moving average free
by Description
from datetime import datetime
import backtrader as bt
# Create a subclass of Strategy to define the indicators and logic
class SmaCross(bt.Strategy):
# list of parameters which are configurable for the strategy
params = dict(
pfast=10, # period for the fast moving average
pslow=30 # period for the slow moving average
)
def init(self):
sma1 = bt.ind.SMA(period=self.p.pfast) # fast moving average
sma2 = bt.ind.SMA(period=self.p.pslow) # slow moving average
self.crossover = bt.ind.CrossOver(sma1, sma2) # crossover signal
def next(self):
if not self.position: # not in the market
if self.crossover > 0: # if fast crosses slow to the upside
self.buy() # enter long
elif self.crossover < 0: # in the market & cross to the downside
self.close() # close long position
cerebro = bt.Cerebro() # create a "Cerebro" engine instance
# Create a data feed
data = bt.feeds.YahooFinanceData(dataname='MSFT',
fromdate=datetime(2011, 1, 1),
todate=datetime(2012, 12, 31))
cerebro.adddata(data) # Add the data feed
cerebro.addstrategy(SmaCross) # Add the trading strategy
cerebro.run() # run it all
cerebro.plot() # and plot it with a single command
Warning! Executing the following cBot may result in loss of funds. Use it at your own risk.
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Formula / Source Code
using System;
using cAlgo.API;
using cAlgo.API.Collections;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;
namespace cAlgo
{
[Cloud("ZoneUp1", "ZoneDn1", FirstColor = "Green", SecondColor = "Red", Opacity = 0.1)]
[Cloud("ZoneUp2", "ZoneDn2", FirstColor = "Green", SecondColor = "Red", Opacity = 0.2)]
[Cloud("ZoneUp3", "ZoneDn3", FirstColor = "Green", SecondColor = "Red", Opacity = 0.3)]
[Indicator(IsOverlay = true, TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
public class mSwingArmATRtrend : Indicator
{
[Parameter("Trial Type (modified)", DefaultValue = enumTrialType.Modified)]
public enumTrialType inpTrailType { get; set; }
[Parameter("ATR Period (26)", DefaultValue = 28)]
public int inpPeriodATR { get; set; }
[Parameter("ATR Factor (5)", DefaultValue = 5)]
public int inpFactorATR { get; set; }
[Parameter("Show Fib (true)", DefaultValue = true)]
public bool inpShowFib { get; set; }
[Parameter("Fib Level 1 (61.8)", DefaultValue = 61.8)]
public double inpFibLevel1 { get; set; }
[Parameter("Fib Level 2 (78.6)", DefaultValue = 78.6)]
public double inpFibLevel2 { get; set; }
[Parameter("Fib Level 3 (88.6)", DefaultValue = 88.6)]
public double inpFibLevel3 { get; set; }
[Output("Extremum", LineColor = "Green", PlotType = PlotType.DiscontinuousLine, LineStyle = LineStyle.Lines, Thickness = 1)]
public IndicatorDataSeries outExtremum { get; set; }
[Output("TrailingStop", LineColor = "Red", LineStyle = LineStyle.Solid, Thickness = 1)]
public IndicatorDataSeries outTrail { get; set; }
[Output("Level 1", LineColor = "Silver", LineStyle = LineStyle.Solid, Thickness = 1)]
public IndicatorDataSeries outLevel1 { get; set; }
[Output("Level 2", LineColor = "Silver", LineStyle = LineStyle.Solid, Thickness = 1)]
public IndicatorDataSeries outLevel2 { get; set; }
[Output("Level 3", LineColor = "Silver", LineStyle = LineStyle.Solid, Thickness = 1)]
public IndicatorDataSeries outLevel3 { get; set; }
[Output("ZoneUp1", LineColor = "Transparent", LineStyle = LineStyle.Solid, Thickness = 1)]
public IndicatorDataSeries outZoneUp1 { get; set; }
[Output("ZoneDn1", LineColor = "Transparent", LineStyle = LineStyle.Solid, Thickness = 1)]
public IndicatorDataSeries outZoneDn1 { get; set; }
[Output("ZoneUp2", LineColor = "Transparent", LineStyle = LineStyle.Solid, Thickness = 1)]
public IndicatorDataSeries outZoneUp2 { get; set; }
[Output("ZoneDn2", LineColor = "Transparent", LineStyle = LineStyle.Solid, Thickness = 1)]
public IndicatorDataSeries outZoneDn2 { get; set; }
[Output("ZoneUp3", LineColor = "Transparent", LineStyle = LineStyle.Solid, Thickness = 1)]
public IndicatorDataSeries outZoneUp3 { get; set; }
[Output("ZoneDn3", LineColor = "Transparent", LineStyle = LineStyle.Solid, Thickness = 1)]
public IndicatorDataSeries outZoneDn3 { get; set; }
[Output("OpenLong trigger", LineColor = "Black", PlotType = PlotType.Points, Thickness = 3)]
public IndicatorDataSeries outLongOpen { get; set; }
[Output("OpenShort trigger", LineColor = "Black", PlotType = PlotType.Points, Thickness = 3)]
public IndicatorDataSeries outShortOpen { get; set; }
private MovingAverage _no, _nh, _nl, _nc;
private IndicatorDataSeries _href, _lref, _hilo, _range, _trueRange, _wild, _loss, _rawup, _rawdn, _trendup, _trenddn, _trend, _trail, _extremum, _level1, _level2, _level3;
private MovingAverage _smoothrange;
protected override void Initialize()
{
_no = Indicators.MovingAverage(Bars.OpenPrices, 1, MovingAverageType.Simple);
_nh = Indicators.MovingAverage(Bars.HighPrices, 1, MovingAverageType.Simple);
_nl = Indicators.MovingAverage(Bars.LowPrices, 1, MovingAverageType.Simple);
_nc = Indicators.MovingAverage(Bars.ClosePrices, 1, MovingAverageType.Simple);
_href = CreateDataSeries();
_lref = CreateDataSeries();
_range = CreateDataSeries();
_smoothrange = Indicators.MovingAverage(_range, inpPeriodATR, MovingAverageType.Simple);
_hilo = CreateDataSeries();
_trueRange = CreateDataSeries();
_wild = CreateDataSeries();
_loss = CreateDataSeries();
_rawup = CreateDataSeries();
_rawdn = CreateDataSeries();
_trendup = CreateDataSeries();
_trenddn = CreateDataSeries();
_trend = CreateDataSeries();
_trail = CreateDataSeries();
_extremum = CreateDataSeries();
_level1 = CreateDataSeries();
_level2 = CreateDataSeries();
_level3 = CreateDataSeries();
}
public override void Calculate(int i)
{
_href[i] = _nl.Result[i] <= _nh.Result[i-1] ? _nh.Result[i] - _nc.Result[i-1] : (_nh.Result[i] - _nc.Result[i-1]) - 0.5 * (_nl.Result[i] - _nh.Result[i-1]);
_lref[i] = _nh.Result[i] >= _nl.Result[i-1] ? _nc.Result[i-1] - _nl.Result[i] : (_nc.Result[i] - _nl.Result[i-1]) - 0.5 * (_nl.Result[i-1] - _nh.Result[i]);
_range[i] = _nh.Result[i] - _nl.Result[i];
_hilo[i] = Math.Min(_nh.Result[i] - _nl.Result[i], 1.5 * (i>inpPeriodATR ? _smoothrange.Result[i] : _range[i]));
_trueRange[i] = inpTrailType == enumTrialType.Modified ? Math.Max(_hilo[i], Math.Max(_href[i], _lref[i])) :
Math.Max(_nh.Result[i] - _nl.Result[i], Math.Max(Math.Abs(_nh.Result[i] - _nc.Result[i-1]), Math.Abs(_nl.Result[i] - _nc.Result[i-1])));
_wild[i] = i>1 ? (_wild[i-1] + (_trueRange[i] - _wild[i-1]) / inpPeriodATR) : 0;
_loss[i] = inpFactorATR * _wild[i];
_rawup[i] = _nc.Result[i] - _loss[i];
_rawdn[i] = _nc.Result[i] + _loss[i];
_trendup[i] = i>1 && _nc.Result[i-1] > _trendup[i-1] ? Math.Max(_rawup[i], _trendup[i-1]) : _rawup[i];
_trenddn[i] = i>1 && _nc.Result[i-1] < _trenddn[i-1] ? Math.Min(_rawdn[i], _trenddn[i-1]) : _rawdn[i];
_trend[i] = _nc.Result[i] > _trenddn[i-1] ? +1 : _nc.Result[i] < _trendup[i-1]? -1 : (i>1 ? _trend[i-1] : +1);
_trail[i] = _trend[i] == +1 ? _trendup[i] : _trenddn[i];
_extremum[i] = i>1 && _trend[i-1] != +1 && _trend[i] == +1 ? _nh.Result[i]
: i>1 && _trend[i-1] != -1 && _trend[i] == -1 ? _nl.Result[i]
: i>1 && _trend[i] == +1 ? Math.Max(_extremum[i-1], _nh.Result[i])
: i>1 && _trend[i] == -1 ? Math.Min(_extremum[i-1], _nl.Result[i])
: _extremum[i-1];
_level1[i] = _extremum[i] + (_trail[i] - _extremum[i]) * inpFibLevel1 / 100;
_level2[i] = _extremum[i] + (_trail[i] - _extremum[i]) * inpFibLevel2 / 100;
_level3[i] = _extremum[i] + (_trail[i] - _extremum[i]) * inpFibLevel3 / 100;
outTrail[i] = _trail[i];
outExtremum[i] = _extremum[i];
outLevel1[i] = _level1[i];
outLevel2[i] = _level2[i];
outLevel3[i] = _level3[i];
outZoneUp1[i] = _level1[i];
outZoneDn1[i] = _level2[i];
outZoneUp2[i] = _level2[i];
outZoneDn2[i] = _level3[i];
outZoneUp3[i] = _trail[i];
outZoneDn3[i] = _level3[i];
outLongOpen[i] = _trend[i]==+1 && Bars.ClosePrices[i] < _level1[i] ? _trail[i] : double.NaN;
outShortOpen[i] = _trend[i]==-1 && Bars.ClosePrices[i] > _level1[i] ? _trail[i] : double.NaN;
}
}
public enum enumTrialType
{
Modified,
UnModified
}
}
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