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## https://www.quantconnect.com/forum/discussion/12768/share-kalman-filter-crossovers-for-crypto-and-smart-rollingwindows/p1/comment-38206

from datetime import timedelta

from AlgorithmImports import *

import math

# from Shared.IntradayMomentumIndex importIn

from SmartRollingWindow import *

def truncate(number, decimals=0):

"""

Returns a value truncated to a specific number of decimal places.

"""

if not isinstance(decimals, int):

raise TypeError("decimal places must be an integer.")

elif decimals < 0:

raise ValueError("decimal places has to be 0 or more.")

elif decimals == 0:

return math.trunc(number)

factor = 10.0 ** decimals

return math.trunc(number * factor) / factor

class Asset():

def __init__(self, algorithm, symbol):

self.symbol = symbol

self.algorithm = algorithm

def InitIndicators(self, slowPeriod, fastPeriod, resolution):

self.fast = self.algorithm.EMA(self.symbol, fastPeriod, Resolution.Daily)

self.slow = self.algorithm.EMA(self.symbol, slowPeriod, Resolution.Daily)

self.slowWindow = SmartRollingWindow('float', 2)

self.fastWindow = SmartRollingWindow('float', 2)

self.priceWindow = SmartRollingWindow('float', 2)

def UpdateIndicators(self):

def UpdateAssetWindows(self):

self.slowWindow.Add(self.slow.Current.Value)

self.fastWindow.Add(self.fast.Current.Value)

self.priceWindow.Add(self.algorithm.Securities[self.symbol].Price)

def PrefixWithSymbol(self, str):

return "{}: {}".format(self.symbol.Value, str)

def Plot(self, chartName):

self.algorithm.Plot(chartName, self.PrefixWithSymbol("Price"), self.algorithm.Securities[self.symbol].Price)

self.algorithm.Plot(chartName, self.PrefixWithSymbol("Slow"), self.slow.Current.Value)

self.algorithm.Plot(chartName, self.PrefixWithSymbol("Fast"), self.fast.Current.Value)

class FocusedYellowGreenJellyfish(QCAlgorithm):

def Initialize(self):

self.InitAlgoParams()

self.InitBacktestParams()

self.InitAssets()

self.InitIndicators()

def InitAlgoParams(self):

self.benchmarkTicker = 'BTCUSDT';

self.tickers = ["SOLUSDT", "ETHUSDT", "BNBUSDT"]

self.assets = {}

self.ticker = "SOLUSDT"

self.resolution = Resolution.Minute

self.slowPeriod = int(self.GetParameter('slowPeriod'))

self.fastPeriod = int(self.GetParameter('fastPeriod'))

def InitBacktestParams(self):

self.SetAccountCurrency("USDT")

self.SetCash(100000)

self.SetStartDate(2020, 1, 1)

def InitAssets(self):

self.SetBrokerageModel(BrokerageName.Binance, AccountType.Cash)

self.benchmarkSymbol = self.AddCrypto(self.benchmarkTicker, self.resolution).Symbol

for ticker in self.tickers:

symbol = self.AddCrypto(ticker, self.resolution).Symbol

self.assets[ticker] = Asset(self, symbol)

self.SetBenchmark(self.benchmarkTicker)

def InitIndicators(self):

self.SetWarmUp(self.slowPeriod * 2, self.resolution)

for asset in self.assets.values():

asset.InitIndicators(self.slowPeriod, self.fastPeriod, self.resolution)

self.Consolidate(self.benchmarkSymbol, Resolution.Daily, self.OnConsolidatedBarClose)

def UpdateRollingWindows(self):

for asset in self.assets.values():

asset.UpdateIndicators()

asset.UpdateAssetWindows()

def ShouldExit(self, asset):

return asset.priceWindow.isBelow(asset.slowWindow) or asset.slowWindow.isAbove(asset.fastWindow)

def ShouldEnter(self, asset):

return asset.fastWindow.isAbove(asset.slowWindow) and asset.priceWindow.isAbove(asset.fastWindow)

def OnEndOfDay(self):

self.PlotCharts()

self.UpdateRollingWindows()

def OnConsolidatedBarClose(self, bar):

self.UpdateRollingWindows()

for asset in self.assets.values():

if not asset.slowWindow.IsReady():

return

if self.Portfolio[asset.symbol].Invested and self.ShouldExit(asset):

self.Liquidate(asset.symbol)

elif not self.Portfolio[asset.symbol].Invested and self.ShouldEnter(asset):

percent = truncate(1 / len(self.assets.values()), 1)

cost = self.Portfolio.TotalPortfolioValue * percent

cash = self.Portfolio.TotalPortfolioValue - self.Portfolio.TotalHoldingsValue

self.Log("Cost: {}, Cash: {}".format(cost, cash))

if (cost > cash):

percent = truncate(cash / self.Portfolio.TotalPortfolioValue, 1)

self.SetHoldings(asset.symbol, percent);

def PlotCharts(self):

chartName = "Charts"

# self.Plot('Benchmark', "Benchmark", self.Securities[self.benchmarkSymbol].Price)

for asset in self.assets.values():

asset.Plot(chartName)

Diferencias guardadas

Texto original

Abrir archivo

from datetime import timedelta
from AlgorithmImports import *
import math
# from Shared.IntradayMomentumIndex importIn
from SmartRollingWindow import *

def truncate(number, decimals=0):
    """
    Returns a value truncated to a specific number of decimal places.
    """
    if not isinstance(decimals, int):
        raise TypeError("decimal places must be an integer.")
    elif decimals < 0:
        raise ValueError("decimal places has to be 0 or more.")
    elif decimals == 0:
        return math.trunc(number)

factor = 10.0 ** decimals
    return math.trunc(number * factor) / factor

class Asset():
    def __init__(self, algorithm, symbol):
        self.symbol = symbol
        self.algorithm = algorithm
    def InitIndicators(self, slowPeriod, fastPeriod, resolution):
        self.fast = self.algorithm.EMA(self.symbol, fastPeriod, Resolution.Daily)
        self.slow = self.algorithm.EMA(self.symbol, slowPeriod, Resolution.Daily)
        self.slowWindow = SmartRollingWindow('float', 2)
        self.fastWindow = SmartRollingWindow('float', 2)
        self.priceWindow = SmartRollingWindow('float', 2)
    def UpdateIndicators(self):
        self.slowWindow.Add(self.slow.Current.Value)
        self.fastWindow.Add(self.fast.Current.Value)
        self.priceWindow.Add(self.algorithm.Securities[self.symbol].Price)
    
    def PrefixWithSymbol(self, str):
        return "{}: {}".format(self.symbol.Value, str)
    def Plot(self, chartName):
        self.algorithm.Plot(chartName, self.PrefixWithSymbol("Price"), self.algorithm.Securities[self.symbol].Price)        
        self.algorithm.Plot(chartName, self.PrefixWithSymbol("Slow"), self.slow.Current.Value)
        self.algorithm.Plot(chartName, self.PrefixWithSymbol("Fast"), self.fast.Current.Value)

class FocusedYellowGreenJellyfish(QCAlgorithm):

def Initialize(self):
        self.InitAlgoParams()
        self.InitBacktestParams()
        self.InitAssets()
        self.InitIndicators()

def InitAlgoParams(self):
        self.benchmarkTicker = 'BTCUSDT';
        self.tickers = ["SOLUSDT", "ETHUSDT", "BNBUSDT"]
        self.assets = {}
        self.ticker       = "SOLUSDT"
        self.resolution = Resolution.Minute
        self.slowPeriod = int(self.GetParameter('slowPeriod'))
        self.fastPeriod = int(self.GetParameter('fastPeriod'))
        
    def InitBacktestParams(self):
        self.SetAccountCurrency("USDT")
        self.SetCash(100000)  
        self.SetStartDate(2020, 1, 1)
        
    def InitAssets(self):
        self.SetBrokerageModel(BrokerageName.Binance, AccountType.Cash)
        self.benchmarkSymbol = self.AddCrypto(self.benchmarkTicker, self.resolution).Symbol
        for ticker in self.tickers:
            symbol = self.AddCrypto(ticker, self.resolution).Symbol
            self.assets[ticker] = Asset(self, symbol)
        self.SetBenchmark(self.benchmarkTicker) 
        
    def InitIndicators(self):
        self.SetWarmUp(self.slowPeriod * 2, self.resolution)
        for asset in self.assets.values():
            asset.InitIndicators(self.slowPeriod, self.fastPeriod, self.resolution)        
        self.Consolidate(self.benchmarkSymbol, Resolution.Daily, self.OnConsolidatedBarClose)
        
    def UpdateRollingWindows(self):
        for asset in self.assets.values():
            asset.UpdateIndicators()
        
    def ShouldExit(self, asset):
        return asset.priceWindow.isBelow(asset.slowWindow) or asset.slowWindow.isAbove(asset.fastWindow)
    def ShouldEnter(self, asset):
        return asset.fastWindow.isAbove(asset.slowWindow) and asset.priceWindow.isAbove(asset.fastWindow)
    
    def OnEndOfDay(self):
        self.PlotCharts()
        self.UpdateRollingWindows()
        
    def OnConsolidatedBarClose(self, bar):
        for asset in self.assets.values():
            if not asset.slowWindow.IsReady():
                return
            if self.Portfolio[asset.symbol].Invested and self.ShouldExit(asset):
                self.Liquidate(asset.symbol)
            elif not self.Portfolio[asset.symbol].Invested and self.ShouldEnter(asset):
                percent = truncate(1 / len(self.assets.values()), 1)
                cost = self.Portfolio.TotalPortfolioValue * percent
                cash = self.Portfolio.TotalPortfolioValue - self.Portfolio.TotalHoldingsValue
                
                self.Log("Cost: {}, Cash: {}".format(cost, cash))
                if (cost > cash):
                    percent = truncate(cash / self.Portfolio.TotalPortfolioValue, 1)
                self.SetHoldings(asset.symbol, percent);

def PlotCharts(self):
        chartName = "Charts"
        # self.Plot('Benchmark', "Benchmark", self.Securities[self.benchmarkSymbol].Price)
        for asset in self.assets.values():
            asset.Plot(chartName)

Texto modificado

Abrir archivo

## https://www.quantconnect.com/forum/discussion/12768/share-kalman-filter-crossovers-for-crypto-and-smart-rollingwindows/p1/comment-38206

from datetime import timedelta
from AlgorithmImports import *
import math
# from Shared.IntradayMomentumIndex importIn
from SmartRollingWindow import *

factor = 10.0 ** decimals
    return math.trunc(number * factor) / factor

class Asset():
    def __init__(self, algorithm, symbol):
        self.symbol = symbol
        self.algorithm = algorithm
    def InitIndicators(self, slowPeriod, fastPeriod, resolution):
        self.fast = self.algorithm.EMA(self.symbol, fastPeriod, Resolution.Daily)
        self.slow = self.algorithm.EMA(self.symbol, slowPeriod, Resolution.Daily)
        self.slowWindow = SmartRollingWindow('float', 2)
        self.fastWindow = SmartRollingWindow('float', 2)
        self.priceWindow = SmartRollingWindow('float', 2)
    def UpdateAssetWindows(self):
        self.slowWindow.Add(self.slow.Current.Value)
        self.fastWindow.Add(self.fast.Current.Value)
        self.priceWindow.Add(self.algorithm.Securities[self.symbol].Price)
    
    def PrefixWithSymbol(self, str):
        return "{}: {}".format(self.symbol.Value, str)
    def Plot(self, chartName):
        self.algorithm.Plot(chartName, self.PrefixWithSymbol("Price"), self.algorithm.Securities[self.symbol].Price)        
        self.algorithm.Plot(chartName, self.PrefixWithSymbol("Slow"), self.slow.Current.Value)
        self.algorithm.Plot(chartName, self.PrefixWithSymbol("Fast"), self.fast.Current.Value)

class FocusedYellowGreenJellyfish(QCAlgorithm):

def Initialize(self):
        self.InitAlgoParams()
        self.InitBacktestParams()
        self.InitAssets()
        self.InitIndicators()

def InitAlgoParams(self):
        self.benchmarkTicker = 'BTCUSDT';
        self.tickers = ["SOLUSDT", "ETHUSDT", "BNBUSDT"]
        self.assets = {}
        self.ticker       = "SOLUSDT"
        self.resolution = Resolution.Minute
        self.slowPeriod = int(self.GetParameter('slowPeriod'))
        self.fastPeriod = int(self.GetParameter('fastPeriod'))
        
    def InitBacktestParams(self):
        self.SetAccountCurrency("USDT")
        self.SetCash(100000)  
        self.SetStartDate(2020, 1, 1)
        
    def InitAssets(self):
        self.SetBrokerageModel(BrokerageName.Binance, AccountType.Cash)
        self.benchmarkSymbol = self.AddCrypto(self.benchmarkTicker, self.resolution).Symbol
        for ticker in self.tickers:
            symbol = self.AddCrypto(ticker, self.resolution).Symbol
            self.assets[ticker] = Asset(self, symbol)
        self.SetBenchmark(self.benchmarkTicker) 
        
    def InitIndicators(self):
        self.SetWarmUp(self.slowPeriod * 2, self.resolution)
        for asset in self.assets.values():
            asset.InitIndicators(self.slowPeriod, self.fastPeriod, self.resolution)        
        self.Consolidate(self.benchmarkSymbol, Resolution.Daily, self.OnConsolidatedBarClose)
        
    def UpdateRollingWindows(self):
        for asset in self.assets.values():
            asset.UpdateAssetWindows()
        
    def ShouldExit(self, asset):
        return asset.priceWindow.isBelow(asset.slowWindow) or asset.slowWindow.isAbove(asset.fastWindow)
    def ShouldEnter(self, asset):
        return asset.fastWindow.isAbove(asset.slowWindow) and asset.priceWindow.isAbove(asset.fastWindow)
    
    def OnEndOfDay(self):
        self.PlotCharts()
        
    def OnConsolidatedBarClose(self, bar):
        self.UpdateRollingWindows()
        for asset in self.assets.values():
            if not asset.slowWindow.IsReady():
                return
            if self.Portfolio[asset.symbol].Invested and self.ShouldExit(asset):
                self.Liquidate(asset.symbol)
            elif not self.Portfolio[asset.symbol].Invested and self.ShouldEnter(asset):
                percent = truncate(1 / len(self.assets.values()), 1)
                cost = self.Portfolio.TotalPortfolioValue * percent
                cash = self.Portfolio.TotalPortfolioValue - self.Portfolio.TotalHoldingsValue
                
                self.Log("Cost: {}, Cash: {}".format(cost, cash))
                if (cost > cash):
                    percent = truncate(cash / self.Portfolio.TotalPortfolioValue, 1)
                self.SetHoldings(asset.symbol, percent);