def __init__(self):
for d in self.datas:
d.fastma = btind.ExponentialMovingAverage(d, period=self.p.fastlength)
d.slowma = btind.ExponentialMovingAverage(d, period=self.p.slowlength)
d.atr = btind.AverageTrueRange(d, period=14)
d.atrp = d.atr/d
if self.p.log:
self.logfile = open('ma_crossover_strat.txt', 'w')
if self.p.recordstats:
self.statsfile = Statistics()
def __init__(self):
for d in self.datas:
d.overma = ZackOverMA(d, avglength=15, sumlength=50)
d.fastma = btind.ExponentialMovingAverage(d, period=self.p.fastlength)
d.slowma = btind.ExponentialMovingAverage(d, period=self.p.slowlength)
d.atr = btind.AverageTrueRange(d, period=14)
d.rsi = btind.RelativeStrengthIndex(d, period=14)
if self.p.log:
self.logfile = open('ma_crossover_strat.txt', 'w')
if self.p.recordstats:
self.statsfile = Statistics()
def __init__(self):
for d in self.datas:
d.overma = ZackOverMA(d, avglength=15, sumlength=50)
d.volsig = ZackVolumeSignal(d, avgvollength=12, period=7)
d.aroon = btind.AroonUpDown(d, period=14)
d.madiff = ZackMADiff(d, period=21)
d.rsi = btind.RelativeStrengthIndex(d, period=14)
d.atr = btind.AverageTrueRange(d, period=14)
if self.p.log:
self.logfile = open('system1.txt', 'w')
if self.p.recordstats:
self.statsfile = Statistics()
def main():
statistics = Statistics()
parser = Parser(statistics, debug)
parser.parse()
statistics.generate_statistics()
statistics.output_statistics()
class MACrossoverComplexStrat(bt.Strategy):
params = (
('fastlength', 5),
('slowlength', 10),
('log', False),
('recordstats', False)
)
def log(self, message):
if self.p.log:
self.logfile.write(message+"\n")
def __init__(self):
for d in self.datas:
d.overma = ZackOverMA(d, avglength=15, sumlength=50)
d.fastma = btind.ExponentialMovingAverage(d, period=self.p.fastlength)
d.slowma = btind.ExponentialMovingAverage(d, period=self.p.slowlength)
d.atr = btind.AverageTrueRange(d, period=14)
d.rsi = btind.RelativeStrengthIndex(d, period=14)
if self.p.log:
self.logfile = open('ma_crossover_strat.txt', 'w')
if self.p.recordstats:
self.statsfile = Statistics()
def notify_order(self, order):
if order.status in [order.Completed]:
if not order.isbuy():
self.log(str(self.data.datetime.date(0))+" SELL "+order.data._name+" "+str(order.size)+" "+str(round(order.executed.price,2))+" P/L: $"+str(order.executed.pnl))
else:
self.log(str(self.data.datetime.date(0))+" BUY "+order.data._name+" "+str(order.size)+" "+str(round(order.executed.price,2)))
# for doing stats
if self.p.recordstats:
d = order.data
if order.isbuy():
self.statsfile.newpoint(ticker=d._name, atrp=d.atrp[-1])
else:
point = self.statsfile.getpoint('ticker', order.data._name)
self.statsfile.completepoint(point, pnl=order.executed.pnl)
def next(self):
orderedstocks = sorted(self.datas, key=lambda stock: stock.atr/stock, reverse=True)
# sell
for d in self.datas:
if self.getposition(d).size > 0:
if d.fastma < d.slowma: # exit indicator
self.sell(d, size=self.getposition(d).size)
self.cancel(d.stoploss)
# buy
available_cash = self.broker.get_cash()
for d in orderedstocks:
if self.getposition(d).size > 0:
continue
# useful numbers
risk = 0.01*self.broker.get_value()
stoploss_diff = d.atr[0]*3
buysize = int(risk / stoploss_diff)
if self.p.recordstats: buysize = int(2000/d) # FOR TESTING
# we can't spend more than all our money
if available_cash/d < buysize:
continue
if d.fastma > d.slowma and d.fastma[-1] <= d.slowma[-1]:
self.buy(d, size=buysize)
available_cash -= d*buysize
# stoploss
d.stoploss = self.sell(d, size=buysize, exectype=bt.Order.StopTrail, trailamount=stoploss_diff)
class MACrossoverSimpleStrat(bt.Strategy):
params = (
('fastlength', 5),
('slowlength', 10),
('log', False),
('recordstats', False)
)
def log(self, message):
if self.p.log:
self.logfile.write(message+"\n")
def __init__(self):
for d in self.datas:
d.fastma = btind.ExponentialMovingAverage(d, period=self.p.fastlength)
d.slowma = btind.ExponentialMovingAverage(d, period=self.p.slowlength)
d.atr = btind.AverageTrueRange(d, period=14)
d.atrp = d.atr/d
if self.p.log:
self.logfile = open('ma_crossover_strat.txt', 'w')
if self.p.recordstats:
self.statsfile = Statistics()
def notify_order(self, order):
if order.status in [order.Completed]:
if not order.isbuy():
self.log(str(self.data.datetime.date(0))+" SELL "+order.data._name+" "+str(order.size)+" "+str(round(order.executed.price,2))+" P/L: $"+str(order.executed.pnl))
else:
self.log(str(self.data.datetime.date(0))+" BUY "+order.data._name+" "+str(order.size)+" "+str(round(order.executed.price,2)))
# for doing stats
if self.p.recordstats:
d = order.data
if order.isbuy():
self.statsfile.newpoint(ticker=d._name, atrp=d.atrp[-1])
else:
point = self.statsfile.getpoint('ticker', order.data._name)
self.statsfile.completepoint(point, pnl=order.executed.pnl)
def next(self):
# orderedstocks = sorted(self.datas, key=lambda stock: stock.lowerma[0]-stock.lowerma[-1], reverse=True)
orderedstocks = sorted(self.datas, key=lambda stock: stock.atrp, reverse=True)
# sell
for d in self.datas:
if self.getposition(d).size > 0:
if d.fastma < d.slowma: # exit indicator
self.sell(d, size=self.getposition(d).size)
# self.cancel(d.stoploss)
# buy
available_cash = self.broker.get_cash()
for d in orderedstocks:
if self.getposition(d).size > 0:
continue
buysize = int(0.5*self.broker.get_value()*d.atrp)
# position can't be larger than 10% of our account
if d*buysize > 0.1*self.broker.get_value():
buysize = int(0.1*self.broker.get_value()/d)
if self.p.recordstats: buysize = int(2000/d) # FOR TESTING
# we can't spend more than all our money
if available_cash/d < buysize:
if available_cash > d:
buysize = int(available_cash/d)
else:
continue
if d.fastma > d.slowma and d.fastma[-1] <= d.slowma[-1]:
self.buy(d, size=buysize)
available_cash -= d*buysize
class System1Test(bt.Strategy):
params = (('log', False), ('recordstats', False))
def log(self, message):
if self.p.log:
self.logfile.write(message + "\n")
def __init__(self):
for d in self.datas:
d.overma = ZackOverMA(d, avglength=15, sumlength=50)
d.volsig = ZackVolumeSignal(d, avgvollength=12, period=7)
d.aroon = btind.AroonUpDown(d, period=14)
d.madiff = ZackMADiff(d, period=21)
d.rsi = btind.RelativeStrengthIndex(d, period=14)
d.atr = btind.AverageTrueRange(d, period=14)
if self.p.log:
self.logfile = open('system1.txt', 'w')
if self.p.recordstats:
self.statsfile = Statistics()
def notify_order(self, order):
if order.status in [order.Completed]:
# logging
if not order.isbuy():
self.log(
str(self.data.datetime.date(0)) + " SELL " +
order.data._name + " " + str(order.size) + " " +
str(round(order.executed.price, 2)) + " P/L: $" +
str(order.executed.pnl))
else:
self.log(
str(self.data.datetime.date(0)) + " BUY " +
order.data._name + " " + str(order.size) + " " +
str(round(order.executed.price, 2)))
# for doing stats
if self.p.recordstats:
d = order.data
if order.isbuy():
self.statsfile.newpoint(ticker=d._name,
date=str(
self.data.datetime.date(0)),
atr=d.atr[-1])
else:
point = self.statsfile.getpoint('ticker', order.data._name)
self.statsfile.completepoint(point, pnl=order.executed.pnl)
def next(self):
orderedstocks = sorted(self.datas,
key=lambda stock: (stock.rsi - 50)**2)
available_cash = self.broker.get_cash()
# sell
for d in self.datas:
if self.getposition(d).size > 0: # if we have a position
if (d.aroon.aroondown > 70
and d.aroon.aroondown > d.aroon.aroondown[-1]
) or d.overma - d.overma[-1] < 0: # exit indicator
self.sell(d, size=self.getposition(d).size)
available_cash += d * self.getposition(d).size
self.cancel(d.stoploss)
# buy
for d in orderedstocks:
if self.getposition(d).size > 0:
continue
# useful numbers
risk = 0.01 * self.broker.get_value()
stoploss_diff = d.atr[0] * 3
buysize = int(risk / stoploss_diff)
if self.p.recordstats: buysize = int(2000 / d) # FOR TESTING
# we can't spend more than all our money
if available_cash / d < buysize:
continue
if d.overma - d.overma[
-1] >= 0 and d.overma > -0.5: # trend indicator
if d.volsig.up > d.volsig.down: # trend indicator #2
if d.madiff[0] - d.madiff[-1] > 0: # final indicator
self.buy(d, size=buysize)
available_cash -= d * buysize
# stoploss
d.stoploss = self.sell(d,
size=buysize,
exectype=bt.Order.StopTrail,
trailamount=stoploss_diff)