def simple_buy_sell(mkt: MarketData, sig: Signal) -> Trades:
direction_action_dict = {
TernaryDirection.UP: Action.TakeLong,
TernaryDirection.NEUTRAL: Action.Donothing,
TernaryDirection.DOWN: Action.TakeShort,
}
return direction_based_entry(mkt, sig, direction_action_dict)
def only_take_short(mkt: MarketData, sig: Signal) -> Trades:
direction_action_dict = {
TernaryDirection.UP: Action.Donothing,
TernaryDirection.NEUTRAL: Action.Donothing,
TernaryDirection.DOWN: Action.TakeShort,
}
return direction_based_entry(mkt, sig, direction_action_dict)
def enter_exit_loss_gain(
mkt: MarketData,
sig: Signal,
gain_threshold: float,
loss_threshold: float,
max_holding: pd.Timedelta,
) -> Trades:
"""Take positions and close them when a certain threshold of gain is attained OR
loss in attained. Otherwise close it after max_holding
Args:
mkt: Market data
sig: Signal data
direction_action_dict: Dictionary from signals to actions
max_holding_time: maximum holding time
gain_threshold: positive float when to take gain,
loss_threshold: positive float when to stop loss,
max_holding: max holding time,
Result:
Trades
"""
direction_action_dict = {
TernaryDirection.UP: Action.TakeLong,
TernaryDirection.NEUTRAL: Action.Donothing,
TernaryDirection.DOWN: Action.TakeShort,
}
entries = direction_based_entry(mkt, sig, direction_action_dict)
trades = exit_at_loss_and_gain(mkt, sig, entries, max_holding,
loss_threshold, gain_threshold)
return trades
def entry_and_exit_at_other_signals(mkt: MarketData, sig: Signal,
max_holding_time: pd.Timedelta) -> Trades:
"""
Take both positions and close them within maximum holding time.
If other signals appear, also close positions.
"""
direction_action_dict = {
TernaryDirection.UP: Action.TakeLong,
TernaryDirection.NEUTRAL: Action.Donothing,
TernaryDirection.DOWN: Action.TakeShort,
}
entries = direction_based_entry(mkt, sig, direction_action_dict)
opposite_signals_dict = {
TernaryDirection.UP: [
TernaryDirection.DOWN.value,
TernaryDirection.NEUTRAL.value,
],
TernaryDirection.NEUTRAL: [],
TernaryDirection.DOWN: [
TernaryDirection.UP.value,
TernaryDirection.NEUTRAL.value,
],
}
trades = exit_at_opposite_signals(mkt, sig, entries, max_holding_time,
opposite_signals_dict)
return trades
def entries(signal, market):
direction_action_dict = {
TernaryDirection.UP: Action.TakeLong,
TernaryDirection.NEUTRAL: Action.Donothing,
TernaryDirection.DOWN: Action.TakeShort,
}
entries = direction_based_entry(market, signal, direction_action_dict)
return entries
def entry_and_exit_by_expectation(mkt: MarketData, sig: Signal,
max_holding_time: pd.Timedelta) -> Trades:
"""
Take both positions and close them within maximum holding time.
If opposite signals appear, also close positions.
"""
direction_action_dict = {
TernaryDirection.UP: Action.TakeLong,
TernaryDirection.NEUTRAL: Action.Donothing,
TernaryDirection.DOWN: Action.TakeShort,
}
entries = direction_based_entry(mkt, sig, direction_action_dict)
trades = exit_by_expectation(mkt, sig, entries, max_holding_time)
return trades
def _entry_and_exit_at_max_holding_time(
mkt: MarketData,
sig: Signal,
direction_action_dict: dict,
max_holding_time: pd.Timedelta,
) -> Trades:
"""Take positions and close them within maximum holding time.
Args:
mkt: Market data
sig: Signal data
direction_action_dict: Dictionary from signals to actions
max_holding_time: maximum holding time
exit_condition: The entry is closed most closest time which condition is `True`.
Result:
Trades
"""
entries = direction_based_entry(mkt, sig, direction_action_dict)
trades = exit_at_max_holding_time(mkt, sig, entries, max_holding_time)
return trades
