class BBRSI(Strategy):
def __init__(self, events, data_handler, portfolio):
self.events = events
self.config = load_config()
self.data_handler = data_handler
self.symbol_list = self.data_handler.symbol_list
self.portfolio = portfolio
self.counter = 0
self.bars_window = 200
self.rsi_window = 14
self.div_window = 200
self.ma_short = 20
self.ma_long = 90
self.telegram = TelegramBot(
bot_token=self.config['telegram']['bot_token'],
channel_id=self.config['telegram']['channel_id'])
def calculate_signals(self):
for symbol in self.symbol_list:
print(f'Searching for {symbol} signals ...')
timestamps = self.data_handler.get_latest_bars_values(
symbol, 'datetime', N=self.bars_window)
highs = self.data_handler.get_latest_bars_values(
symbol, 'high', N=self.bars_window)
lows = self.data_handler.get_latest_bars_values(symbol,
'low',
N=self.bars_window)
closes = self.data_handler.get_latest_bars_values(
symbol, 'close', N=self.bars_window)
hlc3 = (highs + lows + closes) / 3
print(closes)
signal_timestamp = timestamps[-1]
rsi = RSI(closes, timeperiod=self.rsi_window)
ma_short = EMA(hlc3, timeperiod=self.ma_short)[-1]
ma_long = EMA(hlc3, timeperiod=self.ma_long)[-1]
# Buy Signal conditions
if ma_short < ma_long:
trend = 'Short-term bearish'
print(f'{symbol}: {trend}')
bullish_div = bull_div(
lows,
rsi,
timestamps,
window=self.div_window,
price_prominence=ma_long * 0.001,
)
hbearish_div = hbear_div(
highs,
rsi,
timestamps,
window=self.div_window,
price_prominence=ma_long * 0.001,
)
if bullish_div and len(bullish_div) > 1:
div_type = 'BULLISH'
print(f'{symbol} - {div_type}: {signal_timestamp}')
self.telegram.send_text({
'symbol': symbol,
'timeframe': self.data_handler.timeframe,
'div_type': div_type,
'peaks': bullish_div,
'trend': trend,
'ma_short': ma_short,
'ma_long': ma_long
})
elif hbearish_div and len(hbearish_div) > 1:
div_type = 'HIDDEN BEARISH'
print(f'{symbol} - {div_type}: {signal_timestamp}')
self.telegram.send_text({
'symbol': symbol,
'timeframe': self.data_handler.timeframe,
'div_type': div_type,
'peaks': hbearish_div,
'trend': trend,
'ma_short': ma_short,
'ma_long': ma_long
})
elif ma_short > ma_long:
trend = 'Short-term bullish'
print(f'{symbol}: {trend}')
bearish_div = bear_div(
highs,
rsi,
timestamps,
window=self.div_window,
price_prominence=ma_long * 0.001,
)
hbullish_div = hbull_div(
lows,
rsi,
timestamps,
window=self.div_window,
price_prominence=ma_long * 0.001,
)
if bearish_div and len(bearish_div) > 1:
div_type = 'BEARISH'
print(f'{symbol} - {div_type}: {signal_timestamp}')
self.telegram.send_text({
'symbol': symbol,
'timeframe': self.data_handler.timeframe,
'div_type': div_type,
'peaks': bearish_div,
'trend': trend,
'ma_short': ma_short,
'ma_long': ma_long
})
elif hbullish_div and len(hbullish_div) > 1:
div_type = 'HIDDEN BULLISH'
print(f'{symbol} - {div_type}: {signal_timestamp}')
self.telegram.send_text({
'symbol': symbol,
'timeframe': self.data_handler.timeframe,
'div_type': div_type,
'peaks': hbullish_div,
'trend': trend,
'ma_short': ma_short,
'ma_long': ma_long
})
class Momentum(Strategy):
def __init__(self, events, data_handler):
self.events = events
self.config = load_config()
self.data_handler = data_handler
self.symbol_list = self.data_handler.symbol_list
self.counter = 0
self.bars_window = 200
self.rsi_window = 14
self.telegram = TelegramBot(
bot_token=self.config['telegram']['bot_token'],
channel_id=self.config['telegram']['channel_id'])
def calculate_signals(self):
for symbol in self.symbol_list:
print('Searching for {1} signals ...'.format(symbol))
last_price = self.data_handler.current_price(symbol)[0]
h1_highs = self.data_handler.get_latest_bars_values(
symbol, 'high', timeframe='H1', N=self.bars_window)
h1_lows = self.data_handler.get_latest_bars_values(
symbol, 'low', timeframe='H1', N=self.bars_window)
h1_closes = self.data_handler.get_latest_bars_values(
symbol, 'close', timeframe='H1', N=self.bars_window)
h1_hlc3 = (h1_highs + h1_lows + h1_closes) / 3
h1_ema_50 = EMA(h1_hlc3, timeperiod=50)
h1_ema_100 = EMA(h1_hlc3, timeperiod=100)
h1_ema_200 = EMA(h1_hlc3, timeperiod=200)
m15_highs = self.data_handler.get_latest_bars_values(
symbol, 'high', timeframe='m15', N=self.bars_window)
m15_lows = self.data_handler.get_latest_bars_values(
symbol, 'low', timeframe='m15', N=self.bars_window)
m15_closes = self.data_handler.get_latest_bars_values(
symbol, 'close', timeframe='m15', N=self.bars_window)
m15_hlc3 = (m15_highs + m15_lows + m15_closes) / 3
m15_ema_50 = EMA(m15_hlc3, timeperiod=50)
m15_ema_100 = EMA(m15_hlc3, timeperiod=100)
m15_ema_200 = EMA(m15_hlc3, timeperiod=200)
m15_price_bb_up, m15_price_bb_mid, m15_price_bb_low = BBANDS(
m15_hlc3, timeperiod=20, nbdevup=2, nbdevdn=2)
m15_price_bb_low_dist = (m15_price_bb_mid + m15_price_bb_low) / 2
m15_price_bb_up_dist = (m15_price_bb_up + m15_price_bb_mid) / 2
m15_rsi = RSI(m15_closes, timeperiod=14)
m15_rsi_bb_up, m15_rsi_bb_mid, m15_rsi_bb_low = BBANDS(
m15_rsi, timeperiod=20, nbdevup=2, nbdevdn=2)
m15_stochrsi = STOCHRSI(pd.Series(m15_closes), timeperiod=14)
m15_atr = ATR(m15_highs, m15_lows, m15_closes, timeperiod=14)
datetime = self.data_handler.get_latest_bar_datetime(symbol)[0]
direction = None
status = None
position = 'Not yet'
print(datetime)
if last_price > h1_ema_50[-1] and last_price > h1_ema_100[
-1] and last_price > h1_ema_200[-1]:
print('Uprend detected')
if last_price > m15_ema_50[-1] and last_price > m15_ema_100[
-1] and last_price > m15_ema_200[-1]:
print('Uprend confirmed')
direction = 'LONG'
if m15_rsi[-1] < m15_rsi_bb_low[-1]:
print('Reversal Detected')
status = 'Reversal detected'
if last_price < m15_price_bb_low_dist[-1]:
print('Reversal confirmed')
status = 'Reversal confirmed'
if m15_stochrsi[-1] < 25:
print('Go LONG')
position = 'Go ahead'
elif last_price < h1_ema_50[-1] and last_price < h1_ema_100[
-1] and last_price < h1_ema_200[-1]:
print('Downrend detected')
if last_price < m15_ema_50[-1] and last_price < m15_ema_100[
-1] and last_price < m15_ema_200[-1]:
print('Downrend confirmed')
direction = 'SHORT'
if m15_rsi[-1] > m15_rsi_bb_up[-1]:
print('Reversal Detected')
status = 'Reversal detected'
if last_price > m15_price_bb_up_dist[-1]:
print('Reversal confirmed')
status = 'Reversal confirmed'
if m15_stochrsi[-1] > 75:
print('Go SHORT')
position = 'Go ahead'
else:
pass
print(symbol, direction, status, position, datetime)
if status is not None:
self.telegram.send_text({
'symbol':
symbol,
'direction':
direction,
'status':
status,
'position':
position,
'atr':
np.around(m15_atr[-1], decimals=5),
'datetime':
datetime
})