本文整理汇总了Python中mewp.math.simple.SimpleMoving类的典型用法代码示例。如果您正苦于以下问题：Python SimpleMoving类的具体用法？Python SimpleMoving怎么用？Python SimpleMoving使用的例子？那么恭喜您, 这里精选的类代码示例或许可以为您提供帮助。
在下文中一共展示了SimpleMoving类的20个代码示例，这些例子默认根据受欢迎程度排序。您可以为喜欢或者感觉有用的代码点赞，您的评价将有助于我们的系统推荐出更棒的Python代码示例。
示例1: param_updated
def param_updated(self):
# make sure parent updates its param
super(SpreadGuardAlgo, self).param_updated()
# algo settings
self.min_ticksize = self.pair.x.symbol.min_ticksize
# create rolling
self.long_roll = SimpleMoving(size=self.param['rolling'])
self.short_roll = SimpleMoving(size=self.param['rolling'])
self.spreadx_roll = SimpleMoving(size = self.param['rolling'])
self.spready_roll = SimpleMoving(size = self.param['rolling'])
self.bollinger = self.param['bollinger']
self.block = self.param['block']
#other params
self.last_long_res = -999
self.last_short_res = -999
#records
self.records = {'timestamp': [], 'longs': [], 'shorts': [],
'long_mean': [], 'short_mean': [],
'long_sd': [], 'short_sd':[]}
#tracker
self.tracker = self.param['tracker']
开发者ID:Coderx7，项目名称:CNN，代码行数:28，代码来源:al.py
示例2: param_updated
def param_updated(self):
# make sure parent updates its param
super(StopWinAlgo, self).param_updated()
# algo settings
self.if_ema = self.param['if_ema'] # if false, use sma
self.if_stop_win = self.param['if_stop_win'] #if false, don't stop win
self.if_consider_spread = self.param['if_consider_spread'] #if false, don't consider spread and fee
# create rolling
self.long_roll = SimpleMoving(size=self.param['rolling'])
self.short_roll = SimpleMoving(size=self.param['rolling'])
self.long_autoreg = Autoregressive(alpha = self.param['alpha'])
self.short_autoreg = Autoregressive(alpha = self.param['alpha'])
self.spreadx_roll = SimpleMoving(size = self.param['rolling'])
self.spready_roll = SimpleMoving(size = self.param['rolling'])
self.bollinger = self.param['bollinger']
self.block = self.param['block']
self.stop_win = self.param['stop_win']
#other params
self.last_long_res = -999
self.last_short_res = -999
#records
self.records = {'timestamp': [], 'longs': [], 'shorts': [],
'long_mean': [], 'short_mean': [],
'long_sd': [], 'short_sd':[]}
#tracker
self.tracker = TradeAnalysis(self.pair.x)
开发者ID:Coderx7，项目名称:CNN，代码行数:32，代码来源:czce.py
示例3: on_daystart
def on_daystart(self, date, info_x, info_y):
# recreate rolling at each day start
self.long_autoreg = AutoregOU(size=self.param['rolling'])
self.short_autoreg = AutoregOU(size=self.param['rolling'])
self.spreadx_roll = SimpleMoving(size = self.param['rolling'])
self.spready_roll = SimpleMoving(size = self.param['rolling'])
开发者ID:volpato30，项目名称:Backtest，代码行数:7，代码来源:ni.py
示例4: param_updated
def param_updated(self):
# make sure parent updates its param
super(OUAlgo, self).param_updated()
# create autoregressive
self.long_autoreg = AutoregOU(size=self.param["rolling"])
self.short_autoreg = AutoregOU(size=self.param["rolling"])
# create rolling
self.spreadx_roll = SimpleMoving(size=self.param["rolling"])
self.spready_roll = SimpleMoving(size=self.param["rolling"])
# params
self.bollinger = self.param["bollinger"]
self.block = self.param["block"]
# other params
self.last_long_res = -999
self.last_short_res = -999
# records
self.records = {
"timestamp": [],
"longs": [],
"shorts": [],
"long_mean": [],
"short_mean": [],
"long_sd": [],
"short_sd": [],
}
# tracker
self.tracker = self.param["tracker"]
开发者ID:Coderx7，项目名称:CNN，代码行数:33，代码来源:au_OU.py
示例5: param_updated
def param_updated(self):
# make sure parent updates its param
super(OUAlgo, self).param_updated()
# create autoregressive
self.long_autoreg = AutoregOU(size = self.param['rolling'])
self.short_autoreg = AutoregOU(size = self.param['rolling'])
# create rolling
self.spreadx_roll = SimpleMoving(size = self.param['rolling'])
self.spready_roll = SimpleMoving(size = self.param['rolling'])
#params
self.bollinger = self.param['bollinger']
self.block = self.param['block']
#other params
self.last_long_res = -999
self.last_short_res = -999
#records
self.records = {'timestamp': [], 'longs': [], 'shorts': [],
'long_mean': [], 'short_mean': [],
'long_sd': [], 'short_sd':[]}
#tracker
self.tracker = self.param['tracker']
self.orderfee = 0
开发者ID:volpato30，项目名称:Backtest，代码行数:29，代码来源:ni.py
示例6: param_updated
def param_updated(self):
# make sure parent updates its param
super(SMAAlgo, self).param_updated()
# create rolling
self.long_roll = SimpleMoving(size=self.param['rolling'])
self.short_roll = SimpleMoving(size=self.param['rolling'])
self.spreadx_roll = SimpleMoving(size = self.param['rolling'])
self.spready_roll = SimpleMoving(size = self.param['rolling'])
#params
self.bollinger = self.param['bollinger']
self.block = self.param['block']
self.stop_win = self.param['stop_win']
#other params
self.last_long_res = -999
self.last_short_res = -999
#records
self.records = {'timestamp': [], 'longs': [], 'shorts': [],
'long_mean': [], 'short_mean': [],
'long_sd': [], 'short_sd':[]}
self.max_profit = 0
#tracker
self.tracker = TradeAnalysis(self.pair.x)
开发者ID:Coderx7，项目名称:CNN，代码行数:28，代码来源:trailing_stopwin.py
示例7: param_updated
def param_updated(self):
# make sure parent updates its param
super(StopWinSpreadGuardAlgo, self).param_updated()
# algo settings
self.min_ticksize = self.pair.x.symbol.min_ticksize
# create rolling
self.long_roll = SimpleMoving(size=self.param["rolling"])
self.short_roll = SimpleMoving(size=self.param["rolling"])
self.spreadx_roll = SimpleMoving(size=self.param["rolling"])
self.spready_roll = SimpleMoving(size=self.param["rolling"])
self.bollinger = self.param["bollinger"]
self.block = self.param["block"]
self.stop_win = self.param["stop_win"]
# other params
self.last_long_res = -999
self.last_short_res = -999
# records
self.records = {
"timestamp": [],
"longs": [],
"shorts": [],
"long_mean": [],
"short_mean": [],
"long_sd": [],
"short_sd": [],
}
# tracker
self.tracker = self.param["tracker"]
开发者ID:Coderx7，项目名称:CNN，代码行数:35，代码来源:au.py
示例8: on_daystart
def on_daystart(self, date, info_x, info_y):
# recreate rolling at each day start
self.long_roll = SimpleMoving(size=self.param["rolling"])
self.short_roll = SimpleMoving(size=self.param["rolling"])
self.long_autoreg = Autoregressive(alpha=self.param["alpha"])
self.short_autoreg = Autoregressive(alpha=self.param["alpha"])
self.spreadx_roll = SimpleMoving(size=self.param["rolling"])
self.spready_roll = SimpleMoving(size=self.param["rolling"])
开发者ID:Coderx7，项目名称:CNN，代码行数:8，代码来源:shfe.py
示例9: param_updated
def param_updated(self):
# make sure parent updates its param
super(SMAAlgo, self).param_updated()
# create rolling
self.long_roll = SimpleMoving(size=self.param['rolling'])
self.short_roll = SimpleMoving(size=self.param['rolling'])
self.bollinger = self.param['bollinger']
self.block = self.param['block']
self.stop_win = self.param['stop_win']
#other params
self.last_long_res = -999
self.last_short_res = -999
开发者ID:Coderx7，项目名称:CNN，代码行数:14，代码来源:stopwin_sma.py
示例10: param_updated
def param_updated(self):
# make sure parent updates its param
super(StopWinAlgo, self).param_updated()
# algo settings
self.if_ema = self.param["if_ema"] # if false, use sma
self.if_stop_win = self.param["if_stop_win"] # if false, don't stop win
self.if_consider_spread = self.param["if_consider_spread"] # if false, don't consider spread and fee
# create rolling
self.long_roll = SimpleMoving(size=self.param["rolling"])
self.short_roll = SimpleMoving(size=self.param["rolling"])
self.long_autoreg = Autoregressive(alpha=self.param["alpha"])
self.short_autoreg = Autoregressive(alpha=self.param["alpha"])
self.spreadx_roll = SimpleMoving(size=self.param["rolling"])
self.spready_roll = SimpleMoving(size=self.param["rolling"])
self.bollinger = self.param["bollinger"]
self.block = self.param["block"]
self.stop_win = self.param["stop_win"]
# other params
self.last_long_res = -999
self.last_short_res = -999
# records
self.records = {
"timestamp": [],
"longs": [],
"shorts": [],
"long_mean": [],
"short_mean": [],
"long_sd": [],
"short_sd": [],
}
# tracker
self.tracker = TradeAnalysis(self.pair.x)
开发者ID:Coderx7，项目名称:CNN，代码行数:38，代码来源:shfe.py
示例11: TestAlgo
class TestAlgo(PairAlgoWrapper):
# called when algo param is set
def param_updated(self):
# make sure parent updates its param
super(TestAlgo, self).param_updated()
#self.long_roll = SimpleMoving(size=self.param['rolling'])
#self.short_roll = SimpleMoving(size=self.param['rolling'])
self.sd_coef = self.param['sd_coef']
self.block = self.param['block']
def on_daystart(self, date, info_x, info_y):
pass
# recreate rolling at each day start
self.long_roll = SimpleMoving(size=self.param['rolling'])
self.short_roll = SimpleMoving(size=self.param['rolling'])
def on_dayend(self, date, info_x, info_y):
pos = self.position_y()
# stop short position
if pos == -1:
self.long_y(y_qty = 1)
return
# stop long position
if pos == 1:
self.short_y(y_qty = 1)
return
def on_tick(self, multiple, contract, info):
# skip if price_table doesnt have both, TODO fix this bug internally
if len(self.price_table.table) < 2:
return
# get residuals and position
long_res = self.pair.get_long_residual()
short_res = self.pair.get_short_residual()
pos = self.position_y()
# action only when unblocked: bock size < rolling queue size
if self.long_roll.queue.qsize() > self.block:
# long when test long_res > roll.mean+sd_coef*roll.sd
if self.long_roll.test_sigma(long_res, self.sd_coef):
# only long when position is 0 or -1
if pos <= 0:
self.long_y(y_qty=1)
# short when test short_res > roll.mean+sd_coef*roll.sd
elif self.short_roll.test_sigma(short_res, self.sd_coef):
# only short when position is 0 or 1
if pos >= 0:
self.short_y(y_qty=1)
else:
pass
# update rolling
self.long_roll.add(long_res)
self.short_roll.add(short_res)
开发者ID:Coderx7，项目名称:CNN，代码行数:58，代码来源:cu_grid_search.py
示例12: SpreadGuardAlgo
class SpreadGuardAlgo(PairAlgoWrapper):
# called when algo param is set
def param_updated(self):
# make sure parent updates its param
super(SpreadGuardAlgo, self).param_updated()
# algo settings
self.min_ticksize = self.pair.x.symbol.min_ticksize
# create rolling
self.long_roll = SimpleMoving(size=self.param['rolling'])
self.short_roll = SimpleMoving(size=self.param['rolling'])
self.spreadx_roll = SimpleMoving(size = self.param['rolling'])
self.spready_roll = SimpleMoving(size = self.param['rolling'])
self.bollinger = self.param['bollinger']
self.block = self.param['block']
#other params
self.last_long_res = -999
self.last_short_res = -999
#records
self.records = {'timestamp': [], 'longs': [], 'shorts': [],
'long_mean': [], 'short_mean': [],
'long_sd': [], 'short_sd':[]}
#tracker
self.tracker = self.param['tracker']
# what to do on every tick
def on_tick(self, multiple, contract, info):
self.tracker.tick_pass_by() # tell the tracker that one tick passed by
# skip if price_table doesnt have both
if len(self.price_table.table) < 2:
return
# get residuals and position
long_res = self.pair.get_long_residual()
short_res = self.pair.get_short_residual()
pos = self.position_y()
trade_flag = 0
## only do this when plotting is needed
#update record
# self._update_record(long_res, self.long_roll.mean, self.long_roll.sd,\
# short_res, self.short_roll.mean, self.short_roll.sd)
#calculate profit for this round
profit = 0
if pos == -1:
profit = long_res + self.last_short_res
elif pos == 1:
profit = short_res + self.last_long_res
#two spread
spreadx = self.spreadx_roll.mean
spready = self.spready_roll.mean
avg_spread = (spreadx + spready)/2
#fee
fee = self.pair.get_fee()
# open or close position
# action only when unblocked: bock size < rolling queue size
if self.long_roll.queue.qsize() > self.block and trade_flag == 0:
# long when test long_res > mean+bollinger*sd
if self.long_roll.test_sigma(long_res, self.bollinger) and long_res - self.long_roll.mean > fee + avg_spread:
# only long when position is 0 or -1
if pos <= 0:
self.long_y(y_qty=1)
self.last_long_res = long_res
#tell the tracker
if pos == 0:
self.tracker.open_position()
else:
self.tracker.close_with_exit(profit - fee)
# short when test short_res > mean+bollinger*sd
elif self.short_roll.test_sigma(short_res, self.bollinger) and short_res - self.short_roll.mean > fee + avg_spread:
# only short when position is 0 or 1
if pos >= 0:
self.short_y(y_qty=1)
self.last_short_res = short_res
#tell the tracker
if pos == 0:
self.tracker.open_position()
else:
self.tracker.close_with_exit(profit - fee)
# update rolling
self.long_roll.add(long_res)
self.short_roll.add(short_res)
self.spreadx_roll.add(self.pair.get_spread_x())
#.........这里部分代码省略.........
开发者ID:Coderx7，项目名称:CNN，代码行数:101，代码来源:al.py
示例13: EMAAlgo
class EMAAlgo(PairAlgoWrapper):
# called when algo param is set
def param_updated(self):
# make sure parent updates its param
super(EMAAlgo, self).param_updated()
# create rolling
self.long_autoreg = Autoregressive(alpha = self.param['alpha'])
self.short_autoreg = Autoregressive(alpha = self.param['alpha'])
self.long_roll = SimpleMoving(size = self.param['rolling'])
self.short_roll = SimpleMoving(size = self.param['rolling'])
self.bollinger = self.param['bollinger']
self.block = self.param['block']
self.stop_win = self.param['stop_win']
#other params
self.last_long_res = -999
self.last_short_res = -999
def on_tick(self, multiple, contract, info):
# skip if price_table doesnt have both, TODO fix this bug internally
if len(self.price_table.table) < 2:
return
# get residuals and position
long_res = self.pair.get_long_residual()
short_res = self.pair.get_short_residual()
pos = self.position_y()
# update rolling
self.long_autoreg.add(long_res)
self.short_autoreg.add(short_res)
self.long_roll.add(long_res)
self.short_roll.add(short_res)
long_mean = self.long_autoreg.getMean()
short_mean = self.short_autoreg.getMean()
long_std = self.long_roll.sd
short_std = self.short_roll.sd
# stop short position
if pos == -1:
if long_res + self.last_short_res >= self.stop_win * long_std:
self.long_y(y_qty = 1)
return
# stop long position
if pos == 1:
if short_res + self.last_long_res >= self.stop_win * short_std:
self.short_y(y_qty = 1)
return
# action only when unblocked: bock size < rolling queue size
if self.long_roll.queue.qsize() > self.block:
# long when test long_res > mean+bollinger*std
if long_res > long_mean + self.bollinger * long_std:
# only long when position is 0 or -1
if pos <= 0:
self.long_y(y_qty=1)
self.last_long_res = long_res
return
# short when test short_res > mean+bollinger*std
elif short_res > short_mean + self.bollinger * short_std:
# only short when position is 0 or 1
if pos >= 0:
self.short_y(y_qty=1)
self.last_short_res = short_res
return
def on_daystart(self, date, info_x, info_y):
#create new stuff on day start
self.long_autoreg = Autoregressive(alpha = self.param['alpha'])
self.short_autoreg = Autoregressive(alpha = self.param['alpha'])
self.long_roll = SimpleMoving(size = self.param['rolling'])
self.short_roll = SimpleMoving(size = self.param['rolling'])
def on_dayend(self, date, info_x, info_y):
pos = self.position_y()
# stop short position
if pos == -1:
self.long_y(y_qty = 1)
return
# stop long position
if pos == 1:
self.short_y(y_qty = 1)
return
开发者ID:Coderx7，项目名称:CNN，代码行数:92，代码来源:stopwin_ema.py
示例14: on_daystart
def on_daystart(self, date, info_x, info_y):
#create new stuff on day start
self.long_autoreg = Autoregressive(alpha = self.param['alpha'])
self.short_autoreg = Autoregressive(alpha = self.param['alpha'])
self.long_roll = SimpleMoving(size = self.param['rolling'])
self.short_roll = SimpleMoving(size = self.param['rolling'])
开发者ID:Coderx7，项目名称:CNN，代码行数:6，代码来源:stopwin_ema.py
示例15: OUAlgo
class OUAlgo(PairAlgoWrapper):
# called when algo param is set
def param_updated(self):
# make sure parent updates its param
super(OUAlgo, self).param_updated()
# create autoregressive
self.long_autoreg = AutoregOU(size=self.param["rolling"])
self.short_autoreg = AutoregOU(size=self.param["rolling"])
# create rolling
self.spreadx_roll = SimpleMoving(size=self.param["rolling"])
self.spready_roll = SimpleMoving(size=self.param["rolling"])
# params
self.bollinger = self.param["bollinger"]
self.block = self.param["block"]
# other params
self.last_long_res = -999
self.last_short_res = -999
# records
self.records = {
"timestamp": [],
"longs": [],
"shorts": [],
"long_mean": [],
"short_mean": [],
"long_sd": [],
"short_sd": [],
}
# tracker
self.tracker = self.param["tracker"]
def on_tick(self, multiple, contract, info):
self.tracker.tick_pass_by()
# skip if price_table doesnt have both, TODO fix this bug internally
if self.price_table.get_size() < 2:
return
# get residuals and position
long_res = self.pair.get_long_residual()
short_res = self.pair.get_short_residual()
pos = self.position_y()
# two spread
spreadx = self.spreadx_roll.mean
spready = self.spready_roll.mean
avg_spread = (spreadx + spready) / 2
# fee
fee = self.pair.get_fee()
# update record
# self._update_record(float(long_res), float(self.long_autoreg.mean), float(self.long_autoreg.sd),\
# float(short_res), float(self.short_autoreg.mean), float(self.short_autoreg.sd))
# calculate profit
profit = 0
if pos == -1:
profit = long_res + self.last_short_res
elif pos == 1:
profit = short_res + self.last_long_res
# action only when unblocked: bock size < rolling queue size
if self.long_autoreg.get_length() > self.block:
# long when test long_res > mean+bollinger*sd
if (
self.long_autoreg.test_sigma(long_res, self.bollinger)
and long_res > self.long_autoreg.mean + avg_spread + fee / 2
):
# only long when position is 0 or -1
if pos <= 0:
self.long_y(y_qty=1)
self.last_long_res = long_res
# tell the tracker
if pos == 0:
self.tracker.open_position()
else:
self.tracker.close_with_exit(profit - fee)
# short when test short_res > mean + bollinger*sd
elif (
self.short_autoreg.test_sigma(short_res, self.bollinger)
and short_res > self.short_autoreg.mean + avg_spread + fee / 2
):
# only short when position is 0 or 1
if pos >= 0:
self.short_y(y_qty=1)
self.last_short_res = short_res
# tell the tracker
if pos == 0:
self.tracker.open_position()
else:
self.tracker.close_with_exit(profit - fee)
#.........这里部分代码省略.........
开发者ID:Coderx7，项目名称:CNN，代码行数:101，代码来源:au_OU.py
示例16: OUAlgo
class OUAlgo(PairAlgoWrapper):
# called when algo param is set
def param_updated(self):
# make sure parent updates its param
super(OUAlgo, self).param_updated()
# create autoregressive
self.long_autoreg = AutoregOU(size = self.param['rolling'])
self.short_autoreg = AutoregOU(size = self.param['rolling'])
# create rolling
self.spreadx_roll = SimpleMoving(size = self.param['rolling'])
self.spready_roll = SimpleMoving(size = self.param['rolling'])
#params
self.bollinger = self.param['bollinger']
self.block = self.param['block']
#other params
self.last_long_res = -999
self.last_short_res = -999
#records
self.records = {'timestamp': [], 'longs': [], 'shorts': [],
'long_mean': [], 'short_mean': [],
'long_sd': [], 'short_sd':[]}
#tracker
self.tracker = self.param['tracker']
self.orderfee = 0
def on_tick(self, multiple, contract, info):
self.tracker.tick_pass_by()
# skip if price_table doesnt have both, TODO fix this bug internally
if self.price_table.get_size() < 2:
return
# get residuals and position
long_res = self.pair.get_long_residual()
short_res = self.pair.get_short_residual()
pos = self.position_y()
#two spread
spreadx = self.spreadx_roll.mean
spready = self.spready_roll.mean
avg_spread = (spreadx + spready)/2
#fee
fee = self.pair.get_fee()
#update record
#self._update_record(float(long_res), float(self.long_autoreg.mean), float(self.long_autoreg.sd), float(short_res), float(self.short_autoreg.mean), float(self.short_autoreg.sd))
#calculate profit
profit = 0
if pos == -1:
profit = long_res + self.last_short_res
elif pos == 1:
profit = short_res + self.last_long_res
# action only when unblocked: bock size < rolling queue size
if self.long_autoreg.get_length() > self.block:
# long when test long_res > mean+bollinger*sd
if self.long_autoreg.test_sigma(long_res, self.bollinger):
# only long when position is 0 or -1
if pos <= 0:
try:
[order1, order2] = self.long_y(y_qty=1)
self.last_long_res = long_res
#tell the tracker
if pos == 0:
self.orderfee = order1.fee + order2.fee
self.tracker.open_position()
else:
self.orderfee += order1.fee + order2.fee
self.tracker.close_with_exit(profit, self.orderfee)
except Exception:
pass
# short when test short_res > mean + bollinger*sd
elif self.short_autoreg.test_sigma(short_res, self.bollinger):
# only short when position is 0 or 1
if pos >= 0:
try:
[order1, order2] = self.short_y(y_qty=1)
self.last_short_res = short_res
#tell the tracker
if pos == 0:
self.orderfee = order1.fee + order2.fee
self.tracker.open_position()
else:
self.orderfee += order1.fee + order2.fee
self.tracker.close_with_exit(profit, self.orderfee)
except Exception:
#.........这里部分代码省略.........
开发者ID:volpato30，项目名称:Backtest，代码行数:101，代码来源:ni.py
示例17: TestAlgo
class TestAlgo(PairAlgoWrapper):
# called when algo param is set
def param_updated(self):
# make sure parent updates its param
super(TestAlgo, self).param_updated()
self.sd_coef = self.param['sd_coef']
self.block = self.param['block']
self.guard_coef = self.param['guard_coef']
self.stop_win = self.param['stop_win']
self.min_ticksize = self.pair.x.symbol.min_ticksize
self.last_long_res = -999
self.last_short_res = -999
def on_daystart(self, date, info_x, info_y):
# recreate rolling at each day start
self.long_roll = SimpleMoving(size=self.param['rolling'])
self.short_roll = SimpleMoving(size=self.param['rolling'])
def on_dayend(self, date, info_x, info_y):
print '{} settle price: x {}, y {}. PNL is {}'.format(
date, info_x['SettlePrice'], info_y['SettlePrice'],
self.account.get_pnl())
def on_tick(self, multiple, contract, info):
# skip if price_table doesnt have both, TODO fix this bug internally
if len(self.price_table.table) < 2:
return
# get residuals and position
long_res = self.pair.get_long_residual()
short_res = self.pair.get_short_residual()
pos = self.position_y()
if pos == -1:
if long_res + self.last_short_res >= max(self.stop_win, 2*self.long_roll.sd) * self.min_ticksize:
self.long_y(y_qty = 1)
return
# stop long position
if pos == 1:
if short_res + self.last_long_res >= max(self.stop_win, 2*self.short_roll.sd) * self.min_ticksize:
self.short_y(y_qty = 1)
return
# get ask-bid spread cost
spreadcost = self.price_table.get_ask(self.pair.x) - self.price_table.get_bid(self.pair.x) + self.price_table.get_ask(self.pair.y) - self.price_table.get_bid(self.pair.y)
if spreadcost < 0:
raise Exception
# action only when unblocked: bock size < rolling queue size
if self.long_roll.queue.qsize() > self.block:
# long when test long_res > roll.mean+sd_coef*roll.sd
# if self.long_roll.test_sigma(long_res, self.sd_coef):
if long_res > self.long_roll.mean + max( self.sd_coef*self.long_roll.sd,(self.guard_coef*self.min_ticksize + spreadcost)) :
# only long when position is 0 or -1
if pos <= 0:
self.long_y(y_qty=1)
# short when test short_res > roll.mean+sd_coef*roll.sd
#elif self.short_roll.test_sigma(short_res, self.sd_coef):
elif short_res > self.short_roll.mean + max( self.sd_coef*self.short_roll.sd,(self.guard_coef*self.min_ticksize + spreadcost)) :
# only short when position is 0 or 1
if pos >= 0:
self.short_y(y_qty=1)
else:
pass
# update rolling
self.long_roll.add(long_res)
self.short_roll.add(short_res)
开发者ID:Coderx7，项目名称:CNN，代码行数:73，代码来源:stopwin_guard.py
示例18: SMAAlgo
class SMAAlgo(PairAlgoWrapper):
# called when algo param is set
def param_updated(self):
# make sure parent updates its param
super(SMAAlgo, self).param_updated()
# create rolling
self.long_roll = SimpleMoving(size=self.param['rolling'])
self.short_roll = SimpleMoving(size=self.param['rolling'])
self.spreadx_roll = SimpleMoving(size = self.param['rolling'])
self.spready_roll = SimpleMoving(size = self.param['rolling'])
#params
self.bollinger = self.param['bollinger']
self.block = self.param['block']
self.stop_win = self.param['stop_win']
#other params
self.last_long_res = -999
self.last_short_res = -999
#records
self.records = {'timestamp': [], 'longs': [], 'shorts': [],
'long_mean': [], 'short_mean': [],
'long_sd': [], 'short_sd':[]}
self.max_profit = 0
#tracker
self.tracker = TradeAnalysis(self.pair.x)
def on_tick(self, multiple, contract, info):
self.tracker.tick_pass_by()
# skip if price_table doesnt have both, TODO fix this bug internally
if len(self.price_table.table) < 2:
return
# get residuals and position
long_res = self.pair.get_long_residual()
short_res = self.pair.get_short_residual()
pos = self.position_y()
#two spread
spreadx = self.spreadx_roll.mean
spready = self.spready_roll.mean
avg_spread = (spreadx + spready)/2
#fee
fee = self.pair.get_fee()
#update record
# self._update_record(long_res, self.long_roll.mean, self.long_roll.sd,\
# short_res, self.short_roll.mean, self.short_roll.sd)
#calculate profit
profit = 0
if pos == -1:
profit = long_res + self.last_short_res
elif pos == 1:
profit = short_res + self.last_long_res
#trailing stop win
if profit > self.max_profit and profit > 0:
self.max_profit = profit
else:
# stop short position
if pos == -1:
if self.max_profit - profit > max(1,self.stop_win * self.long_roll.sd) and profit > 0:
self.long_y(y_qty = 1)
self.last_long_res = long_res
self.tracker.close_with_stop(profit - fee)
return
# stop long position
if pos == 1:
if self.max_profit - profit > max(1,self.stop_win * self.short_roll.sd) and profit > 0:
self.short_y(y_qty = 1)
self.last_short_res = short_res
self.tracker.close_with_stop(profit - fee)
return
# action only when unblocked: bock size < rolling queue size
if self.long_roll.queue.qsize() > self.block:
# long when test long_res > mean+bollinger*sd
if self.long_roll.test_sigma(long_res, self.bollinger) \
and long_res > self.long_roll.mean + avg_spread + fee/2:
# only long when position is 0 or -1
if pos <= 0:
self.long_y(y_qty=1)
self.last_long_res = long_res
self.max_profit = 0
#tell the tracker
if pos == 0:
self.tracker.open_position()
else:
self.tracker.close_with_exit(profit - fee)
#.........这里部分代码省略.........
开发者ID:Coderx7，项目名称:CNN，代码行数:101，代码来源:trailing_stopwin.py
示例19: on_daystart
def on_daystart(self, date, info_x, info_y):
# recreate rolling at each day start
self.long_roll = SimpleMoving(size=self.param['rolling'])
self.short_roll = SimpleMoving(size=self.param['rolling'])
开发者ID:Coderx7，项目名称:CNN，代码行数:4，代码来源:rolling_parameters.py
示例20: StopWinAlgo
class StopWinAlgo(PairAlgoWrapper):
# called when algo param is set
def param_updated(self):
# make sure parent updates its param
super(StopWinAlgo, self).param_updated()
# algo settings
self.if_ema = self.param["if_ema"] # if false, use sma
self.if_stop_win = self.param["if_stop_win"] # if false, don't stop win
self.if_consider_spread = self.param["if_consider_spread"] # if false, don't consider spread and fee
# create rolling
self.long_roll = SimpleMoving(size=self.param["rolling"])
self.short_roll = SimpleMoving(size=self.param["rolling"])
self.long_autoreg = Autoregressive(alpha=self.param["alpha"])
self.short_autoreg = Autoregressive(alpha=self.param["alpha"])
self.spreadx_roll = SimpleMoving(size=self.param["rolling"])
self.spready_roll = SimpleMoving(size=self.param["rolling"])
self.bollinger = self.param["bollinger"]
self.block = self.param["block"]
self.stop_win = self.param["stop_win"]
# other params
self.last_long_res = -999
self.last_short_res = -999
# records
self.records = {
"timestamp": [],
"longs": [],
"shorts": [],
"long_mean": [],
"short_mean": [],
"long_sd": [],
"short_sd": [],
}
# tracker
self.tracker = TradeAnalysis(self.pair.x)
# what to do on every tick
def on_tick(self, multiple, contract, info):
self.tracker.tick_pass_by() # tell the tracker that one tick passed by
# skip if price_table doesnt have both
if len(self.price_table.table) < 2:
return
# get residuals and position
long_res = self.pair.get_long_residual()
short_res = self.pair.get_short_residual()
pos = self.position_y()
## only do this when plotting is neede
# update record
# if self.if_ema:
# self._update_record(long_res, self.autoreg.mean, self.long_roll.sd,\
# short_res, self.autoreg.mean, self.short_roll.sd)
# else:
# self._update_record(long_res, self.long_roll.mean, self.long_roll.sd,\
# short_res, self.short_roll.mean, self.short_roll.sd)
# calculate profit for this round
profit = 0
if pos == -1:
profit = long_res + self.last_short_res
elif pos == 1:
profit = short_res + self.last_long_res
# two spread
spreadx = self.spreadx_roll.mean
spready = self.spready_roll.mean
avg_spread = (spreadx + spready) / 2
# fee
fee = self.pair.get_fee()
# stop short position
if self.if_stop_win:
if pos == -1:
if (profit >= max(1, self.stop_win * self.long_roll.sd) and self.if_consider_spread == False) or (
profit >= max(1, self.stop_win * self.long_roll.sd, fee) and self.if_consider_spread == True
):
self.long_y(y_qty=1)
self.last_long_res = long_res
self.tracker.close_with_stop(profit)
return
# stop long position
|
客服电话
APP下载
官方微信
请发表评论