+ fixed NtimestrueOk

Strategy2_ROC_KC_UpDownTrend.py

@@ -38,6 +38,7 @@ def next(self):
 class And3(bt.Indicator):
  lines = ('and3',)
  params = dict(data2=1, data3=1)
+ plotinfo = dict(plot=True)
 
  def __init__(self):
  self.l.and3 = bt.And(self.data, self.p.data2, self.p.data3)
@@ -47,6 +48,7 @@ def __init__(self):
 class OverUnder(bt.Indicator):
  lines = ('overunder',)
  params = dict(data2=20)
+ plotinfo = dict(plot=True)
 
  def __init__(self):
  self.l.overunder = self.data > self.p.data2 # данные над data2 == 1
@@ -55,6 +57,7 @@ def __init__(self):
 class UnderOver(bt.Indicator):
  lines = ('underover',)
  params = dict(data2=20)
+ plotinfo = dict(plot=True)
 
  def __init__(self):
  self.l.underover = self.data < self.p.data2 # данные под data2 == 1
@@ -63,6 +66,7 @@ def __init__(self):
 class UpDownTrend(bt.Indicator):
  lines = ('trend',)
  params = dict(period=20, )
+ plotinfo = dict(plot=True)
 
  def __init__(self):
  y1 = self.data
@@ -214,10 +218,14 @@ def __init__(self):
  data2=self.roc_over_0[ticker].lines.overunder,
  data3=self.close_over_kc_top[ticker].lines.overunder)
 
- self.enter_long[ticker] = NtimestrueOk(self.datas[i], self.and3[ticker].lines.and3, period=50)
+ self.enter_long[ticker] = NtimestrueOk(self.datas[i], self.and3[ticker].lines.and3, period=10)
+ # self.enter_long[ticker] = bt.indicators.CrossUp(self.ema_all1[ticker].lines.ema,
+ # self.kc[ticker].lines.bot)
 
  #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.close_long[ticker] = bt.indicators.CrossDown(self.ema_all1[ticker].lines.ema,
+ # self.kc[ticker].lines.top)
 
  # self.sma_all1[ticker] = bt.indicators.SMA(self.datas[i], period=64)
  # self.sma_all2[ticker] = bt.indicators.SMA(self.datas[i], period=128)
@@ -340,21 +348,21 @@ def next(self):
 
  profit_percent = 1
  ratio_profit = 5 # 1/3 => 1%*3=3%
- stop_loss_percent = 1
+ stop_loss_percent = 5
  # условие на продажу
  if self.orders[ticker] and self.price_buy[ticker]:
  # print(f"_close={_close} self.price_buy[ticker]={self.price_buy[ticker]} take_profit={self.price_buy[ticker]*(1+profit_percent*ratio_profit/100)} stop-loss={self.price_buy[ticker]*(1-profit_percent/100)}")
  size = self.size_buy[ticker]
- # # условие на продажу stop-loss %
- # if _close <= self.price_buy[ticker] * (1 - stop_loss_percent / 100):
- #  self.log(f"SELL STOP LOSS CREATE [{ticker}] {self.data.close[0]:.2f}")
- #  self.log_csv(ticker=ticker, signal='STOP LOSS', signal_price=_close, size=size)
- #  self.sell(data=data, exectype=bt.Order.Market, size=size)
- #  self.orders[ticker] = False
- #  self.first_buy[ticker] = True
+ # условие на продажу stop-loss %
+ if _close <= self.price_buy[ticker] * (1 - stop_loss_percent / 100):
+ self.log(f"SELL STOP LOSS CREATE [{ticker}] {self.data.close[0]:.2f}")
+ self.log_csv(ticker=ticker, signal='STOP LOSS', signal_price=_close, size=size)
+ self.sell(data=data, exectype=bt.Order.Market, size=size)
+ self.orders[ticker] = False
+ self.first_buy[ticker] = True
 
  # условие на продажу take-profit
- if self.close_long[ticker]: #
+ if self.close_long[ticker] and self.orders[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

@@ -22,7 +22,7 @@
  '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', )
+ #symbols = ('TQBR.GAZP', )
 
  all_lots = {}