def trailOnProfit5( trade, bar, initStop, stop ):
global recentExtremePrice, extremePrice, trailAtr
TRAIL_ATR_MULTIPLIER = 2
MIN_X = 1.5
TIME_CUT_OFF = ( 14,54 ) # Trail only after cut off time
extremePrice = mechTM.getExtremePrice( trade, bar, extremePrice )
isTime = isTimeTriggered( bar, TIME_CUT_OFF )
if( mechTM.currentTradeStatus( trade, initStop, bar ) >= MIN_X ):
distance = trailAtr[bar.Index] * TRAIL_ATR_MULTIPLIER
stop = mechTM.getTrailPrice( trade, bar, initStop, extremePrice, distance )
elif( isTime ):
if( recentExtremePrice is None ):
recentExtremePrice = bar.H if trade.isLong else bar.L # Use first bar after trigger as initial extreme
else :
recentExtremePrice = mechTM.getExtremePrice( trade, bar, recentExtremePrice )
distance = trailAtr[bar.Index] * TRAIL_ATR_MULTIPLIER
stop = mechTM.getTrailPrice( trade, bar, initStop, recentExtremePrice, distance )
else:
newStop = donchianLow[ bar.Index ] if trade.isLong else donchianHigh[ bar.Index ]
if isStopValid( trade, initStop, newStop ):
stop = newStop
return stop
def trailOnProfit5(trade, bar, initStop, stop):
global recentExtremePrice, extremePrice, trailAtr
TRAIL_ATR_MULTIPLIER = 2
MIN_X = 1.5
TIME_CUT_OFF = (14, 54) # Trail only after cut off time
extremePrice = mechTM.getExtremePrice(trade, bar, extremePrice)
isTime = isTimeTriggered(bar, TIME_CUT_OFF)
if (mechTM.currentTradeStatus(trade, initStop, bar) >= MIN_X):
distance = trailAtr[bar.Index] * TRAIL_ATR_MULTIPLIER
stop = mechTM.getTrailPrice(trade, bar, initStop, extremePrice,
distance)
elif (isTime):
if (recentExtremePrice is None):
recentExtremePrice = bar.H if trade.isLong else bar.L # Use first bar after trigger as initial extreme
else:
recentExtremePrice = mechTM.getExtremePrice(
trade, bar, recentExtremePrice)
distance = trailAtr[bar.Index] * TRAIL_ATR_MULTIPLIER
stop = mechTM.getTrailPrice(trade, bar, initStop, recentExtremePrice,
distance)
else:
newStop = donchianLow[bar.Index] if trade.isLong else donchianHigh[
bar.Index]
if isStopValid(trade, initStop, newStop):
stop = newStop
return stop
def trailNearClose( trade, bar, initStop, stop ):
global recentExtremePrice, trailAtr
TRAIL_ATR_MULTIPLIER = 2 # trail by x atr
TIME_CUT_OFF = ( 14, 54 ) # Trail only after cut off time
isTime = isTimeTriggered( bar, TIME_CUT_OFF )
# Another Wider Trail earlier
'''
if( not isTime ):
TRAIL_ATR_MULTIPLIER = 5
TIME_CUT_OFF = ( 14, 29 )
isTime = isTimeTriggered( bar, TIME_CUT_OFF )
'''
if( isTime ):
if( recentExtremePrice is None ):
recentExtremePrice = bar.H if trade.isLong else bar.L # Use first bar after trigger as initial extreme
else :
recentExtremePrice = mechTM.getExtremePrice( trade, bar, recentExtremePrice )
distance = trailAtr[bar.Index] * TRAIL_ATR_MULTIPLIER
stop = mechTM.getTrailPrice( trade, bar, initStop, recentExtremePrice, distance )
#print( trade.Market, bar.Index, stop, "------", recentExtremePrice, trailAtr[bar.Index] )
return stop
def trailNearClose(trade, bar, initStop, stop):
global recentExtremePrice, trailAtr
TRAIL_ATR_MULTIPLIER = 2 # trail by x atr
TIME_CUT_OFF = (14, 54) # Trail only after cut off time
isTime = isTimeTriggered(bar, TIME_CUT_OFF)
# Another Wider Trail earlier
'''
if( not isTime ):
TRAIL_ATR_MULTIPLIER = 5
TIME_CUT_OFF = ( 14, 29 )
isTime = isTimeTriggered( bar, TIME_CUT_OFF )
'''
if (isTime):
if (recentExtremePrice is None):
recentExtremePrice = bar.H if trade.isLong else bar.L # Use first bar after trigger as initial extreme
else:
recentExtremePrice = mechTM.getExtremePrice(
trade, bar, recentExtremePrice)
distance = trailAtr[bar.Index] * TRAIL_ATR_MULTIPLIER
stop = mechTM.getTrailPrice(trade, bar, initStop, recentExtremePrice,
distance)
#print( trade.Market, bar.Index, stop, "------", recentExtremePrice, trailAtr[bar.Index] )
return stop
def trailOnSpike( trade, bar, initStop, stop ):
global extremePrice, trailAtr, ss
TRAIL_ATR_MULTIPLIER = 2
extremePrice = mechTM.getExtremePrice( trade, bar, extremePrice )
spike = ss[bar.Index]
if( (trade.isLong and spike >= 5) or ( not trade.isLong and spike <= -5) ):
distance = trailAtr[bar.Index] * TRAIL_ATR_MULTIPLIER
stop = mechTM.getTrailPrice( trade, bar, initStop, extremePrice, distance )
return stop
def trailOnProfit( trade, bar, initStop, stop ):
global extremePrice, trailAtr
TRAIL_ATR_MULTIPLIER = 2
MIN_X = 1.5
extremePrice = mechTM.getExtremePrice( trade, bar, extremePrice )
if( mechTM.currentTradeStatus( trade, initStop, bar ) >= MIN_X ):
distance = trailAtr[bar.Index] * TRAIL_ATR_MULTIPLIER
stop = mechTM.getTrailPrice( trade, bar, initStop, extremePrice, distance )
return stop
def trailOnProfit(trade, bar, initStop, stop):
global extremePrice, trailAtr
TRAIL_ATR_MULTIPLIER = 2
MIN_X = 1.5
extremePrice = mechTM.getExtremePrice(trade, bar, extremePrice)
if (mechTM.currentTradeStatus(trade, initStop, bar) >= MIN_X):
distance = trailAtr[bar.Index] * TRAIL_ATR_MULTIPLIER
stop = mechTM.getTrailPrice(trade, bar, initStop, extremePrice,
distance)
return stop
def trailOnSpike(trade, bar, initStop, stop):
global extremePrice, trailAtr, ss
TRAIL_ATR_MULTIPLIER = 2
extremePrice = mechTM.getExtremePrice(trade, bar, extremePrice)
spike = ss[bar.Index]
if ((trade.isLong and spike >= 5) or (not trade.isLong and spike <= -5)):
distance = trailAtr[bar.Index] * TRAIL_ATR_MULTIPLIER
stop = mechTM.getTrailPrice(trade, bar, initStop, extremePrice,
distance)
return stop
def timeStopTrailNearClose( trade, bar, initStop, stop ):
global extremePrice, trailAtr
TRAIL_ATR_MULTIPLIER = 2 # trail by x atr
TIME_CUT_OFF = ( 14,54 ) # Trail only after cut off time
extremePrice = mechTM.getExtremePrice( trade, bar, extremePrice )
isTime = isTimeTriggered( bar, TIME_CUT_OFF )
# Time Stop. Only hold if price within 2 ATR of extreme and trail
if( isTime ):
distance = trailAtr[bar.Index] * TRAIL_ATR_MULTIPLIER
stop = mechTM.getTrailPrice( trade, bar, initStop, extremePrice, distance )
return stop
def timeStopTrailNearClose(trade, bar, initStop, stop):
global extremePrice, trailAtr
TRAIL_ATR_MULTIPLIER = 2 # trail by x atr
TIME_CUT_OFF = (14, 54) # Trail only after cut off time
extremePrice = mechTM.getExtremePrice(trade, bar, extremePrice)
isTime = isTimeTriggered(bar, TIME_CUT_OFF)
# Time Stop. Only hold if price within 2 ATR of extreme and trail
if (isTime):
distance = trailAtr[bar.Index] * TRAIL_ATR_MULTIPLIER
stop = mechTM.getTrailPrice(trade, bar, initStop, extremePrice,
distance)
return stop
def trailOnProfit3( trade, bar, initStop, stop ):
global extremePrice, trailAtr
TRAIL_ATR_MULTIPLIER = 2
MIN_X = 1.5
TIME_CUT_OFF = ( 14,54 ) # Trail only after cut off time
extremePrice = mechTM.getExtremePrice( trade, bar, extremePrice )
isTime = isTimeTriggered( bar, TIME_CUT_OFF )
#isTime = False
if( isTime or mechTM.currentTradeStatus( trade, initStop, bar ) >= MIN_X ):
distance = trailAtr[bar.Index] * TRAIL_ATR_MULTIPLIER
stop = mechTM.getTrailPrice( trade, bar, initStop, extremePrice, distance )
return stop
def trailOnTimeStop( trade, bar, initStop, stop ):
global barCount, extremePrice, trailAtr
TRAIL_ATR_MULTIPLIER = 2
MIN_X = 0
BAR_TIME_LIMIT = 20
barCount += 1
extremePrice = mechTM.getExtremePrice( trade, bar, extremePrice )
if( barCount >= BAR_TIME_LIMIT and mechTM.currentTradeStatus( trade, initStop, bar ) < MIN_X ):
# TODO try by ignoring BO Bar, ie once time limit is up, take last bar as extreme
#extremePrice = mechTM.getExtremePrice( trade, bar, extremePrice ) # Not updated until Timestop => Trails behind recent extreme (or BO Bar whichever is further) after timestop is active
distance = trailAtr[bar.Index] * TRAIL_ATR_MULTIPLIER
stop = mechTM.getTrailPrice( trade, bar, initStop, extremePrice, distance )
return stop
def trailOnProfit3(trade, bar, initStop, stop):
global extremePrice, trailAtr
TRAIL_ATR_MULTIPLIER = 2
MIN_X = 1.5
TIME_CUT_OFF = (14, 54) # Trail only after cut off time
extremePrice = mechTM.getExtremePrice(trade, bar, extremePrice)
isTime = isTimeTriggered(bar, TIME_CUT_OFF)
#isTime = False
if (isTime or mechTM.currentTradeStatus(trade, initStop, bar) >= MIN_X):
distance = trailAtr[bar.Index] * TRAIL_ATR_MULTIPLIER
stop = mechTM.getTrailPrice(trade, bar, initStop, extremePrice,
distance)
return stop
def trailOnTimeStop(trade, bar, initStop, stop):
global barCount, extremePrice, trailAtr
TRAIL_ATR_MULTIPLIER = 2
MIN_X = 0
BAR_TIME_LIMIT = 20
barCount += 1
extremePrice = mechTM.getExtremePrice(trade, bar, extremePrice)
if (barCount >= BAR_TIME_LIMIT
and mechTM.currentTradeStatus(trade, initStop, bar) < MIN_X):
# TODO try by ignoring BO Bar, ie once time limit is up, take last bar as extreme
#extremePrice = mechTM.getExtremePrice( trade, bar, extremePrice ) # Not updated until Timestop => Trails behind recent extreme (or BO Bar whichever is further) after timestop is active
distance = trailAtr[bar.Index] * TRAIL_ATR_MULTIPLIER
stop = mechTM.getTrailPrice(trade, bar, initStop, extremePrice,
distance)
return stop
def trailOnProfit2( trade, bar, initStop, stop ):
global extremePrice, trailAtr
TRAIL_ATR_MULTIPLIER = 2
MIN_X = 1.5
isPinBar = ( bar.H == bar.L )
if( not isPinBar ) :
if trade.isLong:
isPinBar = (bar.H-bar.C) / (bar.H-bar.L) > 0.75
else:
isPinBar = (bar.C-bar.L) / (bar.H-bar.L) > 0.75
if( not isPinBar ):
extremePrice = mechTM.getExtremePrice( trade, bar, extremePrice )
if( mechTM.currentTradeStatus( trade, initStop, bar ) >= MIN_X ):
distance = trailAtr[bar.Index] * TRAIL_ATR_MULTIPLIER
return mechTM.getTrailPrice( trade, bar, initStop, extremePrice, distance )
return stop
def trailOnProfit2(trade, bar, initStop, stop):
global extremePrice, trailAtr
TRAIL_ATR_MULTIPLIER = 2
MIN_X = 1.5
isPinBar = (bar.H == bar.L)
if (not isPinBar):
if trade.isLong:
isPinBar = (bar.H - bar.C) / (bar.H - bar.L) > 0.75
else:
isPinBar = (bar.C - bar.L) / (bar.H - bar.L) > 0.75
if (not isPinBar):
extremePrice = mechTM.getExtremePrice(trade, bar, extremePrice)
if (mechTM.currentTradeStatus(trade, initStop, bar) >= MIN_X):
distance = trailAtr[bar.Index] * TRAIL_ATR_MULTIPLIER
return mechTM.getTrailPrice(trade, bar, initStop, extremePrice,
distance)
return stop