if len(self.lmacd) >= self.sizemamacd:
mamacd = sum(
self.lmacd[-self.sizemamacd:]) / self.sizemamacd
if macd > mamacd:
if self.state == 0:
if self.signal == -1:
orders.append(Order(event.instrument, 100, 0))
orders.append(Order(event.instrument, 100, 0))
if self.signal == 0:
orders.append(Order(event.instrument, 100, 0))
self.signal = 1
self.state = 1
elif macd < mamacd:
if self.state == 1:
if self.signal == 1:
orders.append(Order(event.instrument, -100, 0))
orders.append(Order(event.instrument, -100, 0))
if self.signal == 0:
orders.append(Order(event.instrument, -100, 0))
self.signal = -1
self.state = 0
del self.prices[0]
return orders
files = os.listdir('./PETR4-2018-08')
for file in files:
print(evaluateTick(MACDRSI(), {'PETR4': f'./PETR4-2018-08/{file}'}))
print(evaluateTick(MACD(), {'PETR4': f'./PETR4-2018-08/{file}'}))
self.prices.append(price)
orders = []
if len(self.prices) == self.size:
std = np.array(self.prices).std()
mavg = sum(self.prices) / self.size
if price >= mavg + std:
if self.signal == 1:
orders.append(Order(event.instrument, -100, 0))
orders.append(Order(event.instrument, -100, 0))
if self.signal == 0:
orders.append(Order(event.instrument, -100, 0))
self.signal = -1
elif price <= mavg - std:
if self.signal == -1:
orders.append(Order(event.instrument, 200, 0))
if self.signal == 0:
orders.append(Order(event.instrument, 100, 0))
self.signal = 1
del self.prices[0]
return orders
return []
#print(evaluateTick(BuynHoldTick(), {'PETR4': '2018-03-07.csv'}))
#print(evaluateTick(MAVGTick(), {'PETR4': '2018-03-07.csv'}))
#print(evaluateTick(CrazyGambler(), {'PETR4': '2018-03-07.csv'}))
print(evaluateTick(MonkeyTrade(), {'PETR4': '2018-03-07.csv'}))
if tinyrollingmean > upperband:
prob = 100
elif tinyrollingmean < lowerband:
prob = 0
else:
prob = ((tinyrollingmean - lowerband)/(upperband - lowerband))*100
if ((10 > prob)):
if (prob == 0):
orders.append(Order(event.instrument, 1, 0))
orders.append(Order(event.instrument, 1, 0))
if ((70 < prob)):
if (prob == 1):
orders.append(Order(event.instrument, -1, 0))
orders.append(Order(event.instrument, -1, 0))
if len(orders) > 0:
for order in orders:
print(order.print())
return orders
def fill(self, id, instrument, price, quantity, status):
super().fill(id, instrument, price, quantity, status)
self.side += quantity
print(self.position)
print(evaluateTick(BrainyApeTrade(), {'PETR4': '2018-03-07.csv'}))
if event.type == Event.TRADE:
price = event.price
self.prices.append(price)
orders = []
if len(self.prices) == self.size:
std = np.array(self.prices).std()
mavg = sum(self.prices) / self.size
if price >= mavg + std:
if self.signal == 1:
orders.append(Order(event.instrument, -100, 0))
orders.append(Order(event.instrument, -100, 0))
if self.signal == 0:
orders.append(Order(event.instrument, -100, 0))
self.signal = -1
elif price <= mavg - std:
if self.signal == -1:
orders.append(Order(event.instrument, 200, 0))
if self.signal == 0:
orders.append(Order(event.instrument, 100, 0))
self.signal = 1
del self.prices[0]
return orders
return []
print(evaluateTick(BuynHoldTick(), {'PETR4': '2018-03-07.csv'}))
print(evaluateTick(MAVGTick(), {'PETR4': '2018-03-07.csv'}))
self.macd_hist.append(macd)
if len(self.macd_hist) == self.size:
if self.exp_mm is None:
self.exp_mm = sum(self.macd_hist) / self.size
else:
new_mm = self.exp_mm
a = 2 / (self.size + 1)
self.exp_mm = (1 - a) * new_mm + a * self.macd_hist[-1]
diff = macd - self.exp_mm
if self.signal != 1 and diff > 0.001:
if self.signal == -1:
# print(orders)
orders.append(Order(event.instrument, 1, 0))
orders.append(Order(event.instrument, 1, 0))
self.signal = 1
elif self.signal != -1 and diff < -0.001:
if self.signal == 1:
# print(orders)
orders.append(Order(event.instrument, -1, 0))
orders.append(Order(event.instrument, -1, 0))
self.signal = -1
del self.macd_hist[0]
del self.hist[0]
return orders
print(evaluateTick(MACD(), {'PETR4': '2018-03-07.csv'}))