金 day :1 10min:5 1min:20 #单个市场上 最多建立4个U
self.buyPrice = []
self.shortPrice = []
self.max20 = 0
self.min10 = 0
self.max10 = 0
self.min20 = 0
self.buyPrice0 = 0
self.shortPrice0 = 0
self.lastPrice0 = 0
self.lastPrice1 =0
def __init__(self, feed, instrument, bBandsPeriod, dl):
strategy.BacktestingStrategy.__init__(self, feed)
self.__instrument = instrument
self.getBroker().setFillStrategy(DefaultStrategy(None))
self.getBroker().setCommission(TradePercentage(0.0002))
self.__position = None
self.bBandsPeriod = bBandsPeriod
# self.setUseAdjustedValues(False)
self.close = feed[instrument].getCloseDataSeries()
self.open = feed[instrument].getOpenDataSeries()
self.high = feed[instrument].getHighDataSeries()
self.low = feed[instrument].getLowDataSeries()
self.datetime = feed[instrument].getDateTimes()
self.volume = feed[instrument].getVolumeDataSeries()
self.feed = feed.get_dataFrame()
# self.__bollinger = bollinger.BollingerBands(self.__close, self.bBandsPeriod,2)
# self.__UpperBand = self.__bollinger.getUpperBand()
# self.__LowerBand = self.__bollinger.getLowerBand()
# self.feed = feed[instrument].getCloseDataSeries()
# self.bar = feed[instrument].getClose()
self.dl = dl
self.op = []
# self.ra = []
self.ral = []
self.rah = []
self.boll = []
self.macd = []
self.rsi = []
self.kdj = []
self.rsi = []
self.ma = []
self.adj = []
# self.adjh = []
self.bdj = []
# self.bdjh = []
self.statusl = []
self.statush = []
