def __init__(self):
# Keep a reference to the "close" line in the data[0] dataseries
self.dataopen = self.datas[0].open
self.datahigh = self.datas[0].high
self.datalow = self.datas[0].low
self.dataclose = self.datas[0].close
self.sma5 = bt.indicators.SMA((self.datahigh + self.datalow) / 2,
period=5,
plot=False)
self.sma25 = bt.indicators.SMA((self.datahigh + self.datalow) / 2,
period=20,
plot=False)
self.smaco = btind.CrossOver(self.sma5, self.sma25)
self.direc = bt.indicators.DirectionalMovement(self.datas[0],
period=20,
plot=False)
self.direcco = btind.CrossOver(self.direc.plusDI,
self.direc.minusDI,
plot=False)
self.highest = bt.indicators.Highest(self.datahigh, period=3)
self.lowest = bt.indicators.Lowest(self.datalow, period=3)
self.ao = bt.indicators.AwesomeOscillator(self.datas[0],
fast=12,
slow=26)
self.aosma9 = bt.indicators.SMA(self.ao, period=9, plot=False)
self.aosma12 = bt.indicators.SMA(self.ao, period=9, plot=False)
# To keep track of pending orders
self.order = None
def __init__(self):
# To control operation entries
self.orderid = None
# Indicators
poc = SimpleMovingAverage1(self.data0.POC,
period=1,
plotname='POC',
subplot=False)
ppoc = SimpleMovingAverage1(self.data0.PPOC,
period=1,
plotname='PPOC',
subplot=False)
#sma80 = btind.SimpleMovingAverage(self.data1.close, period=80, plotname='SMA80')
#sma240 = btind.SimpleMovingAverage(self.data1.close, period=240, plotname='SMA240')
self.atr = bt.talib.ATR(self.data0.high,
self.data0.low,
self.data0.close,
timeperiod=14)
#self.rsi = btind.RSI_EMA(self.data1.close, period=14)
#self.macd = btind.MACDHistogram(self.data1.close)
#self.ematr = btind.ExponentialMovingAverage(self.atr, period=89)
self.signal1 = btind.CrossOver(self.data0.close, poc, plot=False)
self.signal2 = btind.CrossOver(self.data0.close, ppoc, plot=False)
#self.sma80_slope = Slope(sma80, period=self.p.pslope, plot=False)
#self.sma240_slope = Slope(sma240, period=self.p.pslope, plot=False)
#self.macd_slope = Slope(self.macd, period=self.p.pslope, plot=False)
#self.rsi_slope = Slope(self.rsi, period=self.p.pslope, plot=False)
self.flag = True
self.flag1 = False
self.flag2 = False
def __init__(self):
# Keep a reference to the "close" line in the data[0] dataseries
self.dataopen = self.datas[0].open
self.datahigh = self.datas[0].high
self.datalow = self.datas[0].low
self.dataclose = self.datas[0].close
self.highest = bt.indicators.Highest(self.datahigh,
period=self.params.period_high)
self.lowest = bt.indicators.Lowest(self.datalow,
period=self.params.period_low)
self.diff = self.highest - self.lowest
self.diff236 = self.diff * 0.236
self.diff382 = self.diff * 0.382
self.diff50 = self.diff * 0.50
self.diff618 = self.diff * 0.618
self.diff764 = self.diff * 0.764
self.diff50co = btind.CrossOver(self.dataclose,
self.highest - self.diff50)
self.diff38co = btind.CrossOver(self.dataclose,
self.highest - self.diff382)
self.diff61co = btind.CrossOver(self.dataclose,
self.highest - self.diff618)
self.diff76co = btind.CrossOver(self.dataclose,
self.highest - self.diff764)
self.rsi = bt.indicators.RSI_EMA(self.dataclose,
period=self.params.period_rsi)
# To keep track of pending orders
self.order = None
def __init__(self):
self.dataclose = self.datas[0].close
self.order = None
#self.macd = bt.indicators.MACD(self.datas[0])
#self.sma05 = btind.SMA(self.datas[0],period = self.params.mapperiod,subplot=False)
self.sma20 = btind.SMA(self.datas[0],
period=self.params.mapperiod02,
subplot=False)
self.bbrands = btind.BBands(self.datas[0], subplot=False)
self.max20 = bt.talib.MAX(self.datas[0],
period=self.params.mapperiod02,
plot=False)
self.min20 = bt.talib.MIN(self.datas[0],
period=self.params.mapperiod02,
plot=False)
self.atr = btind.ATR(self.datas[0], plot=False)
self.signaltop = btind.CrossOver(self.dataclose,
self.bbrands.top,
plot=False)
self.signalcrossover = btind.CrossOver(self.dataclose,
self.sma20,
plot=False)
self.signallow = btind.CrossOver(self.datas[0], self.bbrands.bot)
self.signaltop = btind.CrossOver(self.datas[0], self.bbrands.top)
self.buyprice = None
self.buycomm = None
def __init__(self):
# Keep a reference to the "close" line in the data[0] dataseries
self.dataopen = self.datas[0].open
self.datahigh = self.datas[0].high
self.datalow = self.datas[0].low
self.dataclose = self.datas[0].close
self.highest = bt.indicators.Highest(self.datahigh, period=4)
self.lowest = bt.indicators.Lowest(self.datalow, period=4)
self.diff = self.highest - self.lowest
self.diff236 = self.diff * 0.236
self.diff382 = self.diff * 0.382
self.diff50 = self.diff * 0.50
self.diff618 = self.diff * 0.618
self.diff764 = self.diff * 0.764
self.diff50co = btind.CrossOver(self.dataclose,
self.highest - self.diff50)
self.diff38co = btind.CrossOver(self.dataclose,
self.highest - self.diff382)
self.diff61co = btind.CrossOver(self.dataclose,
self.highest - self.diff618)
self.diff76co = btind.CrossOver(self.dataclose,
self.highest - self.diff764)
self.fpp = bt.indicators.FibonacciPivotPoint(_autoplot=False)
# To keep track of pending orders
self.order = None
def __init__(self):
# To control operation entries
self.orderid = None
# Indicators
poc = btind.SimpleMovingAverage(
self.data0.POC,
period=1,
plotname='POC',
subplot=False,
)
ppoc = btind.SimpleMovingAverage(
self.data0.PPOC,
period=1,
plotname='PPOC',
subplot=False,
)
self.atr = bt.talib.ATR(self.data0.high,
self.data0.low,
self.data0.close,
timeperiod=14)
#self.rsi = bt.talib.RSI(self.data0.close, timeperiod=14)
#self.macd = bt.talib.MACD(self.data0.close)
self.ematr = btind.ExponentialMovingAverage(self.atr, period=89)
self.signal1 = btind.CrossOver(self.data0.close, poc, plot=False)
self.signal2 = btind.CrossOver(self.data0.close, ppoc, plot=False)
self.flag = True
self.flag1 = False
def __init__(self):
self.ma_signal = 0
self.sar_signal = 0
self.MA = self.data1
self.sar = self.data2
self.bb = self.data3
self.ma_cross = btind.CrossOver(self.data, self.MA)
self.sar_cross = btind.CrossOver(self.data, self.sar)
self.bb_status = self.bb > self.data
def __init__(self):
# To control operation entries
self.orderid = None
self.set_tradehistory(True)
# Indicators
poc = SimpleMovingAverage1(self.data0.POC,
period=1,
plotname='POC',
subplot=False)
ppoc = SimpleMovingAverage1(self.data0.PPOC,
period=1,
plotname='PPOC',
subplot=False)
poc3w = SimpleMovingAverage1(self.data0.POC3w,
period=1,
plotname='POC3w',
subplot=False)
pocw = SimpleMovingAverage1(self.data0.POCw,
period=1,
plotname='POCw',
subplot=False)
sma80 = btind.SimpleMovingAverage(self.data1.close,
period=80,
plotname='SMA80')
sma240 = btind.SimpleMovingAverage(self.data1.close,
period=240,
plotname='SMA240')
self.atr = bt.talib.ATR(self.data0.high,
self.data0.low,
self.data0.close,
timeperiod=14)
self.rsi = btind.RSI_EMA(self.data1.close, period=14)
self.macd = btind.MACDHistogram(self.data1.close)
#self.ematr = btind.ExponentialMovingAverage(self.atr, period=89)
self.signal1 = btind.CrossOver(self.data0.close, poc, plot=False)
self.signal2 = btind.CrossOver(self.data0.close, ppoc, plot=False)
self.sma80_slope = Slope(sma80, period=self.p.pslope, plot=False)
self.sma240_slope = Slope(sma240, period=self.p.pslope, plot=False)
self.macd_slope = Slope(self.macd, period=self.p.pslope, plot=False)
self.rsi_slope = Slope(self.rsi, period=self.p.pslope, plot=False)
self.diffPOC = (self.data0.POC - self.data0.PPOC)
self.diffPOC3w = (self.data0.POC - self.data0.POC3w)
self.diffPOCw = (self.data0.POC - self.data0.POCw)
self.diffClPOC = (self.data0.close - self.data0.POC)
#self.diffClPPOC = (self.data0.close - self.data0.PPOC)
self.diffClPOC3w = (self.data0.close - self.data0.POC3w)
self.diffClPPOC3w = (self.data0.close - self.data0.PPOC3w)
self.diffClPOCw = (self.data0.close - self.data0.POCw)
self.diffClPPOCw = (self.data0.close - self.data0.PPOCw)
self.diffSMA = (sma80 - sma240)
self.flag = True
self.counter = 0
self.nlost = 0
def __init__(self):
# Keep a reference to the "close" line in the data[0] dataseries
self.dataopen = self.datas[0].open
self.datahigh = self.datas[0].high
self.datalow = self.datas[0].low
self.dataclose = self.datas[0].close
self.sma5 = bt.indicators.SMA(self.dataclose,
period=5,
plotname='mysma')
self.sma25 = bt.indicators.SMA(self.dataclose,
period=20,
plotname='mysma')
#self.smaco = btind.CrossOver(self.sma5,self.sma25)
self.direc = bt.indicators.DirectionalMovement(self.datas[0],
period=20,
plot=False)
self.he = bt.indicators.HurstExponent(self.dataclose, period=20)
self.direcco = btind.CrossOver(self.direc.plusDI,
self.direc.minusDI,
plot=False)
self.highest = bt.indicators.Highest(self.datahigh, period=3)
self.lowest = bt.indicators.Lowest(self.datalow, period=3)
# To keep track of pending orders
self.order = None
def __init__(self):
# 交易日志
self.buysellLog = ""
# 每日收盘价
self.dataclose = self.datas[0].close
# 订单
self.order = None
self.buyprice = 0
self.buycomm = 0
self.buytime = 0
#10日、60日均线
self.SAM10 = btind.MovingAverageSimple(
self.dataclose(0),
period=self.params.maperiod1,
subplot=False,
plotname=str(self.params.maperiod1) + '日均线')
self.SAM60 = btind.MovingAverageSimple(
self.dataclose(0),
period=self.params.maperiod2,
subplot=False,
plotname=str(self.params.maperiod2) + '日均线')
# 均线交叉
self.Crossover = btind.CrossOver(self.SAM10,
self.SAM60,
plotname='双均线交叉')
def __init__(self):
# Keep a reference to the "close" line in the data[0] dataseries
self.dataopen = self.datas[0].open
self.datahigh = self.datas[0].high
self.datalow = self.datas[0].low
self.dataclose = self.datas[0].close
self.sma5 = bt.indicators.SMA((self.datahigh+self.datalow)/2, period=5, plot=False)
self.sma25 = bt.indicators.SMA((self.datahigh+self.datalow)/2, period=20, plot=False)
self.smaco = btind.CrossOver(self.sma5,self.sma25)
self.direc = bt.indicators.DirectionalMovement(self.datas[0],period=20,plot=False)
self.direcco = btind.CrossOver(self.direc.plusDI,self.direc.minusDI,plot=False)
self.stoc = bt.indicators.StochasticFull()
# To keep track of pending orders
self.order = None
def __init__(self):
self.sma_vel = btind.SMA(period=self.p.Med_vel)
self.sma_len = btind.SMA(period=self.p.Med_len)
self.buysig = btind.CrossOver(self.sma_vel, self.sma_len)
self.dataclose = self.datas[0].close
def __init__(self):
sma = btind.SimpleMovingAverage(period=self.p.smaperiod)
sma1 = btind.SimpleMovingAverage(self.data, period=self.params.period1)
sma2 = btind.SimpleMovingAverage(period=self.params.period2)
myindicator = sma2 - sma1 + self.datas[0].close
self.sma = btind.SimpleMovingAverage(period=self.p.period)
# see the (delay) notation
self.cmpval = self.data.close(-1) > self.sma
datasum = btind.SumN(self.data, period=self.p.period1)
# using operators /
av = datasum / self.p.period1
self.line.sma = av
# cannot use "and" operators, backtrader provides several methods
close_over_sma = self.data.close > sma
self.sma_dist_to_high = self.data.high - sma
sma_dist_small = self.sma_dist_to_high < 3.5
sell_sig = bt.And(close_over_sma, sma_dist_small)
high_or_low = bt.If(sma1 > self.data.close, self.data.low,
self.data.high)
self.buysell = btind.CrossOver(self.data.close, sma, plot=True)
self.order = None
def __init__(self):
sma_fast = self.p._movav(period=self.p.fast)
sma_slow = self.p._movav(period=self.p.slow)
self.dataclose = self.datas[0].close
self.order = None
self.buysig = btind.CrossOver(sma_fast, sma_slow)
self.sellsig = btind.PercentChange() == 5
def __init__(self):
self.orderid = None # to control operation entries
fast_ema = btind.EMA(period=self.p.fast)
slow_ema = btind.EMA(period=self.p.slow)
long_ema = btind.EMA(period=self.p.long)
self.signal = btind.CrossOver(fast_ema, slow_ema)
self.log(f'Initial portfolio value of {self.broker.get_value():.2f}\n')
def __init__(self):
# To control operation entries
self.orderid = None
# Create SMA on 2nd data
sma = btind.MovAv.SMA(self.data1, period=self.p.period)
# Create a CrossOver Signal from close an moving average
self.signal = btind.CrossOver(self.data1.close, sma)
def __init__(self):
# SimpleMovingAverage on main data
sma = btind.SMA(period=self.p.smaperiod)
# CrossOver (1: up, -1: down) close / sma
self.crossover = btind.CrossOver(self.data.close, sma, plot=True)
# Set to None: new ordersa allowed
self.order = None
def __init__(self):
# SimpleMovingAverage on main data
# Equivalent to -> sma = btind.SMA(self.data, period=self.p.smaperiod)
sma = btind.SMA(period=self.p.smaperiod)
# CrossOver (1: up, -1: down) close / sma
self.buysell = btind.CrossOver(self.data.close, sma, plot=True)
# Sentinel to None: new ordersa allowed
self.order = None
def __init__(self):
count = 0
for d in self.getdatanames():
# self.kma[d] = btind.ExponentialMovingAverage(self.getdatabyname(d), period=10)
self.kma[d] = KMA(self.getdatabyname(d))
self.crossover[d] = btind.CrossOver(self.kma[d].kma,
self.datas[count].close)
self.intersects[d] = 0
count += 1
def __init__(self):
sma_fast = self.p._movav(period=self.p.fast)
sma_slow = self.p._movav(period=self.p.slow)
self.dataclose = self.datas[0].close
self.buysig = btind.CrossOver(sma_fast, sma_slow)
self.order = None
self.buyprice = None
self.buycomm = None
self.order_number = 0
def __init__(self):
# Keep a reference to the "close" line in the data[0] dataseries
self.dataclose = self.datas[0].close
sma_fast = btind.SMA(period=self.p.fast)
sma_slow = btind.SMA(period=self.p.slow)
self.buysig = btind.CrossOver(
sma_fast, sma_slow) #10일과 30일 이동평균의 교차점 찾아줌, -1혹은 1 output
print('-----------------------------------------------')
print(" This is test strategy ")
print('-----------------------------------------------')
def __init__(self):
# Keep a reference to the "close" line in the data[0] dataseries
self.dataclose = self.datas[0].close
# To keep track of pending orders
self.order = None
smaFast = btind.MovingAverageSimple(period=self.params.STMAperiod)
smaSlow = btind.MovingAverageSimple(period=self.params.LTMAperiod)
self.buysig = btind.CrossOver(smaFast, smaSlow)
def __init__(self):
super(CrossOver5, self).__init__()
self.entermarkt_desc = '快速均线上穿慢速均线'
self.leavemarkt_desc = '入市后n天自动离市'
sma_fast = bt.indicators.MovAv.SMA(period=self.p.fast)
sma_slow = bt.indicators.MovAv.SMA(period=self.p.slow)
self.buysig = btind.CrossOver(sma_fast, sma_slow)
def __init__(self):
# To control operation entries
self.orderid = None
# Create SMA on 2nd data
sma = btind.MovAv.SMA(self.data, period=self.p.period)
# Create a CrossOver Signal from close an moving average
self.signal = btind.CrossOver(self.data.close, sma)
self.signal.csv = self.p.csvcross
logging.basicConfig(filename='my.log', level=logging.DEBUG)
def __init__(self):
#keep a log of where we are in the datafeed
self.dataclose = self.datas[0].close
#create fast and slow moving averages
self.ma_fast = btind.SMA(period=5)
self.ma_slow = btind.SMA(period=30)
# set values for when the fast ma crosses the slow ma w backtrader's indicator
# -1 is bearish, 1 is bullish
self.crossover = btind.CrossOver(self.ma_fast, self.ma_slow)
def __init__(self):
# 12 hour sma
self.sma_12hr = btind.SimpleMovingAverage(period=self.p.pfast)
# 30 day sma
self.sma_30day = btind.SimpleMovingAverage(period=self.p.pslow)
self.gsma = btind.CrossOver(self.sma_12hr, self.sma_30day)
# used to determine if order has executed
self.order = None
# self.signal_add(bt.SIGNAL_LONG, bt.ind.CrossOver(sma_12hr, sma_30day))
self.dataclose = self.datas[0].close
def __init__(self):
super(DonchLongOnly1, self).__init__()
# To control operation entries
self.order = None
self.startcash = self.broker.getvalue()
self.accpoints = 0
self.donch = DonchianChannel(self.data, period=self.p.period)
self.signal = btind.CrossOver(self.data.close, self.donch.l.bas)
self.init_tradeid()
def __init__(self):
super(CrossOver4, self).__init__()
sma_fast = bt.indicators.MovAv.SMA(period=self.p.fast)
sma_slow = bt.indicators.MovAv.SMA(period=self.p.slow)
# self.adx = btind.AverageDirectionalMovementIndex(period=18)
self.name = 'CrossOver4'
# btind.BollingerBands()
# btind.AverageDirectionalMovementIndex(period=9)
self.buysig = btind.CrossOver(sma_fast, sma_slow)
def __init__(self):
super(CrossOver3, self).__init__()
self.log('======Crossover3 init=======', isprint=True)
sma_fast = bt.indicators.MovAv.SMA(period=self.p.fast)
sma_slow = bt.indicators.MovAv.SMA(period=self.p.slow)
# self.adx = btind.AverageDirectionalMovementIndex(period=18)
# self.adx = btind.AverageDirectionalMovementIndex(period=9)
# btind.MACD()
# btind.BollingerBands()
# btind.AverageDirectionalMovementIndex(period=9)
self.buysig = btind.CrossOver(sma_fast, sma_slow)
def __init__(self):
# To control operation entries
self.orderid = None
# Indicators
poc = btind.SimpleMovingAverage(self.data0.POC,
period=1,
plotname='POC')
ppoc = btind.SimpleMovingAverage(self.data0.PPOC,
period=1,
plotname='PPOC')
self.atr = bt.talib.ATR(self.data0.high,
self.data0.low,
self.data0.close,
period=14)
self.ematr = btind.ExponentialMovingAverage(self.atr, period=89)
self.dataclose = self.data0.close
self.anchor = 3.0
self.expand = 1.0
self.signal1 = btind.CrossOver(self.dataclose, poc, plotname='POC')
self.signal2 = btind.CrossOver(self.dataclose, ppoc, plotname='PPOC')
#self.trailing = True
self.flag = True
