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‎entry/entry_fibo.py‎

Lines changed: 61 additions & 25 deletions
Original file line numberDiff line numberDiff line change
@@ -1,52 +1,89 @@
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"""Module that will try to enter the market using Fibonnacci techniques"""
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import math_op as mo
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import initialize as init
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import operator as op
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import math
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class EntFibo():
7-
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"""
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Class that uses Fibonnacci strategies to enter the market """
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def __init__(self):
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"""
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Class that uses Fibonnacci strategy to enter the market
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self.extreme = {}
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self.high="max"
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self.low="min"
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self.high_idx="max_idx"
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self.low_idx = "min_idx"
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self.fst_ext_cdt = False #by default first condition for extension is not met, set to False
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self.is_entry = False
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self.relative_extreme = None #last wave the system uses (relative low for buy, vice versa) as a
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# basis to calculate the profit taking price. It uses the default data (close)
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# to smooth data
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self.row_rel_extreme = 0
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self.largest_time = 0 #extension in time
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self.index_name = 'index'
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def ent_fibo(self,curr_row,buy_signal=False,sell_signal=False):
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"""This the main method that uses Fibonnacci strategies to enter the market
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Trying to enter the market with Fibonacci retracement and extension. 3 types:
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Retracement from the last wave
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Retracement from beginning of the trend
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Extension from a previous wave (largest one in the last trend)
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Extension from the current trend (largest one in the last trend)
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At the moment, it is possible to enter the market only with extensions from the current wave.
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Parameters
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----------
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`self.buy_signal` and `self.sell_signal` : bool
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Notes
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-----
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No slippage included in `try_entry()`. If the price reached the desired level, we just exit at either the
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No slippage included in `self.try_entry()`. If the price reached the desired level, we just exit at either the
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current price or the next desired price
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The system doesn't check on a shorter time frame if it reaches an entry point and a stop at the same time
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or even an exit point and stop at the same time (in case of high volatility) in `try_entry()`
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or even an exit point and stop at the same time (in case of high volatility) in `self.try_entry()`
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Taking into account the system, those are really rare cases. However it could be tested by using a
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shorter time every time an entry or exit signal
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We first get an entry confirmation with the function `self.ent_fibo()` in `entry_fibo.py`. Then we run through
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the remaining data (according to the determined data range). We have an profit, stop loss and the method
55+
even tighten the stop under certain circumstances.
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57+
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Then it tries to exit the market using Fibonacci retracement and extension. 1 type at the moment:
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1- Largest extension `self.largest_extension_` from the current trend. The `self.largest_extension_` is set
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in `entry_fibo.py`. It is in fact the largest setback in the current trend. This method uses
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`self.profit_ext` to calculate the profit level and `self.stop_ext` for the stop level
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There is no slippage included in `try_exit()`. If the price reached the desired level, we just exit at
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either the current price or the next desired price
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Parameters
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----------
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`self.profit_ext` : float
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% of the largest extension from previous trend that the system uses to exit the market to take profit
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Default value is 2.618. Possible values are 1.618, 2 , 2.618, 3.382, 4.236.
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`self.stop_ext` : float
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% of the largest extension from previous trend that the system uses as a stop loss.
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Default value is 1.618. Possible values are 1, 1.382, 1.618, 2.
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`self.is_entry` : bool
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The value comes from `entry_fibo.py`. It says if we have a position.
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Notes
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-----
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The stops may be tightened (see "stop tightening" in `initialize.py`)
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The system doesn't check on a shorter time frame if it reaches an exit point and a stop in `try_exit()`
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in case of high volatility. Really rare cases
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"""
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self.extreme = {}
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self.high="max"
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self.low="min"
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self.high_idx="max_idx"
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self.low_idx = "min_idx"
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self.fst_ext_cdt = False #by default first condition for extension is not met, set to False
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self.is_entry = False
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self.relative_extreme = None #last wave the system uses (relative low for buy, vice versa) as a
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# basis to calculate the profit taking price. It uses the default data (close)
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# to smooth data
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self.row_rel_extreme = 0
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self.largest_time = 0 #extension in time
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self.index_name = 'index'
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def ent_fibo(self,curr_row,buy_signal=False,sell_signal=False):
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"""
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Default function called to determine the entry level
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"""
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#ENTRY TRACKER
@@ -113,7 +150,6 @@ def ent_fibo(self,curr_row,buy_signal=False,sell_signal=False):
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self.set_value()
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self.try_entry()
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def largest_extension(self):
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"""
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Find largest extension (setback) from current trend (Fibonacci) in size + largest in time

‎exit/exit_fibo.py‎

Lines changed: 22 additions & 11 deletions
Original file line numberDiff line numberDiff line change
@@ -25,24 +25,37 @@ def __call__(self,curr_row,buy_signal=False,sell_signal=False):
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""" Method that will first try to enter the market with `self.ent_fibo` then it will try to exit with
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`self.try_exit()` whenever we have a position
2727
"""
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super().__init__()
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self.ent_fibo(curr_row=curr_row, buy_signal=buy_signal, sell_signal=sell_signal)
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return self.try_exit()
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def try_exit(self):
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"""
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This is the ethod that tries to exit the market when wr have a position with `entry_fibo.py`
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This is the method that tries to exit the market when we have a position with `entry_fibo.py`
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We first get an entry confirmation with the function `self.ent_fibo()` in `entry_fibo.py`. Then we run through
38+
the remaining data (according to the determined data range). We have an profit, stop loss and the method
39+
even tighten the stop under certain circumstances.
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36-
Then it tries to exit
37-
the market using Fibonacci retracement and extension. 1 type at the moment:
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1- Largest extension `self.largest_extension_` from the current trend
41+
Then it tries to exit the market using Fibonacci retracement and extension. 1 type at the moment:
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1- Largest extension `self.largest_extension_` from the current trend. The `self.largest_extension_` is set
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in `entry_fibo.py`. It is in fact the largest setback in the current trend. This method uses
44+
`self.profit_ext` to calculate the profit level and `self.stop_ext` for the stop level
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There is no slippage included in `try_exit()`. If the price reached the desired level, we just exit at
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either the current price or the next desired price
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This method will make the system exit the market when a close or a stop loss signal is triggered
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Parameters
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----------
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`self.profit_ext` : float
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% of the largest extension from previous trend that the system uses to exit the market to take profit
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Default value is 2.618. Possible values are 1.618, 2 , 2.618, 3.382, 4.236.
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`self.stop_ext` : float
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% of the largest extension from previous trend that the system uses as a stop loss.
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Default value is 1.618. Possible values are 1, 1.382, 1.618, 2.
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`self.is_entry` : bool
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The value comes from `entry_fibo.py`. It says if we have a position.
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Notes
4861
-----
@@ -51,9 +64,6 @@ def try_exit(self):
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The system doesn't check on a shorter time frame if it reaches an exit point and a stop in `try_exit()`
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in case of high volatility. Really rare cases
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No slippage included in `try_exit()`. If the price reached the desired level, we just exit at either the
55-
current price.
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"""
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5969
#If no entry signal, exit the function
@@ -80,7 +90,7 @@ def try_exit(self):
8090
_tight_value = self.stop_tight_dict[self.stop_tight_pour][self.tight_value]
8191
_pour_tight = self.stop_tight_dict[self.stop_tight_pour][self.pour_tight]
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83-
#Check if the first row (where the signal is trigerred) is already below the stop loss (for buy)
93+
#Check if the first row (where the signal is trigerred) is already below the stop loss (for buy)
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# and vice versa for sell signal. If yes, stop loss trigerred
8595
if self.exit_dict[self.exit_name][self.exit_ext_bool] & \
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self.six_op(self.series.loc[self.curr_row,self.stop],self.stop_value):
@@ -94,6 +104,7 @@ def try_exit(self):
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data_test = len(self.series) - self.curr_row - 1
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#This is the part where we run through the data to try to exit the market
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for curr_row_ in range(data_test):
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self.curr_row += 1

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