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audnzdMRBoy.py
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audnzdMRBoy.py
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from strategy import Strategy
from order import Order
from position import Position
from trade import *
from datetime import timedelta, datetime
import matplotlib.pyplot as plt
from forexSessions import *
from scipy import stats
import calendar
from datetime import timedelta
class AudnzdMrBoy(Strategy):
#params
def __init__(self, engine, params):
self.name = 'audnzdmr'
self.engine = engine
self.lotSizeInUSD = 675000
self.commissionPerPip = self.lotSizeInUSD / 1000000 * 25
self.pOptimization = False
if params != None:
if 'pOptimization' in params:
self.pOptimization = params['pOptimization']
if 'pOpt' in params:
self.pOpt = params['pOpt']
getInstrumentStat(engine)
def onStart(self):
"""not implemented yet"""
def calculateVola(self, barsForward, samples, bar):
data = self.engine.getHistoryBars(self.engine.data[0].name, samples * 24 * 60, 0)
if data == []:
return
volas = []
for i in range(len(data)):
cBar = data[len(data)-1 - i]
if cBar[0].minute == bar[0].minute and cBar[0].hour == bar[0].hour:
pcHigh = np.max(data[len(data)-1-i:len(data)-1-i+barsForward, 6])
pcLow = np.min(data[len(data)-1-i:len(data)-1-i+barsForward, 3])
vola = pcHigh - pcLow
volas.append(vola)
else:
continue
#print np.average(volas)
return np.around(np.average(volas), 5)
def getSantimentShort(self, barsNum, porog = 0):
bars = self.engine.getHistoryBars(self.engine.data[0].name, barsNum, 0)
if bars == []:
return 0
santimentShort = 0
santiment = 0
for bar in bars:
if bar[4] - bar[1] < -1*porog:
santimentShort += (bar[4] - bar[1])
santiment += abs(bar[1] - bar[4])
if santiment == 0:
return 0
return santimentShort/santiment
def getSantimentLong(self, barsNum, porog = 0):
bars = self.engine.getHistoryBars(self.engine.data[0].name, barsNum, 0)
if bars == []:
return 0
santimentLong = 0
santiment = 0
for bar in bars:
if bar[4] - bar[1] > porog:
santimentLong += (bar[4] - bar[1])
santiment += abs(bar[1] - bar[4])
if santiment == 0:
return 0
return santimentLong/santiment
def onGetStatOnPositionOpen(self, position, bar):
#return self.getSantimentShort(2*60, 0.0002)
return self.engine.getHistoryBars(self.engine.data[0].name, 360, 0)
def onGetStatOnPositionClose(self, position, bar):
return self.engine.getHistoryBars(self.engine.data[0].name, 360, 0)
def onBar(self, bar):
if bar[0].year not in [2012,2013,2014]:
return
if bar[2] == bar[3] and bar[5] == 0:
return
#if bar[0].year not in [2015]:
# return
"""ct = forexSessions.getCT(bar[0])
if ct.hour == 16 and ct.minute == 14:
positions = self.engine.getPositions()
if len(positions) > 0:
for p in reversed(positions):
self.engine.closePosition(p, bar)
"""
positionTimeStop = 360
positionTimeStop = timedelta(minutes=positionTimeStop)
positionTimeStopShort = 360
positionTimeStopShort = timedelta(minutes=positionTimeStopShort)
positions = self.engine.getPositions()
if len(positions) > 0:
for p in reversed(positions):
if p.order.orderType == 1:
if p.openTime + positionTimeStop <= bar[0]:
self.engine.closePosition(p, bar)
else:
if p.openTime + positionTimeStopShort <= bar[0]:
self.engine.closePosition(p, bar)
tralTP = False
if tralTP == True:
positions = self.engine.getPositions()
if len(positions) > 0:
pcPeriod = 1 * 60
data = self.engine.getHistoryBars(self.engine.data[0].name, pcPeriod, 0)
if data == []:
return
pcHigh2 = np.max(data[:, 2])
pcLow2 = np.min(data[:, 3])
shift = 0.0001
for p in reversed(positions):
if p.order.orderType == 1:
if p.order.target > pcHigh2 - shift and bar[9] < pcHigh2 - shift:
self.engine.changeTarget(p, pcHigh2 - shift, bar)
else:
if p.order.target < pcLow2 + shift and bar[4] > pcLow2 + shift:
self.engine.changeTarget(p, pcLow2 + shift, bar)
orderTimeStop = 15
orderTimeStop = timedelta(minutes=orderTimeStop)
orders = self.engine.getOrders()
if len(orders) > 0:
for o in reversed(orders):
if o.openTime + orderTimeStop <= bar[0]:
self.engine.closeOrder(o)
if bar[0].minute not in [0,15,30,45]:#range(0,60,5)
return
if get15minBarNum(bar[0]) not in range(0,17):
return
#if forexSessions.isSummerTimeInNY(bar[0]) is False:
# pass
#else:
# return
#if get15minBarNum(bar[0]) not in range(55,97) and get15minBarNum(bar[0]) not in range(31,40):#[55,56,57,58,60,61,62,63]:
# return
#if get15minBarNum(ct) not in range(55-5*4,64-5*4):
# return
pcPeriod = 12 * 60
data = self.engine.getHistoryBars(self.engine.data[0].name, pcPeriod, 0)
if data == []:
return
pcHigh = np.max(data[:, 7])
pcHighTime = np.argmax(data[:, 7])
pcLow = np.min(data[:, 3])
pcLowTime = np.argmin(data[:, 3])
pcPeriod = 1 * 60
data = self.engine.getHistoryBars(self.engine.data[0].name, pcPeriod, 0)
if data == []:
return
pcHigh2 = np.max(data[:, 2])
pcLow2 = np.min(data[:, 3])
if (pcHigh - pcLow) == 0:
return
percentOfRange = (bar[4] - pcLow) / (pcHigh - pcLow)
#if (pcHigh2-pcLow2) < 0.002:
# return
#if data[0, 4] - data[len(data)-1,4] < 0:
# self.engine.sendOrder(Order(bar[11], -1, pcHigh, 0, pcLow2, 1, 0, 0, market=False), bar)
#if data[0, 4] - data[len(data)-1,4] > 0:
#if self.getSantiment(12*60, 0.0005) > 0.04:
# self.engine.sendOrder(Order(bar[11], 1, pcLow, 0, pcHigh2, 1, 0, 0, market=False), bar)
#if percentOfRange < 0.02:
#self.engine.sendOrder(Order(bar[11], -1, pcHigh, 0, pcLow2, 1, 0, 0, market=False), bar)
#self.engine.sendOrder(Order(bar[11], 1, pcLow, 0, pcHigh2, 1, 0, 0, market=False), bar)
#if self.getSantimentShort(12*60, 0.0002) > -0.27:
# if self.getSantimentShort(60, 0.0002) > -0.37:
#if self.getSantimentLong(12*60, 0.0003) > 0.1:
# self.engine.sendOrder(Order(bar[11], -1, pcHigh, 0, pcLow2, 1, 0, 0, market=False), bar)
#self.engine.sendOrder(Order(bar[11], -1, 0, 0, pcLow2, 1, 0, 0, market=True), bar)
#if self.getSantimentShort(12*60, 0.0003) < -0.1:
#self.engine.sendOrder(Order(bar[11], 1, pcLow, 0, pcHigh2-0.0002, 1, 0, 0, market=False), bar)
self.engine.sendOrder(Order(bar[11], 1, pcLow, 0, 0, 1, 0, 0, market=False), bar)
self.engine.sendOrder(Order(bar[11], -1, pcHigh, 0, 0, 1, 0, 0, market=False), bar)
#if percentOfRange < 0.07:
#if self.getSantimentShort(12*60, 0.0002) < 0.27:
#self.engine.sendOrder(Order(bar[11], 1, pcLow, 0, pcHigh2 - 0.0001, 1, 0, 0, market=True), bar)
def onStop(self):
if self.pOptimization is True:
print self.pOpt
self.engine.generateTextReport(self.lotSizeInUSD, self.commissionPerPip)
return
self.engine.printTrades(self.lotSizeInUSD, self.commissionPerPip)
self.engine.generateTextReport(self.lotSizeInUSD, self.commissionPerPip)
self.engine.showEquity(self.lotSizeInUSD, self.commissionPerPip)
#for p in self.engine.getClosedPositions():
# self.engine.showTrade(p, 'AUD/NZD')
self.engine.getProfitsByTimeOfDay(self.lotSizeInUSD, self.commissionPerPip,)
#self.engine.getFilterAnalyze(self.lotSizeInUSD, self.commissionPerPip, 0, 50)
self.engine.getPointAnalyze(self.lotSizeInUSD, self.commissionPerPip, 1, longOnly=True)
self.engine.getPointAnalyze(self.lotSizeInUSD, self.commissionPerPip, 1, longOnly=True, leaders=True, nOfL=30)
self.engine.getPointAnalyze(self.lotSizeInUSD, self.commissionPerPip, 1, longOnly=True, loosers=True, nOfL=30)
self.engine.getPointAnalyze(self.lotSizeInUSD, self.commissionPerPip, 0, longOnly=True)
self.engine.getPointAnalyze(self.lotSizeInUSD, self.commissionPerPip, 0, shortOnly=True)
self.engine.getPointAnalyze(self.lotSizeInUSD, self.commissionPerPip, 0, longOnly=True, leaders=True, nOfL=80)
self.engine.getPointAnalyze(self.lotSizeInUSD, self.commissionPerPip, 0, shortOnly=True, leaders=True, nOfL=40)
self.engine.getPointAnalyze(self.lotSizeInUSD, self.commissionPerPip, 0, longOnly=True, loosers=True, nOfL=80)
self.engine.getPointAnalyze(self.lotSizeInUSD, self.commissionPerPip, 0, shortOnly=True, loosers=True, nOfL=40)
self.engine.getPointAnalyze(self.lotSizeInUSD, self.commissionPerPip, 1, longOnly=True)
self.engine.getPointAnalyze(self.lotSizeInUSD, self.commissionPerPip, 1, shortOnly=True)
self.engine.getMonthlyReturns(self.lotSizeInUSD, self.commissionPerPip)
self.engine.getProfitsByDayOfWeek(self.lotSizeInUSD, self.commissionPerPip)