+ fixed NtimestrueOk

Strategy2_ROC_KC_UpDownTrend.py

@@ -6,21 +6,42 @@
 import random
 
 
-class Ntimes1(bt.Indicator):
- lines = ('ntimes1',)
+class NtimestrueOk(bt.Indicator):
+ lines = ('ntimestrue',)
  params = dict(period=10)
+ plotinfo = dict(plot=True, subplot=True, plotname='Ntimestrue', )
 
  def __init__(self):
- #alln = bt.indicators.AllN(self.data, period=self.p.period)
- self.l.ntimes1 = self.data - 1
+ self.l.ntimestrue = bt.indicators.AllN(self.data1, period=self.p.period)
+
+
+class Ntimestrue(bt.Indicator):
+ lines = ('ntimestrue',)
+ params = dict(period=10)
+ plotinfo = dict(plot=True, subplot=True, plotname='Ntimestrue', )
+
+ def __init__(self):
+ #self.l.ntimestrue = bt.indicators.AllN(self.data, period=self.p.period)
+ pass
+
+ def next(self):
+ print("hi", self.data[0], self.data1[0]) # -200 => 1
+
+ if self.data1[0]:
+ self.l.ntimestrue[0] = 1.0
+ else:
+ self.l.ntimestrue[0] = 0.0
+
+ #self.l.ntimestrue[0] = random.randint(0, 1)
 
 
 class And3(bt.Indicator):
  lines = ('and3',)
  params = dict(data2=1, data3=1)
 
  def __init__(self):
- self.l.and3 = bt.And(bt.And(self.data, self.p.data2), self.p.data3)
+ self.l.and3 = bt.And(self.data, self.p.data2, self.p.data3)
+ #self.l.and3 = bt.And(bt.And(self.data, self.p.data2), self.p.data3)
 
 
 class OverUnder(bt.Indicator):
@@ -31,15 +52,12 @@ def __init__(self):
  self.l.overunder = self.data > self.p.data2 # данные над data2 == 1
 
 
-class OverUnder2(bt.Indicator):
- lines = ('overunder',)
+class UnderOver(bt.Indicator):
+ lines = ('underover',)
  params = dict(data2=20)
 
  def __init__(self):
- # self.l.overunder = bt.If(self.data > self.p.data2, 1.0, 0.0) # данные над data2 == 1
- self.l.overunder = self.data > self.p.data2 # данные над data2 == 1
- # self.l.overunder = bt.Cmp(self.data, self.p.data2) # данные над data2 == 1
- # self.l.overunder = bt.Max(self.data, self.p.data2)
+ self.l.underover = self.data < self.p.data2 # данные под data2 == 1
 
 
 class UpDownTrend(bt.Indicator):
@@ -49,7 +67,8 @@ class UpDownTrend(bt.Indicator):
  def __init__(self):
  y1 = self.data
  y2 = self.data(-self.p.period)
- self.l.trend = cond = bt.Cmp(y1, y2) # => 1 если y1 > y2
+ #self.l.trend = cond = bt.Cmp(y1, y2) # => 1 если y1 > y2 => 0 если y1 == y2 => -1 иначе
+ self.l.trend = cond = y1 > y2 # => 1 если y1 > y2
 
 
 class KC(bt.Indicator):
@@ -166,17 +185,17 @@ def __init__(self):
  self.roc = defaultdict(list)
  self.kc = defaultdict(list)
  self.trend = defaultdict(list)
-
  self.roc_over_0 = defaultdict(list)
  self.close_over_kc_top = defaultdict(list)
+ self.and3 = defaultdict(list)
 
  self.enter_long = defaultdict(list)
- self.ntimes1 = defaultdict(list)
+ self.close_long = defaultdict(list)
 
  for i in range(len(self.datas)):
  ticker = list(self.dnames.keys())[i] # key name is ticker name
 
- # self.ema_all1[ticker] = bt.indicators.ExponentialMovingAverage(self.datas[i], period=8)
+ self.ema_all1[ticker] = bt.indicators.ExponentialMovingAverage(self.datas[i], period=8)
  # self.ema_all2[ticker] = bt.indicators.ExponentialMovingAverage(self.datas[i], period=16)
 
  # self.close_under_ema_all10[ticker] = OverUnder(self.ema_all1[ticker].lines.ema, data2=self.ema_all2[ticker].lines.ema)
@@ -187,16 +206,18 @@ def __init__(self):
 
  self.trend[ticker] = UpDownTrend(self.kc[ticker].lines.top, period=20)
 
- self.roc_over_0[ticker] = OverUnder2(self.roc[ticker].lines.roc100, data2=0.0)
+ self.roc_over_0[ticker] = OverUnder(self.roc[ticker].lines.roc100, data2=0.0)
 
  self.close_over_kc_top[ticker] = OverUnder(self.datas[i].close, data2=self.kc[ticker].lines.top)
 
- self.enter_long[ticker] = And3(self.trend[ticker].lines.trend,
+ self.and3[ticker] = And3(self.trend[ticker].lines.trend,
  data2=self.roc_over_0[ticker].lines.overunder,
  data3=self.close_over_kc_top[ticker].lines.overunder)
 
- self.ntimes1[ticker] = Ntimes1(self.roc_over_0[ticker].lines.overunder, period=20)
- #self.ntimes1[ticker] = Ntimes1(self.datas[i].close, period=20)
+ self.enter_long[ticker] = NtimestrueOk(self.datas[i], self.and3[ticker].lines.and3, period=50)
+
+ #self.close_long[ticker] = UnderOver(self.datas[i].close, data2=self.kc[ticker].lines.bot)
+ self.close_long[ticker] = UnderOver(self.ema_all1[ticker].lines.ema, data2=self.kc[ticker].lines.mid)
 
  # self.sma_all1[ticker] = bt.indicators.SMA(self.datas[i], period=64)
  # self.sma_all2[ticker] = bt.indicators.SMA(self.datas[i], period=128)
@@ -271,9 +292,12 @@ def next(self):
  _oc2 = (_open + _close) / 2
  _volume = data.volume # ссылка на Объемы # print(volume[0])
 
+ #print(bool(self.trend[ticker]), bool(self.close_over_kc_top[ticker]), bool(self.roc_over_0[ticker]), bool(self.and3[ticker]))
+ print(bool(self.enter_long[ticker]))
+
 
- print(bool(self.cond1[ticker]), bool(self.test1[ticker]), self.cond1[ticker] == self.test1[ticker])
- if self.cond1[ticker] != self.test1[ticker]: print("ERROR***")
+ #print(bool(self.cond1[ticker]), bool(self.test1[ticker]), self.cond1[ticker] == self.test1[ticker])
+ #if self.cond1[ticker] != self.test1[ticker]: print("ERROR***")
 
 
  # # https://www.lfd.uci.edu/~gohlke/pythonlibs/#ta-lib
@@ -291,7 +315,7 @@ def next(self):
 
  # условие на покупку
  if not self.orders[ticker]:
- if self.crossover_DK[ticker] == -1 and self.cond1[ticker]: #
+ if self.enter_long[ticker]: #
  lot = self.p.lots[ticker]
  percent = 3 # сколько % от депозита использовать на сделку
  depo = self.cerebro.broker.get_cash()
@@ -330,7 +354,7 @@ def next(self):
  # self.first_buy[ticker] = True
 
  # условие на продажу take-profit
- if self.close_under_ema_all1[ticker] == -1: #
+ if self.close_long[ticker]: #
  self.log(f"SELL CREATE [{ticker}] {self.data.close[0]:.2f}")
  self.log_csv(ticker=ticker, signal='SELL', signal_price=_close, size=size)
 

main2_ROC_KC_UpDownTrend.py

@@ -14,6 +14,12 @@
  cerebro.broker.setcommission(commission=0.01)
  #cerebro.broker.set_fundmode(True) # the default is 100
 
+ symbols = ('TQBR.AFKS', 'TQBR.AFLT', 'TQBR.ALRS', 'TQBR.CBOM', 'TQBR.CHMF', 'TQBR.DSKY', 'TQBR.ENPG', 'TQBR.FEES',
+ 'TQBR.FIVE', 'TQBR.FIXP', 'TQBR.FLOT', 'TQBR.GAZP', 'TQBR.GMKN', 'TQBR.HHRU', 'TQBR.HYDR', 'TQBR.LKOH',
+ 'TQBR.MAGN', 'TQBR.MGNT', 'TQBR.MOEX', 'TQBR.MTSS', 'TQBR.NLMK', 'TQBR.NVTK', 'TQBR.OZON', 'TQBR.PHOR',
+ 'TQBR.PIKK', 'TQBR.PLZL', 'TQBR.POLY', 'TQBR.ROSN', 'TQBR.RTKM', 'TQBR.SBER', 'TQBR.SNGS', 'TQBR.TATN',
+ 'TQBR.TCSG', 'TQBR.VKCO', 'TQBR.VTBR', 'TQBR.TATNP', 'TQBR.TRNFP', 'TQBR.SBERP', 'TQBR.SNGSP',
+ 'TQBR.AKRN', 'TQBR.SIBN', 'TQBR.LSRG', 'TQBR.RASP', 'TQBR.BSPB', 'TQBR.MTLRP', 'TQBR.RTKMP',)
  symbols = ('TQBR.SBER', 'TQBR.GAZP', 'TQBR.LKOH', 'TQBR.GMKN',) # Кортеж тикеров
  symbols = ('TQBR.SBER', 'TQBR.LKOH', ) # Кортеж тикеров
  symbols = ('TQBR.SBER', )