function crsi_buy($date, $breakOutSignal, $ADX_filter, $breakOutOrderBy, $portfolioID, $dailyBuyList)
{
global $max_num_holdings;
global $max_risk;
global $risk_factor;
global $stop_loss_muptiplier;
global $portfolio_tbl;
global $showOutput;
if (!$portfolioID) {
$portfolioID = 1;
}
if (!$dailyBuyList) {
$dailyBuyList = "crsi_daily_buy_list";
}
//$breakOutSignal = "55_DAY_HIGH";
### get list of breakout stocks
//$breakOutStockArray = array();
$crsiThreshold = 20;
$pctLimitBelow = 2;
// $breakOutStockArray = getBreakoutStock5 ($date, $breakOutSignal, $breakOutOrderBy, $portfolioID, $dailyBuyList);
// $breakOutStockArray = getBreakoutStock6 ($date, $breakOutSignal, $breakOutOrderBy, $portfolioID, $dailyBuyList);
$breakOutStockArray = getBuyList($date, $crsiThreshold, $breakOutOrderBy, $portfolioID, $dailyBuyList, $dailyBuyList);
// echo json_decode($breakOutStockArray);
// set how many breakout stocks to buy
//$len_array = count($breakOutStockArray);
$len_array = count($breakOutStockArray);
$risk_factor = 1 / $max_num_holdings;
$portfolio_value = 0;
$current_pos = 0;
$next_buy_point = 100000;
$stop_loss = 0;
$num_shares = 0;
$current_N = 0;
$risk_value = 0;
$purchase_value = 0;
$sim_start_day = 55;
$pyramid_mode = 0;
$stop_loss = 0;
$current_trade_date_id = 0;
$workingArray = $breakOutStockArray;
$adxArray = "";
$adxCount = 1;
$len_array = count($breakOutStockArray);
for ($x = 1; $x < $len_array; $x++) {
### get portfolio value
$portfolio_value = get_historical_turtle_portfolio_value($date, $portfolioID);
### get current available cash
$query = "select shares from turtle_portfolio where symbol = 'CASH' and portfolio_id = " . $portfolioID;
$result = queryMysql($query);
while ($data = mysql_fetch_row($result)) {
$cash = $data[0];
}
$risk_value = $portfolio_value * $risk_factor / 100;
$current_N = $breakOutStockArray[$x]['ATR'];
if ($current_N > 0) {
$num_shares = floor($risk_value / ($stop_loss_muptiplier * $current_N));
}
/* $purchase_value = $num_shares * $breakOutStockArray[$x][$breakOutSignal];
$stop_loss = $breakOutStockArray[$x][$breakOutSignal] - (2*$current_N);
$stop_buy = $breakOutStockArray[$x][$breakOutSignal] + $current_N;
*/
## find purchase price
## if target buy price > open (gap down at open, past buy price)
## set purchase price = (open + low ) / 2
## if open > target buy price > close (regular price action
## set purchase price = target buy price
if ($breakOutStockArray[$x]['buy_price'] > $breakOutStockArray[$x]['open']) {
$breakOutStockArray[$x]['purchase_price'] = ($breakOutStockArray[$x]['open'] + $breakOutStockArray[$x]['low']) / 2;
$s = $breakOutStockArray[$x]['symbol'];
$p = $breakOutStockArray[$x]['purchase_price'];
$b = $breakOutStockArray[$x]['buy_price'];
#print "buy price > open: $s buy price = $b purchase price = $p <br />";
} else {
##$breakOutStockArray[$x]['purchase_price'] = ($breakOutStockArray[$x]['high'] + $breakOutStockArray[$x]['buy_price'] + $breakOutStockArray[$x]['low'] + $breakOutStockArray[$x]['close'] )/4;
$breakOutStockArray[$x]['purchase_price'] = $breakOutStockArray[$x]['close'];
$s = $breakOutStockArray[$x]['symbol'];
$p = $breakOutStockArray[$x]['purchase_price'];
$b = $breakOutStockArray[$x]['buy_price'];
$h = $breakOutStockArray[$x]['high'];
$l = $breakOutStockArray[$x]['low'];
$o = $breakOutStockArray[$x]['open'];
$c = $breakOutStockArray[$x]['close'];
#print "regular price: $o high $h low $l close $c : $s buy price = $b purchase price = $p <br />";
}
#$breakOutStockArray[$x]['purchase_price'] = $breakOutStockArray[$x]['buy_price'];
$purchase_value = $num_shares * $breakOutStockArray[$x]['purchase_price'];
$stop_loss = $breakOutStockArray[$x]['purchase_price'] - $stop_loss_muptiplier * $current_N;
$stop_buy = $breakOutStockArray[$x]['purchase_price'] + $current_N;
$current_risk = get_current_risk($portfolioID);
if ($cash > $purchase_value && $current_risk < $max_risk) {
$cash = $cash - $purchase_value;
$risk_dollar = $num_shares * ($stop_loss_muptiplier * $current_N);
$risk_pct = $risk_dollar / $portfolio_value * 100;
// insert into turtle_portfolio
$my_sql = "insert into turtle_portfolio (portfolio_id, symbol, last_price, shares, cost_basis, stop_loss, stop_buy, risk, risk_pct) ";
$my_sql .= "values (" . $portfolioID . ", '" . $breakOutStockArray[$x]['symbol'] . "', ";
$my_sql .= $breakOutStockArray[$x]['close'] . ", ";
$my_sql .= $num_shares . ", ";
// $my_sql .= $breakOutStockArray[$x][$breakOutSignal].", ";
$my_sql .= $breakOutStockArray[$x]['purchase_price'] . ", ";
$my_sql .= $stop_loss . ", ";
$my_sql .= $stop_buy . ", ";
$my_sql .= $risk_dollar . ", ";
$my_sql .= $risk_pct . " )";
if ($showOutput) {
print "num: {$x} sql: {$my_sql} <br />";
}
$result = queryMysql($my_sql);
// trigger on transaction table
/*
DELIMITER $$
CREATE TRIGGER ins_buy AFTER INSERT ON turtle_portfolio_transaction
FOR EACH ROW
BEGIN
DECLARE xid int;
IF (NEW.trade_type = 'BUY')
THEN
insert IGNORE into open_buy_transaction (portfolio_id, symbol, trade_type, trade_date, shares, price) values (NEW.portfolio_id, NEW.symbol, NEW.trade_type, NEW.trade_date, NEW.shares, NEW.price);
ELSE
insert IGNORE into transactions (portfolio_id, symbol, sell_date, sell_shares, sell_price) values (NEW.portfolio_id, NEW.symbol, NEW.trade_date, NEW.shares, NEW.price);
SET xid = select 1 from transactions;
update transactions, open_buy_transaction set transactions.buy_date = open_buy_transaction.trade_date, transactions.buy_shares = open_buy_transaction.shares, transactions.buy_price=open_buy_transaction.price where transactions.symbol = open_buy_transaction and transactions.xid = xid ;
delete from open_buy_transaction where symbol = NEW.symbol
END IF;
END;
$$
DELIMITER ;
*/
// insert into transaction history table
$my_sql = "insert into turtle_portfolio_transaction (portfolio_id, symbol, trade_type, trade_date, shares, price, risk, risk_pct, vsSpyRank) ";
$my_sql .= "values (" . $portfolioID . ", '" . $breakOutStockArray[$x]['symbol'] . "', ";
$my_sql .= "'BUY', ";
$my_sql .= "'" . $date . "', ";
$my_sql .= $num_shares . ", ";
// $my_sql .= $breakOutStockArray[$x][$breakOutSignal].", ";
$my_sql .= $breakOutStockArray[$x]['purchase_price'] . ", ";
$my_sql .= $risk_dollar . ", ";
$my_sql .= $risk_pct . ", ";
$my_sql .= $breakOutStockArray[$x]['vsSpyRank'] . " )";
if ($showOutput) {
print "{$my_sql} <br />";
}
$result = queryMysql($my_sql);
// update cash position
$my_sql = "update turtle_portfolio set shares = " . $cash . " where symbol = 'CASH' and portfolio_id = " . $portfolioID;
if ($showOutput) {
print "{$my_sql} <br />";
}
$result = queryMysql($my_sql);
} elseif ($current_risk > $max_risk) {
$s = $breakOutStockArray[$x]['symbol'];
}
$pyramid_mode++;
}
#$time_end = microtime(true);
#$time = $time_end - $time_first;
#print "-------------------------\n";
#print "second part of turtle buy time: $time \n";
populateDailyBuyList($date, $crsiLimit, $symbol, $portfolioID, $dailyBuyList, $pctLimitBelow);
#populateDailyBuyList ($date, $breakOutSignal, $rankAndWeightArray, $portfolioID, $dailyBuyList);
}
function turtle_portfolio_pyramid_buy($date)
{
global $max_num_holdings;
global $max_risk;
global $risk_factor;
$risk_factor = 1 / $max_num_holdings;
$my_sql = "select a.symbol, a.shares, c.high, c.trade_date, a.stop_loss, a.stop_buy, c.ATR, a.cost_basis, a.risk, a.risk_pct, c.low, c.open from turtle_portfolio a, price_history c where a.symbol = c.symbol and c.trade_date = '" . $date . "' and c.high > a.stop_buy order by c.pct_change desc";
/*if ($date == "2012-12-05")
{
print "pyramid buy: ";
print $my_sql;
print "<br>";
}
*/
$result = queryMysql($my_sql);
while ($data = mysql_fetch_row($result)) {
$this_symbol = $data[0];
$this_shares = $data[1];
$this_today_high = $data[2];
$this_trade_date = $data[3];
$this_stop_loss = $data[4];
$this_stop_buy = $data[5];
$this_ATR = $data[6];
$this_cost_basis = $data[7];
$this_risk = $data[8];
$this_risk_pct = $data[9];
$this_today_low = $data[10];
$this_today_open = $data[11];
### get portfolio value
$portfolio_value = get_historical_turtle_portfolio_value($date);
### get current available cash
$query = "select shares from turtle_portfolio where portfolio_id = 1 and symbol = 'CASH'";
$result2 = queryMysql($query);
while ($data2 = mysql_fetch_row($result2)) {
$cash = $data2[0];
}
$risk_value = $portfolio_value * $risk_factor / 100;
$num_shares = floor($risk_value / (2 * $this_ATR));
// set would-be purchase price of the stock
// if high > moving avg
// AND moving avg > low, then purchase price = moving avg
// AND moving avg < open, the purchase price = opening price
$purchase_price = $this_stop_buy;
if ($this_stop_buy > $this_today_low) {
$purchase_price = $this_stop_buy;
} elseif ($this_stop_buy < $this_today_open) {
$purchase_price = $this_today_open;
} elseif ($this_stop_buy < $this_today_low) {
$purchase_price = $this_today_low;
}
$this_stop_buy = $purchase_price;
// $purchase_value = $num_shares * $this_stop_buy;
$purchase_value = $num_shares * $purchase_price;
$current_risk = get_current_risk();
if ($cash > $purchase_value && $current_risk < $max_risk) {
$stop_loss = $this_stop_buy - 2 * $this_ATR;
$stop_buy = $this_stop_buy + $this_ATR;
$avg_cost_basis = ($this_shares * $this_cost_basis + $purchase_value) / ($this_shares + $num_shares);
$total_shares = $this_shares + $num_shares;
$risk_dollar = $this_shares * (2 * $this_ATR) + $this_risk;
$risk_pct = $risk_dollar / $portfolio_value * 100;
$query3 = "update turtle_portfolio set shares = " . $total_shares . ", cost_basis = " . $avg_cost_basis . ", stop_loss = " . $stop_loss . ", stop_buy=" . $stop_buy . ", risk=" . $risk_dollar . ", risk_pct=" . $risk_pct . " where symbol = '" . $this_symbol . "'";
$result3 = queryMysql($query3);
//print "query 3: $query3 ";
// insert into transaction history table
$query4 = "insert into turtle_portfolio_transaction (portfolio_id, symbol, trade_type, trade_date, shares, price, risk, risk_pct) ";
$query4 .= "values (1, '" . $this_symbol . "', ";
$query4 .= "'BUY', ";
$query4 .= "'" . $date . "', ";
$query4 .= $num_shares . ", ";
$query4 .= $this_stop_buy . ", ";
$query4 .= $risk_dollar . ", ";
$query4 .= $risk_pct . " )";
$result4 = queryMysql($query4);
$cash_left = $cash - $purchase_value;
// update cash position
$query5 = "update turtle_portfolio set shares = " . $cash_left . " where symbol = 'CASH'";
$result5 = queryMysql($query5);
}
}
}
function live_turtle_portfolio_buy($date, $breakOutSignal, $ADX_filter, $breakOutOrderBy, $portfolioID, $dailyBuyList)
{
global $max_num_holdings;
global $max_risk;
global $risk_factor;
if (!$portfolioID) {
$portfolioID = 2;
}
if (!$dailyBuyList) {
$dailyBuyList = "turtle_daily_buy_list_live";
}
//$breakOutSignal = "55_DAY_HIGH";
### get list of breakout stocks
//$breakOutStockArray = array();
$breakOutStockArray = live_get_breakout_stock($breakOutSignal, $breakOutOrderBy, $portfolioID, $dailyBuyList);
// set how many breakout stocks to buy
//$len_array = count($breakOutStockArray);
$len_array = count($breakOutStockArray);
$risk_factor = 1 / $max_num_holdings;
$portfolio_value = 0;
$current_pos = 0;
$next_buy_point = 100000;
$stop_loss = 0;
$num_shares = 0;
$current_N = 0;
$risk_value = 0;
$purchase_value = 0;
$sim_start_day = 55;
$pyramid_mode = 0;
$stop_loss = 0;
// $ADX_filter = "Off";
$current_trade_date_id = 0;
$workingArray = $breakOutStockArray;
$adxArray = "";
$adxCount = 1;
// check if ADX check if turned on
if ($ADX_filter == "On") {
for ($x = 1; $x < $len_array; $x++) {
$current_trade_date_id = getTradeDateID($workingArray[$x]['symbol'], $date);
$returnADX = calculate_ADX($workingArray[$x]['symbol'], $current_trade_date_id, 14);
if ($returnADX["plusDI14"] > $returnADX["negDI14"] && $returnADX["ADX"] < 30) {
//if ($returnADX["plusDI14"] < $returnADX["negDI14"]) {
//array_delete ($breakOutStockArray[$x]);
//unset ($breakOutStockArray[$x]);
if ($returnADX["changeADX"] > 5) {
$adxArray[$adxCount] = $workingArray[$x];
$adxCount++;
}
}
}
$breakOutStockArray = $adxArray;
}
$len_array = count($breakOutStockArray);
for ($x = 1; $x < $len_array; $x++) {
### get portfolio value
$portfolio_value = get_realtime_turtle_portfolio_value($portfolioID);
### get current available cash
$query = "select shares from turtle_portfolio where symbol = 'CASH' and portfolio_id = " . $portfolioID;
$result = queryMysql($query);
while ($data = mysql_fetch_row($result)) {
$cash = $data[0];
}
$risk_value = $portfolio_value * $risk_factor / 100;
### get yesterday's ATR
$query = "select ATR from price_history where symbol = '" . $breakOutStockArray[$x]['symbol'] . "' and trade_date_id = (select max(trade_date_id) from price_history where symbol = '" . $breakOutStockArray[$x]['symbol'] . "')";
$result3 = queryMysql($query);
while ($data3 = mysql_fetch_row($result3)) {
$this_ATR = $data3[0];
}
$current_N = $this_ATR;
if ($current_N > 0) {
$num_shares = floor($risk_value / (2 * $current_N));
}
/* $purchase_value = $num_shares * $breakOutStockArray[$x][$breakOutSignal];
$stop_loss = $breakOutStockArray[$x][$breakOutSignal] - (2*$current_N);
$stop_buy = $breakOutStockArray[$x][$breakOutSignal] + $current_N;
*/
$purchase_value = $num_shares * $breakOutStockArray[$x]['purchase_price'];
$stop_loss = $breakOutStockArray[$x]['purchase_price'] - 2 * $current_N;
$stop_buy = $breakOutStockArray[$x]['purchase_price'] + $current_N;
$current_risk = get_current_risk($portfolioID);
if ($cash > $purchase_value && $current_risk < $max_risk) {
$cash = $cash - $purchase_value;
$risk_dollar = $num_shares * (2 * $current_N);
$risk_pct = $risk_dollar / $portfolio_value * 100;
// insert into turtle_portfolio
$my_sql = "insert into turtle_portfolio (portfolio_id, symbol, last_price, shares, cost_basis, stop_loss, stop_buy, risk, risk_pct) ";
$my_sql .= "values (" . $portfolioID . ", '" . $breakOutStockArray[$x]['symbol'] . "', ";
$my_sql .= $breakOutStockArray[$x]['last_price'] . ", ";
$my_sql .= $num_shares . ", ";
$my_sql .= $breakOutStockArray[$x]['purchase_price'] . ", ";
$my_sql .= $stop_loss . ", ";
$my_sql .= $stop_buy . ", ";
$my_sql .= $risk_dollar . ", ";
$my_sql .= $risk_pct . " )";
$result = queryMysql($my_sql);
// insert into transaction history table
$my_sql = "insert into turtle_portfolio_transaction (portfolio_id, symbol, trade_type, trade_date, shares, price, risk, risk_pct) ";
$my_sql .= "values (" . $portfolioID . ", '" . $breakOutStockArray[$x]['symbol'] . "', ";
$my_sql .= "'BUY', ";
$my_sql .= "'" . $date . "', ";
$my_sql .= $num_shares . ", ";
$my_sql .= $breakOutStockArray[$x]['purchase_price'] . ", ";
$my_sql .= $risk_dollar . ", ";
$my_sql .= $risk_pct . " )";
$result = queryMysql($my_sql);
// update cash position
$my_sql = "update turtle_portfolio set shares = " . $cash . " where symbol = 'CASH' and portfolio_id = " . $portfolioID;
$result = queryMysql($my_sql);
$email_subject = $breakOutStockArray[$x]['last_trade_date'] . " " . $breakOutStockArray[$x]['last_trade_price'] . " Buy " . $breakOutStockArray[$x]['symbol'] . " " . $num_shares . " shares at \$" . $breakOutStockArray[$x]['purchase_price'];
$email_body = "";
sendemail($email_subject, $email_body);
}
$pyramid_mode++;
}
//populateDailyBuyList ($date, $breakOutSignal, $rankAndWeightArray, $portfolioID, $dailyBuyList);
}
