def findsetups(self, fromdt, todt):
datastore = datastorefactory.get_datastore()
# stocks = datastore.filterStocksByAvgVolume(fromdt, minvolume)
stocks = self._getTickers(fromdt, datastore)
for stock in stocks:
dailydata = list()
volume = Volume()
avgvolume = SimpleMovingAverage(metric=volume, period=21)
dailyatr = ATR(20)
atrfromdt = fromdt - timedelta(days=max(self.duration, 40)) # 40 to give the atr time to normalize
dailydataiter = iter(datastore.getDailyData(stock, atrfromdt, todt))
dailydataday = None
try:
while dailydataday == None or dailydataday.date < fromdt:
dailydataday = dailydataiter.next()
# have to fix it to a real object for the atr
dailyatr.handle(dailydataday)
dailydata.append(dailydataday)
except StopIteration:
pass
if len(dailydata) > self.duration:
dailydata = dailydata[len(dailydata) - self.duration :]
# ok, we find the highest high and lowest low first
high = 0
low = None
for ddhighfinder in dailydata:
if high < ddhighfinder.high:
high = ddhighfinder.high
if low == None or ddhighfinder.low < low:
low = ddhighfinder.low
# great, now we find how many lower highs are within the mush factor
atrmush = 0
if dailyatr.value() != None:
atrmush = dailyatr.value() * self.mushinessatr
taps = 0
shorttaps = 0
for ddtapfinder in dailydata:
delta = high - ddtapfinder.high
if delta <= atrmush or delta <= self.mushinessfixed:
taps = taps + 1
shortdelta = ddtapfinder.low - low
if shortdelta <= atrmush or delta <= self.mushinessfixed:
shorttaps = shorttaps + 1
# ok, now we can add the next dd - we go ahead and prep some things for the next loop pass
# since we are no longer using them now
for dailydataday in dailydataiter:
saveatr = dailyatr.value()
volume.handle(dailydataday)
avgvolume.handle(dailydataday)
dailyatr.handle(dailydataday)
dailydata.append(dailydataday)
dailydata = dailydata[1:]
trade = None
# as a hack, now we can check our peek ahead and see for free if we
# ever broke the high today. If not, we are done
if (
self.doLongs
and taps >= self.numtaps
and dailydataday.high > high
and high >= self.minprice
and (self.maxprice == None or high <= self.maxprice)
and avgvolume.ready()
and avgvolume.value() >= self.minavgvolume
and (
self.minAPR == None
or (dailyatr.ready() and dailyatr.value() / dailydataday.adjustedClose) >= self.minAPR
)
):
# ok, we need to scan the day
low = None
donchlow = None
if self.donchianstop != None:
low = Low()
donchlow = Lowest(low, self.donchianstop)
intrafromdt = dailydataday.date
intratodt = intrafromdt + timedelta(hours=24)
intradaydata = datastore.getIntradayData(stock, self.period, intrafromdt, intratodt)
if intradaydata != None and len(intradaydata) > 1:
intradaybar = intradaydata[0]
intralow = intradaybar.low
intrahigh = intradaybar.high
taps = 1
for i in range(1, len(intradaydata)):
intradaybar = intradaydata[i]
if trade == None and (
self.maxintradayrangeatr == None
or (saveatr != None and (intrahigh - intralow) < (saveatr * self.maxintradayrangeatr))
):
intralow = min(intralow, intradaybar.low)
if (
intradaybar.high <= intrahigh
and (intrahigh - intradaybar.high) <= self.mushinessfixed2m
):
taps = taps + 1
if intradaybar.high > intrahigh:
if (
taps >= self.taps2m
and intrahigh >= high
and (
self.maxhour == None
or intradaybar.date.hour < self.maxhour
or (intradaybar.date.hour == self.maxhour and intradaybar.date.minute == 0)
)
and (self.minhour == None or intradaybar.date.hour >= self.minhour)
):
# trade entry
if donchlow != None and donchlow.ready():
stop = donchlow.value() - 0.01
else:
stop = intralow - 0.01
entryPrice = min(intradaybar.open, intrahigh + 0.01)
if entryPrice > stop:
trade = Trade(
stock=stock,
entry=intradaybar.date,
entryPrice=min(intradaybar.open, intrahigh + 0.01),
stop=stop,
)
if self.target:
trade.target = trade.entryPrice + (
self.target * (trade.entryPrice - trade.stop)
)
else:
# need to recalculate taps off this new high as we had no signal yet
intrahigh = intradaybar.high
taps = 1
for j in range(0, i - 1):
if (intrahigh - intradaydata[j].high) < self.mushinessfixed2m:
taps = taps + 1
if trade and trade.exit == None:
if intradaybar.low < trade.trailingstop:
# taken out
trade.exit = intradaybar.date
trade.exitPrice = min(intradaybar.open, trade.trailingstop)
if trade.target != None and intradaybar.high > trade.target:
trade.exit = intradaybar.date
trade.exitPrice = max(intradaybar.open, trade.target)
if low != None:
low.handle(intradaybar)
if donchlow != None:
donchlow.handle(intradaybar)
if trade != None and trade.exit == None:
trade.exit = intradaybar.date
trade.exitPrice = intradaybar.close
if trade:
self.tradeManager.addTrade(trade)
trade = None
trade = None
# SHORTS
# as a hack, now we can check our peek ahead and see for free if we
# ever broke the low today. If not, we are done
if (
self.doShorts
and shorttaps >= self.numtaps
and dailydataday.low < low
and low >= self.minprice
and avgvolume.ready()
and avgvolume.value() >= self.minavgvolume
and (
self.minAPR == None
or (dailyatr.ready() and dailyatr.value() / dailydataday.adjustedClose) >= self.minAPR
)
):
# ok, we need to scan the day
high = None
donchhigh = None
if self.donchianstop != None:
high = High()
donchhigh = Highest(high, self.donchianstop)
intrafromdt = dailydataday.date
intratodt = intrafromdt + timedelta(hours=24)
intradaydata = datastore.getIntradayData(stock, 300, intrafromdt, intratodt)
if intradaydata != None and len(intradaydata) > 1:
intradaybar = intradaydata[0]
intralow = intradaybar.low
intrahigh = intradaybar.high
taps = 1
for i in range(1, len(intradaydata)):
intradaybar = intradaydata[i]
if trade == None and (
self.maxintradayrangeatr == None
or (saveatr != None and (intrahigh - intralow) < (saveatr * self.maxintradayrangeatr))
):
intrahigh = max(intrahigh, intradaybar.high)
if (
intradaybar.low >= intralow
and (intradaybar.low - intralow) <= self.mushinessfixed2m
):
taps = taps + 1
if intradaybar.low < intralow:
if (
taps >= self.taps2m
and intralow <= low
and (
self.maxhour == None
or intradaybar.date.hour < self.maxhour
or (intradaybar.date.hour == self.maxhour and intradaybar.date.minute == 0)
)
and (self.minhour == None or intradaybar.date.hour >= self.minhour)
):
# trade entry
if donchhigh != None and donchhigh.ready():
stop = donchhigh.value() + 0.01
else:
stop = intrahigh + 0.01
entryPrice = min(intradaybar.open, intralow - 0.01)
if entryPrice < stop:
trade = Trade(
stock=stock, entry=intradaybar.date, entryPrice=entryPrice, stop=stop
)
if self.target:
trade.target = trade.entryPrice - (
self.target * (trade.stop - trade.entryPrice)
)
else:
# need to recalculate taps off this new high as we had no signal yet
intralow = intradaybar.low
taps = 1
for j in range(0, i - 1):
if (intralow - intradaydata[j].low) < self.mushinessfixed2m:
taps = taps + 1
if trade and trade.exit == None:
if intradaybar.high >= trade.trailingstop:
# taken out
trade.exit = intradaybar.date
trade.exitPrice = max(intradaybar.open, trade.trailingstop)
if trade.target != None and intradaybar.low < trade.target:
trade.exit = intradaybar.date
trade.exitPrice = min(intradaybar.open, trade.target)
if high != None:
high.handle(intradaybar)
if donchhigh != None:
donchhigh.handle(intradaybar)
if trade != None and trade.exit == None:
trade.exit = intradaybar.date
trade.exitPrice = intradaybar.close
if trade:
self.tradeManager.addTrade(trade)
trade = None
trade = None
# redo daily setup for the next day, already loaded in above the intraday loop
# ok, we find the highest high first
high = 0
low = None
for ddhighfinder in dailydata:
if high < ddhighfinder.high:
high = ddhighfinder.high
if low == None or ddhighfinder.low < low:
low = ddhighfinder.low
# great, now we find how many lower highs are within the mush factor
atrmush = 0
if dailyatr.value() != None:
atrmush = dailyatr.value() * self.mushinessatr
taps = 0
shorttaps = 0
for ddtapfinder in dailydata:
delta = high - ddtapfinder.high
shortdelta = ddtapfinder.low - low
if delta <= atrmush or delta <= self.mushinessfixed:
taps = taps + 1
if shortdelta <= atrmush or shortdelta <= self.mushinessfixed:
shorttaps = shorttaps + 1
return self.tradeManager.getStats()
def findsetups(self, fromdt, todt): stocks = self._getTickers(fromdt, datastore) for stock in stocks: close = Close() if self.dailysmatrendfilter != None: sma = SimpleMovingAverage(close, period=self.dailysmatrendfilter) else: sma = None # padded extra to make sure 50 day sma has enough trading days to work with before our window dailydata = datastore.getDailyData(stock, fromdt - timedelta(days=100), todt) prevpd = None for pd in dailydata: if prevpd != None and pd.date >= fromdt: trade = None if pd.open == prevpd.close or prevpd.close == 0: gapsize=0 else: gapsize = (pd.open - prevpd.close)/prevpd.close if gapsize >= self.mingap and (sma == None or sma.ready()) and (sma == None or pd.open > sma.value()) and pd.open >= self.minprice: intrafromdt = pd.date intratodt = pd.date + timedelta(hours=24) intradaydata = iter(datastore.getIntradayData(stock, 300, intrafromdt, intratodt)) try: intradaypd = intradaydata.next() entry = None hod = intradaypd.high prevpd = intradaypd low = Low() lowestlow = Lowest(metric=low, period=self.donchianstop) low.handle(intradaypd) lowestlow.handle(intradaypd) for intradaypd in intradaydata: if trade == None \ and lowestlow.ready() \ and intradaypd.date.hour >= self.minhour \ and (intradaypd.date.hour < self.maxhour \ or (intradaypd.date.hour == self.maxhour and intradaypd.date.minute==0)) \ and intradaypd.high > hod: entry = hod + 0.01 trade = Trade(stock, intradaypd.date, max(entry, intradaypd.open), lowestlow.value()-0.01) if self.target != None: trade.target = trade.entryPrice + (self.target * (trade.entryPrice-trade.stop)) if trade != None and trade.exit == None: if intradaypd.low <= trade.trailingstop: trade.exit = intradaypd.date trade.exitPrice = min(trade.stop, intradaypd.open) if trade.exit == None and trade.target != None and intradaypd.high >= trade.target: trade.exit = intradaypd.date trade.exitPrice = max(intradaypd.open, trade.target) if intradaypd.high > hod: hod = intradaypd.high low.handle(intradaypd) lowestlow.handle(intradaypd) except StopIteration: pass # eod, close it if it is still open if trade != None and trade.exit == None: trade.exit = intradaypd.date trade.exitPrice = intradaypd.close if trade != None: self.tradeManager.addTrade(trade) # now we can update the indicators - since we finished trading the day close.handle(pd) if sma != None: sma.handle(pd) prevpd = pd return self.tradeManager.getStats()