def setUpClass(self):
Logger.pushLogData("unitTesting", __name__)
forceWorkingDirectory()
pyswing.globals.potentialRuleMatches = None
pyswing.globals.equityCount = None
pyswing.database.overrideDatabase("output/TestMarketRule.db")
pyswing.constants.pySwingStartDate = datetime.datetime(2014, 1, 1)
deleteFile(pyswing.database.pySwingDatabase)
args = "-n %s" % ("unitTesting")
createDatabase(args.split())
pretendDate = datetime.datetime(2015, 9, 1)
with patch.object(Equity, '_getTodaysDate', return_value=pretendDate) as mock_method:
self._equity = Equity("WOR.AX")
self._equity.importData()
indicatorADI = IndicatorADI()
indicatorADI.updateIndicator()
self.rule = MarketRule("Indicator_ADI", "ADI > 0")
self.rule.evaluateRule()
def setUpClass(self):
Logger.pushLogData("unitTesting", __name__)
forceWorkingDirectory()
pyswing.globals.potentialRuleMatches = None
pyswing.globals.equityCount = None
pyswing.database.overrideDatabase("output/TestDatabase.db")
pyswing.constants.pySwingStartDate = datetime.datetime(2015, 1, 1)
deleteFile(pyswing.database.pySwingDatabase)
deleteFile(pyswing.database.pySwingTestDatabase)
args = "-n %s" % ("unitTesting")
createDatabase(args.split())
pretendDate = datetime.datetime(2015, 7, 1)
with patch.object(Equity, '_getTodaysDate',
return_value=pretendDate) as mock_method:
args = "-n unitTest".split()
importData(args)
args = "-n unitTest".split()
updateIndicators(args)
args = "-n unitTest".split()
evaluateRules(args)
args = "-n unitTest".split()
analyseRules(args)
args = "-n unitTest".split()
calculateExitValues(args)
def setUpClass(self):
Logger.pushLogData("unitTesting", __name__)
forceWorkingDirectory()
pyswing.globals.potentialRuleMatches = None
pyswing.globals.equityCount = None
pyswing.database.overrideDatabase("output/TestStrategy.db")
pyswing.constants.pySwingStartDate = datetime.datetime(2015, 1, 1)
deleteFile(pyswing.database.pySwingDatabase)
copyFile(pyswing.database.pySwingTestDatabase,
pyswing.database.pySwingDatabase)
twoRuleStrategy = Strategy(
"Rule Equities Indicator_BB20 abs(t1.Close - t2.upperband) < abs(t1.Close - t2.middleband)",
"Rule Equities abs(Close - High) * 2 < abs(Close - Low)",
"Exit TrailingStop3.0 RiskRatio2", "Buy")
twoRuleStrategy.evaluateTwoRuleStrategy()
threeRuleStrategy = Strategy(
"Rule Equities Indicator_BB20 abs(t1.Close - t2.upperband) < abs(t1.Close - t2.middleband)",
"Rule Equities abs(Close - High) * 2 < abs(Close - Low)",
"Exit TrailingStop3.0 RiskRatio2", "Buy",
"Rule Indicator_RSI RSI > 20")
threeRuleStrategy.evaluateThreeRuleStrategy()
historicTrades = Strategy(
"Rule Equities Indicator_BB20 abs(t1.Close - t2.upperband) < abs(t1.Close - t2.middleband)",
"Rule Equities abs(Close - High) * 2 < abs(Close - Low)",
"Exit TrailingStop3.0 RiskRatio2", "Buy",
"Rule Indicator_RSI RSI > 20")
historicTrades.generateHistoricTrades()
def setUpClass(self):
Logger.pushLogData("unitTesting", __name__)
forceWorkingDirectory()
pyswing.globals.potentialRuleMatches = None
pyswing.globals.equityCount = None
pyswing.database.overrideDatabase("output/TestMarketRule.db")
pyswing.constants.pySwingStartDate = datetime.datetime(2014, 1, 1)
deleteFile(pyswing.database.pySwingDatabase)
args = "-n %s" % ("unitTesting")
createDatabase(args.split())
pretendDate = datetime.datetime(2015, 9, 1)
with patch.object(Equity, '_getTodaysDate',
return_value=pretendDate) as mock_method:
self._equity = Equity("WOR.AX")
self._equity.importData()
indicatorADI = IndicatorADI()
indicatorADI.updateIndicator()
self.rule = MarketRule("Indicator_ADI", "ADI > 0")
self.rule.evaluateRule()
def setUpClass(self):
Logger.pushLogData("unitTesting", __name__)
forceWorkingDirectory()
pyswing.globals.potentialRuleMatches = None
pyswing.globals.equityCount = None
pyswing.database.overrideDatabase("output/TestDatabase.db")
pyswing.constants.pySwingStartDate = datetime.datetime(2015, 1, 1)
deleteFile(pyswing.database.pySwingDatabase)
deleteFile(pyswing.database.pySwingTestDatabase)
args = "-n %s" % ("unitTesting")
createDatabase(args.split())
pretendDate = datetime.datetime(2015, 7, 1)
with patch.object(Equity, '_getTodaysDate', return_value=pretendDate) as mock_method:
args = "-n unitTest".split()
importData(args)
args = "-n unitTest".split()
updateIndicators(args)
args = "-n unitTest".split()
evaluateRules(args)
args = "-n unitTest".split()
analyseRules(args)
args = "-n unitTest".split()
calculateExitValues(args)
def test_pushLogData(self):
myLogEntry = Logger._buildLogMessage(logging.INFO, "Test Log Entry", {
"key1": "value1",
"key2": "value2"
})
self.assertTrue(
'key1="value1" key2="value2"' in myLogEntry,
'Expected key1="value1" key2="value2" in %s' % myLogEntry)
Logger.pushLogData("key3", "value3")
myLogEntry = Logger._buildLogMessage(logging.INFO, "Test Log Entry", {
"key1": "value1",
"key2": "value2"
})
self.assertTrue(
'key1="value1" key2="value2"' in myLogEntry,
'Expected key1="value1" key2="value2" in %s' % myLogEntry)
self.assertTrue('key3="value3"' in myLogEntry,
'Expected key3="value3" in %s' % myLogEntry)
Logger.popLogData("key3")
myLogEntry = Logger._buildLogMessage(logging.INFO, "Test Log Entry", {
"key1": "value1",
"key2": "value2"
})
self.assertTrue(
'key1="value1" key2="value2"' in myLogEntry,
'Expected key1="value1" key2="value2" in %s' % myLogEntry)
self.assertFalse('key3="value3"' in myLogEntry,
'Did Not Expect key3="value3" in %s' % myLogEntry)
def createDatabase(argv):
"""
Create Database.
:param argv: Command Line Parameters.
-n = Name
Example:
python -m pyswing.CreateDatabase -n asx
"""
Logger.log(logging.INFO, "Log Script Call", {"scope":__name__, "arguments":" ".join(argv)})
Logger.pushLogData("script", __name__)
marketName = ""
try:
shortOptions = "n:dh"
longOptions = ["marketName=", "debug", "help"]
opts, __ = getopt.getopt(argv, shortOptions, longOptions)
except getopt.GetoptError as e:
Logger.log(logging.ERROR, "Error Reading Options", {"scope": __name__, "exception": str(e)})
usage()
sys.exit(2)
for opt, arg in opts:
if opt in ("-d", "--debug"):
Logger().setLevel(logging.DEBUG)
elif opt in ("-h", "--help"):
print("?")
usage()
sys.exit()
elif opt in ("-n", "--marketName"):
marketName = arg
if marketName != "":
pyswing.database.initialiseDatabase(marketName)
databaseFilePath = pyswing.database.pySwingDatabase
scriptFilePath = pyswing.constants.pySwingDatabaseScript
Logger.log(logging.INFO, "Creating Database", {"scope":__name__, "databaseFilePath":databaseFilePath, "scriptFilePath":scriptFilePath})
query = open(pyswing.constants.pySwingDatabaseScript, 'r').read()
connection = sqlite3.connect(databaseFilePath)
c = connection.cursor()
c.executescript(query)
connection.commit()
c.close()
connection.close()
TeamCity.setBuildResultText("Created Database")
else:
Logger.log(logging.ERROR, "Missing Options", {"scope": __name__, "options": str(argv)})
usage()
sys.exit(2)
def importData(argv):
"""
Import Share Data.
:param argv: Command Line Parameters.
-n = Name
Example:
python -m pyswing.ImportData -n asx
"""
Logger.log(logging.INFO, "Log Script Call", {"scope":__name__, "arguments":" ".join(argv)})
Logger.pushLogData("script", __name__)
marketName = ""
try:
shortOptions = "n:dh"
longOptions = ["marketName=", "debug", "help"]
opts, __ = getopt.getopt(argv, shortOptions, longOptions)
except getopt.GetoptError as e:
Logger.log(logging.ERROR, "Error Reading Options", {"scope": __name__, "exception": str(e)})
usage()
sys.exit(2)
for opt, arg in opts:
if opt in ("-d", "--debug"):
Logger().setLevel(logging.DEBUG)
elif opt in ("-h", "--help"):
print("?")
usage()
sys.exit()
elif opt in ("-n", "--marketName"):
marketName = arg
if marketName != "":
pyswing.database.initialiseDatabase(marketName)
Logger.log(logging.INFO, "Import Market Data", {"scope":__name__, "market":marketName})
tickerCodesRelativeFilePath = "resources/%s.txt" % (marketName)
market = Market(tickerCodesRelativeFilePath)
for index, row in market.tickers.iterrows():
equity = Equity(row[0])
equity.importData()
TeamCity.setBuildResultText("Imported Data from Yahoo")
else:
Logger.log(logging.ERROR, "Missing Options", {"scope": __name__, "options": str(argv)})
usage()
sys.exit(2)
def setUpClass(self):
Logger.pushLogData("unitTesting", __name__)
forceWorkingDirectory()
pyswing.database.pySwingDatabase = None
pyswing.database.pySwingDatabaseInitialised = False
pyswing.database.pySwingDatabaseOverridden = False
def generateHistoricTradesForActiveStrategies(argv):
"""
Generate (in the HistoricTrades database table) Historic Trades for the Active Strategies.
Empty the database table and then fill it with the historic trades for all the active strategies.
:param argv: Command Line Parameters.
-n = Name
Example:
python -m pyswing.GenerateHistoricTradesForActiveStrategies -n asx
"""
Logger.log(logging.INFO, "Log Script Call", {"scope":__name__, "arguments":" ".join(argv)})
Logger.pushLogData("script", __name__)
marketName = ""
try:
shortOptions = "n:dh"
longOptions = ["marketName=", "debug", "help"]
opts, __ = getopt.getopt(argv, shortOptions, longOptions)
except getopt.GetoptError as e:
Logger.log(logging.ERROR, "Error Reading Options", {"scope": __name__, "exception": str(e)})
usage()
sys.exit(2)
for opt, arg in opts:
if opt in ("-d", "--debug"):
Logger().setLevel(logging.DEBUG)
elif opt in ("-h", "--help"):
print("?")
usage()
sys.exit()
elif opt in ("-n", "--marketName"):
marketName = arg
if marketName != "":
pyswing.database.initialiseDatabase(marketName)
Logger.log(logging.INFO, "Generate Historic Trades for Active Strategies", {"scope":__name__, "market":marketName})
emptyHistoricTradesTable()
strategies = getActiveStrategies()
for strategy in strategies:
strategy.generateHistoricTrades()
else:
Logger.log(logging.ERROR, "Missing Options", {"scope": __name__, "options": str(argv)})
usage()
sys.exit(2)
def analyseRules(argv):
"""
Analyse Rules.
:param argv: Command Line Parameters.
-n = Name
Example:
python -m pyswing.AnalyseRules -n asx
"""
Logger.log(logging.INFO, "Log Script Call", {"scope":__name__, "arguments":" ".join(argv)})
Logger.pushLogData("script", __name__)
marketName = ""
try:
shortOptions = "n:dh"
longOptions = ["marketName=", "debug", "help"]
opts, __ = getopt.getopt(argv, shortOptions, longOptions)
except getopt.GetoptError as e:
Logger.log(logging.ERROR, "Error Reading Options", {"scope": __name__, "exception": str(e)})
usage()
sys.exit(2)
for opt, arg in opts:
if opt in ("-d", "--debug"):
Logger().setLevel(logging.DEBUG)
elif opt in ("-h", "--help"):
print("?")
usage()
sys.exit()
elif opt in ("-n", "--marketName"):
marketName = arg
if marketName != "":
pyswing.database.initialiseDatabase(marketName)
Logger.log(logging.INFO, "Analyse Rules", {"scope":__name__, "market":marketName})
rules = getRules()
for ruleString in rules:
rule = Rule(ruleString)
rule.analyseRule()
TeamCity.setBuildResultText("Analysed Rules")
else:
Logger.log(logging.ERROR, "Missing Options", {"scope": __name__, "options": str(argv)})
usage()
sys.exit(2)
def setUpClass(self):
Logger.pushLogData("unitTesting", __name__)
forceWorkingDirectory()
pyswing.database.overrideDatabase("output/TestCalculateExitValues.db")
pyswing.constants.pySwingStartDate = datetime.datetime(2015, 1, 1)
deleteFile(pyswing.database.pySwingDatabase)
args = "-n %s" % ("unitTesting")
createDatabase(args.split())
def setUpClass(self):
Logger.pushLogData("unitTesting", __name__)
forceWorkingDirectory()
pyswing.database.overrideDatabase("output/TestUpdateIndicators.db")
pyswing.constants.pySwingStartDate = datetime.datetime(2015, 1, 1)
deleteFile(pyswing.database.pySwingDatabase)
args = "-n %s" % ("unitTesting")
createDatabase(args.split())
def setUpClass(self):
Logger.pushLogData("unitTesting", __name__)
forceWorkingDirectory()
pyswing.globals.potentialRuleMatches = None
pyswing.globals.equityCount = None
pyswing.database.overrideDatabase("output/TestAskHorse.db")
pyswing.constants.pySwingStartDate = datetime.datetime(2015, 1, 1)
deleteFile(pyswing.database.pySwingDatabase)
copyFile(pyswing.database.pySwingTestDatabase, pyswing.database.pySwingDatabase)
def setUpClass(self):
Logger.pushLogData("unitTesting", __name__)
forceWorkingDirectory()
pyswing.globals.potentialRuleMatches = None
pyswing.globals.equityCount = None
pyswing.database.overrideDatabase("output/TestAnalyseStrategies.db")
pyswing.constants.pySwingStartDate = datetime.datetime(2015, 1, 1)
deleteFile(pyswing.database.pySwingDatabase)
copyFile(pyswing.database.pySwingTestDatabase, pyswing.database.pySwingDatabase)
def test_pushLogData(self):
myLogEntry = Logger._buildLogMessage(logging.INFO, "Test Log Entry", {"key1":"value1","key2":"value2"})
self.assertTrue('key1="value1" key2="value2"' in myLogEntry, 'Expected key1="value1" key2="value2" in %s' % myLogEntry)
Logger.pushLogData("key3","value3")
myLogEntry = Logger._buildLogMessage(logging.INFO, "Test Log Entry", {"key1":"value1","key2":"value2"})
self.assertTrue('key1="value1" key2="value2"' in myLogEntry, 'Expected key1="value1" key2="value2" in %s' % myLogEntry)
self.assertTrue('key3="value3"' in myLogEntry, 'Expected key3="value3" in %s' % myLogEntry)
Logger.popLogData("key3")
myLogEntry = Logger._buildLogMessage(logging.INFO, "Test Log Entry", {"key1":"value1","key2":"value2"})
self.assertTrue('key1="value1" key2="value2"' in myLogEntry, 'Expected key1="value1" key2="value2" in %s' % myLogEntry)
self.assertFalse('key3="value3"' in myLogEntry, 'Did Not Expect key3="value3" in %s' % myLogEntry)
def setUpClass(self):
Logger.pushLogData("unitTesting", __name__)
forceWorkingDirectory()
pyswing.globals.potentialRuleMatches = None
pyswing.globals.equityCount = None
pyswing.database.overrideDatabase("output/TestAnalyseRules.db")
pyswing.constants.pySwingStartDate = datetime.datetime(2015, 1, 1)
deleteFile(pyswing.database.pySwingDatabase)
args = "-n %s" % ("unitTesting")
createDatabase(args.split())
def setUpClass(self):
Logger.pushLogData("unitTesting", __name__)
forceWorkingDirectory()
pyswing.database.overrideDatabase("output/TestRule.db")
args = "-n %s" % ("unitTesting")
createDatabase(args.split())
myRule = Rule("Rule - myRule")
myRule._createTable()
myOtherRule = Rule("Rule - myOtherRule")
myOtherRule._createTable()
def setUpClass(self):
Logger.pushLogData("unitTesting", __name__)
forceWorkingDirectory()
pyswing.database.overrideDatabase("output/TestRule.db")
args = "-n %s" % ("unitTesting")
createDatabase(args.split())
myRule = Rule("Rule - myRule")
myRule._createTable()
myOtherRule = Rule("Rule - myOtherRule")
myOtherRule._createTable()
def setUpClass(self):
Logger.pushLogData("unitTesting", __name__)
forceWorkingDirectory()
pyswing.database.overrideDatabase("output/TestRelativeRule.db")
pyswing.constants.pySwingStartDate = datetime.datetime(2015, 1, 1)
deleteFile(pyswing.database.pySwingDatabase)
args = "-n %s" % ("unitTesting")
createDatabase(args.split())
pretendDate = datetime.datetime(2015, 9, 1)
with patch.object(Equity, '_getTodaysDate', return_value=pretendDate) as mock_method:
self._equityCBA = Equity("WOR.AX")
self._equityCBA.importData()
def setUpClass(self):
Logger.pushLogData("unitTesting", __name__)
forceWorkingDirectory()
pyswing.database.overrideDatabase("output/TestIndicatorDX.db")
pyswing.constants.pySwingStartDate = datetime.datetime(2014, 1, 1)
deleteFile(pyswing.database.pySwingDatabase)
args = "-n %s" % ("unitTesting")
createDatabase(args.split())
pretendDate = datetime.datetime(2015, 9, 1)
with patch.object(Equity, '_getTodaysDate', return_value=pretendDate) as mock_method:
self._equityCBA = Equity("CBA.AX")
self._equityCBA.importData()
def setUpClass(self):
Logger.pushLogData("unitTesting", __name__)
forceWorkingDirectory()
pyswing.globals.potentialRuleMatches = None
pyswing.globals.equityCount = None
pyswing.database.overrideDatabase("output/TestStrategy.db")
pyswing.constants.pySwingStartDate = datetime.datetime(2015, 1, 1)
deleteFile(pyswing.database.pySwingDatabase)
copyFile(pyswing.database.pySwingTestDatabase, pyswing.database.pySwingDatabase)
twoRuleStrategy = Strategy("Rule Equities Indicator_BB20 abs(t1.Close - t2.upperband) < abs(t1.Close - t2.middleband)", "Rule Equities abs(Close - High) * 2 < abs(Close - Low)", "Exit TrailingStop3.0 RiskRatio2", "Buy")
twoRuleStrategy.evaluateTwoRuleStrategy()
threeRuleStrategy = Strategy("Rule Equities Indicator_BB20 abs(t1.Close - t2.upperband) < abs(t1.Close - t2.middleband)", "Rule Equities abs(Close - High) * 2 < abs(Close - Low)", "Exit TrailingStop3.0 RiskRatio2", "Buy", "Rule Indicator_RSI RSI > 20")
threeRuleStrategy.evaluateThreeRuleStrategy()
historicTrades = Strategy("Rule Equities Indicator_BB20 abs(t1.Close - t2.upperband) < abs(t1.Close - t2.middleband)", "Rule Equities abs(Close - High) * 2 < abs(Close - Low)", "Exit TrailingStop3.0 RiskRatio2", "Buy", "Rule Indicator_RSI RSI > 20")
historicTrades.generateHistoricTrades()
def updateIndicators(argv):
"""
Update Indicators.
:param argv: Command Line Parameters.
-n = Name
Example:
python -m pyswing.UpdateIndicators -n asx
"""
Logger.log(logging.INFO, "Log Script Call", {"scope": __name__, "arguments": " ".join(argv)})
Logger.pushLogData("script", __name__)
marketName = ""
try:
shortOptions = "n:dh"
longOptions = ["marketName=", "debug", "help"]
opts, __ = getopt.getopt(argv, shortOptions, longOptions)
except getopt.GetoptError as e:
Logger.log(logging.ERROR, "Error Reading Options", {"scope": __name__, "exception": str(e)})
usage()
sys.exit(2)
for opt, arg in opts:
if opt in ("-d", "--debug"):
Logger().setLevel(logging.DEBUG)
elif opt in ("-h", "--help"):
print("?")
usage()
sys.exit()
elif opt in ("-n", "--marketName"):
marketName = arg
if marketName != "":
pyswing.database.initialiseDatabase(marketName)
Logger.log(logging.INFO, "Update Indicators", {"scope": __name__, "market": marketName})
tickerCodesRelativeFilePath = "resources/%s.txt" % (marketName)
market = Market(tickerCodesRelativeFilePath)
# Market Indicators
adiIndicator = IndicatorADI()
adiIndicator.updateIndicator()
# Equity Indicators
for index, row in market.tickers.iterrows():
tickerCode = row[0]
equity = Equity(tickerCode)
equityDataFrame = equity.dataFrame()
smaIndicator = IndicatorSMA(equityDataFrame, tickerCode)
smaIndicator.updateIndicator()
emaIndicator = IndicatorEMA(equityDataFrame, tickerCode)
emaIndicator.updateIndicator()
bbIndicator = IndicatorBB20(equityDataFrame, tickerCode)
bbIndicator.updateIndicator()
rocIndicator = IndicatorROC(equityDataFrame, tickerCode)
rocIndicator.updateIndicator()
macdIndicator = IndicatorMACD(equityDataFrame, tickerCode)
macdIndicator.updateIndicator()
stochIndicator = IndicatorSTOCH(equityDataFrame, tickerCode)
stochIndicator.updateIndicator()
rsiIndicator = IndicatorRSI(equityDataFrame, tickerCode)
rsiIndicator.updateIndicator()
adxIndicator = IndicatorADX(equityDataFrame, tickerCode)
adxIndicator.updateIndicator()
aroonIndicator = IndicatorAROON(equityDataFrame, tickerCode)
aroonIndicator.updateIndicator()
dxIndicator = IndicatorDX(equityDataFrame, tickerCode)
dxIndicator.updateIndicator()
TeamCity.setBuildResultText("Updated Indicators")
else:
Logger.log(logging.ERROR, "Missing Options", {"scope": __name__, "options": str(argv)})
usage()
sys.exit(2)
def evaluateRules(argv):
"""
Evaluate Rules.
:param argv: Command Line Parameters.
-n = Name
Example:
python -m pyswing.EvaluateRules -n asx
"""
Logger.log(logging.INFO, "Log Script Call", {"scope":__name__, "arguments":" ".join(argv)})
Logger.pushLogData("script", __name__)
marketName = ""
try:
shortOptions = "n:dh"
longOptions = ["marketName=", "debug", "help"]
opts, __ = getopt.getopt(argv, shortOptions, longOptions)
except getopt.GetoptError as e:
Logger.log(logging.ERROR, "Error Reading Options", {"scope": __name__, "exception": str(e)})
usage()
sys.exit(2)
for opt, arg in opts:
if opt in ("-d", "--debug"):
Logger().setLevel(logging.DEBUG)
elif opt in ("-h", "--help"):
print("?")
usage()
sys.exit()
elif opt in ("-n", "--marketName"):
marketName = arg
if marketName != "":
pyswing.database.initialiseDatabase(marketName)
Logger.log(logging.INFO, "Evaluate Rules", {"scope":__name__, "market":marketName})
tickerCodesRelativeFilePath = "resources/%s.txt" % (marketName)
market = Market(tickerCodesRelativeFilePath)
rules = []
rules.append(SimpleRule("Indicator_ROC", "ROC_5 > 1"))
rules.append(SimpleRule("Indicator_ROC", "ROC_5 > 3"))
rules.append(SimpleRule("Indicator_ROC", "ROC_5 > 5"))
rules.append(SimpleRule("Indicator_ROC", "ROC_5 < -1"))
rules.append(SimpleRule("Indicator_ROC", "ROC_5 < -3"))
rules.append(SimpleRule("Indicator_ROC", "ROC_5 < -5"))
rules.append(SimpleRule("Indicator_ROC", "ROC_10 > 1"))
rules.append(SimpleRule("Indicator_ROC", "ROC_10 > 4"))
rules.append(SimpleRule("Indicator_ROC", "ROC_10 > 8"))
rules.append(SimpleRule("Indicator_ROC", "ROC_10 < -1"))
rules.append(SimpleRule("Indicator_ROC", "ROC_10 < -4"))
rules.append(SimpleRule("Indicator_ROC", "ROC_10 < -8"))
rules.append(SimpleRule("Indicator_ROC", "ROC_20 > 1"))
rules.append(SimpleRule("Indicator_ROC", "ROC_20 > 5"))
rules.append(SimpleRule("Indicator_ROC", "ROC_20 > 10"))
rules.append(SimpleRule("Indicator_ROC", "ROC_20 < -1"))
rules.append(SimpleRule("Indicator_ROC", "ROC_20 < -5"))
rules.append(SimpleRule("Indicator_ROC", "ROC_20 < -10"))
#
# rules.append(RelativeRule("Equities", "Close", -1, Comparison.GreaterThan, 1.01))
# rules.append(RelativeRule("Equities", "Close", -1, Comparison.LessThan, 0.99))
#
# rules.append(RelativeRule("Equities", "Close", -1, Comparison.GreaterThan, 1.02))
# rules.append(RelativeRule("Equities", "Close", -1, Comparison.LessThan, 0.98))
#
# rules.append(RelativeRule("Equities", "Close", -1, Comparison.GreaterThan, 1.03))
# rules.append(RelativeRule("Equities", "Close", -1, Comparison.LessThan, 0.97))
#
# rules.append(RelativeRule("Equities", "Close", -1, Comparison.GreaterThan, 1.05))
# rules.append(RelativeRule("Equities", "Close", -1, Comparison.LessThan, 0.95))
#
# rules.append(RelativeRule("Equities", "Close", -5, Comparison.GreaterThan, 1.10))
# rules.append(RelativeRule("Equities", "Close", -5, Comparison.LessThan, 0.90))
#
# rules.append(RelativeRule("Equities", "Close", -5, Comparison.GreaterThan, 1.20))
# rules.append(RelativeRule("Equities", "Close", -5, Comparison.LessThan, 0.80))
#
# rules.append(CrossingRule("Indicator_SMA","SMA_5","Indicator_SMA","SMA_20"))
# rules.append(CrossingRule("Indicator_SMA","SMA_10","Indicator_SMA","SMA_50"))
# rules.append(CrossingRule("Indicator_SMA","SMA_10","Indicator_SMA","SMA_200"))
# rules.append(CrossingRule("Indicator_SMA","SMA_20","Indicator_SMA","SMA_200"))
# rules.append(CrossingRule("Indicator_SMA","SMA_20","Indicator_SMA","SMA_5"))
# rules.append(CrossingRule("Indicator_SMA","SMA_50","Indicator_SMA","SMA_10"))
# rules.append(CrossingRule("Indicator_SMA","SMA_200","Indicator_SMA","SMA_10"))
# rules.append(CrossingRule("Indicator_SMA","SMA_200","Indicator_SMA","SMA_20"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_SMA", "t1.Close > t2.SMA_100"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_SMA", "t1.Close > 1.1 * t2.SMA_100"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_SMA", "t1.Close > 1.2 * t2.SMA_100"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_SMA", "t1.Close > t2.SMA_200"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_SMA", "t1.Close > 1.1 * t2.SMA_200"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_SMA", "t1.Close > 1.2 * t2.SMA_200"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_SMA", "t1.Close > t2.SMA_300"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_SMA", "t1.Close > 1.1 * t2.SMA_300"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_SMA", "t1.Close > 1.2 * t2.SMA_300"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_SMA", "t1.Close < t2.SMA_100"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_SMA", "t1.Close < 0.9 * t2.SMA_100"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_SMA", "t1.Close < 0.8 * t2.SMA_100"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_SMA", "t1.Close < t2.SMA_200"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_SMA", "t1.Close < 0.9 * t2.SMA_200"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_SMA", "t1.Close < 0.8 * t2.SMA_200"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_SMA", "t1.Close < t2.SMA_300"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_SMA", "t1.Close < 0.9 * t2.SMA_300"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_SMA", "t1.Close < 0.8 * t2.SMA_300"))
#
# rules.append(CrossingRule("Indicator_EMA","EMA_5","Indicator_EMA","EMA_20"))
# rules.append(CrossingRule("Indicator_EMA","EMA_10","Indicator_EMA","EMA_50"))
# rules.append(CrossingRule("Indicator_EMA","EMA_10","Indicator_EMA","EMA_200"))
# rules.append(CrossingRule("Indicator_EMA","EMA_20","Indicator_EMA","EMA_200"))
# rules.append(CrossingRule("Indicator_EMA","EMA_20","Indicator_EMA","EMA_5"))
# rules.append(CrossingRule("Indicator_EMA","EMA_50","Indicator_EMA","EMA_10"))
# rules.append(CrossingRule("Indicator_EMA","EMA_200","Indicator_EMA","EMA_10"))
# rules.append(CrossingRule("Indicator_EMA","EMA_200","Indicator_EMA","EMA_20"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_EMA", "t1.Close > t2.EMA_100"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_EMA", "t1.Close > 1.1 * t2.EMA_100"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_EMA", "t1.Close > 1.2 * t2.EMA_100"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_EMA", "t1.Close > t2.EMA_200"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_EMA", "t1.Close > 1.1 * t2.EMA_200"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_EMA", "t1.Close > 1.2 * t2.EMA_200"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_EMA", "t1.Close > t2.EMA_300"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_EMA", "t1.Close > 1.1 * t2.EMA_300"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_EMA", "t1.Close > 1.2 * t2.EMA_300"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_EMA", "t1.Close < t2.EMA_100"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_EMA", "t1.Close < 0.9 * t2.EMA_100"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_EMA", "t1.Close < 0.8 * t2.EMA_100"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_EMA", "t1.Close < t2.EMA_200"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_EMA", "t1.Close < 0.9 * t2.EMA_200"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_EMA", "t1.Close < 0.8 * t2.EMA_200"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_EMA", "t1.Close < t2.EMA_300"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_EMA", "t1.Close < 0.9 * t2.EMA_300"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_EMA", "t1.Close < 0.8 * t2.EMA_300"))
rules.append(CrossingRule("Indicator_SMA","SMA_20","Indicator_EMA","EMA_200"))
rules.append(CrossingRule("Indicator_EMA","EMA_200","Indicator_SMA","SMA_20"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_BB20", "t1.Close > t2.upperband"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_BB20", "abs(t1.Close - t2.upperband) < abs(t1.Close - t2.middleband)"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_BB20", "t1.Close < t2.lowerband"))
rules.append(MultipleIndicatorRule("Equities", "Indicator_BB20", "abs(t1.Close - t2.lowerband) < abs(t1.Close - t2.middleband)"))
rules.append(SimpleRule("Indicator_BB20", "upperbandroc < 0 and lowerbandroc > 0"))
rules.append(SimpleRule("Indicator_BB20", "upperbandroc < -1 and lowerbandroc > 1"))
rules.append(SimpleRule("Indicator_BB20", "upperbandroc > 0 and lowerbandroc < 0"))
rules.append(SimpleRule("Indicator_BB20", "upperbandroc > 1 and lowerbandroc <- 1"))
rules.append(SimpleRule("Indicator_BB20", "upperbandroc > 1"))
rules.append(SimpleRule("Indicator_BB20", "upperbandroc > 2"))
rules.append(SimpleRule("Indicator_BB20", "upperbandroc > 3"))
rules.append(SimpleRule("Indicator_BB20", "upperbandroc < -1"))
rules.append(SimpleRule("Indicator_BB20", "upperbandroc < -2"))
rules.append(SimpleRule("Indicator_BB20", "upperbandroc < -3"))
rules.append(SimpleRule("Indicator_BB20", "lowerbandroc > 1"))
rules.append(SimpleRule("Indicator_BB20", "lowerbandroc > 2"))
rules.append(SimpleRule("Indicator_BB20", "lowerbandroc > 3"))
rules.append(SimpleRule("Indicator_BB20", "lowerbandroc < -1"))
rules.append(SimpleRule("Indicator_BB20", "lowerbandroc < -2"))
rules.append(SimpleRule("Indicator_BB20", "lowerbandroc < -3"))
rules.append(SimpleRule("Equities", "abs(Close - High) * 2 < abs(Close - Low)"))
rules.append(SimpleRule("Equities", "abs(Close - High) * 5 < abs(Close - Low)"))
rules.append(SimpleRule("Equities", "abs(Close - High) * 10 < abs(Close - Low)"))
rules.append(SimpleRule("Equities", "abs(Close - High) > 2 * abs(Close - Low)"))
rules.append(SimpleRule("Equities", "abs(Close - High) > 5 * abs(Close - Low)"))
rules.append(SimpleRule("Equities", "abs(Close - High) > 10 * abs(Close - Low)"))
rules.append(SimpleRule("Indicator_MACD", "MACD_12_26_9_DIVERGENCE < 0"))
rules.append(SimpleRule("Indicator_MACD", "MACD_12_26_9_DIVERGENCE > 0"))
rules.append(SimpleRule("Indicator_MACD", "MACD_12_26_9 > MACD_12_26"))
rules.append(SimpleRule("Indicator_MACD", "MACD_12_26_9 < MACD_12_26"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K < 5"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K < 10"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K < 15"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K < 20"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K < 30"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K > 95"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K > 90"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K > 85"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K > 80"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K > 70"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D < 5"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D < 10"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D < 15"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D < 20"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D < 30"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D > 95"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D > 90"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D > 85"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D > 80"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D > 70"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K > STOCH_D"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K < STOCH_D"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K_ROC > 50"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K_ROC > 100"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K_ROC > 200"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K_ROC < -50"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K_ROC < -60"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K_ROC < -70"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D_ROC > 50"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D_ROC > 100"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D_ROC > 200"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D_ROC < -50"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D_ROC < -60"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D_ROC < -70"))
rules.append(SimpleRule("Indicator_ADX", "ADX > 30"))
rules.append(SimpleRule("Indicator_ADX", "ADX > 40"))
rules.append(SimpleRule("Indicator_ADX", "ADX > 50"))
rules.append(SimpleRule("Indicator_ADX", "ADX_ROC > 10"))
rules.append(SimpleRule("Indicator_ADX", "ADX_ROC > 20"))
rules.append(SimpleRule("Indicator_ADX", "ADX_ROC < -10"))
rules.append(SimpleRule("Indicator_ADX", "ADX_ROC < -20"))
rules.append(SimpleRule("Indicator_DX", "DX > 40"))
rules.append(SimpleRule("Indicator_DX", "DX > 50"))
rules.append(SimpleRule("Indicator_DX", "DX > 60"))
# rules.append(SimpleRule("Indicator_DX", "DX_ROC > 1000"))
# rules.append(SimpleRule("Indicator_DX", "DX_ROC > 2000"))
# rules.append(SimpleRule("Indicator_DX", "DX_ROC > 3000"))
# rules.append(SimpleRule("Indicator_DX", "DX_ROC > 4000"))
#
# rules.append(SimpleRule("Indicator_DX", "DX_ROC < -95"))
# rules.append(SimpleRule("Indicator_DX", "DX_ROC < -97"))
# rules.append(SimpleRule("Indicator_DX", "DX_ROC < -98"))
rules.append(SimpleRule("Indicator_RSI", "RSI > 20"))
rules.append(SimpleRule("Indicator_RSI", "RSI > 30"))
rules.append(SimpleRule("Indicator_RSI", "RSI > 40"))
rules.append(SimpleRule("Indicator_RSI", "RSI > 50"))
rules.append(SimpleRule("Indicator_RSI", "RSI > 60"))
rules.append(SimpleRule("Indicator_RSI", "RSI > 70"))
rules.append(SimpleRule("Indicator_RSI", "RSI > 80"))
rules.append(SimpleRule("Indicator_RSI", "RSI < 80"))
rules.append(SimpleRule("Indicator_RSI", "RSI < 70"))
rules.append(SimpleRule("Indicator_RSI", "RSI < 60"))
rules.append(SimpleRule("Indicator_RSI", "RSI < 50"))
rules.append(SimpleRule("Indicator_RSI", "RSI < 40"))
rules.append(SimpleRule("Indicator_RSI", "RSI < 30"))
rules.append(SimpleRule("Indicator_RSI", "RSI < 20"))
rules.append(SimpleRule("Indicator_AROON", "AROON_UP = 100"))
rules.append(SimpleRule("Indicator_AROON", "AROON_UP = 0"))
rules.append(SimpleRule("Indicator_AROON", "AROON_UP > 50"))
rules.append(SimpleRule("Indicator_AROON", "AROON_UP < 50"))
rules.append(SimpleRule("Indicator_AROON", "AROON_UP > 90"))
rules.append(SimpleRule("Indicator_AROON", "AROON_UP < 90"))
rules.append(SimpleRule("Indicator_AROON", "AROON_UP > 10"))
rules.append(SimpleRule("Indicator_AROON", "AROON_UP < 10"))
rules.append(SimpleRule("Indicator_AROON", "AROON_DOWN = 100"))
rules.append(SimpleRule("Indicator_AROON", "AROON_DOWN = 0"))
rules.append(SimpleRule("Indicator_AROON", "AROON_DOWN > 50"))
rules.append(SimpleRule("Indicator_AROON", "AROON_DOWN < 50"))
rules.append(SimpleRule("Indicator_AROON", "AROON_DOWN > 90"))
rules.append(SimpleRule("Indicator_AROON", "AROON_DOWN < 90"))
rules.append(SimpleRule("Indicator_AROON", "AROON_DOWN > 10"))
rules.append(SimpleRule("Indicator_AROON", "AROON_DOWN < 10"))
rules.append(SimpleRule("Equities", "abs(High - Close) > 10 * abs(Low - Close)"))
rules.append(SimpleRule("Equities", "abs(High - Close) * 10 < abs(Low - Close)"))
rules.append(SimpleRule("Equities", "abs(High - Close) > 100 * abs(Low - Close)"))
rules.append(SimpleRule("Equities", "abs(High - Close) * 100 < abs(Low - Close)"))
for index, row in market.tickers.iterrows():
tickerCode = row[0]
for rule in rules:
rule.evaluateRule(tickerCode)
marketRules = []
marketRules.append(MarketRule("Indicator_ADI", "ADI > 0"))
marketRules.append(MarketRule("Indicator_ADI", "ADI > 25"))
marketRules.append(MarketRule("Indicator_ADI", "ADI > 50"))
marketRules.append(MarketRule("Indicator_ADI", "ADI < 0"))
marketRules.append(MarketRule("Indicator_ADI", "ADI < -25"))
marketRules.append(MarketRule("Indicator_ADI", "ADI < -50"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_ROC > 1"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_ROC > 3"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_ROC > 7"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_ROC < -1"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_ROC < -3"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_ROC < -7"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_EMA > 5"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_EMA > 10"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_EMA > 20"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_EMA < -5"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_EMA < -10"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_EMA < -20"))
for marketRule in marketRules:
marketRule.evaluateRule()
TeamCity.setBuildResultText("Evaluated Rules")
else:
Logger.log(logging.ERROR, "Missing Options", {"scope": __name__, "options": str(argv)})
usage()
sys.exit(2)
def setUpClass(self):
Logger.pushLogData("unitTesting", __name__)
forceWorkingDirectory()
def importData(argv):
"""
Import Share Data.
:param argv: Command Line Parameters.
-n = Name
Example:
python -m pyswing.ImportData -n asx
"""
Logger.log(logging.INFO, "Log Script Call", {
"scope": __name__,
"arguments": " ".join(argv)
})
Logger.pushLogData("script", __name__)
marketName = ""
try:
shortOptions = "n:dh"
longOptions = ["marketName=", "debug", "help"]
opts, __ = getopt.getopt(argv, shortOptions, longOptions)
except getopt.GetoptError as e:
Logger.log(logging.ERROR, "Error Reading Options", {
"scope": __name__,
"exception": str(e)
})
usage()
sys.exit(2)
for opt, arg in opts:
if opt in ("-d", "--debug"):
Logger().setLevel(logging.DEBUG)
elif opt in ("-h", "--help"):
print("?")
usage()
sys.exit()
elif opt in ("-n", "--marketName"):
marketName = arg
if marketName != "":
pyswing.database.initialiseDatabase(marketName)
Logger.log(logging.INFO, "Import Market Data", {
"scope": __name__,
"market": marketName
})
tickerCodesRelativeFilePath = "resources/%s.txt" % (marketName)
market = Market(tickerCodesRelativeFilePath)
for index, row in market.tickers.iterrows():
equity = Equity(row[0])
equity.importData()
TeamCity.setBuildResultText("Imported Data from Yahoo")
else:
Logger.log(logging.ERROR, "Missing Options", {
"scope": __name__,
"options": str(argv)
})
usage()
sys.exit(2)
def calculateExitValues(argv):
"""
Calculate Exit Values.
:param argv: Command Line Parameters.
-n = Name
Example:
python -m pyswing.CalculateExitValues -n asx
"""
Logger.log(logging.INFO, "Log Script Call", {
"scope": __name__,
"arguments": " ".join(argv)
})
Logger.pushLogData("script", __name__)
marketName = ""
try:
shortOptions = "n:dh"
longOptions = ["marketName=", "debug", "help"]
opts, __ = getopt.getopt(argv, shortOptions, longOptions)
except getopt.GetoptError as e:
Logger.log(logging.ERROR, "Error Reading Options", {
"scope": __name__,
"exception": str(e)
})
usage()
sys.exit(2)
for opt, arg in opts:
if opt in ("-d", "--debug"):
Logger().setLevel(logging.DEBUG)
elif opt in ("-h", "--help"):
print("?")
usage()
sys.exit()
elif opt in ("-n", "--marketName"):
marketName = arg
if marketName != "":
pyswing.database.initialiseDatabase(marketName)
Logger.log(logging.INFO, "Calculate Exit Values", {
"scope": __name__,
"market": marketName
})
tickerCodesRelativeFilePath = "resources/%s.txt" % (marketName)
market = Market(tickerCodesRelativeFilePath)
for index, row in market.tickers.iterrows():
tickerCode = row[0]
exitValuesTrailingStop3 = ExitValuesTrailingStop(
tickerCode, 0.03, 2)
exitValuesTrailingStop3.calculateExitValues()
# exitValuesTrailingStop2 = ExitValuesTrailingStop(tickerCode, 0.02, 3)
# exitValuesTrailingStop2.calculateExitValues()
#
# exitValuesYesterday2 = ExitValuesYesterday(tickerCode, 0.02, 3)
# exitValuesYesterday2.calculateExitValues()
#
# exitValuesYesterday3 = ExitValuesYesterday(tickerCode, 0.03, 2)
# exitValuesYesterday3.calculateExitValues()
TeamCity.setBuildResultText("Calculated Exit Values")
else:
Logger.log(logging.ERROR, "Missing Options", {
"scope": __name__,
"options": str(argv)
})
usage()
sys.exit(2)
def evaluateThreeRuleStrategies(argv):
"""
Evaluate Three-Rule Strategies.
:param argv: Command Line Parameters.
-n = Name
-N = Number of Two-Rule Strategies to Work Through
-s = Strategy Name
-t = Minimum Number of Trades
Example:
python -m pyswing.EvaluateThreeRuleStrategies -n asx -N 10 -s v4.0 -t 400
"""
Logger.log(logging.INFO, "Log Script Call", {"scope":__name__, "arguments":" ".join(argv)})
Logger.pushLogData("script", __name__)
marketName = ""
numberOfStrategies = ""
numberOfTrades = ""
try:
shortOptions = "n:N:s:t:dh"
longOptions = ["marketName=","number=", "strategy=", "trades=", "debug", "help"]
opts, __ = getopt.getopt(argv, shortOptions, longOptions)
except getopt.GetoptError as e:
Logger.log(logging.ERROR, "Error Reading Options", {"scope": __name__, "exception": str(e)})
usage()
sys.exit(2)
for opt, arg in opts:
if opt in ("-d", "--debug"):
Logger().setLevel(logging.DEBUG)
elif opt in ("-h", "--help"):
print("?")
usage()
sys.exit()
elif opt in ("-n", "--marketName"):
marketName = arg
elif opt in ("-N", "--number"):
numberOfStrategies = int(arg)
elif opt in ("-s", "--strategy"):
pyswing.constants.pySwingStrategy = arg
elif opt in ("-t", "--trades"):
numberOfTrades = arg
if marketName != "" and numberOfTrades != "" and numberOfStrategies > 0 and pyswing.constants.pySwingStrategy:
pyswing.database.initialiseDatabase(marketName)
Logger.log(logging.INFO, "Evaluate Three-Rule Strategies", {"scope":__name__, "market":marketName, "number":str(numberOfStrategies), "strategy":pyswing.constants.pySwingStrategy})
rules = getRules()
strategiesEvaluated = 0
while strategiesEvaluated < numberOfStrategies:
rule1, rule2, exit, type = getBestUnprocessedTwoRuleStrategy(numberOfTrades)
for rule3 in rules:
strategy = Strategy(rule1, rule2, exit, type, rule3)
strategy.evaluateThreeRuleStrategy()
markTwoRuleStrategyAsProcessed(rule1, rule2, type)
strategiesEvaluated += 1
deleteEmptyThreeRuleStrategies()
TeamCity.setBuildResultText("Evaluated Three-Rule Strategies")
else:
Logger.log(logging.ERROR, "Missing Options", {"scope": __name__, "options": str(argv)})
usage()
sys.exit(2)
def setUpClass(self):
Logger.pushLogData("unitTesting", __name__)
forceWorkingDirectory()
self._market = Market("resources/asx.txt")
def analyseStrategies(argv):
"""
Analyse Strategies.
:param argv: Command Line Parameters.
-n = Name
-s = Strategy Name
-r = Minimum Return per Trade
-t = Minimum Number of Trades
Example:
python -m pyswing.AnalyseStrategies -n asx -s v4.0 -r 1.0 -t 500
"""
Logger.log(logging.INFO, "Log Script Call", {
"scope": __name__,
"arguments": " ".join(argv)
})
Logger.pushLogData("script", __name__)
marketName = ""
returnPerTrade = ""
numberOfTrades = ""
try:
shortOptions = "n:r:s:t:dh"
longOptions = [
"marketName=", "return=", "strategy=", "trades=", "debug", "help"
]
opts, __ = getopt.getopt(argv, shortOptions, longOptions)
except getopt.GetoptError as e:
Logger.log(logging.ERROR, "Error Reading Options", {
"scope": __name__,
"exception": str(e)
})
usage()
sys.exit(2)
for opt, arg in opts:
if opt in ("-d", "--debug"):
Logger().setLevel(logging.DEBUG)
elif opt in ("-h", "--help"):
print("?")
usage()
sys.exit()
elif opt in ("-n", "--marketName"):
marketName = arg
elif opt in ("-r", "--return"):
returnPerTrade = arg
elif opt in ("-s", "--strategy"):
pyswing.constants.pySwingStrategy = arg
elif opt in ("-t", "--trades"):
numberOfTrades = arg
if marketName != "" and numberOfTrades != "" and returnPerTrade != "" and pyswing.constants.pySwingStrategy:
pyswing.database.initialiseDatabase(marketName)
Logger.log(
logging.INFO, "Analyse Strategies", {
"scope": __name__,
"market": marketName,
"numberOfTrades": numberOfTrades,
"returnPerTrade": returnPerTrade,
"strategy": pyswing.constants.pySwingStrategy
})
strategies = getStrategies(numberOfTrades, returnPerTrade)
for strategy in strategies:
strategy.analyse()
TeamCity.setBuildResultText("Analysed Strategies")
else:
Logger.log(logging.ERROR, "Missing Options", {
"scope": __name__,
"options": str(argv)
})
usage()
sys.exit(2)
def analyseStrategies(argv):
"""
Analyse Strategies.
:param argv: Command Line Parameters.
-n = Name
-s = Strategy Name
-r = Minimum Return per Trade
-t = Minimum Number of Trades
Example:
python -m pyswing.AnalyseStrategies -n asx -s v4.0 -r 1.0 -t 500
"""
Logger.log(logging.INFO, "Log Script Call", {"scope": __name__, "arguments": " ".join(argv)})
Logger.pushLogData("script", __name__)
marketName = ""
returnPerTrade = ""
numberOfTrades = ""
try:
shortOptions = "n:r:s:t:dh"
longOptions = ["marketName=", "return=", "strategy=", "trades=", "debug", "help"]
opts, __ = getopt.getopt(argv, shortOptions, longOptions)
except getopt.GetoptError as e:
Logger.log(logging.ERROR, "Error Reading Options", {"scope": __name__, "exception": str(e)})
usage()
sys.exit(2)
for opt, arg in opts:
if opt in ("-d", "--debug"):
Logger().setLevel(logging.DEBUG)
elif opt in ("-h", "--help"):
print("?")
usage()
sys.exit()
elif opt in ("-n", "--marketName"):
marketName = arg
elif opt in ("-r", "--return"):
returnPerTrade = arg
elif opt in ("-s", "--strategy"):
pyswing.constants.pySwingStrategy = arg
elif opt in ("-t", "--trades"):
numberOfTrades = arg
if marketName != "" and numberOfTrades != "" and returnPerTrade != "" and pyswing.constants.pySwingStrategy:
pyswing.database.initialiseDatabase(marketName)
Logger.log(
logging.INFO,
"Analyse Strategies",
{
"scope": __name__,
"market": marketName,
"numberOfTrades": numberOfTrades,
"returnPerTrade": returnPerTrade,
"strategy": pyswing.constants.pySwingStrategy,
},
)
strategies = getStrategies(numberOfTrades, returnPerTrade)
for strategy in strategies:
strategy.analyse()
TeamCity.setBuildResultText("Analysed Strategies")
else:
Logger.log(logging.ERROR, "Missing Options", {"scope": __name__, "options": str(argv)})
usage()
sys.exit(2)
def setUpClass(self):
Logger.pushLogData("unitTesting", __name__)
forceWorkingDirectory()
def calculateExitValues(argv):
"""
Calculate Exit Values.
:param argv: Command Line Parameters.
-n = Name
Example:
python -m pyswing.CalculateExitValues -n asx
"""
Logger.log(logging.INFO, "Log Script Call", {"scope":__name__, "arguments":" ".join(argv)})
Logger.pushLogData("script", __name__)
marketName = ""
try:
shortOptions = "n:dh"
longOptions = ["marketName=", "debug", "help"]
opts, __ = getopt.getopt(argv, shortOptions, longOptions)
except getopt.GetoptError as e:
Logger.log(logging.ERROR, "Error Reading Options", {"scope": __name__, "exception": str(e)})
usage()
sys.exit(2)
for opt, arg in opts:
if opt in ("-d", "--debug"):
Logger().setLevel(logging.DEBUG)
elif opt in ("-h", "--help"):
print("?")
usage()
sys.exit()
elif opt in ("-n", "--marketName"):
marketName = arg
if marketName != "":
pyswing.database.initialiseDatabase(marketName)
Logger.log(logging.INFO, "Calculate Exit Values", {"scope":__name__, "market":marketName})
tickerCodesRelativeFilePath = "resources/%s.txt" % (marketName)
market = Market(tickerCodesRelativeFilePath)
for index, row in market.tickers.iterrows():
tickerCode = row[0]
exitValuesTrailingStop3 = ExitValuesTrailingStop(tickerCode, 0.03, 2)
exitValuesTrailingStop3.calculateExitValues()
# exitValuesTrailingStop2 = ExitValuesTrailingStop(tickerCode, 0.02, 3)
# exitValuesTrailingStop2.calculateExitValues()
#
# exitValuesYesterday2 = ExitValuesYesterday(tickerCode, 0.02, 3)
# exitValuesYesterday2.calculateExitValues()
#
# exitValuesYesterday3 = ExitValuesYesterday(tickerCode, 0.03, 2)
# exitValuesYesterday3.calculateExitValues()
TeamCity.setBuildResultText("Calculated Exit Values")
else:
Logger.log(logging.ERROR, "Missing Options", {"scope": __name__, "options": str(argv)})
usage()
sys.exit(2)
def askHorse(argv):
"""
"Ask Horse" i.e. Check the Active Strategies against the most recent data...
:param argv: Command Line Parameters.
-n = Name
Example:
python -m pyswing.AskHorse -n asx
"""
Logger.log(logging.INFO, "Log Script Call", {"scope":__name__, "arguments":" ".join(argv)})
Logger.pushLogData("script", __name__)
marketName = ""
try:
shortOptions = "n:dh"
longOptions = ["marketName=", "debug", "help"]
opts, __ = getopt.getopt(argv, shortOptions, longOptions)
except getopt.GetoptError as e:
Logger.log(logging.ERROR, "Error Reading Options", {"scope": __name__, "exception": str(e)})
usage()
sys.exit(2)
for opt, arg in opts:
if opt in ("-d", "--debug"):
Logger().setLevel(logging.DEBUG)
elif opt in ("-h", "--help"):
print("?")
usage()
sys.exit()
elif opt in ("-n", "--marketName"):
marketName = arg
if marketName != "":
pyswing.database.initialiseDatabase(marketName)
latestDate = getLatestDate()
Logger.log(logging.INFO, "Ask Horse", {"scope":__name__, "market":marketName, "latestDate":latestDate})
strategies = getActiveStrategies()
tradeDetails = []
for strategy in strategies:
rulesDetail = ("Rules: '%s', '%s' and '%s'") % (strategy._rule1, strategy._rule2, strategy._rule3)
Logger.log(logging.INFO, "Checking Strategy", {"scope":__name__, "strategy":rulesDetail})
if strategy.askHorse(latestDate):
tradeDetails.extend(strategy.tradeDetails)
sendEmail(tradeDetails)
if len(tradeDetails) > 0:
TeamCity.setBuildResultText("Horse Says Trade! (x%s)" % len(tradeDetails))
else:
TeamCity.setBuildResultText("Horse Says Go Back To Bed!")
else:
Logger.log(logging.ERROR, "Missing Options", {"scope": __name__, "options": str(argv)})
usage()
sys.exit(2)
def setUpClass(self):
Logger.pushLogData("unitTesting", __name__)
forceWorkingDirectory()
self._market = Market("resources/asx.txt")
def evaluateRules(argv):
"""
Evaluate Rules.
:param argv: Command Line Parameters.
-n = Name
Example:
python -m pyswing.EvaluateRules -n asx
"""
Logger.log(logging.INFO, "Log Script Call", {
"scope": __name__,
"arguments": " ".join(argv)
})
Logger.pushLogData("script", __name__)
marketName = ""
try:
shortOptions = "n:dh"
longOptions = ["marketName=", "debug", "help"]
opts, __ = getopt.getopt(argv, shortOptions, longOptions)
except getopt.GetoptError as e:
Logger.log(logging.ERROR, "Error Reading Options", {
"scope": __name__,
"exception": str(e)
})
usage()
sys.exit(2)
for opt, arg in opts:
if opt in ("-d", "--debug"):
Logger().setLevel(logging.DEBUG)
elif opt in ("-h", "--help"):
print("?")
usage()
sys.exit()
elif opt in ("-n", "--marketName"):
marketName = arg
if marketName != "":
pyswing.database.initialiseDatabase(marketName)
Logger.log(logging.INFO, "Evaluate Rules", {
"scope": __name__,
"market": marketName
})
tickerCodesRelativeFilePath = "resources/%s.txt" % (marketName)
market = Market(tickerCodesRelativeFilePath)
rules = []
rules.append(SimpleRule("Indicator_ROC", "ROC_5 > 1"))
rules.append(SimpleRule("Indicator_ROC", "ROC_5 > 3"))
rules.append(SimpleRule("Indicator_ROC", "ROC_5 > 5"))
rules.append(SimpleRule("Indicator_ROC", "ROC_5 < -1"))
rules.append(SimpleRule("Indicator_ROC", "ROC_5 < -3"))
rules.append(SimpleRule("Indicator_ROC", "ROC_5 < -5"))
rules.append(SimpleRule("Indicator_ROC", "ROC_10 > 1"))
rules.append(SimpleRule("Indicator_ROC", "ROC_10 > 4"))
rules.append(SimpleRule("Indicator_ROC", "ROC_10 > 8"))
rules.append(SimpleRule("Indicator_ROC", "ROC_10 < -1"))
rules.append(SimpleRule("Indicator_ROC", "ROC_10 < -4"))
rules.append(SimpleRule("Indicator_ROC", "ROC_10 < -8"))
rules.append(SimpleRule("Indicator_ROC", "ROC_20 > 1"))
rules.append(SimpleRule("Indicator_ROC", "ROC_20 > 5"))
rules.append(SimpleRule("Indicator_ROC", "ROC_20 > 10"))
rules.append(SimpleRule("Indicator_ROC", "ROC_20 < -1"))
rules.append(SimpleRule("Indicator_ROC", "ROC_20 < -5"))
rules.append(SimpleRule("Indicator_ROC", "ROC_20 < -10"))
#
# rules.append(RelativeRule("Equities", "Close", -1, Comparison.GreaterThan, 1.01))
# rules.append(RelativeRule("Equities", "Close", -1, Comparison.LessThan, 0.99))
#
# rules.append(RelativeRule("Equities", "Close", -1, Comparison.GreaterThan, 1.02))
# rules.append(RelativeRule("Equities", "Close", -1, Comparison.LessThan, 0.98))
#
# rules.append(RelativeRule("Equities", "Close", -1, Comparison.GreaterThan, 1.03))
# rules.append(RelativeRule("Equities", "Close", -1, Comparison.LessThan, 0.97))
#
# rules.append(RelativeRule("Equities", "Close", -1, Comparison.GreaterThan, 1.05))
# rules.append(RelativeRule("Equities", "Close", -1, Comparison.LessThan, 0.95))
#
# rules.append(RelativeRule("Equities", "Close", -5, Comparison.GreaterThan, 1.10))
# rules.append(RelativeRule("Equities", "Close", -5, Comparison.LessThan, 0.90))
#
# rules.append(RelativeRule("Equities", "Close", -5, Comparison.GreaterThan, 1.20))
# rules.append(RelativeRule("Equities", "Close", -5, Comparison.LessThan, 0.80))
#
# rules.append(CrossingRule("Indicator_SMA","SMA_5","Indicator_SMA","SMA_20"))
# rules.append(CrossingRule("Indicator_SMA","SMA_10","Indicator_SMA","SMA_50"))
# rules.append(CrossingRule("Indicator_SMA","SMA_10","Indicator_SMA","SMA_200"))
# rules.append(CrossingRule("Indicator_SMA","SMA_20","Indicator_SMA","SMA_200"))
# rules.append(CrossingRule("Indicator_SMA","SMA_20","Indicator_SMA","SMA_5"))
# rules.append(CrossingRule("Indicator_SMA","SMA_50","Indicator_SMA","SMA_10"))
# rules.append(CrossingRule("Indicator_SMA","SMA_200","Indicator_SMA","SMA_10"))
# rules.append(CrossingRule("Indicator_SMA","SMA_200","Indicator_SMA","SMA_20"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_SMA",
"t1.Close > t2.SMA_100"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_SMA",
"t1.Close > 1.1 * t2.SMA_100"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_SMA",
"t1.Close > 1.2 * t2.SMA_100"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_SMA",
"t1.Close > t2.SMA_200"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_SMA",
"t1.Close > 1.1 * t2.SMA_200"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_SMA",
"t1.Close > 1.2 * t2.SMA_200"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_SMA",
"t1.Close > t2.SMA_300"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_SMA",
"t1.Close > 1.1 * t2.SMA_300"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_SMA",
"t1.Close > 1.2 * t2.SMA_300"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_SMA",
"t1.Close < t2.SMA_100"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_SMA",
"t1.Close < 0.9 * t2.SMA_100"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_SMA",
"t1.Close < 0.8 * t2.SMA_100"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_SMA",
"t1.Close < t2.SMA_200"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_SMA",
"t1.Close < 0.9 * t2.SMA_200"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_SMA",
"t1.Close < 0.8 * t2.SMA_200"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_SMA",
"t1.Close < t2.SMA_300"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_SMA",
"t1.Close < 0.9 * t2.SMA_300"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_SMA",
"t1.Close < 0.8 * t2.SMA_300"))
#
# rules.append(CrossingRule("Indicator_EMA","EMA_5","Indicator_EMA","EMA_20"))
# rules.append(CrossingRule("Indicator_EMA","EMA_10","Indicator_EMA","EMA_50"))
# rules.append(CrossingRule("Indicator_EMA","EMA_10","Indicator_EMA","EMA_200"))
# rules.append(CrossingRule("Indicator_EMA","EMA_20","Indicator_EMA","EMA_200"))
# rules.append(CrossingRule("Indicator_EMA","EMA_20","Indicator_EMA","EMA_5"))
# rules.append(CrossingRule("Indicator_EMA","EMA_50","Indicator_EMA","EMA_10"))
# rules.append(CrossingRule("Indicator_EMA","EMA_200","Indicator_EMA","EMA_10"))
# rules.append(CrossingRule("Indicator_EMA","EMA_200","Indicator_EMA","EMA_20"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_EMA",
"t1.Close > t2.EMA_100"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_EMA",
"t1.Close > 1.1 * t2.EMA_100"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_EMA",
"t1.Close > 1.2 * t2.EMA_100"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_EMA",
"t1.Close > t2.EMA_200"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_EMA",
"t1.Close > 1.1 * t2.EMA_200"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_EMA",
"t1.Close > 1.2 * t2.EMA_200"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_EMA",
"t1.Close > t2.EMA_300"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_EMA",
"t1.Close > 1.1 * t2.EMA_300"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_EMA",
"t1.Close > 1.2 * t2.EMA_300"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_EMA",
"t1.Close < t2.EMA_100"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_EMA",
"t1.Close < 0.9 * t2.EMA_100"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_EMA",
"t1.Close < 0.8 * t2.EMA_100"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_EMA",
"t1.Close < t2.EMA_200"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_EMA",
"t1.Close < 0.9 * t2.EMA_200"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_EMA",
"t1.Close < 0.8 * t2.EMA_200"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_EMA",
"t1.Close < t2.EMA_300"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_EMA",
"t1.Close < 0.9 * t2.EMA_300"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_EMA",
"t1.Close < 0.8 * t2.EMA_300"))
rules.append(
CrossingRule("Indicator_SMA", "SMA_20", "Indicator_EMA",
"EMA_200"))
rules.append(
CrossingRule("Indicator_EMA", "EMA_200", "Indicator_SMA",
"SMA_20"))
rules.append(
MultipleIndicatorRule("Equities", "Indicator_BB20",
"t1.Close > t2.upperband"))
rules.append(
MultipleIndicatorRule(
"Equities", "Indicator_BB20",
"abs(t1.Close - t2.upperband) < abs(t1.Close - t2.middleband)")
)
rules.append(
MultipleIndicatorRule("Equities", "Indicator_BB20",
"t1.Close < t2.lowerband"))
rules.append(
MultipleIndicatorRule(
"Equities", "Indicator_BB20",
"abs(t1.Close - t2.lowerband) < abs(t1.Close - t2.middleband)")
)
rules.append(
SimpleRule("Indicator_BB20",
"upperbandroc < 0 and lowerbandroc > 0"))
rules.append(
SimpleRule("Indicator_BB20",
"upperbandroc < -1 and lowerbandroc > 1"))
rules.append(
SimpleRule("Indicator_BB20",
"upperbandroc > 0 and lowerbandroc < 0"))
rules.append(
SimpleRule("Indicator_BB20",
"upperbandroc > 1 and lowerbandroc <- 1"))
rules.append(SimpleRule("Indicator_BB20", "upperbandroc > 1"))
rules.append(SimpleRule("Indicator_BB20", "upperbandroc > 2"))
rules.append(SimpleRule("Indicator_BB20", "upperbandroc > 3"))
rules.append(SimpleRule("Indicator_BB20", "upperbandroc < -1"))
rules.append(SimpleRule("Indicator_BB20", "upperbandroc < -2"))
rules.append(SimpleRule("Indicator_BB20", "upperbandroc < -3"))
rules.append(SimpleRule("Indicator_BB20", "lowerbandroc > 1"))
rules.append(SimpleRule("Indicator_BB20", "lowerbandroc > 2"))
rules.append(SimpleRule("Indicator_BB20", "lowerbandroc > 3"))
rules.append(SimpleRule("Indicator_BB20", "lowerbandroc < -1"))
rules.append(SimpleRule("Indicator_BB20", "lowerbandroc < -2"))
rules.append(SimpleRule("Indicator_BB20", "lowerbandroc < -3"))
rules.append(
SimpleRule("Equities", "abs(Close - High) * 2 < abs(Close - Low)"))
rules.append(
SimpleRule("Equities", "abs(Close - High) * 5 < abs(Close - Low)"))
rules.append(
SimpleRule("Equities",
"abs(Close - High) * 10 < abs(Close - Low)"))
rules.append(
SimpleRule("Equities", "abs(Close - High) > 2 * abs(Close - Low)"))
rules.append(
SimpleRule("Equities", "abs(Close - High) > 5 * abs(Close - Low)"))
rules.append(
SimpleRule("Equities",
"abs(Close - High) > 10 * abs(Close - Low)"))
rules.append(
SimpleRule("Indicator_MACD", "MACD_12_26_9_DIVERGENCE < 0"))
rules.append(
SimpleRule("Indicator_MACD", "MACD_12_26_9_DIVERGENCE > 0"))
rules.append(SimpleRule("Indicator_MACD", "MACD_12_26_9 > MACD_12_26"))
rules.append(SimpleRule("Indicator_MACD", "MACD_12_26_9 < MACD_12_26"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K < 5"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K < 10"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K < 15"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K < 20"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K < 30"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K > 95"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K > 90"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K > 85"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K > 80"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K > 70"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D < 5"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D < 10"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D < 15"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D < 20"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D < 30"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D > 95"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D > 90"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D > 85"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D > 80"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D > 70"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K > STOCH_D"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K < STOCH_D"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K_ROC > 50"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K_ROC > 100"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K_ROC > 200"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K_ROC < -50"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K_ROC < -60"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_K_ROC < -70"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D_ROC > 50"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D_ROC > 100"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D_ROC > 200"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D_ROC < -50"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D_ROC < -60"))
rules.append(SimpleRule("Indicator_STOCH", "STOCH_D_ROC < -70"))
rules.append(SimpleRule("Indicator_ADX", "ADX > 30"))
rules.append(SimpleRule("Indicator_ADX", "ADX > 40"))
rules.append(SimpleRule("Indicator_ADX", "ADX > 50"))
rules.append(SimpleRule("Indicator_ADX", "ADX_ROC > 10"))
rules.append(SimpleRule("Indicator_ADX", "ADX_ROC > 20"))
rules.append(SimpleRule("Indicator_ADX", "ADX_ROC < -10"))
rules.append(SimpleRule("Indicator_ADX", "ADX_ROC < -20"))
rules.append(SimpleRule("Indicator_DX", "DX > 40"))
rules.append(SimpleRule("Indicator_DX", "DX > 50"))
rules.append(SimpleRule("Indicator_DX", "DX > 60"))
# rules.append(SimpleRule("Indicator_DX", "DX_ROC > 1000"))
# rules.append(SimpleRule("Indicator_DX", "DX_ROC > 2000"))
# rules.append(SimpleRule("Indicator_DX", "DX_ROC > 3000"))
# rules.append(SimpleRule("Indicator_DX", "DX_ROC > 4000"))
#
# rules.append(SimpleRule("Indicator_DX", "DX_ROC < -95"))
# rules.append(SimpleRule("Indicator_DX", "DX_ROC < -97"))
# rules.append(SimpleRule("Indicator_DX", "DX_ROC < -98"))
rules.append(SimpleRule("Indicator_RSI", "RSI > 20"))
rules.append(SimpleRule("Indicator_RSI", "RSI > 30"))
rules.append(SimpleRule("Indicator_RSI", "RSI > 40"))
rules.append(SimpleRule("Indicator_RSI", "RSI > 50"))
rules.append(SimpleRule("Indicator_RSI", "RSI > 60"))
rules.append(SimpleRule("Indicator_RSI", "RSI > 70"))
rules.append(SimpleRule("Indicator_RSI", "RSI > 80"))
rules.append(SimpleRule("Indicator_RSI", "RSI < 80"))
rules.append(SimpleRule("Indicator_RSI", "RSI < 70"))
rules.append(SimpleRule("Indicator_RSI", "RSI < 60"))
rules.append(SimpleRule("Indicator_RSI", "RSI < 50"))
rules.append(SimpleRule("Indicator_RSI", "RSI < 40"))
rules.append(SimpleRule("Indicator_RSI", "RSI < 30"))
rules.append(SimpleRule("Indicator_RSI", "RSI < 20"))
rules.append(SimpleRule("Indicator_AROON", "AROON_UP = 100"))
rules.append(SimpleRule("Indicator_AROON", "AROON_UP = 0"))
rules.append(SimpleRule("Indicator_AROON", "AROON_UP > 50"))
rules.append(SimpleRule("Indicator_AROON", "AROON_UP < 50"))
rules.append(SimpleRule("Indicator_AROON", "AROON_UP > 90"))
rules.append(SimpleRule("Indicator_AROON", "AROON_UP < 90"))
rules.append(SimpleRule("Indicator_AROON", "AROON_UP > 10"))
rules.append(SimpleRule("Indicator_AROON", "AROON_UP < 10"))
rules.append(SimpleRule("Indicator_AROON", "AROON_DOWN = 100"))
rules.append(SimpleRule("Indicator_AROON", "AROON_DOWN = 0"))
rules.append(SimpleRule("Indicator_AROON", "AROON_DOWN > 50"))
rules.append(SimpleRule("Indicator_AROON", "AROON_DOWN < 50"))
rules.append(SimpleRule("Indicator_AROON", "AROON_DOWN > 90"))
rules.append(SimpleRule("Indicator_AROON", "AROON_DOWN < 90"))
rules.append(SimpleRule("Indicator_AROON", "AROON_DOWN > 10"))
rules.append(SimpleRule("Indicator_AROON", "AROON_DOWN < 10"))
rules.append(
SimpleRule("Equities",
"abs(High - Close) > 10 * abs(Low - Close)"))
rules.append(
SimpleRule("Equities",
"abs(High - Close) * 10 < abs(Low - Close)"))
rules.append(
SimpleRule("Equities",
"abs(High - Close) > 100 * abs(Low - Close)"))
rules.append(
SimpleRule("Equities",
"abs(High - Close) * 100 < abs(Low - Close)"))
for index, row in market.tickers.iterrows():
tickerCode = row[0]
for rule in rules:
rule.evaluateRule(tickerCode)
marketRules = []
marketRules.append(MarketRule("Indicator_ADI", "ADI > 0"))
marketRules.append(MarketRule("Indicator_ADI", "ADI > 25"))
marketRules.append(MarketRule("Indicator_ADI", "ADI > 50"))
marketRules.append(MarketRule("Indicator_ADI", "ADI < 0"))
marketRules.append(MarketRule("Indicator_ADI", "ADI < -25"))
marketRules.append(MarketRule("Indicator_ADI", "ADI < -50"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_ROC > 1"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_ROC > 3"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_ROC > 7"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_ROC < -1"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_ROC < -3"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_ROC < -7"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_EMA > 5"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_EMA > 10"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_EMA > 20"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_EMA < -5"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_EMA < -10"))
marketRules.append(MarketRule("Indicator_ADI", "ADI_EMA < -20"))
for marketRule in marketRules:
marketRule.evaluateRule()
TeamCity.setBuildResultText("Evaluated Rules")
else:
Logger.log(logging.ERROR, "Missing Options", {
"scope": __name__,
"options": str(argv)
})
usage()
sys.exit(2)
def evaluateTwoRuleStrategies(argv):
"""
Evaluate Two-Rule Strategies.
:param argv: Command Line Parameters.
-n = Name
-m = Minimum Matches Per Day
-s = Strategy Name
Example:
python -m pyswing.EvaluateTwoRuleStrategies -n asx -m 0.1 -s v4.0
"""
Logger.log(logging.INFO, "Log Script Call", {"scope":__name__, "arguments":" ".join(argv)})
Logger.pushLogData("script", __name__)
marketName = ""
minimumMatchesPerDay = None
try:
shortOptions = "n:m:s:dh"
longOptions = ["marketName=", "matches=", "strategy=", "debug", "help"]
opts, __ = getopt.getopt(argv, shortOptions, longOptions)
except getopt.GetoptError as e:
Logger.log(logging.ERROR, "Error Reading Options", {"scope": __name__, "exception": str(e)})
usage()
sys.exit(2)
for opt, arg in opts:
if opt in ("-d", "--debug"):
Logger().setLevel(logging.DEBUG)
elif opt in ("-h", "--help"):
print("?")
usage()
sys.exit()
elif opt in ("-n", "--marketName"):
marketName = arg
elif opt in ("-m", "--matches"):
minimumMatchesPerDay = arg
elif opt in ("-s", "--strategy"):
pyswing.constants.pySwingStrategy = arg
if marketName != "" and minimumMatchesPerDay and pyswing.constants.pySwingStrategy:
pyswing.database.initialiseDatabase(marketName)
Logger.log(logging.INFO, "Evaluate Two-Rule Strategies", {"scope":__name__, "market":marketName, "matches":minimumMatchesPerDay, "strategy":pyswing.constants.pySwingStrategy})
strategies = getTwoRuleStrategies(minimumMatchesPerDay)
exits = getExitStrategies()
inverseStrategies = set()
for rules in strategies:
if rules not in inverseStrategies:
for exit in exits:
buyStrategy = Strategy(rules[0], rules[1], exit, 'Buy')
buyStrategy.evaluateTwoRuleStrategy()
sellStrategy = Strategy(rules[0], rules[1], exit, 'Sell')
sellStrategy.evaluateTwoRuleStrategy()
inverseStrategies.add((rules[1], rules[0]))
TeamCity.setBuildResultText("Evaluated Two-Rule Strategies")
else:
Logger.log(logging.ERROR, "Missing Options", {"scope": __name__, "options": str(argv)})
usage()
sys.exit(2)
def updateIndicators(argv):
"""
Update Indicators.
:param argv: Command Line Parameters.
-n = Name
Example:
python -m pyswing.UpdateIndicators -n asx
"""
Logger.log(logging.INFO, "Log Script Call", {
"scope": __name__,
"arguments": " ".join(argv)
})
Logger.pushLogData("script", __name__)
marketName = ""
try:
shortOptions = "n:dh"
longOptions = ["marketName=", "debug", "help"]
opts, __ = getopt.getopt(argv, shortOptions, longOptions)
except getopt.GetoptError as e:
Logger.log(logging.ERROR, "Error Reading Options", {
"scope": __name__,
"exception": str(e)
})
usage()
sys.exit(2)
for opt, arg in opts:
if opt in ("-d", "--debug"):
Logger().setLevel(logging.DEBUG)
elif opt in ("-h", "--help"):
print("?")
usage()
sys.exit()
elif opt in ("-n", "--marketName"):
marketName = arg
if marketName != "":
pyswing.database.initialiseDatabase(marketName)
Logger.log(logging.INFO, "Update Indicators", {
"scope": __name__,
"market": marketName
})
tickerCodesRelativeFilePath = "resources/%s.txt" % (marketName)
market = Market(tickerCodesRelativeFilePath)
# Market Indicators
adiIndicator = IndicatorADI()
adiIndicator.updateIndicator()
# Equity Indicators
for index, row in market.tickers.iterrows():
tickerCode = row[0]
equity = Equity(tickerCode)
equityDataFrame = equity.dataFrame()
smaIndicator = IndicatorSMA(equityDataFrame, tickerCode)
smaIndicator.updateIndicator()
emaIndicator = IndicatorEMA(equityDataFrame, tickerCode)
emaIndicator.updateIndicator()
bbIndicator = IndicatorBB20(equityDataFrame, tickerCode)
bbIndicator.updateIndicator()
rocIndicator = IndicatorROC(equityDataFrame, tickerCode)
rocIndicator.updateIndicator()
macdIndicator = IndicatorMACD(equityDataFrame, tickerCode)
macdIndicator.updateIndicator()
stochIndicator = IndicatorSTOCH(equityDataFrame, tickerCode)
stochIndicator.updateIndicator()
rsiIndicator = IndicatorRSI(equityDataFrame, tickerCode)
rsiIndicator.updateIndicator()
adxIndicator = IndicatorADX(equityDataFrame, tickerCode)
adxIndicator.updateIndicator()
aroonIndicator = IndicatorAROON(equityDataFrame, tickerCode)
aroonIndicator.updateIndicator()
dxIndicator = IndicatorDX(equityDataFrame, tickerCode)
dxIndicator.updateIndicator()
TeamCity.setBuildResultText("Updated Indicators")
else:
Logger.log(logging.ERROR, "Missing Options", {
"scope": __name__,
"options": str(argv)
})
usage()
sys.exit(2)
def createDatabase(argv):
"""
Create Database.
:param argv: Command Line Parameters.
-n = Name
Example:
python -m pyswing.CreateDatabase -n asx
"""
Logger.log(logging.INFO, "Log Script Call", {
"scope": __name__,
"arguments": " ".join(argv)
})
Logger.pushLogData("script", __name__)
marketName = ""
try:
shortOptions = "n:dh"
longOptions = ["marketName=", "debug", "help"]
opts, __ = getopt.getopt(argv, shortOptions, longOptions)
except getopt.GetoptError as e:
Logger.log(logging.ERROR, "Error Reading Options", {
"scope": __name__,
"exception": str(e)
})
usage()
sys.exit(2)
for opt, arg in opts:
if opt in ("-d", "--debug"):
Logger().setLevel(logging.DEBUG)
elif opt in ("-h", "--help"):
print("?")
usage()
sys.exit()
elif opt in ("-n", "--marketName"):
marketName = arg
if marketName != "":
pyswing.database.initialiseDatabase(marketName)
databaseFilePath = pyswing.database.pySwingDatabase
scriptFilePath = pyswing.constants.pySwingDatabaseScript
Logger.log(
logging.INFO, "Creating Database", {
"scope": __name__,
"databaseFilePath": databaseFilePath,
"scriptFilePath": scriptFilePath
})
query = open(pyswing.constants.pySwingDatabaseScript, 'r').read()
connection = sqlite3.connect(databaseFilePath)
c = connection.cursor()
c.executescript(query)
connection.commit()
c.close()
connection.close()
TeamCity.setBuildResultText("Created Database")
else:
Logger.log(logging.ERROR, "Missing Options", {
"scope": __name__,
"options": str(argv)
})
usage()
sys.exit(2)
def generateHistoricTradesForActiveStrategies(argv):
"""
Generate (in the HistoricTrades database table) Historic Trades for the Active Strategies.
Empty the database table and then fill it with the historic trades for all the active strategies.
:param argv: Command Line Parameters.
-n = Name
Example:
python -m pyswing.GenerateHistoricTradesForActiveStrategies -n asx
"""
Logger.log(logging.INFO, "Log Script Call", {
"scope": __name__,
"arguments": " ".join(argv)
})
Logger.pushLogData("script", __name__)
marketName = ""
try:
shortOptions = "n:dh"
longOptions = ["marketName=", "debug", "help"]
opts, __ = getopt.getopt(argv, shortOptions, longOptions)
except getopt.GetoptError as e:
Logger.log(logging.ERROR, "Error Reading Options", {
"scope": __name__,
"exception": str(e)
})
usage()
sys.exit(2)
for opt, arg in opts:
if opt in ("-d", "--debug"):
Logger().setLevel(logging.DEBUG)
elif opt in ("-h", "--help"):
print("?")
usage()
sys.exit()
elif opt in ("-n", "--marketName"):
marketName = arg
if marketName != "":
pyswing.database.initialiseDatabase(marketName)
Logger.log(logging.INFO,
"Generate Historic Trades for Active Strategies", {
"scope": __name__,
"market": marketName
})
emptyHistoricTradesTable()
strategies = getActiveStrategies()
for strategy in strategies:
strategy.generateHistoricTrades()
else:
Logger.log(logging.ERROR, "Missing Options", {
"scope": __name__,
"options": str(argv)
})
usage()
sys.exit(2)
