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strategies/indicator.py

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+from backtesting import Strategy
+from signal_helper import *
+
+
+class StrategyIndicator(Strategy):
+    use_indicators = None
+    indicators_data = None
+    cal_data = None
+
+    # Stop Profit/Loss
+    up_target = None
+    down_target = None
+
+    data_len = None
+
+    def init(self):
+        self.data_len = len(self.data.Close)
+        self.indicators_data = pd.DataFrame()
+
+        for p in self.use_indicators:
+            indicator, values = list(p.items())[0]
+
+            if type(values) == int:
+                indicator_info = indicator +"_"+ str(values)
+            elif type(values) == list:
+                indicator_info = indicator+"_"+"_".join(map(str, values))
+
+            self.indicators_data[indicator_info] = self.cal_data[indicator_info]
+
+    def next(self):
+        idx = (self._broker._i) - 1
+        row_data = list(self.indicators_data.iloc[idx])
+        prev_row_data = list(self.indicators_data.iloc[idx-1])
+
+        price = self.data.Close[-1]
+        sl = 0
+        tp = 0
+
+        # 배열 동시 시그널 매매
+        if len(row_data) == len(self.use_indicators) and prev_row_data:
+            if not (None in row_data):
+                if all(row_data):
+                    if self.down_target > 0:
+                        sl = price - (price * self.down_target)
+                    if self.up_target > 0:
+                        tp = price + (price * self.up_target)
+
+                    # only short test
+                    # if not self.orders.is_short:
+                    #     self.position.close()
+
+                    # Only Long
+                    if len(self.use_indicators) is 1:  # 단일 지표일 경우
+                        if not self.orders.is_long and not any(prev_row_data):
+                            if sl != 0 and tp != 0:
+                                self.buy(sl=sl, tp=tp)
+                            elif sl != 0:
+                                self.buy(sl=sl)
+                            elif tp != 0:
+                                self.buy(tp=tp)
+                            else:
+                                self.buy()
+
+                    elif len(self.use_indicators) > 1:  # 여러 지표일 경우
+                        if not self.orders.is_long:
+                            if sl != 0 and tp != 0:
+                                self.buy(sl=sl, tp=tp)
+                            elif sl != 0:
+                                self.buy(sl=sl)
+                            elif tp != 0:
+                                self.buy(tp=tp)
+                            else:
+                                self.buy()
+
+                elif not any(row_data):
+                    # short test
+                    # if self.orders.is_long is None or self.orders.is_short is False:
+                    #     self.sell(sl=r_sl, tp=sl)
+
+                    # only long test
+                    if self.orders.is_long:
+                        self.position.close()
+
+        # 시뮬레이터 종료 시 포지션 종료
+        if idx == self.data_len - 2:
+            self.position.close()