RAPTOR v18.4: Исправлена отчетность, активированы выходные
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import logging
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from datetime import datetime, timedelta
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from decimal import Decimal
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from typing import Callable, Iterable, List
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import numpy as np
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from t_tech.invest.strategies.base.account_manager import AccountManager
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from t_tech.invest.strategies.base.errors import (
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CandleEventForDateNotFound,
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NotEnoughData,
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OldCandleObservingError,
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)
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from t_tech.invest.strategies.base.models import CandleEvent
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from t_tech.invest.strategies.base.signal import (
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CloseLongMarketOrder,
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CloseShortMarketOrder,
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OpenLongMarketOrder,
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OpenShortMarketOrder,
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Signal,
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)
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from t_tech.invest.strategies.base.strategy_interface import InvestStrategy
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from t_tech.invest.strategies.moving_average.strategy_settings import (
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MovingAverageStrategySettings,
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)
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from t_tech.invest.strategies.moving_average.strategy_state import (
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MovingAverageStrategyState,
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)
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from t_tech.invest.utils import (
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candle_interval_to_timedelta,
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ceil_datetime,
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floor_datetime,
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now,
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)
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logger = logging.getLogger(__name__)
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class MovingAverageStrategy(InvestStrategy):
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def __init__(
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self,
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settings: MovingAverageStrategySettings,
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account_manager: AccountManager,
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state: MovingAverageStrategyState,
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):
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self._data: List[CandleEvent] = []
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self._settings = settings
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self._account_manager = account_manager
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self._state = state
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self._MA_LONG_START: Decimal
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self._candle_interval_timedelta = candle_interval_to_timedelta(
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self._settings.candle_interval
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)
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def _ensure_enough_candles(self) -> None:
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candles_needed = (
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self._settings.short_period + self._settings.long_period
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) / self._settings.candle_interval_timedelta
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if candles_needed > len(self._data):
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raise NotEnoughData(
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f"Got {len(self._data)} candles but needed {candles_needed}"
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)
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logger.info("Got enough data for strategy")
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def fit(self, candles: Iterable[CandleEvent]) -> None:
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logger.debug("Strategy fitting with candles %s", candles)
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for candle in candles:
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self.observe(candle)
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self._ensure_enough_candles()
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def _append_candle_event(self, candle_event: CandleEvent) -> None:
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last_candle_event = self._data[-1]
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last_interval_floor = floor_datetime(
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last_candle_event.time, self._candle_interval_timedelta
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)
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last_interval_ceil = ceil_datetime(
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last_candle_event.time, self._candle_interval_timedelta
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)
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if candle_event.time < last_interval_floor:
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raise OldCandleObservingError()
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if (
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candle_event.time < last_interval_ceil
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or candle_event.time == last_interval_floor
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):
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self._data[-1] = candle_event
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else:
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self._data.append(candle_event)
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def observe(self, candle: CandleEvent) -> None:
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logger.debug("Observing candle event: %s", candle)
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if len(self._data) > 0:
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self._append_candle_event(candle)
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else:
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self._data.append(candle)
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@staticmethod
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def _get_newer_than_datetime_predicate(
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anchor: datetime,
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) -> Callable[[CandleEvent], bool]:
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def _(event: CandleEvent) -> bool:
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return event.time > anchor
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return _
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def _filter_from_the_end_with_early_stop(
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self, predicate: Callable[[CandleEvent], bool]
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) -> Iterable[CandleEvent]:
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for event in reversed(self._data):
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if not predicate(event):
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break
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yield event
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def _select_for_period(self, period: timedelta):
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predicate = self._get_newer_than_datetime_predicate(now() - period)
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return self._filter_from_the_end_with_early_stop(predicate)
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@staticmethod
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def _get_prices(events: Iterable[CandleEvent]) -> Iterable[Decimal]:
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for event in events:
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yield event.candle.close
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def _calculate_moving_average(self, period: timedelta) -> Decimal:
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prices = list(self._get_prices(self._select_for_period(period)))
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logger.debug("Selected prices: %s", prices)
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return np.mean(prices, axis=0) # type: ignore
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def _calculate_std(self, period: timedelta) -> Decimal:
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prices = list(self._get_prices(self._select_for_period(period)))
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return np.std(prices, axis=0) # type: ignore
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def _get_first_candle_before(self, date: datetime) -> CandleEvent:
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predicate = self._get_newer_than_datetime_predicate(date)
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for event in reversed(self._data):
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if not predicate(event):
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return event
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raise CandleEventForDateNotFound()
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def _init_MA_LONG_START(self):
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date = now() - self._settings.short_period
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event = self._get_first_candle_before(date)
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self._MA_LONG_START = event.candle.close
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@staticmethod
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def _is_long_open_signal(
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MA_SHORT: Decimal,
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MA_LONG: Decimal,
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PRICE: Decimal,
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STD: Decimal,
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MA_LONG_START: Decimal,
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) -> bool:
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logger.debug("Try long opening")
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logger.debug("\tMA_SHORT > MA_LONG, %s", MA_SHORT > MA_LONG)
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logger.debug(
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"\tand abs((PRICE - MA_LONG) / MA_LONG) < STD, %s",
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abs((PRICE - MA_LONG) / MA_LONG) < STD,
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)
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logger.debug("\tand MA_LONG < MA_LONG_START, %s", MA_LONG > MA_LONG_START)
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logger.debug(
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"== %s",
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MA_SHORT > MA_LONG > MA_LONG_START
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and abs((PRICE - MA_LONG) / MA_LONG) < STD,
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)
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return (
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MA_SHORT > MA_LONG > MA_LONG_START
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and abs((PRICE - MA_LONG) / MA_LONG) < STD
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)
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@staticmethod
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def _is_short_open_signal(
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MA_SHORT: Decimal,
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MA_LONG: Decimal,
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PRICE: Decimal,
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STD: Decimal,
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MA_LONG_START: Decimal,
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) -> bool:
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logger.debug("Try short opening")
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logger.debug("\tMA_SHORT < MA_LONG, %s", MA_SHORT < MA_LONG)
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logger.debug(
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"\tand abs((PRICE - MA_LONG) / MA_LONG) < STD, %s",
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abs((PRICE - MA_LONG) / MA_LONG) < STD,
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)
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logger.debug("\tand MA_LONG > MA_LONG_START, %s", MA_LONG < MA_LONG_START)
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logger.debug(
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"== %s",
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MA_SHORT < MA_LONG < MA_LONG_START
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and abs((PRICE - MA_LONG) / MA_LONG) < STD,
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)
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return (
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MA_SHORT < MA_LONG < MA_LONG_START
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and abs((PRICE - MA_LONG) / MA_LONG) < STD
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)
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@staticmethod
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def _is_long_close_signal(
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MA_LONG: Decimal,
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PRICE: Decimal,
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STD: Decimal,
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has_short_open_signal: bool,
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) -> bool:
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logger.debug("Try long closing")
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logger.debug("\tPRICE > MA_LONG + 10 * STD, %s", PRICE > MA_LONG + 10 * STD)
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logger.debug("\tor has_short_open_signal, %s", has_short_open_signal)
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logger.debug("\tor PRICE < MA_LONG - 3 * STD, %s", PRICE < MA_LONG - 3 * STD)
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logger.debug(
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"== %s",
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PRICE > MA_LONG + 10 * STD
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or has_short_open_signal
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or PRICE < MA_LONG - 3 * STD,
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)
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return (
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PRICE > MA_LONG + 10 * STD
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or has_short_open_signal
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or PRICE < MA_LONG - 3 * STD
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)
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@staticmethod
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def _is_short_close_signal(
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MA_LONG: Decimal,
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PRICE: Decimal,
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STD: Decimal,
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has_long_open_signal: bool,
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) -> bool:
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logger.debug("Try short closing")
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logger.debug("\tPRICE < MA_LONG - 10 * STD, %s", PRICE < MA_LONG - 10 * STD)
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logger.debug("\tor has_long_open_signal, %s", has_long_open_signal)
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logger.debug("\tor PRICE > MA_LONG + 3 * STD, %s", PRICE > MA_LONG + 3 * STD)
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logger.debug(
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"== %s",
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PRICE < MA_LONG - 10 * STD # кажется, что не работает закрытие
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or has_long_open_signal
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or PRICE > MA_LONG + 3 * STD,
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)
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return (
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PRICE < MA_LONG - 10 * STD
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or has_long_open_signal
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or PRICE > MA_LONG + 3 * STD
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)
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def predict(self) -> Iterable[Signal]:
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logger.info("Strategy predict")
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self._init_MA_LONG_START()
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MA_LONG_START = self._MA_LONG_START
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logger.debug("MA_LONG_START: %s", MA_LONG_START)
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PRICE = self._data[-1].candle.close
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logger.debug("PRICE: %s", PRICE)
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MA_LONG = self._calculate_moving_average(self._settings.long_period)
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logger.debug("MA_LONG: %s", MA_LONG)
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MA_SHORT = self._calculate_moving_average(self._settings.short_period)
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logger.debug("MA_SHORT: %s", MA_SHORT)
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STD = self._calculate_std(self._settings.std_period)
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logger.debug("STD: %s", STD)
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MONEY = self._account_manager.get_current_balance()
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logger.debug("MONEY: %s", MONEY)
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has_long_open_signal = False
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has_short_open_signal = False
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possible_lots = int(MONEY // PRICE)
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if (
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not self._state.long_open
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and self._is_long_open_signal(
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MA_SHORT=MA_SHORT,
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MA_LONG=MA_LONG,
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PRICE=PRICE,
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STD=STD,
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MA_LONG_START=MA_LONG_START,
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)
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and possible_lots > 0
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):
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has_long_open_signal = True
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yield OpenLongMarketOrder(lots=possible_lots)
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if (
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not self._state.short_open
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and self._is_short_open_signal(
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MA_SHORT=MA_SHORT,
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MA_LONG=MA_LONG,
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PRICE=PRICE,
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STD=STD,
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MA_LONG_START=MA_LONG_START,
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)
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and possible_lots > 0
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):
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has_short_open_signal = True
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yield OpenShortMarketOrder(lots=possible_lots)
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if self._state.long_open and self._is_long_close_signal(
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MA_LONG=MA_LONG,
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PRICE=PRICE,
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STD=STD,
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has_short_open_signal=has_short_open_signal,
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):
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yield CloseLongMarketOrder(lots=self._state.position)
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if self._state.short_open and self._is_short_close_signal(
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MA_LONG=MA_LONG,
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PRICE=PRICE,
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STD=STD,
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has_long_open_signal=has_long_open_signal,
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):
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yield CloseShortMarketOrder(lots=self._state.position)
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