moving average free

by nilesh.parmar3358 in category Trend at 19/01/2023
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.
Notification Publishing copyrighted material is strictly prohibited. If you believe there is copyrighted material in this section you may use the Copyright Infringement Notification form to submit a claim.
Formula / Source Code
Language: C#
Trading Platform: cAlgo
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
    }
}
Comments

linhtupqyarnlkik490 - February 03, 2023 @ 08:39

Does this code look like the code that appears when I play basketball stars and does anyone find it familiar?

0