def _algo(self):
""" Algo:
1. S&P 500 index closes above its 200 day moving average
2. The stock closes above its upper band, buy
3. S&P 500 index closes below its 200 day moving average
4. The stock closes below its lower band, sell your long position.
"""
pf.TradeLog.cash = self.capital
pf.TradeLog.seq_num = 0
for i, row in enumerate(self.ts.itertuples()):
date = row.Index.to_pydatetime()
high = row.high
low = row.low
close = row.close
end_flag = pf.is_last_row(self.ts, i)
upper_band = row.sma + row.sma * self.percent_band
lower_band = row.sma - row.sma * self.percent_band
shares = 0
# Sell Logic
# First we check if an existing position in symbol should be sold
# - sell if (use_regime_filter and regime < 0)
# - sell if price closes below lower_band
# - sell if end of data
if self.tlog.shares > 0:
if ((self.regime_filter and row.regime < 0)
or close < lower_band or end_flag):
# enter sell in trade log
shares = self.tlog.sell(date, close)
# Buy Logic
# First we check to see if there is an existing position, if so do nothing
# - Buy if (regime > 0 or not use_regime_filter)
# and price closes above upper_band
# and (use_regime_filter and regime > 0)
else:
if ((row.regime > 0 or not self.regime_filter)
and close > upper_band):
# enter buy in trade log
shares = self.tlog.buy(date, close)
if shares > 0:
pf.DBG("{0} BUY {1} {2} @ {3:.2f}".format(
date, shares, self.symbol, close))
elif shares < 0:
pf.DBG("{0} SELL {1} {2} @ {3:.2f}".format(
date, -shares, self.symbol, close))
# record daily balance
self.dbal.append(date, high, low, close)
def _algo(self):
""" Algo:
1. The SPY is above its 200-day moving average
2. The SPY closes at a X-day low, buy some shares.
If it falls further, buy some more, etc...
3. If the SPY closes at a X-day high, sell your entire long position.
"""
pf.TradeLog.cash = self.capital
pf.TradeLog.margin = self.margin
stop_loss = 0
for i, row in enumerate(self.ts.itertuples()):
date = row.Index.to_pydatetime()
high = row.high
low = row.low
close = row.close
end_flag = pf.is_last_row(self.ts, i)
shares = 0
# buy
if (self.tlog.num_open_trades() < self.max_positions
and row.regime > 0 and close == row.period_low
and not end_flag):
# calc number of shares
buying_power = self.tlog.calc_buying_power(price=close)
cash = buying_power / (self.max_positions -
self.tlog.num_open_trades())
shares = self.tlog.calc_shares(price=close, cash=cash)
# enter buy in trade log
self.tlog.buy(date, close, shares)
# set stop loss
stop_loss = self.stop__loss_pct * close
# sell
elif (self.tlog.num_open_trades() > 0 and
(close == row.period_high or low < stop_loss or end_flag)):
# enter sell in trade log
shares = self.tlog.sell(date, close)
if shares > 0:
pf.DBG("{0} BUY {1} {2} @ {3:.2f}".format(
date, shares, self.symbol, close))
elif shares < 0:
pf.DBG("{0} SELL {1} {2} @ {3:.2f} {4}".format(
date, -shares, self.symbol, close,
'STOP' if low < stop_loss else ''))
# record daily balance
self.dbal.append(date, high, low, close)
def _algo(self):
""" Algo:
1. S&P 500 index closes above its 200 day moving average
2. The stock closes above its upper band, buy
3. S&P 500 index closes below its 200 day moving average
4. The stock closes below its lower band, sell your long position.
"""
self._tlog.cash = self._capital
for i, row in enumerate(self._ts.itertuples()):
date = row.Index.to_pydatetime()
high = row.high
low = row.low
close = row.close
sma = row.sma
upper_band = sma + sma * self._percent_band
lower_band = sma - sma * self._percent_band
regime = row.regime
end_flag = True if (i == len(self._ts) - 1) else False
shares = 0
# buy
if (self._tlog.num_open_trades() == 0
and (regime > 0 or not self._regime_filter)
and close > upper_band and not end_flag):
# enter buy in trade log
shares = self._tlog.enter_trade(date, close)
# sell
elif (self._tlog.num_open_trades() > 0
and ((self._regime_filter and regime < 0)
or close < lower_band or end_flag)):
# enter sell in trade log
shares = self._tlog.exit_trade(date, close)
if shares > 0:
pf.DBG("{0} BUY {1} {2} @ {3:.2f}".format(
date, shares, self._symbol, close))
elif shares < 0:
pf.DBG("{0} SELL {1} {2} @ {3:.2f}".format(
date, -shares, self._symbol, close))
# record daily balance
self._dbal.append(date, high, low, close, self._tlog.shares,
self._tlog.cash)
def _algo(self):
""" Algo:
1. The SPY is above its 200-day moving average
2. The SPY closes at a X-day low, buy with full capital.
3. If the SPY closes at a X-day high, sell some.
If it sets further highs, sell some more, etc...
4. If you have free cash, use it all when fresh lows are set.
"""
pf.TradeLog.cash = self.capital
pf.TradeLog.margin = self.margin
stop_loss = 0
for i, row in enumerate(self.ts.itertuples()):
date = row.Index.to_pydatetime()
high = row.high
low = row.low
close = row.close
end_flag = pf.is_last_row(self.ts, i)
shares = 0
# buy
if (self.tlog.num_open_trades() < self.max_positions
and row.regime > 0 and close == row.period_low
and not end_flag):
# calc number of shares
buying_power = self.tlog.calc_buying_power(price=close)
shares = self.tlog.calc_shares(price=close, cash=buying_power)
# if we have enough cash to buy any shares, then buy them
if shares > 0:
# enter buy in trade log
self.tlog.buy(date, close, shares)
# set stop loss
stop_loss = 0 * close
# set positions to max_positions
self.positions = self.max_positions
# sell
elif (self.tlog.num_open_trades() > 0 and
(close == row.period_high or low < stop_loss or end_flag)):
if end_flag:
shares = self.tlog.shares
else:
shares = int(self.tlog.shares / (self.positions))
self.positions -= 1
# enter sell in trade log
shares = self.tlog.sell(date, close, shares)
if shares > 0:
pf.DBG("{0} BUY {1} {2} @ {3:.2f}".format(
date, shares, self.symbol, close))
elif shares < 0:
pf.DBG("{0} SELL {1} {2} @ {3:.2f}".format(
date, -shares, self.symbol, close))
# record daily balance
self.dbal.append(date, high, low, close)
def _algo(self):
""" Algo:
1. The SPY is higher than X days ago, buy
2. If the SPY is lower than X days ago, sell your long position.
"""
pf.TradeLog.cash = self.capital
pf.TradeLog.margin = self.margin
stop_loss = 0
for i, row in enumerate(self.ts.itertuples()):
date = row.Index.to_pydatetime()
high = row.high; low = row.low; close = row.close
end_flag = pf.is_last_row(self.ts, i)
shares = 0
if self.tlog.shares == 0:
# if period is None, then select a random trading period of
# 6,7,8,...,or 12 months
if self.period is None:
period = random.choice(range(6, 12+1))
else:
period = self.period
mom = getattr(row, 'mom'+str(period))
# Sell Logic
# First we check if an existing position in symbol should be sold
# - if first_dotm (or first_dotw)
# sell if mom < 0
# sell if low < stop_loss
# sell if end_flag
if self.tlog.shares > 0:
#if (row.first_dotm:
if (row.first_dotw
and (mom < 0 or low < stop_loss or end_flag)):
# enter sell in trade log
shares = self.tlog.sell(date, close)
# Buy Logic
# - if first_dotm (or first_dotw)
# buy if mom > 0
else:
#if (row.first_dotm
if (row.first_dotw
and mom > 0):
# enter buy in trade log
shares = self.tlog.buy(date, close)
# set stop loss
stop_loss = 0*close
if shares > 0:
pf.DBG("{0} BUY {1} {2} @ {3:.2f}".format(
date, shares, self.symbol, close))
elif shares < 0:
pf.DBG("{0} SELL {1} {2} @ {3:.2f}".format(
date, -shares, self.symbol, close))
# record daily balance
self.dbal.append(date, high, low, close)