def mac(candles: np.ndarray,
fast_interval: int = 20,
slow_interval: int = 50,
sequential=False) -> Union[float, np.ndarray]:
"""
Moving Average Cross
Port of: https://www.tradingview.com/script/PcWAuplI-Moving-Average-Cross/
:param candles: np.ndarray
:param fast_interval: int - default: 20
:param slow_interval: int - default: 50
:param sequential: bool - default: False
:return: Union[float, np.ndarray]
Output: 1: yellow market, -1: red market
"""
if not sequential and len(candles) > 240:
candles = candles[-240:]
candles_high = candles[:, 3]
candles_low = candles[:, 4]
# Fast MAs
upper_fast = talib.EMA(candles_high, timeperiod=fast_interval)
lower_fast = talib.EMA(candles_low, timeperiod=fast_interval)
# Slow MAs
upper_slow = talib.EMA(candles_high, timeperiod=slow_interval)
lower_slow = talib.EMA(candles_low, timeperiod=slow_interval)
# Crosses
crosses_lf_us = utils.crossed(lower_fast,
upper_slow,
direction=None,
sequential=True)
crosses_uf_ls = utils.crossed(upper_fast,
lower_slow,
direction=None,
sequential=True)
dir_1 = np.where(crosses_lf_us, 1, np.nan)
dir_2 = np.where(crosses_uf_ls, -1, np.nan)
dir = np.where(dir_1 == 1, dir_1, np.nan)
dir = np.where(dir_2 == -1, dir_2, dir_1)
res = pd.Series(dir).fillna(method="ffill").to_numpy()
if sequential:
return res
else:
return res[-1]
def should_long(self):
qty = utils.size_to_qty(self.capital,
self.price,
3,
fee_rate=self.fee_rate)
if utils.crossed(
self.rsi, 35, direction="above"
) and qty > 0 and self.available_margin > (qty * self.price):
return True
def test_crossed():
candles = np.array(mama_candles)
cross_100 = utils.crossed(candles[:, 2], 100)
assert cross_100 == False
cross_120 = utils.crossed(candles[:, 2], 120)
assert cross_120 == True
cross_120 = utils.crossed(candles[:, 2], 120, direction="below")
assert cross_120 == True
cross_120 = utils.crossed(candles[:, 2], 120, direction="above")
assert cross_120 == False
seq_cross_200 = utils.crossed(candles[:, 2],
200,
direction="below",
sequential=True)
assert seq_cross_200[-5] == True
seq_cross_200 = utils.crossed(candles[:, 2],
200,
direction="above",
sequential=True)
assert seq_cross_200[-5] == False
seq_cross_120 = utils.crossed(candles[:, 2], 120, sequential=True)
assert seq_cross_120[-1] == True
array_array_cross_above = utils.crossed(np.array([1., 2, 3, 4, 5, 6]),
np.array([3., 3, 3, 3, 3, 3]),
direction="above",
sequential=True)
assert array_array_cross_above[-3] == True
array_array_cross_below = utils.crossed(np.array([1., 2, 3, 2, 1, 6]),
np.array([3., 3, 3, 3, 3, 3]),
direction="below",
sequential=True)
assert array_array_cross_below[-3] == True
array_array_cross = utils.crossed(np.array([1., 2, 3, 4, 1, 2]),
np.array([3., 3, 3, 3, 3, 3]),
sequential=True)
assert array_array_cross[-3] == True
assert array_array_cross[-2] == True
def test_crossed():
candles = np.array(mama_candles)
cross_100 = utils.crossed(candles[:, 2], 100)
assert cross_100 == False
cross_120 = utils.crossed(candles[:, 2], 120)
assert cross_120 == True
cross_120 = utils.crossed(candles[:, 2], 120, direction="below")
assert cross_120 == True
cross_120 = utils.crossed(candles[:, 2], 120, direction="above")
assert cross_120 == False
seq_cross_200 = utils.crossed(candles[:, 2],
200,
direction="below",
sequential=True)
assert seq_cross_200[-5] == True
seq_cross_200 = utils.crossed(candles[:, 2],
200,
direction="above",
sequential=True)
assert seq_cross_200[-5] == False
seq_cross_120 = utils.crossed(candles[:, 2], 120, sequential=True)
assert seq_cross_120[-1] == True
def update_position(self):
if utils.crossed(self.rsi, self.hp['xparam'],
direction="below") or utils.crossed(
self.rsi, 10, direction="below"):
self.liquidate()