def process1(self, timestamp, last_timestamp, candles, prices, volumes):
signal = None
# volume sma, increase signal strength when volume increase over its SMA
# volume_sma = utils.MM_n(self.depth-1, self.volume.volumes)
#
# signals analysis
#
rsi_30_70 = 0 # -1 30, 1 70
rsi_40_60 = 0 # 1 if RSI in 40-60
volume_signal = 0
ema_sma_cross = 0
ema_sma_height = 0
if self.rsi:
self.rsi.compute(last_timestamp, prices)
if self.rsi.last < self.rsi_low:
rsi_30_70 = 1.0
elif self.rsi.last > self.rsi_high:
rsi_30_70 = -1.0
if self.rsi.last > 0.4 and self.rsi.last < 0.6:
rsi_40_60 = 1
# if self.volume.last > volume_sma[-1]:
# volume_signal = 1
# elif self.volume.last < volume_sma[-1]:
# volume_signal = -1
if self.sma and self.ema:
self.sma.compute(last_timestamp, prices)
self.ema.compute(last_timestamp, prices)
# ema over sma crossing
ema_sma_cross = utils.cross((self.ema.prev, self.sma.prev), (self.ema.last, self.sma.last))
if self.ema.last > self.sma.last:
ema_sma_height = 1
elif self.ema.last < self.sma.last:
ema_sma_height = -1
if ema_sma_cross > 0 and rsi_30_70 > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = candles[-1].close
elif ema_sma_cross < 0 and rsi_30_70 < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = candles[-1].close
if self.pivotpoint:
self.pivotpoint.compute(last_timestamp, self.price.open, self.price.high, self.price.low, self.price.close)
return signal
def process_lin(self, timestamp, last_timestamp, candles, prices, volumes):
signal = None
self.score.initialize()
if self.rsi:
self.rsi.compute(last_timestamp, prices)
if self.sma:
self.sma.compute(last_timestamp, prices)
if self.ema:
self.ema.compute(last_timestamp, prices)
if self.vwma:
self.vwma.compute(last_timestamp, prices, volumes)
if self.atr:
self.atr.compute(last_timestamp, self.price.high, self.price.low,
self.price.close)
if self.ema.last < self.sma.last:
if self.rsi.last > 0.5:
self.score.add(-1, 1)
elif self.rsi.last < 0.2:
self.score.add(1, 1)
else:
if self.rsi.last > 0.8:
self.score.add(-1, 1)
elif self.rsi.last < 0.6:
self.score.add(1, 1)
self.score.finalize()
#
# signal from score
#
if self.score.data[-1] >= self.score_level:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = candles[-1].close
if self.score.data[-1] <= -self.score_level:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = candles[-1].close
if candles:
# last processed candle timestamp (from last candle is non consolidated else from the next one)
self.next_timestamp = candles[-1].timestamp if not candles[
-1].ended else candles[-1].timestamp + self.tf
return signal
def compute(self, timestamp, last_timestamp, candles, prices, volumes):
signal = None
# volume sma, increase signal strength when volume increase over its SMA
# volume_sma = utils.MM_n(self.depth-1, self.volume.volumes)
if self.rsi:
self.rsi.compute(timestamp, prices)
if self.pivotpoint:
if self.pivotpoint.compute_at_close and self.last_closed:
self.pivotpoint.compute(timestamp, self.price.open,
self.price.high, self.price.low,
self.price.close)
if self.atr:
if self.last_closed:
self.atr.compute(timestamp, self.price.high, self.price.low,
self.price.close)
if self.tomdemark:
if self.tomdemark.compute_at_close and self.last_closed:
# last_timestamp
self.tomdemark.compute(timestamp, self.price.timestamp,
self.price.high, self.price.low,
self.price.prices)
# sell-setup
if self.tomdemark.c.c == 9 and self.tomdemark.c.d < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
# buy-setup
elif self.tomdemark.c.c == 9 and self.tomdemark.c.d > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = -1
signal.p = self.price.close[-1]
if self.bsawe:
if self.last_closed:
# use OHLC4 as price in place of close
bsawe = self.bsawe.compute(timestamp, self.price.high,
self.price.low, self.price.prices)
if bsawe > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = self.price.close[-1]
if self.tomdemark.c.tdst:
signal.sl = self.tomdemark.c.tdst
if len(self.pivotpoint.resistances[2]):
signal.tp = np.max(self.pivotpoint.resistances[2])
elif bsawe < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = -1
signal.p = self.price.close[-1]
if self.tomdemark.c.tdst:
signal.sl = self.tomdemark.c.tdst
if len(self.pivotpoint.supports[2]):
signal.tp = np.min(self.pivotpoint.supports[2])
return signal
def compute(self, timestamp, last_timestamp, candles, prices, volumes):
signal = None
# volume sma, increase signal strength when volume increase over its SMA
# volume_sma = utils.MM_n(self.depth-1, self.volume.volumes)
if self.rsi:
self.rsi.compute(last_timestamp, prices)
# if self.volume_ema:
# self.volume_ema.compute(last_timestamp, volumes)
# if self.volume.last > self.volume_ema.last:
# volume_signal = 1
# elif self.volume.last < self.volume_ema.last:
# volume_signal = -1
if self.pivotpoint:
self.pivotpoint.compute(last_timestamp, self.price.open,
self.price.high, self.price.low,
self.price.close)
# if self.bollingerbands:
# self.bollingerbands.compute(last_timestamp, prices)
# bb_break = 0
# bb_ma = 0
# if prices[-1] > self.bollingerbands.last_top:
# bb_break = 1
# elif prices[-1] < self.bollingerbands.last_bottom:
# bb_break = -1
# if prices[-1] > self.bollingerbands.last_ma:
# bb_ma = -1
# elif prices[-1] > self.bollingerbands.last_ma:
# bb_ma = 1
if self.atr:
self.atr.compute(last_timestamp, self.price.high, self.price.low,
self.price.close)
if self.bbawe:
# use OHLC4 as price in place of close
bbawe = self.bbawe.compute(last_timestamp, self.price.high,
self.price.low, self.price.prices)
if self.tomdemark:
self.tomdemark.compute(last_timestamp, self.price.timestamp,
self.price.high, self.price.low,
self.price.prices)
level1_signal = 0
if bbawe > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = self.price.close[-1]
if self.tomdemark.c.tdst:
signal.sl = self.tomdemark.c.tdst
if len(self.pivotpoint.resistances[2]):
signal.tp = np.max(self.pivotpoint.resistances[2])
elif bbawe < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = -1
signal.p = self.price.close[-1]
if self.tomdemark.c.tdst:
signal.sl = self.tomdemark.c.tdst
if len(self.pivotpoint.supports[2]):
signal.tp = np.min(self.pivotpoint.supports[2])
#
# setup completed
#
# sell-setup
if self.tomdemark.c.c == 9 and self.tomdemark.c.d < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
# buy-setup
elif self.tomdemark.c.c == 9 and self.tomdemark.c.d > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = -1
signal.p = self.price.close[-1]
return signal
def process1(self, timestamp, to_ts, candles, prices, volumes):
signal = None
# volume sma, increase signal strength when volume increase over its SMA
volume_sma = utils.MM_n(self.depth-1, self.volume.volumes)
rsi = 0
rsi_30_70 = 0 # 1 <30, -1 >70
rsi_40_60 = 0 # 1 if RSI in 40-60
stochrsi = 0
stochrsi_20_80 = 0 # 1 <20, -1 >80
stochrsi_40_60 = 0 # 1 if stochRSI in 40-60
volume_signal = 0
ema_sma_cross = 0
ema_sma_height = 0
if self.rsi:
self.rsi.compute(to_ts, prices)[-1]
if self.rsi.last < self.rsi_low:
rsi_30_70 = 1.0
elif self.rsi.last > self.rsi_high:
rsi_30_70 = -1.0
if self.rsi.last > 0.4 and self.rsi.last < 0.6:
rsi_40_60 = 1
if self.stochrsi:
stochrsi = self.stochrsi.compute(to_ts, prices)[0][-1]
if stochrsi < 0.2:
stochrsi_20_80 = 1.0
elif stochrsi > 0.8:
stochrsi_20_80 = -1.0
if stochrsi > 0.4 and stochrsi < 0.6:
stochrsi_40_60 = 1
signal = StrategySignal(self.tf, timestamp)
if self.volume.last > volume_sma[-1]:
volume_signal = 1
elif self.volume.last < volume_sma[-1]:
volume_signal = -1
if self.sma and self.ema:
sma = self.sma.compute(to_ts, prices)[-2:]
ema = self.ema.compute(to_ts, prices)[-2:]
# ema over sma crossing
ema_sma_cross = utils.cross((ema[-2], sma[-2]), (ema[-1], sma[-1]))
if ema[-1] > sma[-1]:
ema_sma_height = 1
elif ema[-1] < sma[-1]:
ema_sma_height = -1
if self.tomdemark:
td = self.tomdemark.compute(to_ts, self.price.timestamp, self.price.high, self.price.low, self.price.close)[-1]
#
# setup entry
#
# long entry on sell-setup + rsi oversell
if (td.c == 2 or td.c == 3) and td.d < 0 and candles[-1].close > candles[-2].close:
# if rsi < 0.6: # (ema_sma_height > 0 and rsi_40_60 > 0): # or rsi_30_70 < 0: # 1
if stochrsi_20_80 > 0 or rsi_30_70 > 0:
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = candles[-1].close
signal.sl = td.tdst or candles[-1].low - candles[-1].height
# 1.618 fibo
# signal.tp = (self.price.max - self.price.min) * 1.618 + self.price.close
#logger.info("> entry long %s c2-c3, c:%s p:%s sl:%s tp:%s" % (self.tf, td.c, signal.p, signal.sl, signal.tp))
# short entry on buy-setup + rsi overbuy
elif (td.c > 1 and td.c < 4) and td.d > 0 and candles[-1].close < candles[-2].close:
if stochrsi_20_80 < 0 or rsi_30_70 < 0:
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = -1
signal.p = candles[-1].close
signal.sl = td.tdst or candles[-1].high + candles[-1].height
# 1.618 fibo
# signal.tp = self.price.close - (self.price.max - self.price.min) * 1.618
# logger.info("> entry short c2-c3, p:%s sl:%s tp:%s" % (signal.p, signal.sl, signal.tp))
#
# invalidation (3-7)
#
# elif td.c >= 3 and td.c <= 7:
# # if td.d > 0: # and candles[-1].close < candles[-2].low:
# if td.d < 0: # and candles[-1].close < candles[-2].low:
# # short cancelation (excess of volume and ema under sma)
# pass
# # elif td.d < 0 and candles[-1].close < candles[-2].close:
# elif td.d > 0: # and candles[-1].close < candles[-2].close:
# # long cancelation (excess of volume and ema under sma)
# # if ema_sma_height < 0 or rsi_40_60 > 0:
# # if stochrsi_20_80 < 0: # and volume_signal > 0:
# # if ema_sma_height < 0 and volume_signal > 0:
# # logger.info("> rsi_30_70 %s / rsi_40_60 %s / ema_sma_height %s / volume_signal %s" % (rsi_30_70, rsi_40_60, ema_sma_height, volume_signal))
# signal.signal = StrategySignal.SIGNAL_EXIT # CANCEL
# signal.dir = 1
# signal.p = candles[-1].close
# logger.info("> canceled long entry c2-c3, p:%s" % (signal.p,))
#
# setup completed
#
elif (td.c == 8 and td.p) or td.c == 9:
if td.d < 0: # and candles[-1].close > candles[-2].close:
#if stochrsi_20_80 > 1:
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = candles[-1].close
# logger.info("> Exit long %s c8p-c9 (%s%s)" % (self.tf, td.c, 'p' if signal.p else ''))
elif td.d > 0: # and candles[-1].close < candles[-2].close:
# if stochrsi_20_80 < 0:
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = -1
signal.p = candles[-1].close
# logger.info("> Exit short %s c8p-c9 (%s%s)" % (self.tf, td.c, 'p' if signal.p else ''))
#
# CD entry
#
if td.cd >= 1 and td.cd <= 3:
# count-down sell-setup + rsi oversell
if td.cdd < 0: # and candles[-1].close > candles[-2].high:
# if rsi_30_70 > 0:
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = candles[-1].close
signal.sl = td.tdst
self.score.add(1.0, 1.0, 'td9-cd')
logger.info("> Entry long %s cd13, sl:%s" % (self.tf, signal.sl,))
# count-down buy-setup + rsi overbuy
elif td.cdd > 0: # and candles[-1].close < candles[-2].low:
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = -1
signal.p = candles[-1].close
logger.info("> cancel entry long %s (sell ct13), p:%s" % (self.tf, signal.p,))
# # if rsi_30_70 < 0:
# # signal.signal = StrategySignal.SIGNAL_ENTRY
# # signal.dir = -1
# # signal.p = candles[-1].close
# # signal.sl = td.tdst
# # self.score.add(-1.0, 1.0, 'td9-cd')
# logger.info("> entry short cd13")
# pass
#
# CD13 setup
#
elif td.cd == 13:
logger.info(td.cd)
# count-down sell-setup completed
if td.cdd < 0:
signal.signal = StrategySignal.SIGNAL_EXIT
signal.p = candles[-1].close
signal.dir = 1
logger.info("> Exit long cd13")
# count-down buy-setup completed
elif td.cdd > 0:
signal.signal = StrategySignal.SIGNAL_EXIT
signal.p = candles[-1].close
signal.dir = -1
logger.info("> Exit short cd13")
pass
return signal
def process4(self, timestamp, last_timestamp, candles, prices, volumes):
signal = None
# volume sma, increase signal strength when volume increase over its SMA
volume_sma = utils.MM_n(self.depth-1, self.volume.volumes)
rsi_30_70 = 0 # 1 <30, -1 >70
rsi_40_60 = 0 # 1 if RSI in 40-60
rsi_trend = 0
stochrsi_20_80 = 0 # 1 <20, -1 >80
stochrsi_40_60 = 0 # 1 if stochRSI in 40-60
volume_signal = 0
ema_sma_cross = 0
ema_sma_height = 0
if self.tf == 4*60*60:
self.sma200.compute(last_timestamp, prices)
self.sma55.compute(last_timestamp, prices)
if self.rsi:
self.rsi.compute(last_timestamp, prices)
if self.rsi.last < self.rsi_low:
rsi_30_70 = 1.0
elif self.rsi.last > self.rsi_high:
rsi_30_70 = -1.0
if self.rsi.last > 0.4 and self.rsi.last < 0.6:
rsi_40_60 = 1
rsi_trend = utils.trend_extremum(self.rsi.rsis)
# if self.stochrsi:
# self.stochrsi.compute(last_timestamp, prices)
# if self.stochrsi.last_k < 0.2:
# stochrsi_20_80 = 1.0
# elif self.stochrsi.last_k > 0.8:
# stochrsi_20_80 = -1.0
# if self.stochrsi.last_k > 0.4 and self.stochrsi.last_k < 0.6:
# stochrsi_40_60 = 1
# if self.volume_ema:
# self.volume_ema.compute(last_timestamp, volumes)
# if self.volume.last > self.volume_ema.last:
# volume_signal = 1
# elif self.volume.last < self.volume_ema.last:
# volume_signal = -1
if self.sma and self.ema:
self.sma.compute(last_timestamp, prices)
self.ema.compute(last_timestamp, prices)
# ema over sma crossing
ema_sma_cross = utils.cross((self.ema.prev, self.sma.prev), (self.ema.last, self.sma.last))
if self.ema.last > self.sma.last:
ema_sma_height = 1
elif self.ema.last < self.sma.last:
ema_sma_height = -1
if self.bollingerbands:
self.bollingerbands.compute(last_timestamp, prices)
bb_break = 0
bb_ma = 0
if prices[-1] > self.bollingerbands.last_top:
bb_break = 1
elif prices[-1] < self.bollingerbands.last_bottom:
bb_break = -1
# if prices[-1] > self.bollingerbands.last_ma:
# bb_ma = -1
# elif prices[-1] > self.bollingerbands.last_ma:
# bb_ma = 1
if self.bbawe:
bbawe = self.bbawe.compute(last_timestamp, self.price.high, self.price.low, self.price.close)
if self.atr:
self.atr.compute(last_timestamp, self.price.high, self.price.low, self.price.close)
level1_signal = 0
if self.ema.last < self.sma.last:
# bear trend
if self.rsi.last > 0.5: # initial: 0.5
level1_signal = -1
elif self.rsi.last < 0.2: # initial: 0.2
level1_signal = 1
else:
# bull trend
if self.rsi.last > 0.8: # initial: 0.8
level1_signal = -1
elif self.rsi.last < 0.6: # initial: 0.6
level1_signal = 1
if bbawe > 0:# and level1_signal > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = self.price.close[-1]
# if self.tomdemark.c.tdst:
# signal.sl = self.tomdemark.c.tdst
elif bbawe < 0:# and level1_signal < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = -1
signal.p = self.price.close[-1]
# if self.tomdemark.c.tdst:
# signal.sl = self.tomdemark.c.tdst
if self.tomdemark:
self.tomdemark.compute(last_timestamp, self.price.timestamp, self.price.high, self.price.low, self.price.close)
#
# setup completed
#
# sell-setup
# if self.tomdemark.c.c == 9 and self.tomdemark.c.d < 0:
# signal = StrategySignal(self.tf, timestamp)
# signal.signal = StrategySignal.SIGNAL_EXIT
# signal.dir = 1
# signal.p = self.price.close[-1]
# # buy-setup
# elif self.tomdemark.c.c == 9 and self.tomdemark.c.d > 0:
# signal = StrategySignal(self.tf, timestamp)
# signal.signal = StrategySignal.SIGNAL_EXIT
# signal.dir = -1
# signal.p = self.price.close[-1]
# if signal and signal.signal == StrategySignal.SIGNAL_ENTRY:
# # if level1_signal > 0 and len(self.pivotpoint.supports[1]):
# # # cancel if not below a support (long direction)
# # if self.price.last >= np.nanmax(self.pivotpoint.supports[1]):
# # level1_signal = 0
# # if level1_signal < 0 and len(self.pivotpoint.resistances[1]):
# # # cancel if not above a resistance (short direction)
# # if self.price.last <= np.nanmin(self.pivotpoint.resistances[1]):
# # level1_signal = 0
# if level1_signal > 0 and len(self.pivotpoint.supports[1]):
# # cancel if not below a support (long direction)
# if self.price.last >= np.nanmax(self.pivotpoint.supports[1]):
# level1_signal = 0
# signal = None
# if level1_signal < 0 and len(self.pivotpoint.resistances[1]):
# # cancel if not below a resistance (short direction)
# if self.price.last <= np.nanmin(self.pivotpoint.resistances[1]):
# level1_signal = 0
# signal = None
return signal
def process1(self, timestamp, last_timestamp, candles, prices, volumes):
signal = None
# volume sma, increase signal strength when volume increase over its SMA
# volume_sma = utils.MM_n(self.depth-1, self.volume.volumes)
#
# signals analysis
#
rsi_30_70 = 0 # -1 30, 1 70
rsi_40_60 = 0 # 1 if RSI in 40-60
volume_signal = 0
ema_sma_cross = 0
ema_sma_height = 0
if self.rsi:
self.rsi.compute(last_timestamp, prices)
if self.rsi.last < self.rsi_low:
rsi_30_70 = 1.0
elif self.rsi.last > self.rsi_high:
rsi_30_70 = -1.0
if self.rsi.last > 0.4 and self.rsi.last < 0.6:
rsi_40_60 = 1
# if self.volume.last > volume_sma[-1]:
# volume_signal = 1
# elif self.volume.last < volume_sma[-1]:
# volume_signal = -1
if self.sma200:
self.sma200.compute(last_timestamp, prices)
if self.sma55:
self.sma55.compute(last_timestamp, prices)
if self.sma and self.ema:
self.sma.compute(last_timestamp, prices)
self.ema.compute(last_timestamp, prices)
# ema over sma crossing
ema_sma_cross = utils.cross((self.ema.prev, self.sma.prev),
(self.ema.last, self.sma.last))
if self.ema.last > self.sma.last:
ema_sma_height = 1
elif self.ema.last < self.sma.last:
ema_sma_height = -1
bb_way = 0
if self.bollingerbands:
self.bollingerbands.compute(last_timestamp, prices)
if self.bollingerbands.last_ma < prices[
-1] < self.bollingerbands.last_top:
bb_way = -1
if self.mama:
self.mama.compute(last_timestamp, self.price.close)
cross = self.mama.cross()
if cross > 0:
self.mama_cross = (1, last_timestamp, self.price.close[-1])
elif cross < 0:
self.mama_cross = (-1, last_timestamp, self.price.close[-1])
else:
self.mama_cross = (0, last_timestamp, self.price.close[-1])
# or we can try an entry on cross signal
if cross > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = candles[-1].close
# if ema_sma_cross > 0 and rsi_30_70 > 0:
# self.trend = 1
# elif ema_sma_cross < 0 and rsi_30_70 < 0:
# signal = StrategySignal(self.tf, timestamp)
# signal.signal = StrategySignal.SIGNAL_EXIT
# signal.dir = 1
# signal.p = candles[-1].close
# self.trend = -1
# else:
# self.trend = 0
ema_sma = 0
if self.ema.last < self.sma.last:
# bear trend
if self.rsi.last > 0.5: # initial: 0.5
ema_sma = -1
elif self.rsi.last < 0.2: # initial: 0.2
ema_sma = 1
else:
# bull trend
if self.rsi.last > 0.8: # initial: 0.8
ema_sma = -1
elif self.rsi.last < 0.6: # initial: 0.6
ema_sma = 1
if ema_sma < 0 and self.mama and self.mama.trend() < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = candles[-1].close
if self.mama:
self.trend = self.mama.trend()
else:
self.trend = ema_sma
# can long on upward trend, on dip or on lower of bollinger if range
# @todo detect dip, bollinger range (flat mama + first bounces)
self.can_long = self.trend >= 0 # or ema_sma > 0
if self.pivotpoint:
self.pivotpoint.compute(last_timestamp, self.price.open,
self.price.high, self.price.low,
self.price.close)
if self.atr:
self.atr.compute(last_timestamp, self.price.high, self.price.low,
self.price.close)
if self.tomdemark:
self.tomdemark.compute(last_timestamp, self.price.timestamp,
self.price.high, self.price.low,
self.price.close)
if self.tomdemark.c.c == 9 and self.tomdemark.c.d < 0:
# setup complete and trend change
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
elif 3 <= self.tomdemark.c.c <= 5 and self.tomdemark.c.d > 0: # and (ema_sma < 0):
# cancelation
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
return signal
def process_cb(self, timestamp, last_timestamp, candles, prices, volumes):
"""
Entry : EMA crossing + TD9 entry confirmation
Exit : TD9 or opposite signal + EMA trend + RSI level
"""
signal = None
# volume sma, increase signal strength when volume increase over its SMA
volume_sma = utils.MM_n(self.depth-1, self.volume.volumes)
rsi_30_70 = 0 # 1 <30, -1 >70
rsi_40_60 = 0 # 1 if RSI in 40-60
rsi_trend = 0
stochrsi_20_80 = 0 # 1 <20, -1 >80
stochrsi_40_60 = 0 # 1 if stochRSI in 40-60
volume_signal = 0
ema_sma_cross = 0
ema_sma_height = 0
if self.tf == Instrument.TF_4HOUR:
self.sma200.compute(timestamp, prices)
self.sma55.compute(timestamp, prices)
if self.rsi:
self.rsi.compute(timestamp, prices)
if self.rsi.last < self.rsi_low:
rsi_30_70 = 1.0
elif self.rsi.last > self.rsi_high:
rsi_30_70 = -1.0
if self.rsi.last > 0.4 and self.rsi.last < 0.6:
rsi_40_60 = 1
rsi_trend = utils.trend_extremum(self.rsi.rsis)
# if self.stochrsi:
# self.stochrsi.compute(timestamp, prices)
# if self.stochrsi.last_k < 0.2:
# stochrsi_20_80 = 1.0
# elif self.stochrsi.last_k > 0.8:
# stochrsi_20_80 = -1.0
# if self.stochrsi.last_k > 0.4 and self.stochrsi.last_k < 0.6:
# stochrsi_40_60 = 1
# if self.volume_ema:
# self.volume_ema.compute(timestamp, volumes)
# if self.volume.last > self.volume_ema.last:
# volume_signal = 1
# elif self.volume.last < self.volume_ema.last:
# volume_signal = -1
if self.sma and self.ema:
self.sma.compute(timestamp, prices)
self.ema.compute(timestamp, prices)
# ema over sma crossing
ema_sma_cross = utils.cross((self.ema.prev, self.sma.prev), (self.ema.last, self.sma.last))
if self.ema.last > self.sma.last:
ema_sma_height = 1
elif self.ema.last < self.sma.last:
ema_sma_height = -1
# if self.bollingerbands:
# self.bollingerbands.compute(timestamp, prices)
# bb_break = 0
# bb_ma = 0
# if prices[-1] > self.bollingerbands.last_top:
# bb_break = 1
# elif prices[-1] < self.bollingerbands.last_bottom:
# bb_break = -1
# # if prices[-1] > self.bollingerbands.last_ma:
# # bb_ma = -1
# # elif prices[-1] > self.bollingerbands.last_ma:
# # bb_ma = 1
if self.atr:
if self.last_closed:
self.atr.compute(timestamp, self.price.high, self.price.low, self.price.close)
if self.pivotpoint:
if self.pivotpoint.compute_at_close and self.last_closed:
self.pivotpoint.compute(timestamp, self.price.open, self.price.high, self.price.low, self.price.close)
if self.bsawe:
if self.last_closed:
# use OHLC4 as price in place of close
bsawe = self.bsawe.compute(timestamp, self.price.high, self.price.low, self.price.prices)
#
# trend signal
#
ema_rsi_signal = 0
if self.ema.last < self.sma.last:
# bear trend
if self.rsi.last > 0.5: # initial: 0.5
ema_rsi_signal = -1
elif self.rsi.last < 0.2: # initial: 0.2
ema_rsi_signal = 1
else:
# bull trend
if self.rsi.last > 0.8: # initial: 0.8
ema_rsi_signal = -1
elif self.rsi.last < 0.6: # initial: 0.6
ema_rsi_signal = 1
#
# entry computation
#
if bsawe > 0 and ema_rsi_signal != -1:
# long entry
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = self.price.close[-1]
if self.tomdemark.c.tdst and signal.sl < signal.p:
signal.sl = self.tomdemark.c.tdst
if len(self.pivotpoint.resistances[2]):
tp = np.max(self.pivotpoint.resistances[2])
if tp > self.atr.stop_loss(-1):
# try with twice (same for short)
signal.tp = (tp - signal.p) * 2.0 + signal.p
# signal.tp = tp
elif bsawe < 0 and ema_rsi_signal != 1:
# short entry
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = -1
signal.p = self.price.close[-1]
if self.tomdemark.c.tdst and signal.sl > signal.p:
signal.sl = self.tomdemark.c.tdst
if len(self.pivotpoint.supports[2]):
tp = np.min(self.pivotpoint.supports[2])
if tp < self.atr.stop_loss(1):
signal.tp = signal.p - (signal.p - tp) * 2.0
# signal.tp = tp
#
# exit computation
#
if self.tomdemark:
if self.tomdemark.compute_at_close and self.last_closed:
# last_timestamp
self.tomdemark.compute(timestamp, self.price.timestamp, self.price.high, self.price.low, self.price.close)
# only on 5min timeframe, or could manage at strategy only for parent timeframe
# sell-setup
if self.tomdemark.c.c >= 8 and self.tomdemark.c.d < 0 and ema_rsi_signal < 0 and self.tf == Instrument.TF_5MIN:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
# buy-setup
elif self.tomdemark.c.c >= 8 and self.tomdemark.c.d > 0 and ema_rsi_signal > 0 and self.tf == Instrument.TF_5MIN:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = -1
signal.p = self.price.close[-1]
#
# setup aborted (@todo how to in this long/short case)
#
elif ((self.tomdemark.c.c >= 4 and self.tomdemark.c.c <= 7) and self.tomdemark.c.d < 0) and ema_rsi_signal < 0 and self.tf == Instrument.TF_5MIN:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
elif ((self.tomdemark.c.c >= 4 and self.tomdemark.c.c <= 7) and self.tomdemark.c.d > 0) and ema_rsi_signal > 0 and self.tf == Instrument.TF_5MIN:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = -1
signal.p = self.price.close[-1]
return signal
def process_td9(self, timestamp, last_timestamp, candles, prices, volumes):
signal = None
# volume sma, increase signal strength when volume increase over its SMA
# volume_sma = utils.MM_n(self.depth-1, self.volume.volumes)
rsi = 0
rsi_30_70 = 0 # 1 <30, -1 >70
rsi_40_60 = 0 # 1 if RSI in 40-60
# rsi_trend = 0
stochrsi = 0
stochrsi_20_80 = 0 # 1 <20, -1 >80
stochrsi_40_60 = 0 # 1 if stochRSI in 40-60
volume_signal = 0
ema_sma_cross = 0
ema_sma_height = 0
if self.rsi:
self.rsi.compute(timestamp, prices)
if self.rsi.last < self.rsi_low:
rsi_30_70 = 1.0
elif rsi > self.rsi_high:
rsi_30_70 = -1.0
if self.rsi.last > 0.4 and self.rsi.last < 0.6:
rsi_40_60 = 1
if self.stochrsi:
self.stochrsi.compute(timestamp, prices)
stochrsi = self.stochrsi.last_k
if stochrsi < 0.2:
stochrsi_20_80 = 1.0
elif stochrsi > 0.8:
stochrsi_20_80 = -1.0
if stochrsi > 0.4 and stochrsi < 0.6:
stochrsi_40_60 = 1
# if self.volume.last > volume_sma[-1]:
# volume_signal = 1
# elif self.volume.last < volume_sma[-1]:
# volume_signal = -1
if self.sma and self.ema:
self.sma.compute(timestamp, prices)
self.ema.compute(timestamp, prices)
# ema over sma crossing
ema_sma_cross = utils.cross((self.ema.prev, self.sma.prev), (self.ema.last, self.sma.last))
if self.ema.last > self.sma.last:
ema_sma_height = 1
elif self.ema.last < self.sma.last:
ema_sma_height = -1
if self.bollingerbands:
self.bollingerbands.compute(timestamp, prices)
bb_break = 0
bb_ma = 0
if prices[-1] > self.bollingerbands.last_top:
bb_break = 1
elif prices[-1] < self.bollingerbands.last_bottom:
bb_break = -1
if prices[-1] > self.bollingerbands.last_ma:
bb_ma = -1
elif prices[-1] > self.bollingerbands.last_ma:
bb_ma = 1
if self.atr:
if self.last_closed:
self.atr.compute(timestamp, self.price.high, self.price.low, self.price.close)
if self.tomdemark:
if self.tomdemark.compute_at_close and self.last_closed:
# last_timestamp
self.tomdemark.compute(timestamp, self.price.timestamp, self.price.high, self.price.low, self.price.close)
#
# setup entry
#
# long entry on sell-setup + rsi oversell
if (self.tomdemark.c.c == 2 and self.tomdemark.c.d < 0 and self.price.close[-1] > self.price.close[-2]) or (self.tomdemark.c.c == 3): # avec td3
# # if (td.c == 1 and td.d < 0 and candles[-1].close > candles[-2].close):
# if (td.c == 2 and td.d < 0 and candles[-1].close > candles[-2].close):
# if ((td.c == 2 or td.c == 3) and td.d < 0 and candles[-1].close > candles[-2].close):
# if ((td.c == 2 or td.c == 3) and td.d < 0) and candles[-1].close > candles[-2].close:
# if bb_break == 0:
# if (bb_break == 0 and bb_ma < 0): # test with aggressive + bb
# if (stochrsi_20_80 > 0 or rsi_30_70 > 0):
# if (ema_sma_height > 0 or rsi_30_70 > 0) and bb_break >= 0:
# if (bb_break == 0 and bb_ma < 0) and (stochrsi_20_80 > 0 or rsi_30_70 > 0): # used with average case but not with aggressive
# if (bb_break == 0 and bb_ma < 0) and (ema_sma_height > 0 or rsi_30_70 > 0): # and volume_signal > 0:
# if (stochrsi_20_80 > 0 or rsi_30_70 > 0): # la classique mais prend des risk, a voir avec un bon SL peut-être
# if (rsi_trend > 0) and (ema_sma_height > 0 or rsi_30_70 > 0): # protege de perte mais rate des gains
# if (ema_sma_height > 0 or rsi_30_70 > 0): # and volume_signal > 0: # C4
# if ema_sma_height > 0: # C5
# if ema_sma_height > 0 and bb_break >= 0 and rsi_trend > 0: # C6
# if ema_sma_height > 0 and bb_break >= 0 and stochrsi_20_80 > 0:
# if 1: # C1
# if rsi_trend > 0 and bb_break > 0: # pas mal evite des entrees foireuses mais pas assez de profits
# if (stochrsi_20_80 > 0 or rsi_30_70 > 0): # la classique mais prend des risk, il faut un bon stop-loss
if (ema_sma_height > 0 or rsi_30_70 > 0) and bb_break <= 0:
# if rsi_trend and (stochrsi_20_80 > 0 or rsi_30_70 > 0):
# if (stochrsi_20_80 > 0 and rsi_30_70 > 0):
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = self.price.close[-1]
if self.tomdemark.c.tdst:
signal.sl = self.tomdemark.c.tdst
# Terminal.inst().info("Entry %s %s" % (self.tomdemark.c.tdst, signal.sl), view='default')
# aggressive entry
if ((self.tomdemark.c.c == 9 or (self.tomdemark.c.c == 8 and self.tomdemark.c.p)) and self.tomdemark.c.d > 0):
# if stochrsi_20_80 > 0 and rsi_30_70 > 0 and candles[-1].close > candles[-2].close: # C1 -
# if 1: # C4 +++
# if stochrsi_20_80 > 0 and candles[-1].close > candles[-2].close: # C3 ++
# if rsi_30_70 > 0 and candles[-1].close > candles[-2].close: # C5 ??
# if ema_sma_height > 0 and bb_break >= 0 and rsi_trend > 0: # C6 ??
# if ema_sma_height > 0 and bb_break >= 0 and stochrsi_20_80 > 0: # C7 ??
# if (ema_sma_height > 0 or rsi_30_70 > 0): # C2 +
# if stochrsi_20_80 > 0 and candles[-1].close > candles[-2].close: # C3 ++
if (stochrsi_20_80 > 0 or rsi_30_70 > 0): # C8 ??
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = self.price.close[-1]
# Terminal.inst().info("Aggressive entry %s %s" % (self.tomdemark.c.tdst, signal.sl), view='default')
#
# invalidation 2 of opposite setup
#
# @todo or if a >= 3 <= 7 close below the previous candle close
# can make loss in bull run
# second condition might be optimized
elif (self.tomdemark.c.c == 2 and self.tomdemark.c.d > 0 and self.price.close[-1] < self.price.close[-2]) or (self.tomdemark.c.c == 3 and self.tomdemark.c.d > 0):
# elif td.c == 3 and td.d > 0: # and candles[-1].close < candles[-2].close:
# long cancelation on buy-setup formation
# if ema_sma_height < 0 or rsi_40_60 > 0: # (excess of volume and ema under sma)
# if stochrsi_20_80 < 0: # and volume_signal > 0:
# if bb_break < 0:
# if (rsi_trend < 0): # C2
# if 1: # C1 +
# if (bb_break == 0 and bb_ma < 0): # C3 ++
if ema_sma_height < 0: # and volume_signal > 0:
# Terminal.inst().info("rsi_30_70 %s / rsi_40_60 %s / ema_sma_height %s / volume_signal %s" % (rsi_30_70, rsi_40_60, ema_sma_height, volume_signal), view='default')
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT # CANCEL
signal.dir = 1
signal.p = self.price.close[-1]
# Terminal.inst().info("Canceled long entry %s c2-c3, p:%s tf:%s" % (self.strategy_trader.instrument.symbol, signal.p, self.tf), view='default')
#
# setup completed
#
elif (((self.tomdemark.c.c >= 8 and self.tomdemark.c.p) or (self.tomdemark.c.c == 9)) and self.tomdemark.c.d < 0): # and candles[-1].close > candles[-2].close:
if 1: # stochrsi_20_80 > 1:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
# Terminal.inst().info("Exit long %s %s c8p-c9 (%s%s)" % (self.strategy_trader.instrument.symbol, self.tf, self.tomdemark.c.c, 'p' if signal.p else ''), view='default')
#
# setup aborted
#
elif ((self.tomdemark.c.c >= 2 and self.tomdemark.c.c <= 7) and self.tomdemark.c.d < 0) and self.price.close[-1] < self.price.close[-2]: # C1
# if stochrsi_20_80 < 0 or rsi_30_70 < 0: # bearish stoch OR rsi # C1
if stochrsi_20_80 < 0 and rsi_30_70 < 0: # bearish stoch AND rsi (seems better) # C2
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
#Terminal.inst().info("Abort long %s %s c3-c7 (%s%s)" % (self.strategy_trader.instrument.symbol, self.tf, td.c, 'p' if signal.p else ''), view='default')
#
# CD entry
#
if self.tomdemark.cd.c > 1:
Terminal.inst().info("CD%s" % self.tomdemark.cd.c)
if self.tomdemark.cd.c == 1:
# count-down buy-setup + rsi oversell
Terminal.inst().info("CD1")
if self.tomdemark.c.d < 0: # and candles[-1].close > candles[-2].high:
# if rsi_30_70 > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = self.price.last
signal.sl = self.tomdemark.c.tdst
Terminal.inst().info("Entry long %s %s cd13, sl:%s" % (self.strategy_trader.instrument.symbol, self.tf, signal.sl,), view='default')
#
# CD13 setup
#
elif self.tomdemark.cd.c == 13:
# count-down sell-setup completed
if self.tomdemark.cd.d < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.p = self.price.close[-1]
signal.dir = 1
Terminal.inst().info("Exit long cd13", view='default')
return signal
def process_ch(self, timestamp, last_timestamp, candles, prices, volumes):
"""
Entry : EMA trend + RSI level + TD9 entry confirmation
Exit : TD9 or opposite signal
"""
signal = None
# volume sma, increase signal strength when volume increase over its SMA
volume_sma = utils.MM_n(self.depth-1, self.volume.volumes)
rsi_30_70 = 0 # 1 <30, -1 >70
rsi_40_60 = 0 # 1 if RSI in 40-60
rsi_trend = 0
stochrsi_20_80 = 0 # 1 <20, -1 >80
stochrsi_40_60 = 0 # 1 if stochRSI in 40-60
volume_signal = 0
ema_sma_cross = 0
ema_sma_height = 0
if self.tf == 4*60*60:
self.sma200.compute(timestamp, prices)
self.sma55.compute(timestamp, prices)
if self.rsi:
self.rsi.compute(timestamp, prices)
if self.rsi.last < self.rsi_low:
rsi_30_70 = 1.0
elif self.rsi.last > self.rsi_high:
rsi_30_70 = -1.0
if self.rsi.last > 0.4 and self.rsi.last < 0.6:
rsi_40_60 = 1
rsi_trend = utils.trend_extremum(self.rsi.rsis)
# if self.stochrsi:
# self.stochrsi.compute(timestamp, prices)
# if self.stochrsi.last_k < 0.2:
# stochrsi_20_80 = 1.0
# elif self.stochrsi.last_k > 0.8:
# stochrsi_20_80 = -1.0
# if self.stochrsi.last_k > 0.4 and self.stochrsi.last_k < 0.6:
# stochrsi_40_60 = 1
# if self.volume_ema:
# self.volume_ema.compute(timestamp, volumes)
# if self.volume.last > self.volume_ema.last:
# volume_signal = 1
# elif self.volume.last < self.volume_ema.last:
# volume_signal = -1
if self.sma and self.ema:
self.sma.compute(timestamp, prices)
self.ema.compute(timestamp, prices)
# ema over sma crossing
ema_sma_cross = utils.cross((self.ema.prev, self.sma.prev), (self.ema.last, self.sma.last))
if self.ema.last > self.sma.last:
ema_sma_height = 1
elif self.ema.last < self.sma.last:
ema_sma_height = -1
if self.bollingerbands:
self.bollingerbands.compute(timestamp, prices)
bb_break = 0
bb_ma = 0
if prices[-1] > self.bollingerbands.last_top:
bb_break = 1
elif prices[-1] < self.bollingerbands.last_bottom:
bb_break = -1
# if prices[-1] > self.bollingerbands.last_ma:
# bb_ma = -1
# elif prices[-1] > self.bollingerbands.last_ma:
# bb_ma = 1
if self.atr:
if self.last_closed:
self.atr.compute(timestamp, self.price.high, self.price.low, self.price.close)
if self.pivotpoint:
if self.pivotpoint.compute_at_close and self.last_closed:
self.pivotpoint.compute(timestamp, self.price.open, self.price.high, self.price.low, self.price.close)
level1_signal = 0
if self.ema.last < self.sma.last:
# bear trend
if self.rsi.last > 0.5: # initial: 0.5
level1_signal = -1
elif self.rsi.last < 0.2: # initial: 0.2
level1_signal = 1
else:
# bull trend
if self.rsi.last > 0.8: # initial: 0.8
level1_signal = -1
elif self.rsi.last < 0.6: # initial: 0.6
level1_signal = 1
if self.tomdemark:
if self.tomdemark.compute_at_close and self.last_closed:
# last_timestamp
self.tomdemark.compute(timestamp, self.price.timestamp, self.price.high, self.price.low, self.price.close)
# long entry on sell-setup
if self.tomdemark.c.c >= 1 and self.tomdemark.c.c <= 6 and self.tomdemark.c.d < 0 and level1_signal > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = self.price.close[-1]
if self.tomdemark.c.tdst:
signal.sl = self.tomdemark.c.tdst
if len(self.pivotpoint.resistances[1]):
signal.tp = np.max(self.pivotpoint.resistances[1])
# Terminal.inst().info("Entry long %s %s" % (self.tomdemark.c.tdst, signal.sl), view='default')
# short entry on buy-setup
elif self.tomdemark.c.c >= 1 and self.tomdemark.c.c <= 6 and self.tomdemark.c.d > 0 and level1_signal < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = -1
signal.p = self.price.close[-1]
if self.tomdemark.c.tdst:
signal.sl = self.tomdemark.c.tdst
if len(self.pivotpoint.supports[1]):
signal.tp = np.min(self.pivotpoint.supports[1])
# Terminal.inst().info("Entry short %s %s" % (self.tomdemark.c.tdst, signal.sl), view='default')
# aggressive long entry
elif self.tomdemark.c.c >= 8 and self.tomdemark.c.d > 0 and level1_signal > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = self.price.close[-1]
if len(self.pivotpoint.resistances[1]):
signal.tp = np.max(self.pivotpoint.resistances[1])
# td9 cannot provide us a SL, take it from ATR
signal.sl = self.atr.stop_loss(signal.dir)
# Terminal.inst().info("Aggressive long entry %s %s" % (self.tomdemark.c.tdst, signal.sl), view='default')
# aggressive long entry
elif self.tomdemark.c.c >= 8 and self.tomdemark.c.d < 0 and level1_signal < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = -1
signal.p = self.price.close[-1]
if len(self.pivotpoint.supports[1]):
signal.tp = np.min(self.pivotpoint.supports[1])
# td9 cannot provide us a SL, take it from ATR
signal.sl = self.atr.stop_loss(signal.dir)
# Terminal.inst().info("Aggressive short entry %s %s" % (self.tomdemark.c.tdst, signal.sl), view='default')
#
# setup completed
#
# sell-setup
elif self.tomdemark.c.c >= 8 and self.tomdemark.c.d < 0 and level1_signal < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
# Terminal.inst().info("Exit long %s %s c8p-c9 (%s%s)" % (self.strategy_trader.instrument.symbol, self.tf, self.tomdemark.c.c, 'p' if signal.p else ''), view='default')
# buy-setup
elif self.tomdemark.c.c >= 8 and self.tomdemark.c.d > 0 and level1_signal > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = -1
signal.p = self.price.close[-1]
# Terminal.inst().info("Exit short %s %s c8p-c9 (%s%s)" % (self.strategy_trader.instrument.symbol, self.tf, self.tomdemark.c.c, 'p' if signal.p else ''), view='default')
#
# setup aborted (@todo how to in this long/short case)
#
elif ((self.tomdemark.c.c >= 4 and self.tomdemark.c.c <= 7) and self.tomdemark.c.d < 0) and level1_signal < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
# Terminal.inst().info("Abort long %s %s c3-c7 (%s%s)" % (self.strategy_trader.instrument.symbol, self.tf, self.tomdemark.c.c, 'p' if signal.p else ''), view='default')
elif ((self.tomdemark.c.c >= 4 and self.tomdemark.c.c <= 7) and self.tomdemark.c.d > 0) and level1_signal > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = -1
signal.p = self.price.close[-1]
# Terminal.inst().info("Abort long %s %s c3-c7 (%s%s)" % (self.strategy_trader.instrument.symbol, self.tf, self.tomdemark.c.c, 'p' if signal.p else ''), view='default')
# #
# # invalidation 2 of opposite setup
# #
# elif self.tomdemark.c.c > 2 and self.tomdemark.c.d > 0 and level1_signal < 0:
# signal = StrategySignal(self.tf, timestamp)
# signal.signal = StrategySignal.SIGNAL_EXIT
# signal.dir = 1
# signal.p = self.price.close[-1]
# Terminal.inst().info("Canceled long entry %s c2-c3, p:%s tf:%s" % (self.strategy_trader.instrument.symbol, signal.p, self.tf), view='default')
if signal and signal.signal == StrategySignal.SIGNAL_ENTRY:
# if level1_signal > 0 and len(self.pivotpoint.supports[1]):
# # cancel if not below a support (long direction)
# if self.price.last >= np.nanmax(self.pivotpoint.supports[1]):
# level1_signal = 0
# if level1_signal < 0 and len(self.pivotpoint.resistances[1]):
# # cancel if not above a resistance (short direction)
# if self.price.last <= np.nanmin(self.pivotpoint.resistances[1]):
# level1_signal = 0
if level1_signal > 0 and len(self.pivotpoint.supports[1]):
# cancel if not below a support (long direction)
if self.price.last >= np.nanmax(self.pivotpoint.supports[1]):
level1_signal = 0
signal = None
if level1_signal < 0 and len(self.pivotpoint.resistances[1]):
# cancel if not below a resistance (short direction)
if self.price.last <= np.nanmin(self.pivotpoint.resistances[1]):
level1_signal = 0
signal = None
return signal
def process(self, timeframe, timestamp):
# process only when signals of base timeframe
if timeframe != self.base_timeframe:
return
# update data at tick level
if timeframe == self.base_timeframe:
self.gen_candles_from_ticks(timestamp)
accept, compute = self.filter_market(timestamp)
if not accept:
return
# and compute
entries = []
exits = []
if compute:
# we might receive only LONG signals
entries, exits = self.compute(timeframe, timestamp)
#
# global indicators
#
ref_price = self.timeframes[self.ref_timeframe].price.last
# sma200 = self.timeframes[self.ref_timeframe].sma200.last
ref_sma55 = self.timeframes[self.ref_timeframe].sma55.last
ref_sma = self.timeframes[self.ref_timeframe].sma.last
ref_ema = self.timeframes[self.ref_timeframe].ema.last
if self._wait_bless == 1:
if self._wait_timeout > 0 and timestamp >= self._wait_timeout:
# wait for timeout
self._wait_bless = -1
self._wait_timeout = 0
if ref_sma > ref_sma55:
self._wait_bless = -1
Terminal.inst().message("SMA > SMA55 %s (price=%s ema=%s sma=%s sma55=%s)!" % (self.instrument.market_id, ref_price, ref_ema, ref_sma, ref_sma55) , view='content')
#
# filters the entries
#
retained_entries = []
for entry in entries:
# filters entry signal, according to some correlation, parent timeframe signal or trend or trade regions
parent_entry_tf = self.parent_timeframe(entry.timeframe)
# only allowed range of signal for entry
if not (self.min_traded_timeframe <= entry.timeframe <= self.max_traded_timeframe):
continue
# trade region
if not self.check_regions(timestamp, self.instrument.market_bid, self.instrument.market_ofr, entry, self.region_allow):
continue
# ref timeframe is bear don't take the risk
if not self.timeframes[self.sltp_timeframe].can_long:
continue
#
# consecutives loosing trade, stop the curse for a moment
#
if self._wait_bless == 1:
continue
if self._wait_bless == 0 and self._stats['cont-loss'] > self.max_trades:
self._wait_bless = 1
self._wait_timeout = timestamp + 12*60*60 # 12h self-ban
Terminal.inst().message("Curse !!! Wait a moment, or a favorable trend %s !" % self.instrument.market_id, view='content')
continue
if self._wait_bless == -1:
self._wait_bless = 0
# TDST does not give us a stop, ok lets find one using ATR
if not entry.sl:
sl = self.timeframes[self.sltp_timeframe].atr.stop_loss(entry.dir)
if sl < self.instrument.open_exec_price(entry.dir):
entry.sl = sl
# defines a target
if not entry.tp:
tp = self.timeframes[self.sltp_timeframe].pivotpoint.last_resistances[2] #* 1.05
gain = (tp - entry.p) / entry.p
loss = (entry.p - entry.sl) / entry.p
# if loss != 0 and (gain / loss < 1.0):
# continue
# not enought potential profit
if (tp - entry.p) / entry.p < 0.005: # 0.5% min
continue
entry.tp = tp
entry.ptp = 1.0
retained_entries.append(entry)
# TP 50% entry
# entry_50pc = StrategySignal(0, 0)
# entry_50pc.dup(entry)
# entry_50pc.tp = np.max(self.timeframes[self.sltp_timeframe].pivotpoint.resistances[0])#[-1]
# entry_50pc.ptp = 0.25
# retained_entries.append(entry_50pc)
#
# process exits signals
#
if self.trades:
self.lock()
for trade in self.trades:
retained_exit = None
# important, do not update user controlled trades if it have some operations
if trade.is_user_trade() and trade.has_operations():
continue
for signal in exits:
parent_signal_tf = self.parent_timeframe(signal.timeframe)
# receive an exit signal of the timeframe of the trade
if signal.timeframe == trade.timeframe:
retained_exit = signal
break
# exit from parent timeframe signal
# if parent_signal_tf == trade.timeframe:
# retained_exit = signal
# break
# exit from any parent timeframe signal
# if signal.timeframe > trade.timeframe:
# retained_exit = signal
# break
# can cancel a non filled trade if exit signal occurs before timeout (timeframe)
# if trade.is_entry_timeout(timestamp, trade.timeframe):
# trader = self.strategy.trader()
# trade.cancel_open(trader)
# Terminal.inst().info("Canceled order (exit signal or entry timeout) %s" % (self.instrument.market_id,), view='default')
# continue
if trade.is_opened() and not trade.is_valid(timestamp, trade.timeframe):
# @todo re-adjust entry
Terminal.inst().info("Update order %s trade %s TODO" % (trade.id, self.instrument.market_id,), view='default')
continue
# only for active and currently not closing trades
if not trade.is_active() or trade.is_closing() or trade.is_closed():
continue
close_exec_price = self.instrument.close_exec_price(trade.dir)
#
# stop-loss update
#
stop_loss = trade.sl
# ATR stop-loss
sl = self.timeframes[self.sltp_timeframe].atr.stop_loss(trade.direction)
# if (not trade.sl or close_exec_price > trade.entry_price) and sl > stop_loss:
if sl > stop_loss:
stop_loss = sl
if 0:#not trade.sl:
trade.sl = stop_loss
# increase in-profit stop-loss in long direction
# @todo howto ?
# for resistances in self.timeframes[trade.timeframe].pivotpoint.resistances:
# if len(resistances):
# level = resistances[-1]
# if level < close_exec_price and level > stop_loss:
# stop_loss = level
# pivots = self.timeframes[trade.timeframe].pivotpoint.pivots:
# if len(pivots):
# level = pivots[-1]
# if level < close_exec_price and level > stop_loss:
# stop_loss = level
# a try using bbands
# level = self.timeframes[trade.timeframe].bollingerbands.last_ma
# if level >= stop_loss:
# stop_loss = level
if self.timeframes[self.sltp_timeframe].pivotpoint.last_pivot > 0.0:
update_tp = False
if close_exec_price > self.timeframes[self.sltp_timeframe].pivotpoint.last_resistances[2]:
#Terminal.inst().info("Price above R2 %s %s" % (trade.id, self.instrument.market_id), view='content')
update_tp = True
if stop_loss < self.timeframes[self.sltp_timeframe].pivotpoint.last_resistances[1]:
trade.sl = self.timeframes[self.sltp_timeframe].pivotpoint.last_resistances[1]
elif close_exec_price > self.timeframes[self.sltp_timeframe].pivotpoint.last_resistances[1]:
#Terminal.inst().info("Price above R1 %s %s" % (trade.id, self.instrument.market_id), view='content')
update_tp = True
if stop_loss < self.timeframes[self.sltp_timeframe].pivotpoint.last_resistances[0]:
trade.sl = self.timeframes[self.sltp_timeframe].pivotpoint.last_resistances[0]
elif close_exec_price > self.timeframes[self.sltp_timeframe].pivotpoint.last_resistances[0]:
#Terminal.inst().info("Price above R0 %s %s" % (trade.id, self.instrument.market_id), view='content')
update_tp = True
#if stop_loss < self.timeframes[self.sltp_timeframe].pivotpoint.last_pivot:
# trade.sl = self.timeframes[self.sltp_timeframe].pivotpoint.last_pivot
elif close_exec_price > self.timeframes[self.sltp_timeframe].pivotpoint.last_pivot:
#Terminal.inst().info("Price above pivot %s %s" % (trade.id, self.instrument.market_id), view='content')
update_tp = True
#if stop_loss < self.timeframes[self.sltp_timeframe].pivotpoint.last_supports[0]:
# trade.sl = self.timeframes[self.sltp_timeframe].pivotpoint.last_supports[0]
elif close_exec_price > self.timeframes[self.sltp_timeframe].pivotpoint.last_supports[0]:
#Terminal.inst().info("Price above S0 %s %s" % (trade.id, self.instrument.market_id), view='content')
update_tp = True
#if trade.sl < self.timeframes[self.sltp_timeframe].pivotpoint.last_supports[1]:
# trade.sl = self.timeframes[self.sltp_timeframe].pivotpoint.last_supports[1]
elif close_exec_price > self.timeframes[self.sltp_timeframe].pivotpoint.last_supports[1]:
Terminal.inst().info("Price above S1 %s %s" % (trade.id, self.instrument.market_id), view='content')
update_tp = True
#if trade.sl < self.timeframes[self.sltp_timeframe].pivotpoint.last_supports[2]:
# trade.sl = self.timeframes[self.sltp_timeframe].pivotpoint.last_supports[2]
elif close_exec_price > self.timeframes[self.sltp_timeframe].pivotpoint.last_supports[2]:
#Terminal.inst().info("Price above S2 %s %s" % (trade.id, self.instrument.market_id), view='content')
update_tp = True
# if close_exec_price < self.timeframes[self.sltp_timeframe].pivotpoint.last_supports[2]:
# trade.sl = sl #self.timeframes[self.sltp_timeframe].pivotpoint.last_supports[2]
#
# target update
#
tp = self.timeframes[self.sltp_timeframe].pivotpoint.last_resistances[int(2*trade.partial_tp)] # * 1.05
# enought potential profit (0.5% min target)
if (tp - close_exec_price) / close_exec_price > 0.005 and update_tp: # and tp > trade.tp:
trade.tp = tp
#gain = (trade.tp - close_exec_price) / close_exec_price
#loss = (close_exec_price - trade.sl) / close_exec_price
gain = (trade.tp - trade.entry_price) / trade.entry_price
loss = (trade.entry_price - trade.sl) / trade.entry_price
pl = (close_exec_price - trade.entry_price) / trade.entry_price
# if loss != 0 and gain / loss < 1.0 or pl < -0.035: # and close_exec_price < trade.entry_price:
# @todo or at max loss config and as initial sl (worst value)
if pl < -0.035: # and close_exec_price < trade.entry_price:
# not enough chance to win on this trade, cut the loss
retained_exit = StrategySignal(self.sltp_timeframe, timestamp)
retained_exit.signal = StrategySignal.SIGNAL_EXIT
retained_exit.dir = 1
retained_exit.p = close_exec_price
Terminal.inst().info("No more chance to win cut the trade %s %s %s" % (trade.id, self.instrument.market_id, gain / loss), view='content')
#
# exit trade if an exit signal retained
#
if retained_exit:
self.process_exit(timestamp, trade, retained_exit.price)
Terminal.inst().info("Exit trade %s %s" % (self.instrument.symbol, trade.id), view='content')
self.unlock()
# update actives trades
self.update_trades(timestamp)
# retained long entry do the order entry signal
for entry in retained_entries:
self.process_entry(timestamp, entry.price, entry.tp, entry.sl, entry.timeframe, entry.partial_tp)
# streaming
self.stream()
def process1(self, timestamp, last_timestamp, candles, prices, volumes):
signal = None
# volume sma, increase signal strength when volume increase over its SMA
# volume_sma = utils.MM_n(self.depth-1, self.volume.volumes)
rsi = 0
rsi_30_70 = 0 # 1 <30, -1 >70
rsi_40_60 = 0 # 1 if RSI in 40-60
# rsi_trend = 0
stochrsi = 0
stochrsi_20_80 = 0 # 1 <20, -1 >80
stochrsi_40_60 = 0 # 1 if stochRSI in 40-60
volume_signal = 0
ema_sma_cross = 0
ema_sma_height = 0
if self.rsi:
self.rsi.compute(timestamp, prices)
if self.rsi.last < self.rsi_low:
rsi_30_70 = 1.0
elif rsi > self.rsi_high:
rsi_30_70 = -1.0
if self.rsi.last > 0.4 and self.rsi.last < 0.6:
rsi_40_60 = 1
if self.stochrsi:
self.stochrsi.compute(timestamp, prices)
stochrsi = self.stochrsi.last_k
if stochrsi < 0.2:
stochrsi_20_80 = 1.0
elif stochrsi > 0.8:
stochrsi_20_80 = -1.0
if stochrsi > 0.4 and stochrsi < 0.6:
stochrsi_40_60 = 1
# if self.volume.last > volume_sma[-1]:
# volume_signal = 1
# elif self.volume.last < volume_sma[-1]:
# volume_signal = -1
if self.sma and self.ema:
self.sma.compute(timestamp, prices)
self.ema.compute(timestamp, prices)
# ema over sma crossing
ema_sma_cross = utils.cross((self.ema.prev, self.sma.prev),
(self.ema.last, self.sma.last))
if self.ema.last > self.sma.last:
ema_sma_height = 1
elif self.ema.last < self.sma.last:
ema_sma_height = -1
if self.bollingerbands:
self.bollingerbands.compute(timestamp, prices)
bb_break = 0
bb_ma = 0
if prices[-1] > self.bollingerbands.last_top:
bb_break = 1
elif prices[-1] < self.bollingerbands.last_bottom:
bb_break = -1
if prices[-1] > self.bollingerbands.last_ma:
bb_ma = -1
elif prices[-1] > self.bollingerbands.last_ma:
bb_ma = 1
if self.tomdemark:
# last_timestamp
self.tomdemark.compute(timestamp, self.price.timestamp,
self.price.high, self.price.low,
self.price.close)
#
# setup entry
#
# long entry on sell-setup + rsi oversell
# soit on rentre prudent sur une 2 ou 3 au dessus de la precedent, et en plus rsi ou stochrsi oversell
# soit on rentre bourrin sur une 1 avec close plus haute
# soit on rentre semi bourrin sur une 2 seulement rien, d'autre
# soit on rentre semi prudent sur une 2 au dessus de la precente, et rien de plus
# soit on rentrer sur une 2 après une 9 du meme setup, avec close au dessus de la 9
# on peut aussi renter selon bollinger
# - bollinger dans le nuage
# - bollinger break down avec stochRSI or RSI basse
if (self.tomdemark.c.c == 2 and self.tomdemark.c.d < 0
and self.price.close[-1] > self.price.close[-2]) or (
self.tomdemark.c.c == 3): # avec td3
# # if (td.c == 1 and td.d < 0 and candles[-1].close > candles[-2].close):
# if (td.c == 2 and td.d < 0 and candles[-1].close > candles[-2].close):
# if ((td.c == 2 or td.c == 3) and td.d < 0 and candles[-1].close > candles[-2].close):
# if ((td.c == 2 or td.c == 3) and td.d < 0) and candles[-1].close > candles[-2].close:
# if bb_break == 0:
# if (bb_break == 0 and bb_ma < 0): # test with aggressive + bb
# if (stochrsi_20_80 > 0 or rsi_30_70 > 0):
# if (ema_sma_height > 0 or rsi_30_70 > 0) and bb_break >= 0:
# if (bb_break == 0 and bb_ma < 0) and (stochrsi_20_80 > 0 or rsi_30_70 > 0): # used with average case but not with aggressive
# if (bb_break == 0 and bb_ma < 0) and (ema_sma_height > 0 or rsi_30_70 > 0): # and volume_signal > 0:
# if (stochrsi_20_80 > 0 or rsi_30_70 > 0): # la classique mais prend des risk, a voir avec un bon SL peut-être
# if (rsi_trend > 0) and (ema_sma_height > 0 or rsi_30_70 > 0): # protege de perte mais rate des gains
# if (ema_sma_height > 0 or rsi_30_70 > 0): # and volume_signal > 0: # C4
# if ema_sma_height > 0: # C5
# if ema_sma_height > 0 and bb_break >= 0 and rsi_trend > 0: # C6
# if ema_sma_height > 0 and bb_break >= 0 and stochrsi_20_80 > 0:
# if 1: # C1
# if rsi_trend > 0 and bb_break > 0: # pas mal evite des entrees foireuses mais pas assez de profits
# if (stochrsi_20_80 > 0 or rsi_30_70 > 0): # la classique mais prend des risk, il faut un bon stop-loss
if (ema_sma_height > 0 or rsi_30_70 > 0) and bb_break <= 0:
# if rsi_trend and (stochrsi_20_80 > 0 or rsi_30_70 > 0):
# if (stochrsi_20_80 > 0 and rsi_30_70 > 0):
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = self.price.close[-1]
if self.tomdemark.c.tdst:
signal.sl = self.tomdemark.c.tdst
# aggressive entry
if ((self.tomdemark.c.c == 9 or
(self.tomdemark.c.c == 8 and self.tomdemark.c.p))
and self.tomdemark.c.d > 0):
# if stochrsi_20_80 > 0 and rsi_30_70 > 0 and candles[-1].close > candles[-2].close: # C1 -
# if 1: # C4 +++
# if stochrsi_20_80 > 0 and candles[-1].close > candles[-2].close: # C3 ++
# if rsi_30_70 > 0 and candles[-1].close > candles[-2].close: # C5 ??
# if ema_sma_height > 0 and bb_break >= 0 and rsi_trend > 0: # C6 ??
# if ema_sma_height > 0 and bb_break >= 0 and stochrsi_20_80 > 0: # C7 ??
# if (ema_sma_height > 0 or rsi_30_70 > 0): # C2 +
# if stochrsi_20_80 > 0 and candles[-1].close > candles[-2].close: # C3 ++
if (stochrsi_20_80 > 0 or rsi_30_70 > 0): # C8 ??
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = self.price.close[-1]
#
# invalidation 2 of opposite setup
#
# @todo or if a >= 3 <= 7 close below the previous candle close
# can make loss in bull run
# second condition might be optimized
elif (self.tomdemark.c.c == 2 and self.tomdemark.c.d > 0
and self.price.close[-1] < self.price.close[-2]) or (
self.tomdemark.c.c == 3 and self.tomdemark.c.d > 0):
# elif td.c == 3 and td.d > 0: # and candles[-1].close < candles[-2].close:
# long cancelation on buy-setup formation
# if ema_sma_height < 0 or rsi_40_60 > 0: # (excess of volume and ema under sma)
# if stochrsi_20_80 < 0: # and volume_signal > 0:
# if bb_break < 0:
# if (rsi_trend < 0): # C2
# if 1: # C1 +
# if (bb_break == 0 and bb_ma < 0): # C3 ++
if ema_sma_height < 0: # and volume_signal > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT # CANCEL
signal.dir = 1
signal.p = self.price.close[-1]
#
# setup completed
#
elif (((self.tomdemark.c.c >= 8 and self.tomdemark.c.p) or
(self.tomdemark.c.c == 9)) and self.tomdemark.c.d <
0): # and candles[-1].close > candles[-2].close:
if 1: # stochrsi_20_80 > 1:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
#
# setup aborted
#
elif ((self.tomdemark.c.c >= 2 and self.tomdemark.c.c <= 7)
and self.tomdemark.c.d < 0
) and self.price.close[-1] < self.price.close[-2]: # C1
# if stochrsi_20_80 < 0 or rsi_30_70 < 0: # bearish stoch OR rsi # C1
if stochrsi_20_80 < 0 and rsi_30_70 < 0: # bearish stoch AND rsi (seems better) # C2
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
#
# CD entry
#
if self.tomdemark.cd.c == 1:
# count-down buy-setup + rsi oversell
if self.tomdemark.c.d < 0: # and candles[-1].close > candles[-2].high:
# if rsi_30_70 > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = self.price.last
signal.sl = self.tomdemark.c.tdst
#
# CD13 setup
#
elif self.tomdemark.cd.c == 13:
# count-down sell-setup completed
if self.tomdemark.cd.d < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.p = self.price.close[-1]
signal.dir = 1
return signal
def process4(self, timestamp, last_timestamp, candles, prices, volumes):
signal = None
# volume sma, increase signal strength when volume increase over its SMA
volume_sma = utils.MM_n(self.depth - 1, self.volume.volumes)
rsi_30_70 = 0 # 1 <30, -1 >70
rsi_40_60 = 0 # 1 if RSI in 40-60
rsi_trend = 0
stochrsi_20_80 = 0 # 1 <20, -1 >80
stochrsi_40_60 = 0 # 1 if stochRSI in 40-60
volume_signal = 0
ema_sma_cross = 0
ema_sma_height = 0
if self.rsi:
self.rsi.compute(timestamp, prices)
if self.rsi.last < self.rsi_low:
rsi_30_70 = 1.0
elif self.rsi.last > self.rsi_high:
rsi_30_70 = -1.0
if self.rsi.last > 0.4 and self.rsi.last < 0.6:
rsi_40_60 = 1
rsi_trend = utils.trend_extremum(self.rsi.rsis)
# if self.stochrsi:
# self.stochrsi.compute(timestamp, prices)
# if self.stochrsi.last_k < 0.2:
# stochrsi_20_80 = 1.0
# elif self.stochrsi.last_k > 0.8:
# stochrsi_20_80 = -1.0
# if self.stochrsi.last_k > 0.4 and self.stochrsi.last_k < 0.6:
# stochrsi_40_60 = 1
# if self.volume_ema:
# self.volume_ema.compute(timestamp, volumes)
# if self.volume.last > self.volume_ema.last:
# volume_signal = 1
# elif self.volume.last < self.volume_ema.last:
# volume_signal = -1
if self.sma and self.ema:
self.sma.compute(timestamp, prices)
self.ema.compute(timestamp, prices)
# ema over sma crossing
ema_sma_cross = utils.cross((self.ema.prev, self.sma.prev),
(self.ema.last, self.sma.last))
if self.ema.last > self.sma.last:
ema_sma_height = 1
elif self.ema.last < self.sma.last:
ema_sma_height = -1
if self.bollingerbands:
self.bollingerbands.compute(timestamp, prices)
bb_break = 0
bb_ma = 0
if prices[-1] > self.bollingerbands.last_top:
bb_break = 1
elif prices[-1] < self.bollingerbands.last_bottom:
bb_break = -1
# if prices[-1] > self.bollingerbands.last_ma:
# bb_ma = -1
# elif prices[-1] > self.bollingerbands.last_ma:
# bb_ma = 1
if self.bsawe:
bsawe = self.bsawe.compute(timestamp, self.price.high,
self.price.low, self.price.close)
ema_sma = 0
if self.ema.last < self.sma.last:
# bear trend
if self.rsi.last > 0.5: # initial: 0.5
ema_sma = -1
elif self.rsi.last < 0.2: # initial: 0.2
ema_sma = 1
else:
# bull trend
if self.rsi.last > 0.8: # initial: 0.8
ema_sma = -1
elif self.rsi.last < 0.6: # initial: 0.6
ema_sma = 1
# @todo dip, bounce or trend...
if bsawe > 0 and ema_sma > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = self.price.close[-1]
elif bsawe < 0 and ema_sma < 0:
# exit signal
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
if self.tomdemark:
# last_timestamp
self.tomdemark.compute(timestamp, self.price.timestamp,
self.price.high, self.price.low,
self.price.close)
if 0: # self.tomdemark.c.c >= 8 and self.tomdemark.c.d < 0 and (ema_sma < 0 or bsawe < 0):
# setup complete and trend change
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
elif 2 <= self.tomdemark.c.c <= 5 and self.tomdemark.c.d > 0 and (
ema_sma < 0 and bsawe < 0):
# cancelation
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
return signal
def process3(self, timestamp, last_timestamp, candles, prices, volumes):
signal = None
# volume sma, increase signal strength when volume increase over its SMA
# volume_sma = utils.MM_n(self.depth-1, self.volume.volumes)
rsi_30_70 = 0 # 1 <30, -1 >70
rsi_40_60 = 0 # 1 if RSI in 40-60
rsi_trend = 0
stochrsi_20_80 = 0 # 1 <20, -1 >80
stochrsi_40_60 = 0 # 1 if stochRSI in 40-60
volume_signal = 0
ema_sma_cross = 0
ema_sma_height = 0
if self.rsi:
self.rsi.compute(last_timestamp, prices)
if self.rsi.last < self.rsi_low:
rsi_30_70 = 1.0
elif self.rsi.last > self.rsi_high:
rsi_30_70 = -1.0
if self.rsi.last > 0.4 and self.rsi.last < 0.6:
rsi_40_60 = 1
rsi_trend = utils.trend_extremum(self.rsi.rsis)
if self.stochrsi:
self.stochrsi.compute(last_timestamp, prices)
if self.stochrsi.last_k < 0.2:
stochrsi_20_80 = 1.0
elif self.stochrsi.last_k > 0.8:
stochrsi_20_80 = -1.0
if self.stochrsi.last_k > 0.4 and self.stochrsi.last_k < 0.6:
stochrsi_40_60 = 1
# if self.volume.last > volume_sma[-1]:
# volume_signal = 1
# elif self.volume.last < volume_sma[-1]:
# volume_signal = -1
if self.sma and self.ema:
self.sma.compute(last_timestamp, prices)
self.ema.compute(last_timestamp, prices)
# ema over sma crossing
ema_sma_cross = utils.cross((self.ema.prev, self.sma.prev),
(self.ema.last, self.sma.last))
if self.ema.last > self.sma.last:
ema_sma_height = 1
elif self.ema.last < self.sma.last:
ema_sma_height = -1
if self.bollingerbands:
self.bollingerbands.compute(last_timestamp, prices)
bb_break = 0
bb_ma = 0
if prices[-1] > self.bollingerbands.last_top:
bb_break = 1
elif prices[-1] < self.bollingerbands.last_bottom:
bb_break = -1
if prices[-1] > self.bollingerbands.last_ma:
bb_ma = -1
elif prices[-1] > self.bollingerbands.last_ma:
bb_ma = 1
if self.atr:
self.atr.compute(last_timestamp, self.price.high, self.price.low,
self.price.close)
level1_signal = 0
if self.ema.last < self.sma.last:
# bear trend
if self.rsi.last > 0.5: # initial: 0.5
level1_signal = -1
elif self.rsi.last < 0.2: # initial: 0.2
level1_signal = 1
else:
# bull trend
if self.rsi.last > 0.8: # initial: 0.8
level1_signal = -1
elif self.rsi.last < 0.6: # initial: 0.6
level1_signal = 1
if self.tomdemark:
self.tomdemark.compute(last_timestamp, self.price.timestamp,
self.price.high, self.price.low,
self.price.close)
#
# setup entry
#
# long entry on sell-setup + rsi oversell
if (self.tomdemark.c.c == 2 and self.tomdemark.c.d < 0
and self.price.close[-1] > self.price.close[-2]) or (
self.tomdemark.c.c == 3): # avec td3
# if (td.c == 1 and td.d < 0 and candles[-1].close > candles[-2].close):
# if (td.c == 2 and td.d < 0 and candles[-1].close > candles[-2].close):
# if ((td.c == 2 or td.c == 3) and td.d < 0 and candles[-1].close > candles[-2].close):
# if ((td.c == 2 or td.c == 3) and td.d < 0) and candles[-1].close > candles[-2].close:
# if bb_break == 0:
# if (bb_break == 0 and bb_ma < 0): # test with aggressive + bb
# if (stochrsi_20_80 > 0 or rsi_30_70 > 0):
# if (ema_sma_height > 0 or rsi_30_70 > 0) and bb_break >= 0:
# if (bb_break == 0 and bb_ma < 0) and (stochrsi_20_80 > 0 or rsi_30_70 > 0): # used with average case but not with aggressive
# if (bb_break == 0 and bb_ma < 0) and (ema_sma_height > 0 or rsi_30_70 > 0): # and volume_signal > 0:
# if (stochrsi_20_80 > 0 or rsi_30_70 > 0): # la classique mais prend des risk, a voir avec un bon SL peut-être
# if (rsi_trend > 0) and (ema_sma_height > 0 or rsi_30_70 > 0): # protege de perte mais rate des gains
# if (ema_sma_height > 0 or rsi_30_70 > 0): # and volume_signal > 0: # C4
# if ema_sma_height > 0: # C5
# if ema_sma_height > 0 and bb_break >= 0 and rsi_trend > 0: # C6
# if ema_sma_height > 0 and bb_break >= 0 and stochrsi_20_80 > 0:
# if 1: # C1
# if rsi_trend > 0 and bb_break > 0: # pas mal evite des entrees foireuses mais pas assez de profits
if level1_signal > 0:
# if (stochrsi_20_80 > 0 or rsi_30_70 > 0): # la classique mais prend des risk, il faut un bon stop-loss
# if rsi_trend and (stochrsi_20_80 > 0 or rsi_30_70 > 0):
# if (stochrsi_20_80 > 0 and rsi_30_70 > 0):
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = self.price.close[-1]
if self.tomdemark.c.tdst:
signal.sl = self.tomdemark.c.tdst
# aggressive entry
if self.tomdemark.c.c == 9 and self.tomdemark.c.d > 0:
# if ((self.tomdemark.c.c == 9 or (self.tomdemark.c.c == 8 and self.tomdemark.c.p)) and self.tomdemark.c.d > 0):
# if stochrsi_20_80 > 0 and rsi_30_70 > 0 and candles[-1].close > candles[-2].close: # C1 -
# if 1: # C4 +++
# if stochrsi_20_80 > 0 and candles[-1].close > candles[-2].close: # C3 ++
# if rsi_30_70 > 0 and candles[-1].close > candles[-2].close: # C5 ??
# if ema_sma_height > 0 and bb_break >= 0 and rsi_trend > 0: # C6 ??
# if ema_sma_height > 0 and bb_break >= 0 and stochrsi_20_80 > 0: # C7 ??
# if (ema_sma_height > 0 or rsi_30_70 > 0): # C2 +
# if 1:
# if stochrsi_20_80 > 0 and candles[-1].close > candles[-2].close: # C3 ++
# if (stochrsi_20_80 > 0 or rsi_30_70 > 0): # C8 ??
if level1_signal > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = self.price.close[-1]
#
# invalidation 2 of opposite setup
#
# @todo or if a >= 3 <= 7 close below the previous candle close
# can make loss in bull run
# second condition might be optimized
elif (self.tomdemark.c.c == 2 and self.tomdemark.c.d > 0
and self.price.close[-1] < self.price.close[-2]) or (
self.tomdemark.c.c == 3 and self.tomdemark.c.d > 0):
# elif td.c == 3 and td.d > 0: # and self.price.close < self.price.close:
# long cancelation on buy-setup formation
# if ema_sma_height < 0 or rsi_40_60 > 0: # (excess of volume and ema under sma)
# if stochrsi_20_80 < 0: # and volume_signal > 0:
# if bb_break < 0:
# if (rsi_trend < 0): # C2
# if ema_sma_height < 0: # and volume_signal > 0:
if 1: # C1 +
# if level1_signal < 0:
# if (bb_break == 0 and bb_ma < 0): # C3 ++
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT # CANCEL
signal.dir = 1
signal.p = self.price.close[-1]
#
# setup completed
#
elif (((self.tomdemark.c.c >= 8 and self.tomdemark.c.p) or
(self.tomdemark.c.c == 9)) and self.tomdemark.c.d <
0): # and self.price.close[-1] > self.price.close[-2]:
# if 1: # stochrsi_20_80 > 1:
if 1: # if level1_signal < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
#
# setup aborted
#
elif ((self.tomdemark.c.c >= 2 and self.tomdemark.c.c <= 7)
and self.tomdemark.c.d < 0
) and self.price.close[-1] < self.price.close[-2]: # C1
# if stochrsi_20_80 < 0 or rsi_30_70 < 0: # bearish stoch OR rsi # C1
# if stochrsi_20_80 < 0 and rsi_30_70 < 0: # bearish stoch AND rsi (seems better) # C2
if 1: # level1_signal < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = self.price.close[-1]
#
# CD entry
#
if self.tomdemark.cd.c >= 1 and self.tomdemark.cd.c <= 3:
# count-down buy-setup + rsi oversell
if self.tomdemark.cd.d < 0: # and self.price.close[-1] > self.price.high[-2]:
# if rsi_30_70 > 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_ENTRY
signal.dir = 1
signal.p = self.price.close[-1]
signal.sl = self.tomdemark.c.tdst
#
# CD13 setup
#
elif self.tomdemark.cd.c == 13:
# count-down sell-setup completed
if self.tomdemark.cd.d < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.p = self.price.close[-1]
signal.dir = 1
return signal
def process1(self, timestamp, last_timestamp, candles, prices, volumes):
signal = None
# volume sma, increase signal strength when volume increase over its SMA
# volume_sma = utils.MM_n(self.depth-1, self.volume.volumes)
#
# signals analysis
#
rsi_30_70 = 0 # -1 30, 1 70
rsi_40_60 = 0 # 1 if RSI in 40-60
volume_signal = 0
ema_sma_cross = 0
ema_sma_height = 0
if self.rsi:
self.rsi.compute(last_timestamp, prices)
if self.rsi.last < self.rsi_low:
rsi_30_70 = 1.0
elif self.rsi.last > self.rsi_high:
rsi_30_70 = -1.0
if self.rsi.last > 0.4 and self.rsi.last < 0.6:
rsi_40_60 = 1
# if self.volume.last > volume_sma[-1]:
# volume_signal = 1
# elif self.volume.last < volume_sma[-1]:
# volume_signal = -1
if self.sma200:
self.sma200.compute(last_timestamp, prices)
if self.sma55:
self.sma55.compute(last_timestamp, prices)
if self.sma and self.ema:
self.sma.compute(last_timestamp, prices)
self.ema.compute(last_timestamp, prices)
# ema over sma crossing
ema_sma_cross = utils.cross((self.ema.prev, self.sma.prev),
(self.ema.last, self.sma.last))
if self.ema.last > self.sma.last:
ema_sma_height = 1
elif self.ema.last < self.sma.last:
ema_sma_height = -1
bb_way = 0
if self.bollingerbands:
self.bollingerbands.compute(last_timestamp, prices)
if self.bollingerbands.last_ma < prices[
-1] < self.bollingerbands.last_top:
bb_way = -1
# if ema_sma_cross > 0 and rsi_30_70 > 0:
# self.trend = 1
# elif ema_sma_cross < 0 and rsi_30_70 < 0:
# signal = StrategySignal(self.tf, timestamp)
# signal.signal = StrategySignal.SIGNAL_EXIT
# signal.dir = 1
# signal.p = candles[-1].close
# self.trend = -1
# else:
# self.trend = 0
level1_signal = 0
if self.ema.last < self.sma.last:
# bear trend
if self.rsi.last > 0.5: # initial: 0.5
level1_signal = -1
elif self.rsi.last < 0.2: # initial: 0.2
level1_signal = 1
else:
# bull trend
if self.rsi.last > 0.8: # initial: 0.8
level1_signal = -1
elif self.rsi.last < 0.6: # initial: 0.6
level1_signal = 1
if level1_signal < 0:
signal = StrategySignal(self.tf, timestamp)
signal.signal = StrategySignal.SIGNAL_EXIT
signal.dir = 1
signal.p = candles[-1].close
self.trend = -1
elif level1_signal > 0:
self.trend = 1
else:
self.trend = 0
self.can_long = self.trend >= 0
if self.pivotpoint:
self.pivotpoint.compute(last_timestamp, self.price.open,
self.price.high, self.price.low,
self.price.close)
if self.atr:
self.atr.compute(last_timestamp, self.price.high, self.price.low,
self.price.close)
return signal