replace rsi cross alert with zigzag break of structure

wahyubiman · Jul 2, 2022 · 8dcdeed · 8dcdeed
1 parent d08a9f8
commit 8dcdeed
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Showing 4 changed files with 26 additions and 17 deletions.
diff --git a/app/__pycache__/config.cpython-38.pyc b/app/__pycache__/config.cpython-38.pyc
diff --git a/app/config.py b/app/config.py
@@ -11,3 +11,4 @@
 RSI = 14
 EMA_FAST = 34
 EMA_SLOW = 168
+ARGREL = 5
diff --git a/app/strategy/__pycache__/indicator_alert.cpython-38.pyc b/app/strategy/__pycache__/indicator_alert.cpython-38.pyc
diff --git a/app/strategy/indicator_alert.py b/app/strategy/indicator_alert.py
@@ -5,6 +5,7 @@
 import pandas_ta as ta
 from app.config import *
 from app.connector import ExchangeConnector
+from scipy.signal import argrelmax, argrelmin
 
 
 class IndicatorAlert:
@@ -21,21 +22,29 @@ async def _calculate_indicator(self, ohlcv):
             LOG.info(
                 f"Calculate indicator for {ohlcv.name}")
         try:
-            ohlcv['rsi'] = ta.rsi(ohlcv.close, RSI).round(
-                decimals=2)  # calculate RSI
+            """ ohlcv['rsi'] = ta.rsi(ohlcv.close, RSI).round(
+                decimals=2)  # calculate RSI """
             ohlcv['ema_fast'] = ta.ema(ohlcv.close, EMA_FAST).round(decimals=int(
                 (len(str(ohlcv.close[-1:].values[0]).split('.')[1]))))  # calculate EMA & round result same as price
-            ohlcv['ema_slow'] = ta.ema(ohlcv.close, EMA_SLOW).round(decimals=int(
+            """ ohlcv['ema_slow'] = ta.ema(ohlcv.close, EMA_SLOW).round(decimals=int(
                 (len(str(ohlcv.close[-1:].values[0]).split('.')[1]))))  # calculate EMA & round result same as price
             ohlcv['ema_trend'] = ohlcv.apply(
-                lambda x: 'up' if x['ema_fast'] > x['ema_slow'] else 'down', axis=1)  # up if ema fast above ema slow
+                lambda x: 'up' if x['ema_fast'] > x['ema_slow'] else 'down', axis=1)  # up if ema fast above ema slow """
             ohlcv['timestamp'] = pd.to_datetime(ohlcv['timestamp'], unit='ms').dt.tz_localize(
                 'UTC').dt.tz_convert('Asia/Jakarta')
-            ohlcv['rsi_up'] = ta.cross(
+            """ ohlcv['rsi_up'] = ta.cross(
                 ohlcv.rsi, self._seri(42.5, ohlcv), asint=False)
             ohlcv['rsi_down'] = ta.cross(self._seri(
-                57.5, ohlcv), ohlcv.rsi, asint=False)
-            return ohlcv[-2:-1]
+                57.5, ohlcv), ohlcv.rsi, asint=False) """
+            ohlcv['ph'] = ohlcv.iloc[argrelmax(
+                ohlcv.high.values, order=5)].high
+            ohlcv['pl'] = ohlcv.iloc[argrelmin(
+                ohlcv.low.values, order=5)].low
+            ohlcv['ph'] = ohlcv['ph'].fillna(method='ffill')
+            ohlcv['pl'] = ohlcv['pl'].fillna(method='ffill')
+            ohlcv['break_h'] = ta.cross(ohlcv.close, ohlcv.ph)
+            ohlcv['break_l'] = ta.cross(ohlcv.pl, ohlcv.close)
+            return ohlcv
         except Exception as e:
             LOG.exception(e)
             pass
@@ -56,23 +65,22 @@ async def _signal(self, ohlcvs):
         try:
             result = []
             for ohlcv in ohlcvs:
-                if len(ohlcv) >= EMA_SLOW:
-                    last = ohlcv[-2:-1]
-                    # check LONG or SHORT signal
-                    if (last.rsi_up.values[0] and last.ema_trend.values[0] == 'up'):
-                        result.append(
-                            f'{ohlcv.name} - ${ohlcv.close[-1:].values[0]} - {ohlcv.rsi[-1:].values[0]} - LONG')
-                    elif (last.rsi_down.values[0] and last.ema_trend.values[0] == 'down'):
-                        result.append(
-                            f'{ohlcv.name} - ${ohlcv.close[-1:].values[0]} - {ohlcv.rsi[-1:].values[0]} - SHORT')
+                last = ohlcv[-3:-2]
+                # check LONG or SHORT signal
+                if (last.break_h.values[0] == 1) & (last.ema_fast.values[0] < last.close.values[0]):
+                    result.append(
+                        f'{ohlcv.name} - MSB High Break on ${last.close} @{last.timestamp}')
+                elif (last.break_l.values[0] == 1) & (last.ema_fast.values[0] > last.close.values[0]):
+                    result.append(
+                        f'{ohlcv.name} - MSB Low Break on ${last.close} @{last.timestamp}')
             return result
         except Exception as e:
             LOG.exception(e)
 
     async def _main(self, ohlcvs):
         """  """
 
-        new_ohlcvs = [await self._calculate_indicator(ohlcv) for ohlcv in ohlcvs if len(ohlcv) > EMA_SLOW]
+        new_ohlcvs = [await self._calculate_indicator(ohlcv) for ohlcv in ohlcvs if len(ohlcv) > EMA_FAST]
         signal = await self._signal(ohlcvs)
         return signal