def checkTrade(self):
if self.close.ready() and self.lastClose.ready() \
and self.opn.ready() and self.volume.ready() \
and self.avgvol.ready():
if self.lastdd.close >= self.minPrice and self.avgvol.value() >= self.minAvgVol \
and self.lastClose.value() > 0 and self.opn.value() > 0 \
and ((self.opn.value()-self.lastClose.value())/self.lastClose.value()) >= self.minPercent \
and self.low.value() >= self.lastHigh.value() \
and (self.inBottomRange == None or ((self.lastdd.adjustedHigh != self.lastdd.adjustedLow) and (self.close.value()-self.lastdd.adjustedLow)/(self.lastdd.adjustedHigh-self.lastdd.adjustedLow)) <= self.inBottomRange) \
and (self.inTopRange == None or ((self.lastdd.adjustedHigh != self.lastdd.adjustedLow) and (self.close.value()-self.lastdd.adjustedLow)/(self.lastdd.adjustedHigh-self.lastdd.adjustedLow)) >= self.inTopRange):
stop = max(0.0, self.low.value() - 0.01)
# stop = max(0.0, self.lastHigh.value())
trade = Trade(self.lastdd.stock, self.lastdd.date, self.close.value(), stop)
if self.target != None:
target = self.close.value() + ((self.close.value()-stop)*self.target)
trade.target = target
return trade
return None
def findsetups(self, fromdt, todt): stocks = self._getTickers(fromdt, datastore) for stock in stocks: close = Close() sma = None if self.dailysmatrendfilter != None: sma = SimpleMovingAverage(close, period=self.dailysmatrendfilter) # padded extra to make sure 50 day sma has enough trading days to work with before our window dailydata = datastore.getDailyData(stock, fromdt - timedelta(days=100), todt) prevpd = None for pd in dailydata: if prevpd != None and pd.date >= fromdt: trade = None if pd.open == prevpd.close or prevpd.close == 0: gapsize=0 else: gapsize = (prevpd.close - pd.open)/prevpd.close if gapsize >= self.mingap and (sma == None or (sma.ready() and pd.open < sma.value())) and pd.open >= self.minprice: intrafromdt = pd.date intratodt = pd.date + timedelta(hours=24) intradaydata = iter(datastore.getIntradayData(stock, 300, intrafromdt, intratodt)) try: intradaypd = intradaydata.next() entry = None lod = intradaypd.low prevpd = intradaypd high = High() highesthigh = Highest(metric=high, period=self.donchianstop) high.handle(intradaypd) highesthigh.handle(intradaypd) for intradaypd in intradaydata: if trade == None \ and highesthigh.ready() \ and intradaypd.date.hour >= self.minhour \ and (intradaypd.date.hour < self.maxhour \ or (intradaypd.date.hour == self.maxhour and intradaypd.date.minute==0)) \ and intradaypd.low < lod: entry = lod - 0.01 trade = Trade(stock, intradaypd.date, min(entry, intradaypd.open), highesthigh.value()+0.01) if self.target != None: trade.target = trade.entryPrice + (self.target * (trade.entryPrice-trade.stop)) if trade != None and trade.exit == None: if intradaypd.high >= trade.trailingstop: trade.exit = intradaypd.date trade.exitPrice = max(trade.stop, intradaypd.open) if trade.exit == None and trade.target != None and intradaypd.low <= trade.target: trade.exit = intradaypd.date trade.exitPrice = min(intradaypd.open, trade.target) if intradaypd.low < lod: lod = intradaypd.low high.handle(intradaypd) highesthigh.handle(intradaypd) except StopIteration: pass # eod, close it if it is still open if trade != None and trade.exit == None: trade.exit = intradaypd.date trade.exitPrice = intradaypd.close if trade != None: self.tradeManager.addTrade(trade) # now we can update the indicators - since we finished trading the day close.handle(pd) if sma != None: sma.handle(pd) prevpd = pd return self.tradeManager.getStats()
