def __init__(self, settings):
PriceVolumeDailyTrigger.__init__(self, settings)
self.minatrmultiple = settings.getfloat("MomoDailyTrigger", "minatrmultiple")
self.closepercent = settings.get("MomoDailyTrigger", "closepercent")
self.openpercent = settings.get("MomoDailyTrigger", "openpercent")
self.takeLongs = settings.getboolean("MomoDailyTrigger", "takeLongs")
self.takeShorts = settings.getboolean("MomoDailyTrigger", "takeShorts")
minaprstr = settings.get("MomoDailyTrigger", "minapr")
self.minapr = None
if minaprstr != "None":
self.minapr = float(minaprstr)
dfilter = settings.get("MomoDailyTrigger", "donchianfilter")
self.high = High()
self.low = Low()
self.atr = ATR(14)
self.lastatr = HistoricMetric(self.atr, 1)
if dfilter == "None":
self.lasthighesthigh = None
self.lastlowestlow = None
else:
self.highesthigh = Highest(self.high, int(dfilter))
self.lasthighesthigh = HistoricMetric(self.highesthigh, 1)
self.lowestlow = Lowest(self.low, int(dfilter))
self.lastlowestlow = HistoricMetric(self.lowestlow, 1)
def __init__(self, settings):
DailyTrigger.__init__(self, settings)
self.minprice = settings.getfloat("PriceVolumeDailyTrigger", "minprice")
self.minvol = settings.getfloat("PriceVolumeDailyTrigger", "minvol")
self.vol = Volume()
self.avgvol = SimpleMovingAverage(self.vol, 21)
self.lastavgvol = HistoricMetric(self.avgvol, 1)
self.close = Close()
self.lastclose = HistoricMetric(self.close, 1)
self._addMetrics(self.vol, self.avgvol, self.lastavgvol, self.close, self.lastclose)
def __init__(self, settings):
BasicStopManager.__init__(self, settings)
channelPeriod = settings.getint("DonchianChannelStopManager", "channelPeriod")
self.low = Low()
self.high = High()
self.lowestLow = Lowest(self.low, channelPeriod)
self.highestHigh = Highest(self.high, channelPeriod)
self.lastLowestLow = HistoricMetric(self.lowestLow, 1)
self.lastHighestHigh = HistoricMetric(self.highestHigh, 1)
def __init__(self, settings):
nbars = settings.getint("NBarEntry", "nbars")
self.high = High()
self.low = Low()
self.range = Subtract(self.high, self.low)
self.minrange = Lowest(self.range, nbars)
self.lastrange = HistoricMetric(self.range, 1)
self.lastminrange = HistoricMetric(self.minrange, 2)
self.lasthigh = HistoricMetric(self.high,1)
self.lastlow = HistoricMetric(self.low,1)
def __init__(self, settings):
PriceVolumeDailyTrigger.__init__(self, settings)
self.mingap = settings.getfloat("GapDailyTrigger", "mingap")
dfilter = settings.get("GapDailyTrigger", "donchianfilter")
if dfilter == "None":
self.lasthighesthigh = None
self.lastlowestlow = None
else:
self.high = High()
self.highesthigh = Highest(self.high, int(dfilter))
self.lasthighesthigh = HistoricMetric(self.highesthigh, 1)
self.low = Low()
self.lowestlow = Lowest(self.low, int(dfilter))
self.lastlowestlow = HistoricMetric(self.lowestlow, 1)
class GapUpEntryManager:
def __init__(self, settings):
self.minPrice = settings.getfloat("GapAndGoSwingEntry", "minPrice")
self.minAvgVol = settings.getint("GapAndGoSwingEntry", "minAvgVol")
self.minPercent = settings.getfloat("GapAndGoSwingEntry", "minPercent")
targetstr = settings.get("GapAndGoSwingEntry", "target")
if targetstr == "None":
self.target = None
else:
self.target = float(targetstr)
self.volume = Volume()
self.avgvol = SimpleMovingAverage(metric=self.volume, period=21)
self.opn = AdjustedOpen()
self.close = AdjustedClose()
self.lastClose = HistoricMetric(metric=self.close, period=1)
self.high = AdjustedHigh()
self.lastHigh = HistoricMetric(metric=self.high, period=1)
self.low = AdjustedLow()
self.inBottomRange=0.1
self.inTopRange=None
def handle(self, perioddata):
self.close.handle(perioddata)
self.lastClose.handle(perioddata)
self.high.handle(perioddata)
self.lastHigh.handle(perioddata)
self.opn.handle(perioddata)
self.volume.handle(perioddata)
self.avgvol.handle(perioddata)
self.low.handle(perioddata)
self.lastdd = perioddata
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 recommendedPreload(self):
return 22
def __init__(self, settings):
self.highperiod = settings.getfloat("NewHighDailyTrigger", "highperiod")
self.minprice = settings.getfloat("NewHighDailyTrigger", "minprice")
self.maxprice = settings.getfloat("NewHighDailyTrigger", "maxprice")
self.high = High()
self.highesthigh = Highest(metric=self.high, period=self.highperiod)
self.lasthighesthigh = HistoricMetric(metric=self.highesthigh,period=1)
class PriceVolumeDailyTrigger(DailyTrigger):
def __init__(self, settings):
DailyTrigger.__init__(self, settings)
self.minprice = settings.getfloat("PriceVolumeDailyTrigger", "minprice")
self.minvol = settings.getfloat("PriceVolumeDailyTrigger", "minvol")
self.vol = Volume()
self.avgvol = SimpleMovingAverage(self.vol, 21)
self.lastavgvol = HistoricMetric(self.avgvol, 1)
self.close = Close()
self.lastclose = HistoricMetric(self.close, 1)
self._addMetrics(self.vol, self.avgvol, self.lastavgvol, self.close, self.lastclose)
def check(self):
if self.lastclose.ready() and self.lastavgvol.ready() \
and self.lastclose.value() > self.minprice \
and self.lastavgvol.value() > self.minvol:
return True
return False
def __init__(self, settings):
PriceVolumeDailyTrigger.__init__(self, settings)
self.mingap = settings.getfloat("BulkowskiGapDailyTrigger", "mingap")
self.open = AdjustedOpen()
self.close = AdjustedClose()
self.lastClose = HistoricMetric(self.close, 1)
self.sma = SimpleMovingAverage(metric=self.close, period=50)
self.lastsma = HistoricMetric(self.sma, 1)
self._addMetrics(self.open, self.close, self.lastClose, self.sma, self.lastsma)
class BulkowskiGapDailyTrigger(PriceVolumeDailyTrigger):
def __init__(self, settings):
PriceVolumeDailyTrigger.__init__(self, settings)
self.mingap = settings.getfloat("BulkowskiGapDailyTrigger", "mingap")
self.open = AdjustedOpen()
self.close = AdjustedClose()
self.lastClose = HistoricMetric(self.close, 1)
self.sma = SimpleMovingAverage(metric=self.close, period=50)
self.lastsma = HistoricMetric(self.sma, 1)
self._addMetrics(self.open, self.close, self.lastClose, self.sma, self.lastsma)
def check(self):
if PriceVolumeDailyTrigger.check(self):
if self.lastClose.value() > 0 and self.open.value() > 0:
gap = (self.lastClose.value() - self.open.value())/self.lastClose.value()
if gap >= self.mingap:
return True
return False
def __init__(self, settings, name=None):
EntryManager.__init__(self, settings, name)
self.numTaps = settings.getint("MultiTapEntry", "numTaps")
self.tapMargin = settings.getfloat("MultiTapEntry", "tapMargin")
self.donchianStop = settings.getint("MultiTapEntry", "donchianStop")
self.minhour = self._getintsetting(settings, "MultiTapEntry", "minhour")
self.maxhour = self._getintsetting(settings, "MultiTapEntry", "maxhour")
self.target = self._getfloatsetting(settings, "MultiTapEntry", "target")
# TODO replace trigger logic with some kind of hinting/info from DailyDataTrigger
self.triggerLongPrice = None
self.low = Low()
self.lowest = Lowest(self.low, self.donchianStop)
self.donchStop = HistoricMetric(self.lowest, 1)
self.high = High()
self.lasthigh = HistoricMetric(self.high, 1)
self.highs = list()
self.taps = 0
def __init__(self, settings):
self.minPrice = settings.getfloat("GapAndGoSwingEntry", "minPrice")
self.minAvgVol = settings.getint("GapAndGoSwingEntry", "minAvgVol")
self.minPercent = settings.getfloat("GapAndGoSwingEntry", "minPercent")
targetstr = settings.get("GapAndGoSwingEntry", "target")
if targetstr == "None":
self.target = None
else:
self.target = float(targetstr)
self.volume = Volume()
self.avgvol = SimpleMovingAverage(metric=self.volume, period=21)
self.opn = AdjustedOpen()
self.close = AdjustedClose()
self.lastClose = HistoricMetric(metric=self.close, period=1)
self.high = AdjustedHigh()
self.lastHigh = HistoricMetric(metric=self.high, period=1)
self.low = AdjustedLow()
self.inBottomRange=0.1
self.inTopRange=None
class NewHighDailyTrigger(Check):
def __init__(self, settings):
self.highperiod = settings.getfloat("NewHighDailyTrigger", "highperiod")
self.minprice = settings.getfloat("NewHighDailyTrigger", "minprice")
self.maxprice = settings.getfloat("NewHighDailyTrigger", "maxprice")
self.high = High()
self.highesthigh = Highest(metric=self.high, period=self.highperiod)
self.lasthighesthigh = HistoricMetric(metric=self.highesthigh,period=1)
def ready(self):
if self.lasthighesthigh.ready():
return True
return False
def check(self):
if self.ready() and self.lastpd != None:
if self.high.value() > self.lasthighesthigh.value() \
and self.lasthighesthigh.value() >= self.minprice \
and self.lasthighesthigh.value() <= self.maxprice:
return True
return False
def handle(self, perioddata):
self.high.handle(perioddata)
self.highesthigh.handle(perioddata)
self.lasthighesthigh.handle(perioddata)
self.lastpd = perioddata
def getLongPrice(self):
return self.lasthighesthigh.value()
def getShortPrice(self):
return None
def __init__(self, settings, name=None):
EntryManager.__init__(self, settings, name)
self.maperiod = settings.getint("PullbackEntry", "ma")
self.minmove = self._getfloatsetting(settings, "PullbackEntry", "minmove")
self.target = self._getfloatsetting(settings, "PullbackEntry", "target")
self.opn = None
self.low = None
self.high = None
self.ma = SimpleMovingAverage(period=self.maperiod)
self.lastma = HistoricMetric(self.ma, 1)
class GapDailyTrigger(PriceVolumeDailyTrigger):
def __init__(self, settings):
PriceVolumeDailyTrigger.__init__(self, settings)
self.mingap = settings.getfloat("GapDailyTrigger", "mingap")
dfilter = settings.get("GapDailyTrigger", "donchianfilter")
if dfilter == "None":
self.lasthighesthigh = None
self.lastlowestlow = None
else:
self.high = High()
self.highesthigh = Highest(self.high, int(dfilter))
self.lasthighesthigh = HistoricMetric(self.highesthigh, 1)
self.low = Low()
self.lowestlow = Lowest(self.low, int(dfilter))
self.lastlowestlow = HistoricMetric(self.lowestlow, 1)
def ready(self):
if PriceVolumeDailyTrigger.ready(self) and self.perioddata is not None and self.lastperioddata is not None:
return True
def check(self):
if self.mingap >= 0.0:
if PriceVolumeDailyTrigger.check(self) and self.perioddata is not None and \
((
self.perioddata.open - self.lastperioddata.close) / self.lastperioddata.close) >= self.mingap \
and (self.lasthighesthigh is None or (
self.lasthighesthigh.ready() and self.perioddata.open >= self.lasthighesthigh.value())):
return True
else:
if PriceVolumeDailyTrigger.check(self) and self.perioddata is not None and \
((
self.perioddata.open - self.lastperioddata.close) / self.lastperioddata.close) <= self.mingap \
and (self.lastlowestlow is None or (
self.lastlowestlow.ready() and self.perioddata.open <= self.lastlowestlow.value())):
return True
return False
def handle(self, perioddata):
# store previous perioddata before we call superclass
self.lastperioddata = self.perioddata
if self.lasthighesthigh is not None:
self.high.handle(perioddata)
self.highesthigh.handle(perioddata)
self.lasthighesthigh.handle(perioddata)
self.low.handle(perioddata)
self.lowestlow.handle(perioddata)
self.lastlowestlow.handle(perioddata)
PriceVolumeDailyTrigger.handle(self, perioddata)
class PullbackEntryManager(EntryManager):
""" Enter after a minimum move size, on a subsequent pullback to a moving average.
"""
def __init__(self, settings, name=None):
EntryManager.__init__(self, settings, name)
self.maperiod = settings.getint("PullbackEntry", "ma")
self.minmove = self._getfloatsetting(settings, "PullbackEntry", "minmove")
self.target = self._getfloatsetting(settings, "PullbackEntry", "target")
self.opn = None
self.low = None
self.high = None
self.ma = SimpleMovingAverage(period=self.maperiod)
self.lastma = HistoricMetric(self.ma, 1)
def handle(self, perioddata):
if self.periodData is None or self.periodData.date.day != perioddata.date.day:
self.opn = None
self.low = None
self.high = None
EntryManager.handle(self, perioddata)
self.ma.handle(perioddata)
if self.opn is None:
self.opn = perioddata.open
if self.low is None or perioddata.low < self.low:
self.low = perioddata.low
if self.high is None or perioddata.high > self.high:
self.high = perioddata.high
def checkTrade(self):
if self.lastma.ready() and ((self.high - self.opn) / self.opn) >= self.minmove:
if self.periodData.low <= self.lastma.value():
entry_price = min(self.periodData.open, self.lastma.value())
stop = self.low - 0.01
trade = Trade(self.lastdd.stock, self.lastdd.date, entry_price, stop)
if self.target is not None:
trade.target = trade.entryPrice + (trade.entryPrice - trade.stop) * self.target
return trade
if self.lastma.ready() and ((self.opn - self.low) / self.opn) >= self.minmove:
if self.periodData.high >= self.lastma.value():
entry_price = max(self.periodData.open, self.lastma.value())
stop = self.high + 0.01
trade = Trade(self.lastdd.stock, self.lastdd.date, entry_price, stop)
if self.target is not None:
trade.target = trade.entryPrice + (trade.entryPrice - trade.stop) * self.target
return trade
return None
def __init__(self, settings, name=None):
EntryManager.__init__(self, settings, name=name)
self.donchianstop = settings.getint("Strategy", "donchianstop")
self.minhour = settings.getint("Strategy", "minhour")
self.maxhour = settings.getint("Strategy", "maxhour")
self.target = self._getintsetting("Strategy", "target")
self.minmove = settings.getfloat("Strategy", "minmove")
self.maxprice = self._getfloatsetting("Strategy", "maxprice")
self.low = Low()
self.lowestlow = Lowest(self.low, self.donchianstop)
self.prevLowestLow = HistoricMetric(self.lowestlow, 1)
self._addMetric(self.low)
self._addMetric(self.lowestlow)
self._addMetric(self.prevLowestLow)
self.hod = None
self.open = None
self.hoddate = None
class DonchianChannelStopManager(BasicStopManager):
def __init__(self, settings):
BasicStopManager.__init__(self, settings)
channelPeriod = settings.getint("DonchianChannelStopManager", "channelPeriod")
self.low = Low()
self.high = High()
self.lowestLow = Lowest(self.low, channelPeriod)
self.highestHigh = Highest(self.high, channelPeriod)
self.lastLowestLow = HistoricMetric(self.lowestLow, 1)
self.lastHighestHigh = HistoricMetric(self.highestHigh, 1)
def handle(self, perioddata):
BasicStopManager.handle(self, perioddata)
self.low.handle(perioddata)
self.high.handle(perioddata)
self.lowestLow.handle(perioddata)
self.highestHigh.handle(perioddata)
self.lastLowestLow.handle(perioddata)
self.lastHighestHigh.handle(perioddata)
def checkTrade(self, trade):
if trade != None and trade.entryPrice > trade.stop:
trade.trailingstop = max(trade.stop, self.lastLowestLow.value()-0.01)
if trade != None and trade.entryPrice < trade.stop:
trade.trailingstop = min(trade.stop, self.lastHighestHigh.value() + 0.01)
if trade != None and trade.exit == None \
and trade.entryPrice > trade.stop and self.perioddata.low <= trade.trailingstop:
trade.exit = self.perioddata.date
trade.exitPrice = min(self.perioddata.open, trade.trailingstop)
if trade != None and trade.exit == None \
and trade.entryPrice < trade.stop and self.perioddata.high >= trade.trailingstop:
trade.exit = self.perioddata.date
trade.exitPrice = max(self.perioddata.open, trade.trailingstop)
return trade
def recommendedPreload(self):
return self.lastHighestHigh.recommendedPreload()
class NBarEntryManager:
def __init__(self, settings):
nbars = settings.getint("NBarEntry", "nbars")
self.high = High()
self.low = Low()
self.range = Subtract(self.high, self.low)
self.minrange = Lowest(self.range, nbars)
self.lastrange = HistoricMetric(self.range, 1)
self.lastminrange = HistoricMetric(self.minrange, 2)
self.lasthigh = HistoricMetric(self.high,1)
self.lastlow = HistoricMetric(self.low,1)
def handle(self, perioddata):
self.high.handle(perioddata)
self.low.handle(perioddata)
self.range.handle(perioddata)
self.minrange.handle(perioddata)
self.lastrange.handle(perioddata)
self.lastminrange.handle(perioddata)
self.lasthigh.handle(perioddata)
self.lastlow.handle(perioddata)
self.lastdd = perioddata
def checkTrade(self):
if self.lastrange.ready() and self.lastminrange.ready() \
and self.lastrange.value() < self.lastminrange.value():
# we have an N-bar, take a break long or short and hold to close
if self.lastdd.high > self.lasthigh.value():
entry = max(self.lastdd.open, self.lasthigh.value() + 0.01)
stop = self.lastlow.value() - 0.01
if entry < 0:
entry = 0
if stop < 0:
stop = 0
if entry > stop and entry > 0:
trade = Trade(self.lastdd.stock, self.lastdd.date, entry, stop)
trade.exit = self.lastdd.date
if self.lastdd.low <= stop:
trade.exitPrice = stop
else:
trade.exitPrice = self.lastdd.close
return trade
elif self.lastdd.low < self.lastlow.value():
entry = min(self.lastdd.open,self.lastlow.value() - 0.01)
stop = self.lasthigh.value() + 0.01
if entry < 0:
entry = 0
if stop < 0:
stop = 0
if entry < stop and entry > 0:
trade = Trade(self.lastdd.stock, self.lastdd.date, entry, stop)
trade.exit = self.lastdd.date
if self.lastdd.high >= stop:
trade.exitPrice = stop
else:
trade.exitPrice = self.lastdd.close
return trade
return None
def recommendedPreload(self):
return self.lastminrange.recommendedPreload()
class MomoAfternoonEntryManager(NoScaleInEntryManager):
""" Enter on an afternoon break of highs if a minimum move was made in
the morning"""
def __init__(self, settings, name=None):
EntryManager.__init__(self, settings, name=name)
self.donchianstop = settings.getint("Strategy", "donchianstop")
self.minhour = settings.getint("Strategy", "minhour")
self.maxhour = settings.getint("Strategy", "maxhour")
self.target = self._getintsetting("Strategy", "target")
self.minmove = settings.getfloat("Strategy", "minmove")
self.maxprice = self._getfloatsetting("Strategy", "maxprice")
self.low = Low()
self.lowestlow = Lowest(self.low, self.donchianstop)
self.prevLowestLow = HistoricMetric(self.lowestlow, 1)
self._addMetric(self.low)
self._addMetric(self.lowestlow)
self._addMetric(self.prevLowestLow)
self.hod = None
self.open = None
self.hoddate = None
def handle(self, perioddata):
if self.open is None or self.periodData.date.day != perioddata.date.day:
self.open = perioddata.open
if self.periodData is not None:
# quick, use previous value to update hod
if self.hod is None or self.periodData.high >= self.hod:
self.hod = self.periodData.high
self.hoddate = self.periodData.date
# if we are on a new day, clear values
if self.periodData.date.day != perioddata.date.day:
self.hod = None
self.hoddate = None
EntryManager.handle(self, perioddata)
def _checkTradeNoScale(self):
if self.hod is not None \
and self.periodData.high > self.hod \
and self.prevLowestLow.ready() \
and (self.hoddate.hour < 12
or (self.hoddate.hour == 12 and self.hoddate.minute == 0)) \
and self.periodData.date.hour >= self.minhour \
and (self.periodData.date.hour < self.maxhour
or (self.periodData.date.hour == self.maxhour and self.periodData.date.minute == 0)) \
and ((self.hod - self.open) / self.open) >= self.minmove:
# new trade
entry = max(self.periodData.open, self.hod + 0.01)
if self.maxprice is None or entry <= self.maxprice:
stop = self.prevLowestLow.value() - 0.01
trade = Trade(self.periodData.stock, self.periodData.date, entry, stop)
if self.target is not None:
target = entry + ((entry - stop) * 2)
trade.target = target
if self.periodData.low < stop:
trade.exit = self.periodData.date
trade.exitPrice = stop
return trade
return None
class MomoDailyTrigger(PriceVolumeDailyTrigger):
def __init__(self, settings):
PriceVolumeDailyTrigger.__init__(self, settings)
self.minatrmultiple = settings.getfloat("MomoDailyTrigger", "minatrmultiple")
self.closepercent = settings.get("MomoDailyTrigger", "closepercent")
self.openpercent = settings.get("MomoDailyTrigger", "openpercent")
self.takeLongs = settings.getboolean("MomoDailyTrigger", "takeLongs")
self.takeShorts = settings.getboolean("MomoDailyTrigger", "takeShorts")
minaprstr = settings.get("MomoDailyTrigger", "minapr")
self.minapr = None
if minaprstr != "None":
self.minapr = float(minaprstr)
dfilter = settings.get("MomoDailyTrigger", "donchianfilter")
self.high = High()
self.low = Low()
self.atr = ATR(14)
self.lastatr = HistoricMetric(self.atr, 1)
if dfilter == "None":
self.lasthighesthigh = None
self.lastlowestlow = None
else:
self.highesthigh = Highest(self.high, int(dfilter))
self.lasthighesthigh = HistoricMetric(self.highesthigh, 1)
self.lowestlow = Lowest(self.low, int(dfilter))
self.lastlowestlow = HistoricMetric(self.lowestlow, 1)
def ready(self):
if PriceVolumeDailyTrigger.ready(self) and self.perioddata is not None and self.lastperioddata is not None:
return True
def check(self):
if self.lastperioddata.close <= 0:
return False
if self.minapr is None or (self.lastatr.value() / self.lastperioddata.close) < self.minapr:
return False
if (self.lastperioddata.close - self.lastperioddata.open) < (self.lastatr.value() * self.minatrmultiple):
return False
if self.lastperioddata.close > self.lastperioddata.open and self.takeLongs:
if ((self.lastperioddata.high - self.lastperioddata.close) / (
self.lastperioddata.high - self.lastperioddata.low)) > self.closepercent:
return False
if ((self.lastperioddata.open - self.lastperioddata.low) / (
self.lastperioddata.high - self.lastperioddata.low)) > self.openpercent:
return False
return True
if self.lastperioddata.close < self.lastperioddata.open and self.takeShorts:
if ((self.lastperioddata.close - self.lastperioddata.low) / (
self.lastperioddata.high - self.lastperioddata.low)) > self.closepercent:
return False
if ((self.lastperioddata.high - self.lastperioddata.open) / (
self.lastperioddata.high - self.lastperioddata.low)) > self.openpercent:
return False
return True
def handle(self, perioddata):
# store previous perioddata before we call superclass
self.lastperioddata = self.perioddata
self.high.handle(perioddata)
self.low.handle(perioddata)
self.atr.handle(perioddata)
self.lastatr.handle(perioddata)
if self.lasthighesthigh is not None:
self.highesthigh.handle(perioddata)
self.lasthighesthigh.handle(perioddata)
self.lowestlow.handle(perioddata)
self.lastlowestlow.handle(perioddata)
PriceVolumeDailyTrigger.handle(self, perioddata)
def getLongPrice(self):
if self.lastperioddata.close > self.lastperioddata.open:
return self.lastperioddata.close
return None
def getShortPrice(self):
if self.lastperioddata.open > self.lastperioddata.close:
return self.lastperioddata.close
return None
def __init__(self, settings):
DailyTrigger.__init__(self, settings)
# this is a hack until we implement subscribing to multiple streams of data
self.uptrendcheck = dict()
# if True, we are filtering on uptrending SPY, if false, downtrending SPY
# we are using the PREVIOUS bar data, hence the use of HistoricMetric.
# we do not now if TODAY will close above/below the ma before we enter our
# day trades. An alternative would have been to use the open
ticker = settings.get("TrendFilterDailyTrigger", "ticker")
self.uptrend = settings.getboolean("TrendFilterDailyTrigger", "uptrend")
period = settings.getint("TrendFilterDailyTrigger", "period")
close = AdjustedClose()
lastclose = HistoricMetric(close, 1)
ma = SimpleMovingAverage(metric=close, period=period)
lastma = HistoricMetric(ma, 1)
fromdt = datetime(1900, 1, 1)
todt = datetime.now()
datastore = datastorefactory.get_datastore()
for dd in datastore.getDailyData(ticker, fromdt, todt):
close.handle(dd)
lastclose.handle(dd)
ma.handle(dd)
lastma.handle(dd)
if lastma.ready() and lastclose.ready():
if lastclose.value() > lastma.value():
self.uptrendcheck[dd.date] = True
if lastclose.value() < lastma.value():
self.uptrendcheck[dd.date] = False
def findsetups(self, fromdt, todt): numstopouts = 0 stocks = self._getTickers(fromdt, datastore) for stock in stocks: # padded extra to make sure 200 day sma has enough trading days to work with before our window dailydata = datastore.getDailyData(stock, fromdt - timedelta(days=(self.slowma*2)), todt) close = Close() fastma = SimpleMovingAverage(period=self.fastma) slowma = SimpleMovingAverage(period=self.slowma) lastfastma = HistoricMetric(metric=fastma, period=1) lastslowma = HistoricMetric(metric=slowma, period=1) atr = ATR(period=14) lastdd = None trade = None for pd in dailydata: close.handle(pd) fastma.handle(pd) slowma.handle(pd) lastfastma.handle(pd) lastslowma.handle(pd) atr.handle(pd) # check for long stopout if trade != None and pd.low < trade.trailingstop: trade.exit = pd.date trade.exitPrice = min(pd.open, trade.trailingstop) self.tradeManager.addTrade(trade) numstopouts = numstopouts + 1 trade = None # check for long exit if trade != None and fastma.value() < slowma.value(): trade.exit = pd.date trade.exitPrice = pd.close self.tradeManager.addTrade(trade) trade = None if fastma.ready() and slowma.ready() and lastfastma.ready() and lastslowma.ready() and atr.ready(): pass # check for new long if trade == None and fastma.ready() and slowma.ready() \ and lastfastma.ready() and lastslowma.ready() \ and (self.atrStop == None or atr.ready()) \ and pd.date >= fromdt \ and fastma.value() > slowma.value() \ and lastfastma.value() <= lastslowma.value() \ and pd.close >= self.minprice: stop = 0 if self.atrStop != None: stop = max(0,pd.close - (float(self.atrStop) * atr.value())) if self.percentStop != None: stop = max(0, pd.close * (1.0 - self.percentStop)) trade = Trade(stock=stock, entry=pd.date, entryPrice=pd.close, stop=stop) if trade != None and trade.entry == None: trade.exit = lastdd.date trade.exitPrice = lastdd.close self.tradeManager.addTrade(trade) trade = None print "num stopouts was %d" % numstopouts return self.tradeManager.getStats()
class MultiTapEntryManager(EntryManager):
""" Enters a trade after a given number of taps at a high or low, within
a tolerance, and on the subsequent break of that high.
"""
def __init__(self, settings, name=None):
EntryManager.__init__(self, settings, name)
self.numTaps = settings.getint("MultiTapEntry", "numTaps")
self.tapMargin = settings.getfloat("MultiTapEntry", "tapMargin")
self.donchianStop = settings.getint("MultiTapEntry", "donchianStop")
self.minhour = self._getintsetting(settings, "MultiTapEntry", "minhour")
self.maxhour = self._getintsetting(settings, "MultiTapEntry", "maxhour")
self.target = self._getfloatsetting(settings, "MultiTapEntry", "target")
# TODO replace trigger logic with some kind of hinting/info from DailyDataTrigger
self.triggerLongPrice = None
self.low = Low()
self.lowest = Lowest(self.low, self.donchianStop)
self.donchStop = HistoricMetric(self.lowest, 1)
self.high = High()
self.lasthigh = HistoricMetric(self.high, 1)
self.highs = list()
self.taps = 0
def handle(self, perioddata):
self.taps = 0
if self.lasthigh.ready() and self.lasthigh.value() >= self.triggerLongPrice:
for high in self.highs:
if self.lasthigh.value() - high <= self.tapMargin:
self.taps += 1
self.low.handle(perioddata)
self.lowest.handle(perioddata)
self.donchStop.handle(perioddata)
self.high.handle(perioddata)
self.lasthigh.handle(perioddata)
self.highs.append(perioddata.high)
self.lastdd = perioddata
def checkTrade(self):
if self.lasthigh.ready() and self.donchStop.ready() \
and self.taps >= self.numTaps and self.lastdd.high > self.lasthigh.value() \
and (self.minhour is None or self.lastdd.date.hour >= self.minhour) \
and (self.maxhour is None or self.lastdd.date.hour < self.maxhour):
entryPrice = max(self.lastdd.open, self.lasthigh.value() + 0.01)
stop = max(0.0, self.donchStop.value() - 0.01)
trade = Trade(self.lastdd.stock, self.lastdd.date, entryPrice, stop)
if self.target is not None:
trade.target = trade.entryPrice + (trade.entryPrice - trade.stop) * self.target
return trade
return None