def __init__(self, settings, name=None):
NoScaleInEntryManager.__init__(self, settings, name)
self.minPrice = settings.getfloat("JBMarwoodSupernovaShortEntry", "minPrice")
self.maxPrice = settings.getfloat("JBMarwoodSupernovaShortEntry", "maxPrice")
self.minVol = settings.getint("JBMarwoodSupernovaShortEntry", "minVol")
self.minPctChange = settings.getfloat("JBMarwoodSupernovaShortEntry", "minPctChange")
self.numdays = settings.getint("JBMarwoodSupernovaShortEntry", "numBars")
self.onOpen = settings.getboolean("JBMarwoodSupernovaShortEntry", "enterNextOpen")
self.onDownClose = settings.getboolean("JBMarwoodSupernovaShortEntry", "enterNextDayDownClose")
targetstr = settings.get("JBMarwoodSupernovaShortEntry", "target")
if targetstr == "None":
self.target = None
else:
self.target = float(targetstr)
self.stopPercent = settings.getfloat("JBMarwoodSupernovaShortEntry", "stopPercent")
self.setupYesterday = True
self.rawclose = Close()
self.close = AdjustedClose()
self.oldClose = HistoricMetric(self.close, period=self.numdays)
self.change = Subtract(self.close, self.oldClose)
self.pctChange = Divide(self.change, self.oldClose)
self.volume = Volume()
self._addMetric(self.rawclose)
self._addMetric(self.close)
self._addMetric(self.oldClose)
self._addMetric(self.change)
self._addMetric(self.pctChange)
self._addMetric(self.volume)
class JBMarwoodSupernovaShortEntryManager(NoScaleInEntryManager):
def __init__(self, settings, name=None):
NoScaleInEntryManager.__init__(self, settings, name)
self.minPrice = settings.getfloat("JBMarwoodSupernovaShortEntry", "minPrice")
self.maxPrice = settings.getfloat("JBMarwoodSupernovaShortEntry", "maxPrice")
self.minVol = settings.getint("JBMarwoodSupernovaShortEntry", "minVol")
self.minPctChange = settings.getfloat("JBMarwoodSupernovaShortEntry", "minPctChange")
self.numdays = settings.getint("JBMarwoodSupernovaShortEntry", "numBars")
self.onOpen = settings.getboolean("JBMarwoodSupernovaShortEntry", "enterNextOpen")
self.onDownClose = settings.getboolean("JBMarwoodSupernovaShortEntry", "enterNextDayDownClose")
targetstr = settings.get("JBMarwoodSupernovaShortEntry", "target")
if targetstr == "None":
self.target = None
else:
self.target = float(targetstr)
self.stopPercent = settings.getfloat("JBMarwoodSupernovaShortEntry", "stopPercent")
self.setupYesterday = True
self.rawclose = Close()
self.close = AdjustedClose()
self.oldClose = HistoricMetric(self.close, period=self.numdays)
self.change = Subtract(self.close, self.oldClose)
self.pctChange = Divide(self.change, self.oldClose)
self.volume = Volume()
self._addMetric(self.rawclose)
self._addMetric(self.close)
self._addMetric(self.oldClose)
self._addMetric(self.change)
self._addMetric(self.pctChange)
self._addMetric(self.volume)
def _checkTradeNoScale(self):
trade = None
if self.setupYesterday:
if self.onOpen:
entry = self.periodData.adjustedOpen
stop = entry * (1 + self.stopPercent)
if entry != stop:
trade = Trade(self.periodData.stock, self.periodData.date, entry, stop)
if self.target != None:
target = self.close.value() * (1.0 - self.target)
trade.target = target
elif self.onDownClose and self.periodData.adjustedClose < self.periodData.adjustedOpen:
stop = self.periodData.adjustedHigh + 0.01
# stop = self.close.value()*(1+self.stopPercent)
if stop != self.close.value():
trade = Trade(self.periodData.stock, self.periodData.date, self.close.value(), stop)
if self.target != None:
target = self.close.value() * (1.0 - self.target)
trade.target = target
if (
self.pctChange.ready()
and self.rawclose.value() >= self.minPrice
and self.rawclose.value() <= self.maxPrice
and self.volume.value() >= self.minVol
and self.pctChange.value() >= self.minPctChange
):
if not self.onDownClose and not self.onOpen:
# enter immediately
stop = self.close.value() * (1 + self.stopPercent)
if stop != self.close.value():
trade = Trade(self.periodData.stock, self.periodData.date, self.close.value(), stop)
if self.target != None:
target = self.close.value() * (1.0 - self.target)
trade.target = target
self.setupYesterday = True
else:
self.setupYesterday = False
if trade is not None and (trade.entryPrice == 0 or trade.entryPrice == trade.stop):
return None
return trade