def bollinger_band_trading_rule(contract_group, i, timestamps, indicators, signal, account, strategy_context):
timestamp = timestamps[i]
curr_pos = account.position(contract_group, timestamp)
signal_value = signal[i]
risk_percent = 0.1
close_price = indicators.c[i]
contract = contract_group.get_contract('PEP')
if contract is None:
contract = pq.Contract.create(symbol = 'PEP', contract_group = contract_group)
# if we don't already have a position, check if we should enter a trade
if math.isclose(curr_pos, 0):
if signal_value == 2 or signal_value == -2:
curr_equity = account.equity(timestamp)
order_qty = np.round(curr_equity * risk_percent / close_price * np.sign(signal_value))
trigger_price = close_price
reason_code = pq.ReasonCode.ENTER_LONG if order_qty > 0 else pq.ReasonCode.ENTER_SHORT
return [pq.StopLimitOrder(contract, timestamp, order_qty, trigger_price, reason_code = reason_code)]
else: # We have a current position, so check if we should exit
if (curr_pos > 0 and signal_value == -1) or (curr_pos < 0 and signal_value == 1):
order_qty = -curr_pos
reason_code = pq.ReasonCode.EXIT_LONG if order_qty < 0 else pq.ReasonCode.EXIT_SHORT
return [pq.MarketOrder(contract, timestamp, order_qty, reason_code = reason_code)]
return []
def bollinger_band_trading_rule(strategy, symbol, i, date, marketdata,
indicator_values, signal_values, account):
curr_pos = account.position(symbol, date)
signal_value = signal_values[i]
risk_percent = 0.05
# if we don't already have a position, check if we should enter a trade
if math.isclose(curr_pos, 0):
if signal_value == 2 or signal_value == -2:
curr_equity = account.equity(date)
order_qty = np.round(curr_equity * risk_percent / marketdata.c[i] *
np.sign(signal_value))
trigger_price = marketdata.c[i]
reason_code = pq.ReasonCode.ENTER_LONG if order_qty > 0 else pq.ReasonCode.ENTER_SHORT
return [
pq.StopLimitOrder(symbol,
date,
order_qty,
trigger_price,
reason_code=reason_code)
]
else: # We have a current position, so check if we should exit
if (curr_pos > 0 and signal_value == -1) or (curr_pos < 0
and signal_value == 1):
order_qty = -curr_pos
reason_code = pq.ReasonCode.EXIT_LONG if order_qty < 0 else pq.ReasonCode.EXIT_SHORT
return [
pq.MarketOrder(symbol,
date,
order_qty,
reason_code=reason_code)
]
return []