Add DUAL_THRUST

Author: cryptocoinserver

.gitignore

@@ -0,0 +1,151 @@
+# Byte-compiled / optimized / DLL files
+__pycache__/
+*.py[cod]
+*$py.class
+
+# C extensions
+*.so
+
+# Distribution / packaging
+.Python
+build/
+develop-eggs/
+dist/
+downloads/
+eggs/
+.eggs/
+lib/
+lib64/
+parts/
+sdist/
+var/
+wheels/
+share/python-wheels/
+*.egg-info/
+.installed.cfg
+*.egg
+MANIFEST
+
+# PyInstaller
+#  Usually these files are written by a python script from a template
+#  before PyInstaller builds the exe, so as to inject date/other infos into it.
+*.manifest
+*.spec
+
+# Installer logs
+pip-log.txt
+pip-delete-this-directory.txt
+
+# Unit test / coverage reports
+htmlcov/
+.tox/
+.nox/
+.coverage
+.coverage.*
+.cache
+nosetests.xml
+coverage.xml
+*.cover
+*.py,cover
+.hypothesis/
+.pytest_cache/
+cover/
+
+# Translations
+*.mo
+*.pot
+
+# Django stuff:
+*.log
+local_settings.py
+db.sqlite3
+db.sqlite3-journal
+
+# Flask stuff:
+instance/
+.webassets-cache
+
+# Scrapy stuff:
+.scrapy
+
+# Sphinx documentation
+docs/_build/
+
+# PyBuilder
+.pybuilder/
+target/
+
+# Jupyter Notebook
+.ipynb_checkpoints
+
+# IPython
+profile_default/
+ipython_config.py
+
+# pyenv
+#   For a library or package, you might want to ignore these files since the code is
+#   intended to run in multiple environments; otherwise, check them in:
+# .python-version
+
+# pipenv
+#   According to pypa/pipenv#598, it is recommended to include Pipfile.lock in version control.
+#   However, in case of collaboration, if having platform-specific dependencies or dependencies
+#   having no cross-platform support, pipenv may install dependencies that don't work, or not
+#   install all needed dependencies.
+#Pipfile.lock
+
+# PEP 582; used by e.g. github.com/David-OConnor/pyflow
+__pypackages__/
+
+# Celery stuff
+celerybeat-schedule
+celerybeat.pid
+
+# SageMath parsed files
+*.sage.py
+
+# Environments
+.env
+.venv
+env/
+venv/
+ENV/
+env.bak/
+venv.bak/
+
+# Spyder project settings
+.spyderproject
+.spyproject
+
+# Rope project settings
+.ropeproject
+
+# mkdocs documentation
+/site
+
+# mypy
+.mypy_cache/
+.dmypy.json
+dmypy.json
+
+# Pyre type checker
+.pyre/
+
+# pytype static type analyzer
+.pytype/
+
+# Cython debug symbols
+cython_debug/
+
+# IDE
+/.vscode
+/.idea
+
+.DS_Store
+/storage/*.key
+/storage/*.sqlite
+/storage/*.gz
+/.vagrant
+testing-*.py
+/storage/full-reports/*.html
+/storage/logs/*

DUAL_THRUST/__init__.py

@@ -0,0 +1,112 @@
+from jesse.strategies import Strategy, cached
+import jesse.indicators as ta
+from jesse import utils
+import numpy as np
+
+# https://medium.com/@gaea.enquiries/quantitative-strategy-research-series-one-the-dual-thrust-38380b38c2fa
+# Dual Thrust by Michael Chalek
+
+class DUAL_THRUST(Strategy):
+
+    def should_long(self) -> bool:
+        return self.long_cond
+
+    def should_short(self) -> bool:
+        return self.short_cond
+
+    def go_long(self):
+        entry = self.price
+        stop = entry - self.atr * self.hp['stop_loss_atr_rate']
+        qty = utils.risk_to_qty(self.capital, 2, entry, stop)
+        self.buy = qty, entry
+        self.stop_loss = qty, stop
+
+    def go_short(self):
+        entry = self.price
+        stop = entry + self.atr * self.hp['stop_loss_atr_rate']
+        qty = utils.risk_to_qty(self.capital, 2, entry, stop)
+        self.sell = qty, entry
+        self.stop_loss = qty, stop
+
+    def update_position(self):
+        if (self.is_long and self.short_cond) or (self.is_short and self.long_cond):
+            self.liquidate()
+
+    def should_cancel(self) -> bool:
+        return True
+
+    ################################################################
+    # # # # # # # # # # # # # indicators # # # # # # # # # # # # # #
+    ################################################################
+
+    @property
+    def up_min_low(self):
+        return np.min(self.candles[:, 4][-self.hp['up_length']:])
+
+    @property
+    def up_min_close(self):
+        return np.min(self.candles[:, 2][-self.hp['up_length']:])
+
+    @property
+    def up_max_close(self):
+        return np.max(self.candles[:, 2][-self.hp['up_length']:])
+
+    @property
+    def up_max_high(self):
+        return np.max(self.candles[:, 3][-self.hp['up_length']:])
+
+    @property
+    def down_min_low(self):
+        return np.min(self.candles[:, 4][-self.hp['down_length']:])
+
+    @property
+    def down_min_close(self):
+        return np.min(self.candles[:, 2][-self.hp['down_length']:])
+
+    @property
+    def down_max_close(self):
+        return np.max(self.candles[:, 2][-self.hp['down_length']:])
+
+    @property
+    def down_max_high(self):
+        return np.max(self.candles[:, 4][-self.hp['down_length']:])
+
+    @property
+    def up_thurst(self):
+        return self.anchor_candles[:, 1][-1] + self.hp['up_coeff'] * max(self.up_max_close - self.up_min_low, self.up_max_high - self.up_min_close)
+
+    @property
+    def down_thrust(self):
+        return self.anchor_candles[:, 1][-1] - self.hp['down_coeff'] * max(self.down_max_close - self.down_min_low, self.down_max_high - self.down_min_close)
+
+    @property
+    @cached
+    def anchor_candles(self):
+        return self.get_candles(self.exchange, self.symbol, utils.anchor_timeframe(self.timeframe))
+
+    @property
+    def short_cond(self):
+        return self.price < self.down_thrust
+
+    @property
+    def long_cond(self):
+        return self.price > self.up_thurst
+
+    @property
+    def atr(self):
+        return ta.atr(self.candles)
+
+
+    # # # # # # # # # # # # # # # # # # # # # # # # # # # #
+    # Genetic
+    # # # # # # # # # # # # # # # # # # # # # # # # # # # #
+
+    def hyperparameters(self):
+        return [
+            {'name': 'stop_loss_atr_rate', 'type': float, 'min': 0.1, 'max': 2.0, 'default': 2},
+            {'name': 'down_length', 'type': int, 'min': 3, 'max': 30, 'default': 21},
+            {'name': 'up_length', 'type': int, 'min': 3, 'max': 30, 'default': 21},
+            {'name': 'down_coeff', 'type': float, 'min': 0.1, 'max': 3.0, 'default': 0.67},
+            {'name': 'up_coeff', 'type': float, 'min': 0.1, 'max': 3.0, 'default': 0.71},
+        ]
+