UTSStrategyHelper

5월 8일

Library "UTSStrategyHelper"
TODO: add library description here

stopLossPrice(sig, atr, factor, isLong)
  Calculates the stop loss price using a distance determined by ATR multiplied by a factor. Example for Long trade SL: PRICE - (ATR * factor).
  Parameters:
    sig (float)
    atr (float): (float): The value of the atr.
    factor (float)
    isLong (bool): (bool): The current trade direction.
  Returns: (bool): A boolean value.

takeProfitPrice(sig, atr, factor, isLong)
  Calculates the take profit price using a distance determined by ATR multiplied by a factor. Example for Long trade TP: PRICE + (ATR * factor). When take profit price is reached usually 50 % of the position is closed and the other 50 % get a trailing stop assigned.
  Parameters:
    sig (float)
    atr (float): (float): The value of the atr.
    factor (float)
    isLong (bool): (bool): The current trade direction.
  Returns: (bool): A boolean value.

trailingStopPrice(initialStopPrice, atr, factor, priceSource, isLong)
  Calculates a trailing stop price using a distance determined by ATR multiplied by a factor. It takes an initial price and follows the price closely if it changes in a favourable way.
  Parameters:
    initialStopPrice (float): (float): The initial stop price which, for consistency also should be ATR * factor behind price: e.g. Long trade: PRICE - (ATR * factor)
    atr (float): (float): The value of the atr. Ideally the ATR value at trade open is taken and used for subsequent calculations.
    factor (float)
    priceSource (float): (float): The current price.
    isLong (bool): (bool): The current trade direction.
  Returns: (bool): A boolean value.

hasGreaterPositionSize(positionSize)
  Determines if the strategy's position size has grown since the last bar.
  Parameters:
    positionSize (float): (float): The size of the position.
  Returns: (bool): A boolean value.

hasSmallerPositionSize(positionSize)
  Determines if the strategy's position size has decreased since the last bar.
  Parameters:
    positionSize (float): (float): The size of the position.
  Returns: (bool): A boolean value.

hasUnchangedPositionSize(positionSize)
  Determines if the strategy's position size has changed since the last bar.
  Parameters:
    positionSize (float): (float): The size of the position.
  Returns: (bool): A boolean value.

exporthasLongPosition(positionSize)
  Determines if the strategy has an open long position.
  Parameters:
    positionSize (float): (float): The size of the position.
  Returns: (bool): A boolean value.

hasShortPosition(positionSize)
  Determines if the strategy has an open short position.
  Parameters:
    positionSize (float): (float): The size of the position.
  Returns: (bool): A boolean value.

hasAnyPosition(positionSize)
  Determines if the strategy has any open position, regardless of short or long.
  Parameters:
    positionSize (float): (float): The size of the position.
  Returns: (bool): A boolean value.

hasSignal(value)
  Determines if the given argument contains a valid value (means not 'na').
  Parameters:
    value (float): (float): The actual value.
  Returns: (bool): A boolean value.

5월 8일

릴리즈 노트

v2

Added:
hasLongPosition(positionSize)
  Determines if the strategy has an open long position.
  Parameters:
    positionSize (float): (float): The size of the position.
  Returns: (bool): A boolean value.

Removed:
exporthasLongPosition(positionSize)
  Determines if the strategy has an open long position.