def find_trade_signal(self, market, datapoints):
"""
TODO add description of strategy key points
"""
limit_perc = self.limit_p
stop_perc = max(market.stop_distance_min, self.stop_p)
# Spread constraint
if market.bid - market.offer > self.max_spread:
return TradeDirection.NONE, None, None
# Compute mid price
current_mid = Utils.midpoint(market.bid, market.offer)
high_prices = datapoints["high"]
low_prices = datapoints["low"]
close_prices = datapoints["close"]
ltv = datapoints["volume"]
# Check dataset integrity
array_len_check = []
array_len_check.append(len(high_prices))
array_len_check.append(len(low_prices))
array_len_check.append(len(close_prices))
array_len_check.append(len(ltv))
if not all(x == array_len_check[0] for x in array_len_check):
logging.error("Historic datapoints incomplete for {}".format(market.epic))
return TradeDirection.NONE, None, None
# compute weighted average and std deviation of prices using volume as weight
low_prices = numpy.ma.asarray(low_prices)
high_prices = numpy.ma.asarray(high_prices)
ltv = numpy.ma.asarray(ltv)
low_weighted_avg, low_weighted_std_dev = self.weighted_avg_and_std(
low_prices, ltv
)
high_weighted_avg, high_weighted_std_dev = self.weighted_avg_and_std(
high_prices, ltv
)
# The VWAP can be used similar to moving averages, where prices above
# the VWAP reflect a bullish sentiment and prices below the VWAP
# reflect a bearish sentiment. Traders may initiate short positions as
# a stock price moves below VWAP for a given time period or initiate
# long position as the price moves above VWAP
tmp_high_weight_var = float(high_weighted_avg + high_weighted_std_dev)
tmp_low_weight_var = float(low_weighted_avg + low_weighted_std_dev)
# e.g
# series = [0,0,0,2,0,0,0,-2,0,0,0,2,0,0,0,-2,0]
maxtab_high, _mintab_high = self.peakdet(high_prices, 0.3)
_maxtab_low, mintab_low = self.peakdet(low_prices, 0.3)
# convert to array so can work on min/max
mintab_low_a = array(mintab_low)[:, 1]
maxtab_high_a = array(maxtab_high)[:, 1]
xb = range(0, len(mintab_low_a))
xc = range(0, len(maxtab_high_a))
mintab_low_a_slope, mintab_low_a_intercept, mintab_low_a_lo_slope, mintab_low_a_hi_slope = stats.mstats.theilslopes(
mintab_low_a, xb, 0.99
)
maxtab_high_a_slope, maxtab_high_a_intercept, maxtab_high_a_lo_slope, maxtab_high_a_hi_slope = stats.mstats.theilslopes(
maxtab_high_a, xc, 0.99
)
peak_count_high = 0
peak_count_low = 0
# how may "peaks" are BELOW the threshold
for a in mintab_low_a:
if float(a) < float(tmp_low_weight_var):
peak_count_low += 1
# how may "peaks" are ABOVE the threshold
for a in maxtab_high_a:
if float(a) > float(tmp_high_weight_var):
peak_count_high += 1
additional_checks_sell = [
int(peak_count_low) > int(peak_count_high),
float(mintab_low_a_slope) < float(maxtab_high_a_slope),
]
additional_checks_buy = [
int(peak_count_high) > int(peak_count_low),
float(maxtab_high_a_slope) > float(mintab_low_a_slope),
]
sell_rules = [
float(current_mid) >= float(numpy.max(maxtab_high_a)),
all(additional_checks_sell),
]
buy_rules = [
float(current_mid) <= float(numpy.min(mintab_low_a)),
all(additional_checks_buy),
]
trade_direction = TradeDirection.NONE
if any(buy_rules):
trade_direction = TradeDirection.BUY
elif any(sell_rules):
trade_direction = TradeDirection.SELL
if trade_direction is TradeDirection.NONE:
return trade_direction, None, None
logging.info("Strategy says: {} {}".format(trade_direction.name, market.id))
ATR = self.calculate_stop_loss(close_prices, high_prices, low_prices)
if trade_direction is TradeDirection.BUY:
pip_limit = int(
abs(float(max(high_prices)) - float(market.bid))
* self.profit_indicator_multiplier
)
ce_stop = self.Chandelier_Exit_formula(
trade_direction, ATR, min(low_prices)
)
stop_pips = str(int(abs(float(market.bid) - (ce_stop))))
elif trade_direction is TradeDirection.SELL:
pip_limit = int(
abs(float(min(low_prices)) - float(market.bid))
* self.profit_indicator_multiplier
)
ce_stop = self.Chandelier_Exit_formula(
trade_direction, ATR, max(high_prices)
)
stop_pips = str(int(abs(float(market.bid) - (ce_stop))))
esma_new_margin_req = int(Utils.percentage_of(self.ESMA_new_margin, market.bid))
if int(esma_new_margin_req) > int(stop_pips):
stop_pips = int(esma_new_margin_req)
# is there a case for a 20% drop? ... Especially over 18 weeks or
# so?
if int(stop_pips) > int(esma_new_margin_req):
stop_pips = int(esma_new_margin_req)
if int(pip_limit) == 0:
# not worth the trade
trade_direction = TradeDirection.NONE
if int(pip_limit) == 1:
# not worth the trade
trade_direction = TradeDirection.NONE
if int(pip_limit) >= int(self.greed_indicator):
pip_limit = int(self.greed_indicator - 1)
if int(stop_pips) > int(self.too_high_margin):
logging.warning("Junk data for {}".format(market.epic))
return TradeDirection.NONE, None, None
return trade_direction, pip_limit, stop_pips
def test_midpoint():
assert Utils.midpoint(0, 10) == 5
assert Utils.midpoint(-10, 10) == 0
assert Utils.midpoint(10, -10) == 0
assert Utils.midpoint(0, 0) == 0
assert Utils.midpoint(1, 2) == 1.5
