enables day by day bt run, bt market premium+inds
This commit is contained in:
David Brazda
@ -63,27 +63,30 @@ def trail_SL_management(state: StrategyState, data):
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def_SL = get_override_for_active_trade(state=state, directive_name=directive_name, default_value=safe_get(options, directive_name, 0.01))
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directive_name = "SL_trailing_offset_"+str(smer)
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offset = get_override_for_active_trade(state=state, directive_name=directive_name, default_value=safe_get(options, directive_name, 0.01))
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directive_name = "SL_trailing_step_"+str(smer)
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step = get_override_for_active_trade(state=state, directive_name=directive_name, default_value=safe_get(options, directive_name, offset))
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#pokud je pozadovan trail jen do breakeven a uz prekroceno
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if (direction == TradeDirection.LONG and stop_breakeven and state.vars.activeTrade.stoploss_value >= float(state.avgp)) or (direction == TradeDirection.SHORT and stop_breakeven and state.vars.activeTrade.stoploss_value <= float(state.avgp)):
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state.ilog(lvl=1,e=f"SL trail STOP at breakeven {str(smer)} SL:{state.vars.activeTrade.stoploss_value} UNCHANGED", stop_breakeven=stop_breakeven)
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return
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#IDEA: Nyni posouvame SL o offset, mozna ji posunout jen o direktivu step ?
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#Aktivace SL pokud vystoupa na "offset", a nasledne posunuti o "step"
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offset_normalized = normalize_tick(state, data, offset) #to ticks and from options
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step_normalized = normalize_tick(state, data, step)
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def_SL_normalized = normalize_tick(state, data, def_SL)
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if direction == TradeDirection.LONG:
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move_SL_threshold = state.vars.activeTrade.stoploss_value + offset_normalized + def_SL_normalized
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state.ilog(lvl=1,e=f"SL TRAIL EVAL {smer} SL:{round(state.vars.activeTrade.stoploss_value,3)} TRAILGOAL:{move_SL_threshold}", def_SL=def_SL, offset=offset, offset_normalized=offset_normalized, def_SL_normalized=def_SL_normalized)
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state.ilog(lvl=1,e=f"SL TRAIL EVAL {smer} SL:{round(state.vars.activeTrade.stoploss_value,3)} TRAILGOAL:{move_SL_threshold}", def_SL=def_SL, offset=offset, offset_normalized=offset_normalized, step_normalized=step_normalized, def_SL_normalized=def_SL_normalized)
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if (move_SL_threshold) < data['close']:
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state.vars.activeTrade.stoploss_value += offset_normalized
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state.vars.activeTrade.stoploss_value += step_normalized
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insert_SL_history(state)
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state.ilog(lvl=1,e=f"SL TRAIL TH {smer} reached {move_SL_threshold} SL moved to {state.vars.activeTrade.stoploss_value}", offset_normalized=offset_normalized, def_SL_normalized=def_SL_normalized)
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state.ilog(lvl=1,e=f"SL TRAIL TH {smer} reached {move_SL_threshold} SL moved to {state.vars.activeTrade.stoploss_value}", offset_normalized=offset_normalized, step_normalized=step_normalized, def_SL_normalized=def_SL_normalized)
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elif direction == TradeDirection.SHORT:
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move_SL_threshold = state.vars.activeTrade.stoploss_value - offset_normalized - def_SL_normalized
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state.ilog(lvl=0,e=f"SL TRAIL EVAL {smer} SL:{round(state.vars.activeTrade.stoploss_value,3)} TRAILGOAL:{move_SL_threshold}", def_SL=def_SL, offset=offset, offset_normalized=offset_normalized, def_SL_normalized=def_SL_normalized)
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state.ilog(lvl=0,e=f"SL TRAIL EVAL {smer} SL:{round(state.vars.activeTrade.stoploss_value,3)} TRAILGOAL:{move_SL_threshold}", def_SL=def_SL, offset=offset, offset_normalized=offset_normalized, step_normalized=step_normalized, def_SL_normalized=def_SL_normalized)
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if (move_SL_threshold) > data['close']:
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state.vars.activeTrade.stoploss_value -= offset_normalized
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state.vars.activeTrade.stoploss_value -= step_normalized
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insert_SL_history(state)
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state.ilog(lvl=1,e=f"SL TRAIL GOAL {smer} reached {move_SL_threshold} SL moved to {state.vars.activeTrade.stoploss_value}", offset_normalized=offset_normalized, def_SL_normalized=def_SL_normalized)
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state.ilog(lvl=1,e=f"SL TRAIL GOAL {smer} reached {move_SL_threshold} SL moved to {state.vars.activeTrade.stoploss_value}", offset_normalized=offset_normalized, step_normalized=step_normalized, def_SL_normalized=def_SL_normalized)
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@ -1 +1,10 @@
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from . import *
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import os
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# import importlib
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# from v2realbot.strategyblocks.indicators.custom.opengap import opengap
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for filename in os.listdir("v2realbot/strategyblocks/indicators/custom"):
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if filename.endswith(".py") and filename != "__init__.py":
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# __import__(filename[:-3])
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__import__(f"v2realbot.strategyblocks.indicators.custom.{filename[:-3]}")
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#importlib.import_module()
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@ -35,6 +35,32 @@ def basestats(state, params):
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val = np.amax(source_array)
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elif func == "mean":
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val = np.mean(source_array)
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elif func == "var":
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data = np.array(source_array)
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mean_value = np.mean(data)
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# Calculate the variance of the data
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val = np.mean((data - mean_value) ** 2)
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elif func == "angle":
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delka_pole = len(source_array)
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if delka_pole < 2:
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return 0,0
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x = np.arange(delka_pole)
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y = np.array(source_array)
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# Fit a linear polynomial to the data
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coeffs = np.polyfit(x, y, 1)
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# Calculate the angle in radians angle_rad
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val = np.arctan(coeffs[0]) * 1000
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# Convert the angle to degrees angle_deg
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#angle_deg = np.degrees(angle_rad)
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# Normalize the degrees between -1 and 1
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#val = 2 * (angle_deg / 180) - 1
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elif func =="stdev":
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val = np.std(source_array)
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else:
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return -2, "wrong function"
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26
v2realbot/strategyblocks/indicators/custom/ema.py
Normal file
26
v2realbot/strategyblocks/indicators/custom/ema.py
Normal file
@ -0,0 +1,26 @@
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from v2realbot.utils.utils import isrising, isfalling,zoneNY, price2dec, print, safe_get, is_still, is_window_open, eval_cond_dict, crossed_down, crossed_up, crossed, is_pivot, json_serial, pct_diff, create_new_bars, slice_dict_lists
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from v2realbot.strategy.base import StrategyState
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from v2realbot.indicators.indicators import ema as ext_ema
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from v2realbot.strategyblocks.indicators.helpers import get_source_series
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from rich import print as printanyway
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from traceback import format_exc
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from v2realbot.ml.ml import ModelML
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import numpy as np
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from collections import defaultdict
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from v2realbot.strategyblocks.indicators.helpers import value_or_indicator
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#strength, absolute change of parameter between current value and lookback value (n-past)
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#used for example to measure unusual peaks
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def ema(state, params):
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funcName = "ema"
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source = safe_get(params, "source", None)
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lookback = safe_get(params, "lookback",14)
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#lookback muze byt odkaz na indikator, pak berem jeho hodnotu
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lookback = int(value_or_indicator(state, lookback))
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source_series = get_source_series(state, source)[-lookback:]
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ema_value = ext_ema(source_series, lookback)
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val = round(ema_value[-1],4)
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state.ilog(lvl=1,e=f"INSIDE {funcName} {val} {source=} {lookback=}", **params)
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return 0, val
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@ -15,13 +15,16 @@ def mathop(state, params):
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if source1 is None or source2 is None or operator is None:
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return -2, "required source1 source2 operator"
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druhy = float(value_or_indicator(state, source2))
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if operator == "+":
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val = round(float(source1_series[-1] + value_or_indicator(state, source2)),4)
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val = round(float(source1_series[-1] + druhy),4)
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elif operator == "-":
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val = round(float(source1_series[-1] - value_or_indicator(state, source2)),4)
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val = round(float(source1_series[-1] - druhy),4)
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elif operator == "*":
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val = round(float(source1_series[-1] * druhy),4)
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else:
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return -2, "unknow operator"
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#state.ilog(lvl=0,e=f"INSIDE {funcName} {source1=} {source2=} {val}", **params)
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state.ilog(lvl=1,e=f"INSIDE {funcName} {source1=} {source2=} {val} {druhy=}", **params)
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return 0, val
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52
v2realbot/strategyblocks/indicators/custom/sameprice.py
Normal file
52
v2realbot/strategyblocks/indicators/custom/sameprice.py
Normal file
@ -0,0 +1,52 @@
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from v2realbot.utils.utils import isrising, isfalling,zoneNY, price2dec, print, safe_get, is_still, is_window_open, eval_cond_dict, crossed_down, crossed_up, crossed, is_pivot, json_serial, pct_diff, create_new_bars, slice_dict_lists
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from v2realbot.strategy.base import StrategyState
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from v2realbot.indicators.indicators import ema, natr, roc
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from v2realbot.strategyblocks.indicators.helpers import get_source_series
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from rich import print as printanyway
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from traceback import format_exc
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from v2realbot.ml.ml import ModelML
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import numpy as np
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from collections import defaultdict
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import bisect
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#strength, absolute change of parameter between current value and lookback value (n-past)
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#used for example to measure unusual peaks
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def sameprice(state, params):
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funcName = "sameprice"
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typ = safe_get(params, "type", None)
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def find_first_bigger_than_lastitem_backwards(list1):
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last_item = list1[-1]
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for i in range(len(list1) - 2, -1, -1):
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if list1[i] > last_item:
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return i
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return -1
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def find_first_smaller_than_lastitem_backwards(list1):
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last_item = list1[-1]
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for i in range(len(list1) - 2, -1, -1):
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if list1[i] < last_item:
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return i
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return -1
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if typ == "up":
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pozice_prvniho_vetsiho = find_first_bigger_than_lastitem_backwards(state.bars["vwap"])
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elif typ == "down":
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pozice_prvniho_vetsiho = find_first_smaller_than_lastitem_backwards(state.bars["vwap"])
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else:
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return -2, "unknow type"
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celkova_delka = len(state.bars["vwap"])
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#jde o daily high
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if pozice_prvniho_vetsiho == -1:
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state.ilog(lvl=1,e=f"INSIDE {funcName} {typ} {pozice_prvniho_vetsiho=} vracime 1")
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return 0, celkova_delka
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delka_k_predchozmu = celkova_delka - pozice_prvniho_vetsiho
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normalizovano = delka_k_predchozmu/celkova_delka
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state.ilog(lvl=1,e=f"INSIDE {funcName} {typ} {pozice_prvniho_vetsiho=} {celkova_delka=} {delka_k_predchozmu=} {normalizovano=}", pozice_prvniho_vetsiho=pozice_prvniho_vetsiho, celkova_delka=celkova_delka, delka_k_predchozmu=delka_k_predchozmu, **params)
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return 0, delka_k_predchozmu
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@ -8,15 +8,16 @@ import importlib
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#TODO TENTO IMPORT VYMYSLET, abych naloadoval package custom a nemusel nic pridat (vymyslet dynamicke volani z cele package ci)
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#from v2realbot.strategyblocks.indicators.custom._upscaled_rsi_wip import upscaledrsi
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from v2realbot.strategyblocks.indicators.custom.barparams import barparams
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from v2realbot.strategyblocks.indicators.custom.basestats import basestats
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from v2realbot.strategyblocks.indicators.custom.delta import delta
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from v2realbot.strategyblocks.indicators.custom.divergence import divergence
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from v2realbot.strategyblocks.indicators.custom.model import model
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from v2realbot.strategyblocks.indicators.custom.opengap import opengap
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from v2realbot.strategyblocks.indicators.custom.slope import slope
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from v2realbot.strategyblocks.indicators.custom.conditional import conditional
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from v2realbot.strategyblocks.indicators.custom.mathop import mathop
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import v2realbot.strategyblocks.indicators.custom as ci
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# from v2realbot.strategyblocks.indicators.custom.barparams import barparams
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# from v2realbot.strategyblocks.indicators.custom.basestats import basestats
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# from v2realbot.strategyblocks.indicators.custom.delta import delta
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# from v2realbot.strategyblocks.indicators.custom.divergence import divergence
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# from v2realbot.strategyblocks.indicators.custom.model import model
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# from v2realbot.strategyblocks.indicators.custom.opengap import opengap
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# from v2realbot.strategyblocks.indicators.custom.slope import slope
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# from v2realbot.strategyblocks.indicators.custom.conditional import conditional
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# from v2realbot.strategyblocks.indicators.custom.mathop import mathop
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# import v2realbot.strategyblocks.indicators.custom as ci
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@ -143,7 +144,7 @@ def populate_dynamic_custom_indicator(data, state: StrategyState, name):
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#pozor jako defaultní hodnotu dává engine 0 - je to ok?
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try:
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#subtype = "ci."+subtype
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subtype = "ci."+subtype+"."+subtype
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custom_function = eval(subtype)
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res_code, new_val = custom_function(state, custom_params)
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if res_code == 0:
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@ -1,4 +1,4 @@
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from v2realbot.utils.utils import isrising, isfalling,zoneNY, price2dec, print, safe_get, is_still, is_window_open, eval_cond_dict, crossed_down, crossed_up, crossed, is_pivot, json_serial, pct_diff, create_new_bars, slice_dict_lists
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from v2realbot.utils.utils import isrising, isfalling,isfallingc, isrisingc, zoneNY, price2dec, print, safe_get, is_still, is_window_open, eval_cond_dict, crossed_down, crossed_up, crossed, is_pivot, json_serial, pct_diff, create_new_bars, slice_dict_lists
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from v2realbot.strategy.base import StrategyState
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from traceback import format_exc
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@ -9,13 +9,16 @@ from traceback import format_exc
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def value_or_indicator(state,value):
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#preklad direktivy podle typu, pokud je int anebo float - je to primo hodnota
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#pokud je str, jde o indikator a dotahujeme posledni hodnotu z nej
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if isinstance(value, (int, float)):
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if isinstance(value, (float, int)):
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return value
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elif isinstance(value, str):
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try:
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#pokud existuje v indikatoru MA bereme MA jinak indikator, pokud neexistuje bereme bar
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ret = get_source_or_MA(state, indicator=value)[-1]
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state.ilog(lvl=0,e=f"Pro porovnani bereme posledni hodnotu {ret} z indikatoru {value}")
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lvl = 0
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if ret == 0:
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lvl = 1
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state.ilog(lvl=lvl,e=f"Pro porovnani bereme posledni hodnotu {ret} z indikatoru {value}")
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except Exception as e :
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ret = 0
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state.ilog(lvl=1,e=f"Neexistuje indikator s nazvem {value} vracime 0" + str(e) + format_exc())
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@ -38,6 +41,8 @@ def evaluate_directive_conditions(state, work_dict, cond_type):
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"above": lambda ind, val: get_source_or_MA(state, ind)[-1] > value_or_indicator(state,val),
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"equals": lambda ind, val: get_source_or_MA(state, ind)[-1] == value_or_indicator(state,val),
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"below": lambda ind, val: get_source_or_MA(state, ind)[-1] < value_or_indicator(state,val),
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"fallingc": lambda ind, val: isfallingc(get_source_or_MA(state, ind), val),
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"risingc": lambda ind, val: isrisingc(get_source_or_MA(state, ind), val),
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"falling": lambda ind, val: isfalling(get_source_or_MA(state, ind), val),
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"rising": lambda ind, val: isrising(get_source_or_MA(state, ind), val),
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"crossed_down": lambda ind, val: buy_if_crossed_down(state, ind, value_or_indicator(state,val)),
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@ -1,7 +1,7 @@
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from v2realbot.strategy.base import StrategyState
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from v2realbot.strategyblocks.indicators.cbar_price import populate_cbar_tick_price_indicator
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from v2realbot.strategyblocks.indicators.custom.custom_hub import populate_dynamic_custom_indicator
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from v2realbot.strategyblocks.indicators.custom_hub import populate_dynamic_custom_indicator
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from v2realbot.strategyblocks.indicators.slope import populate_dynamic_slope_indicator
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from v2realbot.strategyblocks.indicators.slopeLP import populate_dynamic_slopeLP_indicator
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from v2realbot.strategyblocks.indicators.ema import populate_dynamic_ema_indicator
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@ -33,18 +33,18 @@ def go_conditions_met(state, data, signalname: str, direction: TradeDirection):
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#dont_buy_above = value nebo hazev indikatoru
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#TESTUJEME SPECIFICKY DONT_GO -
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#u techto ma smysl pouze OR
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#jak OR tak i AND
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cond_dict = state.vars.conditions[KW.dont_go][signalname][smer]
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result, conditions_met = evaluate_directive_conditions(state, cond_dict, "OR")
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state.ilog(lvl=1,e=f"SPECIFIC PRECOND {smer} {result}", **conditions_met, cond_dict=cond_dict)
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state.ilog(lvl=1,e=f"SPECIFIC PRECOND =OR= {smer} {result}", **conditions_met, cond_dict=cond_dict)
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if result:
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return False
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#OR neprosly testujeme AND
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result, conditions_met = evaluate_directive_conditions(state, cond_dict, "AND")
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state.ilog(lvl=1,e=f"SPECIFIC PRECOND =AND={smer} {result}", **conditions_met, cond_dict=cond_dict)
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if result:
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return False
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# #OR neprosly testujeme AND
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# result, conditions_met = evaluate_directive_conditions(cond_dict, "AND")
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# state.ilog(lvl=0,e=f"EXIT CONDITIONS of activeTrade {smer} =AND= {result}", **conditions_met, cond_dict=cond_dict)
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# if result:
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# return True
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#tyto timto nahrazeny - dat do konfigurace (dont_short_when, dont_long_when)
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#dont_buy_when['rsi_too_high'] = state.indicators.RSI14[-1] > safe_get(state.vars, "rsi_dont_buy_above",50)
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@ -110,7 +110,7 @@ def common_go_preconditions_check(state, data, signalname: str, options: dict):
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if state.vars.last_exit_index is not None:
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index_to_compare = int(state.vars.last_exit_index)+int(next_signal_offset)
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if index_to_compare > int(data["index"]):
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state.ilog(lvl=1,e=f"NEXT SIGNAL OFFSET from EXIT {next_signal_offset} waiting - TOO SOON", currindex=data["index"], index_to_compare=index_to_compare, last_exit_index=state.vars.last_exit_index)
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state.ilog(lvl=1,e=f"NEXT SIGNAL OFFSET from EXIT {next_signal_offset} waiting - TOO SOON {signalname}", currindex=data["index"], index_to_compare=index_to_compare, last_exit_index=state.vars.last_exit_index)
|
||||
return False
|
||||
|
||||
# if is_open_rush(datetime.fromtimestamp(data['updated']).astimezone(zoneNY), open_rush) or is_close_rush(datetime.fromtimestamp(data['updated']).astimezone(zoneNY), close_rush):
|
||||
|
||||
@ -45,7 +45,7 @@ def execute_prescribed_trades(state: StrategyState, data):
|
||||
res = state.buy(size=size)
|
||||
if isinstance(res, int) and res < 0:
|
||||
raise Exception(f"error in required operation LONG {res}")
|
||||
#nastaveni SL az do notifikace, kdy je známá
|
||||
#TODO nastaveni SL az do notifikace, kdy je známá
|
||||
#pokud neni nastaveno SL v prescribe, tak nastavuji default dle stratvars
|
||||
if state.vars.activeTrade.stoploss_value is None:
|
||||
sl_defvalue = get_default_sl_value(state, direction=state.vars.activeTrade.direction)
|
||||
|
||||
@ -38,7 +38,7 @@ def signal_search(state: StrategyState, data):
|
||||
# to vse za predpokladu, ze neni aktivni trade
|
||||
|
||||
def execute_signal_generator(state, data, name):
|
||||
state.ilog(lvl=0,e=f"SIGNAL SEARCH for {name}", cond_go=state.vars.conditions[KW.go][name], cond_dontgo=state.vars.conditions[KW.dont_go][name], cond_activate=state.vars.conditions[KW.activate][name] )
|
||||
state.ilog(lvl=1,e=f"SIGNAL SEARCH for {name}", cond_go=state.vars.conditions[KW.go][name], cond_dontgo=state.vars.conditions[KW.dont_go][name], cond_activate=state.vars.conditions[KW.activate][name] )
|
||||
options = safe_get(state.vars.signals, name, None)
|
||||
|
||||
if options is None:
|
||||
@ -60,7 +60,7 @@ def execute_signal_generator(state, data, name):
|
||||
custom_function = eval(signal_plugin)
|
||||
custom_function()
|
||||
except NameError:
|
||||
state.ilog(lvl=1,e="Custom plugin {signal_plugin} not found")
|
||||
state.ilog(lvl=1,e=f"Custom plugin {signal_plugin} not found")
|
||||
else:
|
||||
short_enabled = safe_get(options, "short_enabled",safe_get(state.vars, "short_enabled",True))
|
||||
long_enabled = safe_get(options, "long_enabled",safe_get(state.vars, "long_enabled",True))
|
||||
|
||||
Reference in New Issue
Block a user