class st_k(BaseIndPx):
def __init__(self):
self.sp = StrategyPattern()
self.tsup = TradeSupport()
def setupParam(self, param):
pass
def _algo(self, ohlc):
pass
def runIndicator(self, symbol, ohlc, param={}):
ind_ma = importStrategy("ind_ma", symbol, ohlc)
#s1 = ind_ma.ma50
s1 = pandas.rolling_mean(ind_ma.ma50, 3) #.tolist()
s2 = s1.shift(2)
delta = s1 - s2
#ohlc['delta'] = delta
# ohlc
buysg, sellsg = self.sp.crossValue(delta, delta, 0, 0, 1)
ohlc['ag50b'] = buysg
ohlc['ag50s'] = sellsg
self.tsup.getLastSignal(buysg, sellsg, self.ind, 'ag50b','ag50s')
s1 = pandas.rolling_mean(ind_ma.ma10, 3) #.tolist()
s2 = s1.shift(2)
delta = s1 - s2
#ohlc['delta'] = delta
# ohlc
buysg, sellsg = self.sp.crossValue(delta, delta, 0, 0, 2)
ohlc['ag10b'] = buysg
ohlc['ag10s'] = sellsg
# get all signal idx
ag10bidx, ag10sidx = self.tsup.getLastSignal(buysg, sellsg, self.ind, 'ag10b', 'ag10s')
vol10bidx = ind_ma.ind['vol10b']
ma10bidx = ind_ma.ind['ma10b']
pass
def algoStrategy(self, ohlc):
sp = StrategyPattern()
tsup = TradeSupport()
buysg, sellsg = sp.crossValue(self.quolst, self.shortquolst, 0, 0, 2)
#process these signale for backtest
signal = map(sp.mergeSignal, buysg, sellsg, "")
ohlc['signal'] = signal
if (self.debug):
ohlc['buysignal'] = buysg
ohlc['sellsignal'] = sellsg
ohlc['fast'] = self.quolst
ohlc['slow'] = self.shortquolst
print ohlc
tsup.getLastSignal(buysg, sellsg, self.ind, 'quo_buy', 'quo_sell')
pass
class st_greenline(BaseIndPx):
def __init__(self):
BaseIndPx.__init__(self)
self.ind_sctr = ind_sctr()
self.ind_kdj = ind_kdj()
self.ind_dmi = ind_dmi()
self.sp = StrategyPattern()
self.tsup = TradeSupport()
pass
#main process routine
def runIndicator(self,symbol,ohlc,param={}):
'''
my STO implementation is more promise
'''
self.setupParam(param) #parent func
self.ind_sctr.runIndicator(symbol,ohlc,param)
self.ind['sctr'] = self.ind_sctr.ind['sctr']
self.ind_kdj.runIndicator(symbol,ohlc,param)
self.ind['money_wave'] = self.ind_kdj.ind['slow_d']
buysg,sellsg = self.sp.crossValue(self.ind_sctr.score, self.ind_sctr.score,0,0,2)
self.tsup.getLastSignal(buysg,sellsg, self.ind,'sctr_buy','sctr_sell')
#self.ind_dmi.runIndicator(symbol,ohlc,param)
#print self.ind_kdj.
#df = STO(ohlc,5)
#df = ADX(ohlc,14,14)
#print df
#self.algoStrategy(ohlc)
pass
def runScan(self,df):
if not self.param:
col = df.columns.values
return df,col
total = len(df)
df['sctrrank'] = df['sctr'].rank(ascending=1)/total*100
df.sort_index(by="sctrrank",inplace=True,ascending=False)
col = df.columns.values
df,fcols = self.mtd.evalCriteria(df,self.param,col)
return df,fcols
def algoStrategy(self, symbol, ohlc):
# price cross above MA10 and crosee below MA10
sp = StrategyPattern()
tsup = TradeSupport()
px = ohlc['Adj Close']
if (not self.ma10.empty):
# not using divergencyCross
buysg, sellsg = sp.cross(px, self.ma10, self.nbar)
tsup.getLastSignal(buysg, sellsg, self.ind, 'ma10b', 'ma10s')
ohlc['ma10b'] = buysg
ohlc['ma10s'] = sellsg
#ohlc['ma10']=self.ma10
ma50bsg = []
if not self.ma50.empty:
buysg, sellsg = sp.cross(px, self.ma50, self.nbar)
tsup.getLastSignal(buysg, sellsg, self.ind, 'ma50b', 'ma50s')
ohlc['ma50b'] = buysg
ohlc['ma50s'] = sellsg
ma50bsg = buysg
s1 = pandas.rolling_mean(self.ma50, 3) #.tolist()
s2 = s1.shift(2)
delta = s1 - s2
buysg, sellsg = sp.crossValue(delta, delta, 0, 0, 1)
tsup.getLastSignal(buysg, sellsg, self.ind, 'ag50b', 'ag50s')
ohlc['ag50b'] = buysg
ohlc['ag50s'] = sellsg
# TODO
# #buysg,sellsg = sp.supportline(px, self.ma50, self.nbar)
# tsup.getLastSignal(buysg, sellsg, self.ind, 'sup50', 'res50')
if not self.ma50.empty and not self.ma10.empty:
buysg, sellsg = sp.cross(self.ma10, self.ma50, self.nbar)
tsup.getLastSignal(buysg, sellsg, self.ind, 'ma1050b', 'ma1050s')
ohlc['ma1050b'] = buysg
ohlc['ma1050s'] = sellsg
# find the distance
#self.dist50 = 20
lastsell = -self.dist50
distsg = []
for idx, val in enumerate(ohlc['ma1050s']):
sig = ""
if val == "sell":
lastsell = idx
# print "dist50",idx
buyval = ma50bsg[idx]
if buyval == "buy":
''' # TODO test
if symbol=="QCOM":
print "dist50", idx, lastsell, self.dist50
'''
if lastsell >= 0 and idx - lastsell > self.dist50:
sig = "buy"
else:
sig = ""
distsg.append(sig)
ohlc['dist50'] = distsg
tsup.getLastSignal(distsg, [], self.ind, 'dist50', '')
# ready to cross above
'''
flag1 = (self.ma10[-1] > self.ma50[-1]*0.97)
dif1 = (self.ma50[-1]-self.ma10[-1])
dif2 = (self.ma50[-2]-self.ma10[-2])
dif3 = (self.ma50[-3]-self.ma10[-3])
flag2 = (dif1<dif2) and (dif2<dif3) and (dif1>0)
if (flag1 and flag2):
self.ind['ma1050e']=1
else:
self.ind['ma1050e']=0
'''
#too lag, how about px cross MA50
'''
l1=len(self.ma50)
l2=len(self.ma200)
if (l1!=l2):
print l1,l2
print self.ma200
print "========"
print self.ma50
'''
l1 = len(self.ma50)
l2 = len(self.ma200)
#print l1,l2,symbol
if (l1 == l2 and l1 > 0):
#print "test golder and death"
buysg, sellsg = sp.cross(self.ma50, self.ma200, self.nbar)
ohlc['ma50200s'] = sellsg
tsup.getLastSignal(buysg, sellsg, self.ind, 'ma50200b', 'ma50200s')
'''
lastsell = -self.dist200
distsg = []
for idx, val in enumerate(ohlc['ma50200s']):
sig = ""
if val == "sell":
lastsell = idx
buyval = buysg[idx]
if (buyval == "buy"):
#TODO test
if symbol=="QCOM":
print "dist200",idx,lastsell,self.dist200
if lastsell >= 0 and idx-lastsell > self.dist200:
sig = "buy"
else:
sig = ""
distsg.append(sig)
ohlc['dist200'] = distsg
tsup.getLastSignal(distsg, [], self.ind, 'dist200', '')
'''
#support line
#print self.ma50
#volume
buysg, sellsg = sp.cross2factors(px, self.volma20ra, self.ma10,
self.volra, 2)
tsup.getLastSignal(buysg, sellsg, self.ind, 'vol10b', 'vol10s')
ohlc['vol10b'] = buysg
ohlc['vol10s'] = sellsg
#debug
#ohlc['ma50']=self.ma50
#print ohlc
pass