class MomoAfternoonBreakoutDailyTrigger(DailyTrigger):
def __init__(self, settings):
DailyTrigger.__init__(self, settings)
self.minprice = settings.getfloat("Strategy", "minprice")
self.minvolume = settings.getint("Strategy", "minvolume")
self.minmove = settings.getfloat("Strategy", "minmove")
smatrend = settings.get("Strategy", "dailysmatrendfilter")
if smatrend == "None":
self.dailysmatrendfilter = None
else:
self.dailysmatrendfilter = int(smatrend)
self.volume = Volume()
self.avgvol = SimpleMovingAverage(self.volume, 21)
self.close = Close()
if self.dailysmatrendfilter is not None:
self.ma = SimpleMovingAverage(period=self.dailysmatrendfilter)
else:
self.ma = None
def ready(self):
return (self.ma is None or self.ma.ready()) and self.avgvol.ready() and self.close.ready()
def check(self):
if self.ready() and self.lastpd is not None:
# todo would be a lot faster if I could implement a peek at today to check the move is big enough
if self.close.value() >= self.minprice \
and (self.ma is None or self.close.value() > self.ma.value()) \
and self.avgvol.value() >= self.minvolume \
and ((self.peekpd.high - self.peekpd.open) / self.peekpd.open) >= self.minmove:
return True
return False
def handle(self, perioddata):
if self.ma is not None:
self.ma.handle(perioddata)
self.volume.handle(perioddata)
self.avgvol.handle(perioddata)
self.close.handle(perioddata)
self.lastpd = perioddata
def recommendedPreload(self):
mapreload = 0
if self.ma is not None:
mapreload = self.ma.recommendedPreload()
return max(mapreload, self.avgvol.recommendedPreload())
class BollingerBreakoutEntryManager(NoScaleInEntryManager):
def __init__(self, settings=None, name=None):
NoScaleInEntryManager.__init__(self, settings, name)
self.min_price = self._getfloatsetting("BollingerBreakoutEntryManager", "minPrice")
self.min_vol = self._getintsetting("BollingerBreakoutEntryManager", "minVolume")
bb_period = self._getintsetting("BollingerBreakoutEntryManager", "bbPeriod")
bb_stdevs = self._getfloatsetting("BollingerBreakoutEntryManager", "bbStdevs")
self.do_long = self._getboolsetting("BollingerBreakoutEntryManager", "doLong")
self.do_short = self._getboolsetting("BollingerBreakoutEntryManager", "doShort")
sma_period = self._getintsetting("BollingerBreakoutEntryManager", "smaPeriod")
if sma_period is not None:
self.sma = SimpleMovingAverage(period=sma_period)
else:
self.sma = None
self.raw_close = Close()
self.close = AdjustedClose()
self.vol = AverageVolume()
self.bb = BollingerBands(metric=self.close, period=bb_period, stdev=bb_stdevs)
self._addMetrics(self.sma, self.raw_close, self.close, self.vol, self.bb)
def _checkTradeNoScale(self):
trade = None
if self.raw_close.value() >= self.min_price and self.vol.value() >= self.min_vol \
and self.close.value() > self.bb.upperBand() and self.do_long \
and (self.sma is None or self.close.value() > self.sma.value()):
entry_price = self.close.value()
stop = 0
trade = Trade(stock=self.periodData.stock, entry=self.periodData.date, entryPrice=entry_price,
stop=stop)
if self.raw_close.value() >= self.min_price and self.vol.value() >= self.min_vol \
and self.close.value() < self.bb.upperBand() and self.do_short \
and (self.sma is None or self.close.value() < self.sma.value()):
entry_price = self.close.value()
stop = entry_price * 10
trade = Trade(stock=self.periodData.stock, entry=self.periodData.date, entryPrice=entry_price,
stop=stop)
return trade
class JBMarwoodSupernovaShortEntryManager(NoScaleInEntryManager):
def __init__(self, settings, name=None):
NoScaleInEntryManager.__init__(self, settings, name)
self.minPrice = settings.getfloat("JBMarwoodSupernovaShortEntry", "minPrice")
self.maxPrice = settings.getfloat("JBMarwoodSupernovaShortEntry", "maxPrice")
self.minVol = settings.getint("JBMarwoodSupernovaShortEntry", "minVol")
self.minPctChange = settings.getfloat("JBMarwoodSupernovaShortEntry", "minPctChange")
self.numdays = settings.getint("JBMarwoodSupernovaShortEntry", "numBars")
self.onOpen = settings.getboolean("JBMarwoodSupernovaShortEntry", "enterNextOpen")
self.onDownClose = settings.getboolean("JBMarwoodSupernovaShortEntry", "enterNextDayDownClose")
targetstr = settings.get("JBMarwoodSupernovaShortEntry", "target")
if targetstr == "None":
self.target = None
else:
self.target = float(targetstr)
self.stopPercent = settings.getfloat("JBMarwoodSupernovaShortEntry", "stopPercent")
self.setupYesterday = True
self.rawclose = Close()
self.close = AdjustedClose()
self.oldClose = HistoricMetric(self.close, period=self.numdays)
self.change = Subtract(self.close, self.oldClose)
self.pctChange = Divide(self.change, self.oldClose)
self.volume = Volume()
self._addMetric(self.rawclose)
self._addMetric(self.close)
self._addMetric(self.oldClose)
self._addMetric(self.change)
self._addMetric(self.pctChange)
self._addMetric(self.volume)
def _checkTradeNoScale(self):
trade = None
if self.setupYesterday:
if self.onOpen:
entry = self.periodData.adjustedOpen
stop = entry * (1 + self.stopPercent)
if entry != stop:
trade = Trade(self.periodData.stock, self.periodData.date, entry, stop)
if self.target != None:
target = self.close.value() * (1.0 - self.target)
trade.target = target
elif self.onDownClose and self.periodData.adjustedClose < self.periodData.adjustedOpen:
stop = self.periodData.adjustedHigh + 0.01
# stop = self.close.value()*(1+self.stopPercent)
if stop != self.close.value():
trade = Trade(self.periodData.stock, self.periodData.date, self.close.value(), stop)
if self.target != None:
target = self.close.value() * (1.0 - self.target)
trade.target = target
if (
self.pctChange.ready()
and self.rawclose.value() >= self.minPrice
and self.rawclose.value() <= self.maxPrice
and self.volume.value() >= self.minVol
and self.pctChange.value() >= self.minPctChange
):
if not self.onDownClose and not self.onOpen:
# enter immediately
stop = self.close.value() * (1 + self.stopPercent)
if stop != self.close.value():
trade = Trade(self.periodData.stock, self.periodData.date, self.close.value(), stop)
if self.target != None:
target = self.close.value() * (1.0 - self.target)
trade.target = target
self.setupYesterday = True
else:
self.setupYesterday = False
if trade is not None and (trade.entryPrice == 0 or trade.entryPrice == trade.stop):
return None
return trade
