def get_detector_for_fibonacci_and_pattern(sys_config: SystemConfiguration,
ticker: str,
and_clause='',
limit=300) -> PatternDetector:
sys_config.init_pattern_data_handler_for_ticker_id(
ticker, and_clause, limit)
sys_config.config.pattern_type_list = FT.get_all()
sys_config.init_predictors_without_condition_list()
# sys_config.config.save_wave_data
print('\nProcessing for Fib & Pattern: {} ({})\n'.format(
ticker, sys_config.runtime_config.actual_ticker_name))
detector = PatternDetector(sys_config)
detector.parse_for_fibonacci_waves()
detector.add_prediction_data_to_wave()
detector.parse_for_pattern()
return detector
def __get_pattern_type_pos_neg_result_relation_as_dict__(self):
pattern_type_pos_neg_relation_dict = {}
for pattern_type in FT.get_all():
pattern_type_pos_neg_relation_dict[pattern_type] = 1 # default
df_pos = self.df_trades.loc[np.logical_and(
self.df_trades[DC.PATTERN_TYPE] == pattern_type,
self.df_trades[DC.TRADE_RESULT_PCT] > 1)]
df_neg = self.df_trades.loc[np.logical_and(
self.df_trades[DC.PATTERN_TYPE] == pattern_type,
self.df_trades[DC.TRADE_RESULT_PCT] < -1)]
if df_neg.shape[0] < 10: # not enough data
if df_pos.shape[0] > 20:
pattern_type_pos_neg_relation_dict[pattern_type] = 3
else:
pattern_type_pos_neg_relation_dict[pattern_type] = round(
df_pos.shape[0] / df_neg.shape[0], 1)
return pattern_type_pos_neg_relation_dict
def init_detection_process_for_automated_pattern_update(self):
date_now = MyDate.get_date_from_datetime()
date_from = MyDate.adjust_by_days(date_now, -180)
self.data_provider.and_clause = "Date BETWEEN '{}' AND '{}'".format(
str(date_from), str(date_now))
self.data_provider.from_db = True
self.data_provider.period = PRD.DAILY
self.config.pattern_type_list = FT.get_all()
self.config.detection_process = PDP.UPDATE_PATTERN_DATA
self.config.plot_data = False
self.config.with_trading = False
self.config.save_pattern_data = True
self.config.save_trade_data = False
self.config.save_wave_data = False
self.config.plot_only_pattern_with_fibonacci_waves = False
self.config.plot_min_max = False
self.config.plot_volume = False
self.config.length_for_local_min_max = 2
self.config.length_for_local_min_max_fibonacci = 1
self.config.bound_upper_value = CN.CLOSE
self.config.bound_lower_value = CN.CLOSE
def __get_length_pattern_type__(self) -> int:
pattern_to_check = '{}_{}'.format(
self._components_underscore[self._idx_pattern],
self._components_underscore[self._idx_pattern + 1])
return 2 if pattern_to_check in FT.get_all() else 1
def get_constraints_as_dict(sys_config: SystemConfiguration):
return_dict = {}
for pattern_type in FT.get_all():
return_dict[pattern_type] = ConstraintsFactory.get_constraints_by_pattern_type(pattern_type, sys_config)
return return_dict
sys_config.exchange_config.deactivate_automatic_trading()
sys_config.exchange_config.trade_strategy_dict = {
BT.BREAKOUT: [
TSTR.LIMIT, TSTR.LIMIT_FIX, TSTR.TRAILING_STEPPED_STOP,
TSTR.TRAILING_STOP
],
# BT.FC_TICKS: [TSTR.TRAILING_STOP]
}
sys_config.exchange_config.delete_vanished_patterns_from_trade_dict = False
sys_config.exchange_config.massive_breakout_pct = 5
sys_config.config.simple_moving_average_number = 20
sys_config.config.trading_last_price_mean_aggregation = 4
# debugger.pattern_range_position_list = [217, 224, 242]
sys_config.config.pattern_type_list = FT.get_all()
sys_config.config.with_trading = True
sys_config.config.save_pattern_data = True
sys_config.config.save_trade_data = True
sys_config.config.save_wave_data = False # they are saved within other threads
# sys_config.config.pattern_type_list = [FT.TRIANGLE]
sys_config.config.pattern_type_list = FT.get_all()
sys_config.config.plot_data = True
sys_config.config.plot_only_pattern_with_fibonacci_waves = False
sys_config.config.plot_min_max = True
sys_config.config.plot_volume = False
sys_config.config.length_for_local_min_max = 2
sys_config.config.length_for_local_min_max_fibonacci = 1
sys_config.config.statistics_excel_file_name = 'pattern_statistics/statistics_pattern_06-11.xlsx'
sys_config.config.statistics_excel_file_name = ''
sys_config.config.statistics_constraints_excel_file_name = ''
Pattern:
feature_columns=Ticks_Till_Pattern_Formed,Slope_Upper_PCT,Slope_Lower_PCT,Slope_Regression_PCT,Slope_Volume_Regression_PCT,Previous_Period_Half_Top_Out_PCT,Previous_Period_Full_Top_Out_PCT,Previous_Period_Half_Bottom_Out_PCT,Previous_Period_Full_Bottom_Out_PCT,Available_Fibonacci_Type_ID
label_columns=Touch_Points_Till_Breakout_Top,Touch_Points_Till_Breakout_Bottom
26,-2.0,-1.0,-1.0,-190.0,0.0,0.0,40.0,70.0,0
20,-1.0,-1.0,-1.0,10.0,50.0,50.0,0.0,20.0,0
"""
from pattern_predictor_optimizer import PatternPredictorOptimizer
from pattern_system_configuration import SystemConfiguration
from sertl_analytics.constants.pattern_constants import FT, PRED, STBL, MT, DC
sys_config = SystemConfiguration()
master_predictor_list = [
sys_config.master_predictor_for_trades,
sys_config.master_predictor_touch_points,
sys_config.master_predictor_before_breakout,
sys_config.master_predictor_after_breakout
]
for master_predictor in master_predictor_list:
patter_type_list = FT.get_all()
for pattern_type in patter_type_list:
print('Processing: {} - {}'.format(master_predictor.__class__.__name__,
pattern_type))
feature_columns = master_predictor.get_feature_columns(pattern_type)
x_data = [1 for col in feature_columns]
prediction_dict = master_predictor.predict_for_label_columns(
pattern_type, x_data)
print('{}: {}'.format(pattern_type, prediction_dict))