def strategy(self, open, close, high, low, volume):
lot = self.exchange.get_lot()
# for test lot
lot = int(round(lot / 50))
bitmex = BitMex(threading=False)
price = bitmex.get_market_price()
# variants settings
rsi2_len = self.input('length', int, 2)
rsi50_len = self.input('length', int, 50)
rsi2 = rsi(close, rsi2_len)
rsi50 = rsi(close, rsi50_len)
factor = self.input('factor', int, 20)
period = self.input('period', int, 7)
resolution = self.input(defval=1, title="resolution",
type=int) # defval 변경, 예) 5분 --> 5
source = self.exchange.security(str(resolution) +
'm') # def __init__ 비교
supertrenddf = supertrend(source, factor, period)
fast_len = self.input('fast_len', int, 5)
half_len = self.input('half_len', int, 5)
slow_len = self.input('slow_len', int, 200)
fast_sma = sma(close, fast_len)
half_sma = sma(close, half_len)
slow_sma = sma(close, slow_len)
# conditions
sma_long = over(fast_sma[-1], slow_sma[-1])
sma_short = under(fast_sma[-1], slow_sma[-1])
super_long = over(close[-1], supertrenddf['TSL'][-1])
super_short = under(close[-1], supertrenddf['TSL'][-1])
super_stoploss = supertrenddf['TSL'][-1]
supertrendtrend = supertrenddf['Trend'][-1]
rsi2_overbought = over(rsi2[-1], 95)
rsi2_oversold = under(rsi2[-1], 5)
rsi50_over = over(rsi50[-1], 50)
rsi50_under = under(rsi50[-1], 50)
price_under = under(price, half_sma[-1])
price_over = over(price, half_sma[-1])
half_before = over(close[-1], half_sma[-1])
half_after = under(close[-1], half_sma[-1])
# show infomations
logger.info('price: %s' % price)
logger.info('fast_sma[-1]: %s' % fast_sma[-1])
logger.info('slow_sma[-1]: %s' % slow_sma[-1])
logger.info('sma_long: %s' % sma_long)
logger.info('sma_short: %s' % sma_short)
logger.info('super_long: %s' % super_long)
logger.info('super_short: %s' % super_short)
logger.info('super_stoploss: %s' % super_stoploss)
logger.info('sma_trend: %s' % supertrendtrend)
logger.info('rsi2[-1 ]%s' % rsi2[-1])
logger.info('rsi50[-1 ]%s' % rsi50[-1])
logger.info('rsi2_oversold: %s' % rsi2_oversold)
logger.info('rsi2_overbought: %s' % rsi2_overbought)
logger.info('price_under: %s' % price_under)
logger.info('price_over: %s' % price_over)
logger.info('half_before: %s' % half_before)
logger.info('half_after: %s' % half_after)
logger.info('get_whichpositon(): %s' % bitmex.get_whichpositon())
logger.info('position_size(): %s' % bitmex.get_position_size())
# entry
if super_long: #long trend
logger.info(
'+ + + + + LONG + + + + + LONG + + + + + LONG + + + + + ')
if bitmex.get_whichpositon() is None:
if sma_long and rsi2_oversold or price_under:
logger.info(
'postion condition > None > and all short condition order'
)
self.exchange.entry("Long",
True,
lot,
limit=price - 0.5,
post_only=True)
else:
logger.info(
'postion condition > None > default long order')
self.exchange.entry("Long",
True,
lot,
limit=math.ceil(super_stoploss),
post_only=True)
elif bitmex.get_whichpositon() == 'LONG':
logger.info('postion condition > LONG')
if price_over: # closing
logger.info('postion condition > LONG > Closing')
self.exchange.order("Long",
False,
abs(bitmex.get_position_size()),
limit=price + 1.5,
post_only=True)
elif rsi2_overbought: # add more entry
logger.info(
'postion condition > LONG > Rsi2 overbougt add more entry'
)
self.exchange.entry("LongAdd",
True,
lot,
limit=price - 0.5,
post_only=True)
elif super_short: # stop loss
logger.info(
'postion condition > LONG > super_short(stop loss)')
self.exchange.entry("Long", True, lot)
self.exchange.entry("LongAdd", True, lot)
elif bitmex.get_whichpositon() == 'SHORT':
logger.info('cancel SHORT on long trend')
# self.exchange.cancel_all()
self.exchange.close_all()
else:
# self.exchange.cancel_all()
logger.info('Super Long --> Else')
if super_short: # short trend
logger.info(
'- - - - - SHORT - - - - - SHORT - - - - - SHORT - - - - - ')
if bitmex.get_whichpositon() is None:
if sma_short and rsi2_overbought or price_over:
logger.info(
'postion condition > None > and all short condition order'
)
self.exchange.entry("Short",
False,
lot,
limit=price + 0.5,
post_only=True)
else:
logger.info(
'postion condition > None > default short order')
self.exchange.entry("Short",
False,
lot,
limit=math.floor(super_stoploss),
post_only=True)
elif bitmex.get_whichpositon() == 'SHORT':
logger.info('postion condition > SHORT')
if price_under: # closing
logger.info(
'postion condition > SHORT > price_under(closing)')
self.exchange.order("Short",
True,
abs(bitmex.get_position_size()),
limit=price - 1.5,
post_only=True)
elif rsi2_oversold: # add more entry
logger.info(
'postion condition > SHORT > rsi2_oversold(add more entry)'
)
self.exchange.entry("ShortAdd",
False,
lot,
limit=price - 0.5,
post_only=True)
elif super_long: # stop loss
logger.info(
'postion condition > SHORT > super_short(stop loss)')
self.exchange.entry("Short", True, lot)
self.exchange.entry("ShortAdd", True, lot)
elif bitmex.get_whichpositon() == 'LONG':
logger.info('cancel LONG on short trend')
self.exchange.close_all()
else:
logger.info('Super Shot --> Else')
self.dealcount += 1
diff = (abs(bitmex.get_balance() - abs(self.prebalance)))
realised_pnl = bitmex.get_margin()['realisedPnl']
logger.info('dealcount:%s' % self.dealcount)
logger.info('prebalance():%s' % self.prebalance)
logger.info('bitmex.get_balance():%s' % bitmex.get_balance())
logger.info('diff:%s' % diff)
logger.info('realised_pnl:%s' % realised_pnl)
logger.info('--------------------------------------------------')
def strategy(self, open, close, high, low, volume):
lot = self.exchange.get_lot()
# for test lot
lot = int(round(lot / 50))
bitmex = BitMex(threading=False)
price = bitmex.get_market_price()
position_avg_price = bitmex.get_position_avg_price()
# variants settings
rsi2_len = self.input('length', int, 2)
rsi50_len = self.input('length50', int, 50)
rsi2 = rsi(close, rsi2_len)
rsi50 = rsi(close, rsi50_len)
factor = self.input('factor', int, 3)
period = self.input('period', int, 7)
factor2 = self.input('factor2', int, 20)
period2 = self.input('period2', int, 7)
resolution = self.input(defval=1, title="resolution",
type=int) # defval 변경, 예) 5분 --> 5
source = self.exchange.security(str(resolution) +
'm') # def __init__ 비교
supertrenddf = supertrend(source, factor, period)
supertrenddf2 = supertrend(source, factor2, period2)
print('supertrenddf:%s' % supertrenddf)
print('supertrenddf2:%s' % supertrenddf2)
fast_len = self.input('fast_len', int, 5)
half_len = self.input('half_len', int, 50)
slow_len = self.input('slow_len', int, 200)
fast_sma = sma(close, fast_len)
half_sma = sma(close, half_len)
slow_sma = sma(close, slow_len)
# conditions
sma_long = over(fast_sma[-1], slow_sma[-1])
sma_short = under(fast_sma[-1], slow_sma[-1])
super_long = over(close[-1], supertrenddf['SuperTrend'][-1])
super_short = under(close[-1], supertrenddf['SuperTrend'][-1])
supertrendtrend = supertrenddf['Trend'][-1]
super2_long = over(close[-1], supertrenddf2['SuperTrend'][-1])
super2_short = under(close[-1], supertrenddf2['SuperTrend'][-1])
supertrendtrend2 = supertrenddf2['Trend'][-1]
super_centerline = (supertrenddf['SuperTrend'][-1] +
supertrenddf2['SuperTrend'][-1]) / 2
rsi2_overbought = over(rsi2[-1], 95)
rsi2_oversold = under(rsi2[-1], 5)
rsi50_over = over(rsi50[-1], 50)
rsi50_under = under(rsi50[-1], 50)
price_under = under(price, half_sma[-1])
price_over = over(price, half_sma[-1])
half_before = over(close[-1], half_sma[-1])
half_after = under(close[-1], half_sma[-1])
# show infomations
logger.info('price: %s' % price)
logger.info('fast_sma[-1]: %s' % fast_sma[-1])
logger.info('slow_sma[-1]: %s' % slow_sma[-1])
logger.info('sma_long: %s' % sma_long)
logger.info('sma_short: %s' % sma_short)
logger.info('super_long: %s' % super_long)
logger.info('super_short: %s' % super_short)
logger.info('sma_trend: %s\n' % supertrendtrend)
logger.info('supertrend value:%s' % supertrenddf['SuperTrend'][-1])
logger.info('supertrend Upper Band:%s' %
supertrenddf['Upper Band'][-1])
logger.info('supertrend Lower Band:%s' %
supertrenddf['Lower Band'][-1])
logger.info('supertrenddf[Trend][-1]:%s' % supertrenddf['Trend'][-1])
logger.info('supertrenddf[TSL][-1]:%s' % supertrenddf['TSL'][-1])
logger.info('supertrenddf[ATR][-1]:%s\n' % supertrenddf['ATR'][-1])
logger.info('supertrend2 value:%s' % supertrenddf2['SuperTrend'][-1])
logger.info('supertrend2 Upper Band:%s' %
supertrenddf2['Upper Band'][-1])
logger.info('supertrend2 Lower Band:%s' %
supertrenddf2['Lower Band'][-1])
logger.info('supertrenddf2[Trend][-1]:%s' % supertrenddf2['Trend'][-1])
logger.info('supertrenddf2[TSL][-1]:%s' % supertrenddf2['TSL'][-1])
logger.info('supertrenddf2[ATR][-1]:%s\n' % supertrenddf2['ATR'][-1])
logger.info(
'supertrenddf[SuperTrend][-1]:%s + supertrenddf2[SuperTrend][-1]:%s '
%
(supertrenddf['SuperTrend'][-1], supertrenddf2['SuperTrend'][-1]))
logger.info('super_centerline: %s' % super_centerline)
logger.info('rsi2[-1 ]%s' % rsi2[-1])
logger.info('rsi50[-1 ]%s' % rsi50[-1])
logger.info('rsi2_oversold: %s' % rsi2_oversold)
logger.info('rsi2_overbought: %s' % rsi2_overbought)
logger.info('price_under: %s' % price_under)
logger.info('price_over: %s' % price_over)
logger.info('half_before: %s' % half_before)
logger.info('half_after: %s' % half_after)
logger.info('get_whichpositon(): %s' % bitmex.get_whichpositon())
logger.info('position_size(): %s' % bitmex.get_position_size())
# entry
if super2_long:
logger.info(
'+ + + + + LONG + + + + + LONG + + + + + LONG + + + + + ')
if bitmex.get_whichpositon(
) is None: # and (not supertrendtrend and supertrendtrend2) and rsi2_overbought:
logger.info('postion condition > None')
if bitmex.get_open_order('Short'):
self.exchange.cancel('Short')
self.exchange.entry("Long",
True,
lot,
limit=math.ceil(super_centerline),
post_only=True)
elif bitmex.get_whichpositon() == 'LONG':
logger.info('postion condition > LONG')
if supertrendtrend and supertrendtrend2 and rsi2_oversold: # closing
logger.info('postion condition > LONG > Closing')
self.exchange.order("Long",
False,
abs(bitmex.get_position_size()),
limit=price + 2.5,
post_only=True)
elif rsi2_overbought: # add more entry
logger.info('postion condition > LONG > Rsi2 overbout')
self.exchange.entry("LongAdd",
True,
lot,
limit=price - 0.5,
post_only=True)
elif super_short: # stop loss
logger.info(
'postion condition > LONG > super_short(stop loss)')
self.exchange.entry("Long", True, lot)
self.exchange.entry("LongAdd", True, lot)
else:
logger.info('postion condition > LONG > else')
self.exchange.order("Long",
False,
abs(bitmex.get_position_size()),
limit=price + 10,
post_only=True)
elif bitmex.get_whichpositon() == 'SHORT':
logger.info('cancel SHORT on long trend')
# self.exchange.cancel_all()
self.exchange.close_all()
self.exchange.close_all()
else:
logger.info('Super Shot --> Else')
if super2_short:
logger.info(
'- - - - - SHORT - - - - - SHORT - - - - - SHORT - - - - - ')
if bitmex.get_whichpositon(
) is None: #and rsi2_overbought and price_over:
logger.info('postion condition > None')
if bitmex.get_open_order('Long'):
self.exchange.cancel('Long')
self.exchange.entry("Short",
False,
lot,
limit=math.floor(super_centerline),
post_only=True)
elif bitmex.get_whichpositon() == 'SHORT':
logger.info('postion condition > SHORT')
if price_under: # closing
logger.info(
'postion condition > SHORT > price_under(closing)')
self.exchange.order("Short",
True,
abs(bitmex.get_position_size()),
limit=price - 2.5,
when=price_under,
post_only=True)
elif rsi2_oversold: # add more entry
logger.info(
'postion condition > SHORT > rsi2_oversold(add more entry)'
)
self.exchange.entry("ShortAdd",
False,
lot,
limit=price - 0.5,
post_only=True)
elif super_long: # stop loss
logger.info(
'postion condition > SHORT > super_short(stop loss)')
self.exchange.entry("Short", True, lot)
self.exchange.entry("ShortAdd", True, lot)
else:
logger.info('postion condition > SHORT > else')
self.exchange.order("Short",
True,
abs(bitmex.get_position_size()),
limit=price - 10,
post_only=True)
elif bitmex.get_whichpositon() == 'LONG':
logger.info('cancel LONG on short trend')
self.exchange.close_all()
else:
logger.info('Super Shot --> Else')
self.dealcount += 1
diff = (abs(bitmex.get_balance() - abs(self.prebalance)))
realised_pnl = bitmex.get_margin()['realisedPnl']
logger.info('dealcount:%s' % self.dealcount)
logger.info('prebalance():%s' % self.prebalance)
logger.info('bitmex.get_balance():%s' % bitmex.get_balance())
logger.info('diff:%s' % diff)
logger.info('realised_pnl:%s' % realised_pnl)
logger.info('--------------------------------------------------')