function turtle_portfolio_buy($date, $breakOutSignal, $ADX_filter, $breakOutOrderBy)
{
global $max_num_holdings;
global $max_risk;
global $risk_factor;
//$breakOutSignal = "55_DAY_HIGH";
### get list of breakout stocks
//$breakOutStockArray = array();
$breakOutStockArray = getBreakoutStock5($date, $breakOutSignal, $breakOutOrderBy);
// echo json_decode($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;
// $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
$portfolio_value = get_historical_turtle_portfolio_value($date);
### get current available cash
$query = "select shares from turtle_portfolio where portfolio_id = 1 and symbol = 'CASH'";
$result = queryMysql($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 / (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;
$current_risk = get_current_risk();
if ($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 (1, '" . $breakOutStockArray[$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 . " )";
//print $my_sql;
//print "\n";
$result = queryMysql($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 (1, '" . $breakOutStockArray[$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 . " )";
//print "tranx: $my_sql";
$result = queryMysql($my_sql);
// update cash position
$my_sql = "update turtle_portfolio set shares = " . $cash . " where symbol = 'CASH'";
$result = queryMysql($my_sql);
//print "update: $my_sql";
}
$pyramid_mode++;
}
populateDailyBuyList($date, $breakOutSignal, $rankAndWeightArray);
}
function crsi_buy($date, $breakOutSignal, $ADX_filter, $breakOutOrderBy, $portfolioID, $dailyBuyList, $enterCRSI, $enterRange, $enterLimit, $tranHistory, $orderBy, $next_date)
{
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;
#$pctLimitBelow = 2;
#$enterCRSI = 20;
#$enterRange = 100;
#$enterLimit = 2;
// $breakOutStockArray = getBreakoutStock5 ($date, $breakOutSignal, $breakOutOrderBy, $portfolioID, $dailyBuyList);
// $breakOutStockArray = getBreakoutStock6 ($date, $breakOutSignal, $breakOutOrderBy, $portfolioID, $dailyBuyList);
$breakOutStockArray = getBuyList($date, $enterCRSI, $enterRange, $portfolioID, $dailyBuyList, $enterLimit, $orderBy);
// echo json_decode($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'] = getStockPrice($date, $breakOutStockArray[$x]['symbol'], 'close');
$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'] = getStockPrice($next_date, $breakOutStockArray[$x]['symbol'], '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 = $p <br />";
}
## set purchase price to next day open price
##$breakOutStockArray[$x]['purchase_price'] = getStockPrice($next_date, $breakOutStockArray[$x]['symbol'], 'open');
$h = $breakOutStockArray[$x]['high'];
$l = $breakOutStockArray[$x]['low'];
$o = $breakOutStockArray[$x]['open'];
$c = $breakOutStockArray[$x]['close'];
$p = $breakOutStockArray[$x]['purchase_price'];
#print "trade date: $date symbol $s close: $c open: $o purchase price = $p <br /> \n";
#$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);
$current_risk = get_portfolio_risk($date, $portfolioID);
#print "date: $date symbol: ".$breakOutStockArray[$x]['symbol']." current risk :$current_risk \n";
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]['adj_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 .= $risk_pct . " )";
#$showOutput = true;
if ($showOutput) {
print "num: {$x} sql: {$my_sql} <br />";
$p = $breakOutStockArray[$x]['purchase_price'];
print "cash: {$cash} purchase price: {$purchase_value} num shares: {$num_shares} purchase value: {$p} current n: {$current_N}<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
$my_sql = "insert into {$tranHistory} (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 />";
}
try {
$result = queryMysql($my_sql);
} catch (Exception $e) {
echo "query: {$my_sql} \n";
echo 'Caught exception: ', $e->getMessage(), "\n";
}
// 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);
} else {
#print "trade date: $date ran out of money </ br> \n";
break;
}
$pyramid_mode++;
}
populateDailyBuyList($date, $enterCRSI, $enterRange, $portfolioID, $dailyBuyList, $enterLimit);
}
function getBreakoutStock5($today_date, $movingAvg, $rankAndWeightArray, $portfolioID, $dailyBuyList)
{
if (!$portfolioID) {
$portfolioID = 1;
}
if (!$dailyBuyList) {
$dailyBuyList = "turtle_daily_buy_list";
}
$masterRankByResult = array();
$rankResult = array();
//foreach ($rankAndWeightArray as $rankBy => $rankWeight)
//{
/* types of query
1: pct_change
2: relative_avg_vol
3: vsSpyEMA
query stock where today's high is greater than yesterda's moving average
provided that yesterday's 50 MA is greater than yesterday's 200 MA
use table simple_price_history to compare against full price_history with trade_date_id - 1
*/
$query = "select d.rank, a.symbol, a.trade_date, a.open, a.high, a.low, a.close, a.pct_change, ";
$query .= "a.ATR, a.55_DAY_HIGH, a.20_DAY_HIGH, a.50_MA, a.200_MA, d.buy_price, a.vsSpyRank ";
$query .= "from price_history a, turtle_daily_buy_list d ";
$query .= " where a.trade_date = '" . $today_date . "'";
$query .= " and a.symbol = d.symbol ";
$query .= " and a.high > d.buy_price ";
$query .= " and d.symbol not in (select symbol from turtle_portfolio where portfolio_id = " . $portfolioID . ") ";
//$query .= " and a.trade_date = d.trade_date ";
//$query .= " and d.rank < 5 ";
$query .= " order by d.rank asc";
$query = stripslashes($query);
//print $query;
//print "\n";
$result = queryMysql($query);
/*if ($today_date == "2012-12-05")
{
print "breakout stock: ";
print $query;
print "<br>";
//exit;
}
*/
$tmpArray = array();
$tmpRankArray = array();
$i = 0;
while ($row = mysql_fetch_assoc($result)) {
foreach ($row as $key => $value) {
$tmpArray[$i][$key] = $value;
if ($key == "symbol") {
$tmpRankArray[$value] = $i;
}
}
// set would-be purchase price of the stock
// if high > stop buy price
// AND stop buy price > low, then purchase price = stop buy price
// AND stop buy price < open, the purchase price = opening price
/* if ($tmpArray[$i]['buy_price'] > $tmpArray[$i]['low']) {
$tmpArray[$i]['purchase_price'] = $tmpArray[$i]['buy_price'];
} elseif ($tmpArray[$i]['buy_price'] < $tmpArray[$i]['open']) {
$tmpArray[$i]['purchase_price'] = $tmpArray[$i]['open'];
} elseif ($tmpArray[$i]['buy_price'] < $tmpArray[$i]['low']) {
$tmpArray[$i]['purchase_price'] = $tmpArray[$i]['low'];
}
if (!$tmpArray[$i]['purchase_price']){
$tmpArray[$i]['purchase_price'] = $tmpArray[$i][$movingAvg];
}
*/
if ($tmpArray[$i]['buy_price'] > $tmpArray[$i]['low']) {
$tmpArray[$i]['purchase_price'] = $tmpArray[$i]['close'];
} elseif ($tmpArray[$i]['buy_price'] < $tmpArray[$i]['open']) {
$tmpArray[$i]['purchase_price'] = $tmpArray[$i]['close'];
} elseif ($tmpArray[$i]['buy_price'] < $tmpArray[$i]['low']) {
$tmpArray[$i]['purchase_price'] = $tmpArray[$i]['close'];
}
if (!$tmpArray[$i]['purchase_price']) {
$tmpArray[$i]['purchase_price'] = $tmpArray[$i]['close'];
}
$i++;
}
$masterRankByResult[$rankBy] = $tmpArray;
$rankResult[$rankBy] = $tmpRankArray;
//}
$combineRank = array();
foreach ($rankResult as $rankBy => $resultArray) {
foreach ($resultArray as $symbol => $value) {
$combineRank[$symbol] += $value * $rankAndWeightArray[$rankBy];
}
}
asort($combineRank);
$i = 0;
foreach ($combineRank as $key => $value) {
$keyPos = $tmpRankArray[$key];
$finalRet[$i] = $tmpArray[$keyPos];
$i++;
}
//populate daily buy list
populateDailyBuyList($today_date, $movingAvg, $rankAndWeightArray);
return $finalRet;
}
function crsi_buy($date, $breakOutSignal, $ADX_filter, $breakOutOrderBy, $portfolioID, $dailyBuyList, $enterCRSI, $enterRange, $enterLimit, $tranHistory, $orderBy, $next_date, $skipFactor, $stop_loss_multiplier, $max_risk, $risk_factor)
{
global $max_num_holdings;
#global $max_risk;
#global $risk_factor;
#global $stop_loss_multiplier;
global $portfolio_tbl;
global $showOutput;
global $commission;
global $tranHistArray;
global $portfolio_table;
if (!$portfolioID) {
$portfolioID = 1;
}
if (!$dailyBuyList) {
$dailyBuyList = "crsi_daily_buy_list";
}
$breakOutStockArray = getBuyList($date, $enterCRSI, $enterRange, $portfolioID, $dailyBuyList, $enterLimit, $orderBy);
$sizeBuyList = sizeof($breakOutStockArray);
if (!$skipFactor) {
$skipFactor = 0.05;
}
/*
echo "date: $date ", PHP_EOL;
$count = sizeof($breakOutStockArray);
echo "len array: $count ", PHP_EOL;
for ($y=0; $y<sizeof($breakOutStockArray); $y++) {
echo "symbol: ", $breakOutStockArray[$y]['symbol'], PHP_EOL;
}
echo " end end ", PHP_EOL;
*/
$len_array = count($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);
$portfolio_value = get_historical_turtle_portfolio_value($date, $portfolioID);
$query = "select shares from {$portfolio_table} where symbol = 'CASH' and portfolio_id = " . $portfolioID;
$result = queryMysql($query);
while ($data = mysql_fetch_row($result)) {
$cash = $data[0];
}
#echo "date: $date symbol: ", $breakOutStockArray[$x]['symbol'], "cash: $cash purchase value: $purchase_value current risk: $current_risk max risk: $max_risk ", PHP_EOL;
$current_risk = get_portfolio_risk($date, $portfolioID);
#echo "date: $date symbol: ", $breakOutStockArray[$x]['symbol'], "cash: $cash purchase value: $purchase_value current risk: $current_risk max risk: $max_risk ", PHP_EOL;
#print "current risk in the beginning: $current_risk \n";
$buy_array = array();
$skipNum = ceil($skipFactor * $sizeBuyList);
#echo "date: ", $date, " size: ", $sizeBuyList, " skipping: ", $skipNum, PHP_EOL;
#for ($x=1; $x < $len_array; $x++) {
for ($x = $skipNum; $x < $sizeBuyList; $x++) {
### get portfolio value
#$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_multiplier * $current_N));
}
/* $purchase_value = $num_shares * $breakOutStockArray[$x][$breakOutSignal];
$stop_loss = $breakOutStockArray[$x][$breakOutSignal] - (2*$current_N);
$stop_buy = $breakOutStockArray[$x][$breakOutSignal] + $current_N;
*/
#echo "x: $x date: $date portfolio value: $portfolio_value cash: $cash risk value: $risk_value current N: $current_N symbol: ".$breakOutStockArray[$x]['symbol'], PHP_EOL;
## set purchase price to next day open price
$breakOutStockArray[$x]['purchase_price'] = getStockPrice($next_date, $breakOutStockArray[$x]['symbol'], 'open');
if (!$breakOutStockArray[$x]['purchase_price']) {
break;
}
$h = $breakOutStockArray[$x]['high'];
$l = $breakOutStockArray[$x]['low'];
$o = $breakOutStockArray[$x]['open'];
$c = $breakOutStockArray[$x]['close'];
$p = $breakOutStockArray[$x]['purchase_price'];
#print "trade date: $date symbol $s close: $c open: $o purchase price = $p <br /> \n";
#$breakOutStockArray[$x]['purchase_price'] = $breakOutStockArray[$x]['buy_price'];
$purchase_value = $num_shares * $breakOutStockArray[$x]['purchase_price'] + $commission;
$stop_loss = $breakOutStockArray[$x]['purchase_price'] - $stop_loss_multiplier * $current_N;
$stop_buy = $breakOutStockArray[$x]['purchase_price'] + $current_N;
#$current_risk = get_current_risk($portfolioID);
#$current_risk = get_portfolio_risk($date, $portfolioID);
#print "date: $date symbol: ".$breakOutStockArray[$x]['symbol']." current risk :$current_risk \n";
#echo "date: $date symbol: ", $breakOutStockArray[$x]['symbol'], "cash: $cash purchase value: $purchase_value current risk: $current_risk max risk: $max_risk ", PHP_EOL;
if ($cash > $purchase_value && $current_risk < $max_risk) {
$cash = $cash - $purchase_value;
$risk_dollar = $num_shares * ($stop_loss_multiplier * $current_N);
$risk_pct = $risk_dollar / $portfolio_value * 100;
// insert into turtle_portfolio
$my_sql = "insert into {$portfolio_table} (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]['adj_close'] . ", ";
$my_sql .= $num_shares . ", ";
$my_sql .= $breakOutStockArray[$x]['purchase_price'] . ", ";
$my_sql .= $stop_loss . ", ";
$my_sql .= $stop_buy . ", ";
$my_sql .= $risk_dollar . ", ";
$my_sql .= $risk_pct . " )";
array_push($buy_array, $my_sql);
$current_risk += $risk_pct;
#print "current risk after adding risk dollar: current risk: $current_risk risk pct added: $risk_pct max risk: $max_risk \n";
#$showOutput = true;
if ($showOutput) {
print "num: {$x} sql: {$my_sql} <br />";
$p = $breakOutStockArray[$x]['purchase_price'];
print "cash: {$cash} purchase price: {$purchase_value} num shares: {$num_shares} purchase value: {$p} current n: {$current_N}<br />";
}
#$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
$my_sql = "insert into {$tranHistory} (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]['purchase_price'] . ", ";
$my_sql .= $risk_dollar . ", ";
$my_sql .= $risk_pct . ", ";
$my_sql .= $breakOutStockArray[$x]['vsSpyRank'] . " )";
array_push($tranHistArray, $my_sql);
if ($showOutput) {
print "{$my_sql} <br />";
}
#try {
# $result = queryMysql($my_sql);
#} catch (Exception $e) {
# echo "query: $my_sql \n";
# echo 'Caught exception: ', $e->getMessage(), "\n";
#}
// update cash position
#$my_sql = "update turtle_portfolio set shares = ".$cash." where symbol = 'CASH' and portfolio_id = ".$portfolioID;
#$result = queryMysql($my_sql);
} else {
#print "trade date: $date ran out of money </ br> \n";
break;
}
$pyramid_mode++;
}
$my_sql = "update {$portfolio_table} set shares = " . $cash . " where symbol = 'CASH' and portfolio_id = " . $portfolioID;
$result = queryMysql($my_sql);
foreach ($buy_array as $buy) {
try {
queryMysql($buy);
} catch (Exception $e) {
echo "Query: {$buy} \n";
echo 'Caught exception: ', $e->getMessage(), "\n";
}
}
populateDailyBuyList($date, $enterCRSI, $enterRange, $portfolioID, $dailyBuyList, $enterLimit);
}
function crsi_buy_and_sell($date, $breakOutSignal, $ADX_filter, $breakOutOrderBy, $portfolioID, $dailyBuyList, $enterCRSI, $exitCRSI, $enterRange, $enterLimit, $tranHistory, $orderBy, $next_date, $skipFactor, $stop_loss_multiplier, $max_risk, $risk_factor)
{
global $max_num_holdings;
global $max_risk;
global $risk_factor;
global $stop_loss_multiplier;
global $showOutput;
global $commission;
global $tranHistArray;
global $connection;
global $portfolio_table;
global $transactionHistory;
if (!$portfolioID) {
$portfolioID = 1;
}
#$previous_trade_date = getPreviousDate($date);
$sell_price = 0;
#populateDailyBuyList ($date, $enterCRSI, $enterRange, $portfolioID, $dailyBuyList, $enterLimit);
#$breakOutStockArray = getBuyList ($date, $enterCRSI, $enterRange, $portfolioID, $dailyBuyList, $enterLimit, $orderBy);
#var_dump ($breakOutStockArray);
#$query = "select 'SELL' as buy_sell, a.symbol, shares, risk, risk_pct, b.ATR, b.crsi, d.open*(d.adj_close/d.close) as adj_open ";
$query = "select 'SELL' as buy_sell, a.symbol, shares, risk, risk_pct, b.ATR, b.crsi ";
#$query .= "from $portfolio_table a, quotes_memory b , quotes_memory d ";
$query .= "from {$portfolio_table} a, quotes_memory b ";
$query .= "where a.symbol = b.symbol ";
$query .= "and a.portfolio_id = " . $portfolioID . " ";
$query .= "and a.symbol != 'CASH' ";
$query .= "and b.crsi > {$exitCRSI} ";
$query .= "and b.trade_date = '" . $date . "' ";
#$query .= "and b.symbol = d.symbol and b.trade_date_id = d.trade_date_id - 1 ";
$query .= " UNION ";
#$query .= "select 'BUY' as buy_sell, a.symbol, 0, 0, 0, a.ATR, a.crsi, d.open*(d.adj_close/d.close) as adj_open ";
$query .= "select 'BUY' as buy_sell, a.symbol, 0, 0, 0, a.ATR, a.crsi ";
#$query .= "from quotes_memory a, $dailyBuyList c , quotes_memory d ";
$query .= "from quotes_memory a, {$dailyBuyList} c ";
$query .= " where a.trade_date = '" . $date . "'";
$query .= " and c.portfolio_id = " . $portfolioID;
$query .= " and a.symbol = c.symbol ";
$query .= " and a.low * (a.adj_close / a.close) < c.buy_price";
$query .= " and a.symbol not in (select symbol from {$portfolio_table} where portfolio_id = " . $portfolioID . ") ";
$query .= " and a.ATR > 0 ";
#$query .= " and a.symbol = d.symbol and a.trade_date_id = d.trade_date_id - 1";
$query .= " order by {$orderBy}";
#echo "$query ", PHP_EOL;
$result = queryMysql($query);
$ph = array();
$buy_list = array();
$sell_list = array();
$buy_count = 0;
$sell_count = 0;
$i = 0;
while ($data = mysql_fetch_row($result)) {
$ph[$i]['buy_sell'] = str_replace("\"", "", $data[0]);
$ph[$i]['symbol'] = str_replace("\"", "", $data[1]);
$ph[$i]['shares'] = str_replace("\"", "", $data[2]);
$ph[$i]['risk'] = str_replace("\"", "", $data[3]);
$ph[$i]['risk_pct'] = str_replace("\"", "", $data[4]);
$ph[$i]['ATR'] = str_replace("\"", "", $data[5]);
$ph[$i]['crsi'] = str_replace("\"", "", $data[6]);
$i++;
if ($data[0] == "SELL") {
$sell_list[$sell_count]['symbol'] = str_replace("\"", "", $data[1]);
$sell_list[$sell_count]['shares'] = str_replace("\"", "", $data[2]);
$sell_list[$sell_count]['risk'] = str_replace("\"", "", $data[3]);
$sell_list[$sell_count]['risk_pct'] = str_replace("\"", "", $data[4]);
$sell_list[$sell_count]['ATR'] = str_replace("\"", "", $data[5]);
$sell_list[$sell_count]['crsi'] = str_replace("\"", "", $data[6]);
$sell_count++;
} else {
$buy_list[$buy_count]['symbol'] = str_replace("\"", "", $data[1]);
$buy_list[$buy_count]['shares'] = str_replace("\"", "", $data[2]);
$buy_list[$buy_count]['risk'] = str_replace("\"", "", $data[3]);
$buy_list[$buy_count]['risk_pct'] = str_replace("\"", "", $data[4]);
$buy_list[$buy_count]['ATR'] = str_replace("\"", "", $data[5]);
$buy_list[$buy_count]['crsi'] = str_replace("\"", "", $data[6]);
$buy_count++;
}
}
$total_sale = 0;
if ($sell_count > 0) {
$delete_query = "delete from {$portfolio_table} where portfolio_id = " . $portfolioID . " and symbol in (NULL ";
for ($x = 0; $x < $sell_count; $x++) {
$sell_price = getStockPrice($next_date, $sell_list[$x]['symbol'], 'open');
$stock_sales = $sell_list[$x]['shares'] * $sell_price - $commission;
$total_sale += $stock_sales;
$delete_query .= ",'" . $sell_list[$x]['symbol'] . "'";
$insert_transaction_history = "insert into {$tranHistory} values (" . $portfolioID . ", '" . $sell_list[$x]['symbol'] . "', 'SELL', '" . $date . "', " . $sell_list[$x]['shares'] . ", " . $sell_price . ", " . $sell_list[$x]['risk'] . ", " . $sell_list[$x]['risk_pct'] . ", null, null, null, 0)";
$tmpTransaction = array();
$tmpTransaction['portfolioID'] = $portfolioID;
$tmpTransaction['symbol'] = $sell_list[$x]['symbol'];
$tmpTransaction['buy_sell'] = "SELL";
$tmpTransaction['trade_date'] = $date;
$tmpTransaction['shares'] = $sell_list[$x]['shares'];
$tmpTransaction['price'] = $sell_price;
$tmpTransaction['risk'] = $sell_list[$x]['risk'];
$tmpTransaction['risk_pct'] = $sell_list[$x]['risk_pct'];
$tmpTransaction['trade_time'] = "null";
$tmpTransaction['gain_loss'] = 0;
$tmpTransaction['holding_period'] = 0;
$tmpTransaction['vsSpyRank'] = 0;
array_push($transactionHistory, $tmpTransaction);
array_push($tranHistArray, $insert_transaction_history);
}
$delete_query .= ")";
$result = queryMysql($delete_query);
$update_portfolio_query = "update {$portfolio_table} set shares = shares + " . $total_sale . " where portfolio_id = " . $portfolioID . " and symbol ='CASH'";
$result = queryMysql($update_portfolio_query);
}
###crsi buy
#$breakOutStockArray = getBuyList ($date, $enterCRSI, $enterRange, $portfolioID, $dailyBuyList, $enterLimit, $orderBy);
$breakOutStockArray = $buy_list;
$sizeBuyList = sizeof($breakOutStockArray);
if (!$skipFactor) {
$skipFactor = 0.05;
}
$len_array = count($breakOutStockArray);
$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);
$portfolio_value = get_historical_turtle_portfolio_value($date, $portfolioID);
$query = "select shares from {$portfolio_table} where symbol = 'CASH' and portfolio_id = " . $portfolioID;
$result = queryMysql($query);
while ($data = mysql_fetch_row($result)) {
$cash = $data[0];
}
$current_risk = get_portfolio_risk($date, $portfolioID);
$buy_array = array();
$skipNum = ceil($skipFactor * $sizeBuyList);
#for ($x=1; $x < $len_array; $x++) {
for ($x = $skipNum; $x < $sizeBuyList; $x++) {
### get portfolio value
#$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_multiplier * $current_N));
}
## set purchase price to next day open price
$breakOutStockArray[$x]['purchase_price'] = getStockPrice($next_date, $breakOutStockArray[$x]['symbol'], 'open');
if (!$breakOutStockArray[$x]['purchase_price']) {
break;
}
$purchase_value = $num_shares * $breakOutStockArray[$x]['purchase_price'] + $commission;
$stop_loss = $breakOutStockArray[$x]['purchase_price'] - $stop_loss_multiplier * $current_N;
$stop_buy = $breakOutStockArray[$x]['purchase_price'] + $current_N;
#echo "symbol: ", $breakOutStockArray[$x]['symbol'], " cash: $cash purchase: $purchase_value current risk: $current_risk max risk: $max_risk ", PHP_EOL;
if ($cash > $purchase_value && $current_risk < $max_risk) {
$cash = $cash - $purchase_value;
$risk_dollar = $num_shares * ($stop_loss_multiplier * $current_N);
$risk_pct = $risk_dollar / $portfolio_value * 100;
// insert into turtle_portfolio
$my_sql = "insert into {$portfolio_table} (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]['purchase_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 .= $risk_pct . " )";
array_push($buy_array, $my_sql);
$current_risk += $risk_pct;
#print "current risk after adding risk dollar: current risk: $current_risk risk pct added: $risk_pct max risk: $max_risk \n";
#$showOutput = true;
if ($showOutput) {
print "num: {$x} sql: {$my_sql} <br />";
$p = $breakOutStockArray[$x]['purchase_price'];
print "cash: {$cash} purchase price: {$purchase_value} num shares: {$num_shares} purchase value: {$p} current n: {$current_N}<br />";
}
// insert into transaction history table
$my_sql = "insert into {$tranHistory} (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]['purchase_price'] . ", ";
$my_sql .= $risk_dollar . ", ";
$my_sql .= $risk_pct . ", ";
$my_sql .= "0 )";
array_push($tranHistArray, $my_sql);
$tmpTransaction = array();
$tmpTransaction['portfolioID'] = $portfolioID;
$tmpTransaction['symbol'] = $breakOutStockArray[$x]['symbol'];
$tmpTransaction['buy_sell'] = "BUY";
$tmpTransaction['trade_date'] = $date;
$tmpTransaction['shares'] = $num_shares;
$tmpTransaction['price'] = $breakOutStockArray[$x]['purchase_price'];
$tmpTransaction['risk'] = $risk_dollar;
$tmpTransaction['risk_pct'] = $risk_pct;
$tmpTransaction['trade_time'] = "null";
$tmpTransaction['gain_loss'] = 0;
$tmpTransaction['holding_period'] = 0;
$tmpTransaction['vsSpyRank'] = 0;
array_push($transactionHistory, $tmpTransaction);
if ($showOutput) {
print "{$my_sql} <br />";
}
#try {
# $result = queryMysql($my_sql);
#} catch (Exception $e) {
# echo "query: $my_sql \n";
# echo 'Caught exception: ', $e->getMessage(), "\n";
#}
// update cash position
#$my_sql = "update turtle_portfolio set shares = ".$cash." where symbol = 'CASH' and portfolio_id = ".$portfolioID;
#$result = queryMysql($my_sql);
} else {
#print "trade date: $date ran out of money </ br> \n";
break;
}
$pyramid_mode++;
}
$my_sql = "update {$portfolio_table} set shares = " . $cash . " where symbol = 'CASH' and portfolio_id = " . $portfolioID;
$result = queryMysql($my_sql);
foreach ($buy_array as $buy) {
try {
queryMysql($buy);
} catch (Exception $e) {
echo "Query: {$buy} \n";
echo 'Caught exception: ', $e->getMessage(), "\n";
}
}
populateDailyBuyList($date, $enterCRSI, $enterRange, $portfolioID, $dailyBuyList, $enterLimit);
}
array_push($retArray, array($newDateStr, $preturn));
*/
$count++;
// }
echo json_encode($retArray);
} else {
if ($_GET['action'] == 'end_of_day_processing') {
global $portfolioID;
$portfolioID = $_GET['portfolio_id'];
$today_date = date("Y-m-d");
$today_date = "2013-02-15";
$breakOutSignal = "55_DAY_HIGH";
$dailyBuyList = "turtle_daily_buy_list_live";
$rankAndWeightArray = "";
populateDailyBuyList($today_date, $breakOutSignal, $rankAndWeightArray, $portfolioID, $dailyBuyList);
live_turtle_portfolio_update_stop_loss($portfolioID);
update_daily_portfolio_performance($portfolioID);
send_end_of_day_email($portfolioID);
} else {
if ($_GET['action'] == 'reset_live_portfolio') {
global $portfolioID;
$portfolioID = $_GET['portfolio_id'];
reset_portfolio($portfolioID);
} elseif ($_GET['action'] == 'testCalculateEndBalance') {
$transactionList = array();
$beginBalance = 1000000;
// get unique symbol from transaction table that has sell
$query = "select symbol, trade_type, trade_date, shares, price from turtle_portfolio_transaction where portfolio_id = 1 order by trade_date asc ";
$result = queryMysql($query);
while ($data = mysql_fetch_row($result)) {
function crsi_buy_and_sell($date, $breakOutSignal, $ADX_filter, $breakOutOrderBy, $portfolioID, $dailyBuyList, $enterCRSI, $exitCRSI, $enterRange, $enterLimit, $tranHistory, $orderBy, $next_date, $skipFactor, $stop_loss_multiplier, $max_risk, $risk_factor, $next_date)
{
global $max_num_holdings;
global $max_risk;
global $risk_factor;
global $stop_loss_multiplier;
global $showOutput;
global $commission;
global $tranHistArray;
global $connection;
global $portfolio_table;
global $transactionHistory;
global $portfolioArray;
global $cash_balance;
if (!$portfolioID) {
$portfolioID = 1;
}
$sell_price = 0;
$current_holding_string = "(";
foreach (array_keys($portfolioArray) as $key) {
$current_holding_string .= "'" . $key . "',";
}
$current_holding_string .= " '' ) ";
/* $query = "select 'SELL' as buy_sell, b.symbol, 0, 0, 0, b.ATR, b.crsi, b.adj_close ";
$query .= "from quotes_memory b ";
$query .= "where b.symbol in ".$current_holding_string;
$query .= "and b.crsi > $exitCRSI ";
$query .= "and b.trade_date = '".$date."' ";
$query .= " UNION ";
$query .= "select 'HOLDING' as buy_sell, d.symbol, 0, 0, 0, d.ATR, d.crsi, d.adj_close ";
$query .= "from quotes_memory d ";
$query .= "where d.symbol in ".$current_holding_string;
$query .= "and d.trade_date = '".$date."' ";
$query .= " UNION ";
$query .= "select 'BUY' as buy_sell, a.symbol, 0, 0, 0, a.ATR, a.crsi, a.adj_close ";
$query .= "from quotes_memory a, $dailyBuyList c ";
$query .= " where a.trade_date = '".$date."'";
$query .= " and c.portfolio_id = ".$portfolioID;
$query .= " and a.symbol = c.symbol ";
$query .= " and a.low * (a.adj_close / a.close) < c.buy_price";
#$query .= " and a.symbol not in (select symbol from $portfolio_table where portfolio_id = ".$portfolioID.") ";
$query .= " and a.symbol not in $current_holding_string ";
$query .= " and a.ATR > 0 ";
$query .= " order by buy_sell, $orderBy";
*/
$query = "select 'SELL' as buy_sell, b.symbol, 0, 0, 0, b.ATR, b.crsi, b.adj_close, round(e.open*(e.adj_close/e.close),2) as next_open ";
$query .= "from quotes_memory b, quotes_memory e ";
$query .= "where b.symbol in " . $current_holding_string;
$query .= "and b.crsi > {$exitCRSI} ";
$query .= "and b.trade_date = '" . $date . "' ";
$query .= "and e.trade_date = '" . $next_date . "' ";
$query .= "and e.symbol = b.symbol ";
$query .= " UNION ";
$query .= "select 'HOLDING' as buy_sell, d.symbol, 0, 0, 0, d.ATR, d.crsi, d.adj_close, 0 ";
$query .= "from quotes_memory d ";
$query .= "where d.symbol in " . $current_holding_string;
$query .= "and d.trade_date = '" . $date . "' ";
$query .= " UNION ";
$query .= "select 'BUY' as buy_sell, a.symbol, 0, 0, 0, a.ATR, a.crsi, a.adj_close, round(e.open*(e.adj_close/e.close),2) as next_open ";
$query .= "from quotes_memory a, {$dailyBuyList} c, quotes_memory e ";
$query .= " where a.trade_date = '" . $date . "'";
$query .= " and c.portfolio_id = " . $portfolioID;
$query .= " and a.symbol = c.symbol ";
$query .= " and a.low * (a.adj_close / a.close) < c.buy_price";
#$query .= " and a.symbol not in (select symbol from $portfolio_table where portfolio_id = ".$portfolioID.") ";
$query .= " and a.symbol not in {$current_holding_string} ";
$query .= " and e.trade_date = '" . $next_date . "' ";
$query .= " and e.symbol = a.symbol ";
$query .= " and a.ATR > 0 ";
$query .= " order by buy_sell, {$orderBy}";
#echo "query : $query ", PHP_EOL;
$result = queryMysql($query);
$ph = array();
$buy_list = array();
$sell_list = array();
$buy_count = 0;
$sell_count = 0;
$i = 0;
while ($data = mysql_fetch_row($result)) {
$ph[$i]['buy_sell'] = str_replace("\"", "", $data[0]);
$ph[$i]['symbol'] = str_replace("\"", "", $data[1]);
$ph[$i]['shares'] = str_replace("\"", "", $data[2]);
$ph[$i]['risk'] = str_replace("\"", "", $data[3]);
$ph[$i]['risk_pct'] = str_replace("\"", "", $data[4]);
$ph[$i]['ATR'] = str_replace("\"", "", $data[5]);
$ph[$i]['crsi'] = str_replace("\"", "", $data[6]);
$ph[$i]['adj_close'] = str_replace("\"", "", $data[7]);
$ph[$i]['next_open'] = str_replace("\"", "", $data[8]);
$i++;
#secho "data 0: ", $data[0], PHP_EOL;
if ($data[0] == "SELL") {
$sell_list[$sell_count]['symbol'] = str_replace("\"", "", $data[1]);
$sell_list[$sell_count]['shares'] = $portfolioArray[$data[1]]['shares'];
$sell_list[$sell_count]['risk'] = $portfolioArray[$data[1]]['risk'];
$sell_list[$sell_count]['risk_pct'] = $portfolioArray[$data[1]]['risk_pct'];
$sell_list[$sell_count]['ATR'] = str_replace("\"", "", $data[5]);
$sell_list[$sell_count]['crsi'] = str_replace("\"", "", $data[6]);
$sell_list[$sell_count]['adj_close'] = str_replace("\"", "", $data[7]);
$sell_list[$sell_count]['next_open'] = str_replace("\"", "", $data[8]);
#echo "SELL: ", $sell_list[$sell_count]['symbol'], " Shares: ", $sell_list[$sell_count]['shares'] , " next open: ", $sell_list[$sell_count]['next_open'], PHP_EOL;
#echo "SELL: symbol: ", $data[1], " shares: ", $portfolioArray[$data[1]]['shares'], " next open: ", $portfolioArray[$data[1]]['next_open'], PHP_EOL;
$sell_count++;
} elseif ($data[0] == "BUY") {
$buy_list[$buy_count]['symbol'] = str_replace("\"", "", $data[1]);
$buy_list[$buy_count]['shares'] = str_replace("\"", "", $data[2]);
$buy_list[$buy_count]['risk'] = str_replace("\"", "", $data[3]);
$buy_list[$buy_count]['risk_pct'] = str_replace("\"", "", $data[4]);
$buy_list[$buy_count]['ATR'] = str_replace("\"", "", $data[5]);
$buy_list[$buy_count]['crsi'] = str_replace("\"", "", $data[6]);
$buy_list[$buy_count]['adj_close'] = str_replace("\"", "", $data[7]);
$buy_list[$buy_count]['next_open'] = str_replace("\"", "", $data[8]);
#echo "BUY: ", $buy_list[$buy_count]['symbol'], " next open: ", $buy_list[$buy_count]['next_open'], PHP_EOL;
$buy_count++;
} elseif ($data[0] == "HOLDING") {
$portfolioArray[$data[1]]['adj_close'] = $data[7];
#echo "HOLDING: ", $data[1], ' adj close: ', $portfolioArray[$data[1]]['adj_close'], PHP_EOL;
$buy_count++;
}
}
$total_sale = 0;
if ($sell_count > 0) {
//$delete_query = "delete from $portfolio_table where portfolio_id = ".$portfolioID." and symbol in (NULL ";
for ($x = 0; $x < $sell_count; $x++) {
#$sell_price = getStockPrice($next_date, $sell_list[$x]['symbol'], 'open');
#echo "sell price from sql : $sell_price ", PHP_EOL;
$sell_price = $sell_list[$x]['next_open'];
#echo "sell price from array: $sell_price ", PHP_EOL;
$stock_sales = $sell_list[$x]['shares'] * $sell_price - $commission;
$total_sale += $stock_sales;
$delete_query .= ",'" . $sell_list[$x]['symbol'] . "'";
$insert_transaction_history = "insert into {$tranHistory} values (" . $portfolioID . ", '" . $sell_list[$x]['symbol'] . "', 'SELL', '" . $date . "', " . $sell_list[$x]['shares'] . ", " . $sell_price . ", " . $sell_list[$x]['risk'] . ", " . $sell_list[$x]['risk_pct'] . ", null, null, null, 0)";
$tmpTransaction = array();
$tmpTransaction['portfolioID'] = $portfolioID;
$tmpTransaction['symbol'] = $sell_list[$x]['symbol'];
$tmpTransaction['buy_sell'] = "SELL";
$tmpTransaction['trade_date'] = $date;
$tmpTransaction['shares'] = $sell_list[$x]['shares'];
$tmpTransaction['price'] = $sell_price;
$tmpTransaction['risk'] = $sell_list[$x]['risk'];
$tmpTransaction['risk_pct'] = $sell_list[$x]['risk_pct'];
$tmpTransaction['trade_time'] = "null";
$tmpTransaction['gain_loss'] = 0;
$tmpTransaction['holding_period'] = 0;
$tmpTransaction['vsSpyRank'] = 0;
#array_push($transactionHistory, $tmpTransaction);
array_push($tranHistArray, $insert_transaction_history);
unset($portfolioArray[$sell_list[$x]['symbol']]);
}
$cash_balance = $cash_balance + $total_sale;
}
###crsi buy
#$breakOutStockArray = getBuyList ($date, $enterCRSI, $enterRange, $portfolioID, $dailyBuyList, $enterLimit, $orderBy);
$breakOutStockArray = $buy_list;
$sizeBuyList = sizeof($breakOutStockArray);
if (!$skipFactor) {
$skipFactor = 0.05;
}
$len_array = count($breakOutStockArray);
$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);
$portfolio_value = 0;
#calculate portfolio value
foreach (array_keys($portfolioArray) as $key) {
$portfolio_value += $portfolioArray[$key]['shares'] * $portfolioArray[$key]['adj_close'];
}
$portfolio_value += $cash_balance;
#echo "date: $date portfolio value: $portfolio_value cash balance: $cash_balance ", PHP_EOL;
$crisk = 0;
#calculate portfolio value
foreach (array_keys($portfolioArray) as $key) {
$crisk += $portfolioArray[$key]['risk_pct'];
}
$current_risk = $crisk;
$buy_array = array();
$skipNum = ceil($skipFactor * $sizeBuyList);
#for ($x=1; $x < $len_array; $x++) {
for ($x = $skipNum; $x < $sizeBuyList; $x++) {
$risk_value = $portfolio_value * $risk_factor / 100;
$current_N = $breakOutStockArray[$x]['ATR'];
if ($current_N > 0) {
$num_shares = floor($risk_value / ($stop_loss_multiplier * $current_N));
}
## set purchase price to next day open price
#$breakOutStockArray[$x]['purchase_price'] = getStockPrice($next_date, $breakOutStockArray[$x]['symbol'], 'open');
$breakOutStockArray[$x]['purchase_price'] = $breakOutStockArray[$x]['next_open'];
if (!$breakOutStockArray[$x]['purchase_price']) {
break;
}
$purchase_value = $num_shares * $breakOutStockArray[$x]['purchase_price'] + $commission;
$stop_loss = $breakOutStockArray[$x]['purchase_price'] - $stop_loss_multiplier * $current_N;
$stop_buy = $breakOutStockArray[$x]['purchase_price'] + $current_N;
#echo "cash balance: ", $cash_balance, PHP_EOL;
#echo "symbol: ", $breakOutStockArray[$x]['symbol'], " cash : $cash cash balance: $cash_balance current risk: $current_risk max risk: $max_risk ", PHP_EOL;
if ($cash_balance > $purchase_value && $current_risk < $max_risk) {
$risk_dollar = $num_shares * ($stop_loss_multiplier * $current_N);
$risk_pct = $risk_dollar / $portfolio_value * 100;
$current_risk += $risk_pct;
$cash_balance = $cash_balance - $purchase_value;
$tmpBuy = array();
$tmpBuy['shares'] = $num_shares;
$tmpBuy['risk'] = $risk_dollar;
$tmpBuy['risk_pct'] = $risk_pct;
$tmpBuy['adj_close'] = $breakOutStockArray[$x]['adj_close'];
$tmpBuy['cost_basis'] = $breakOutStockArray[$x]['purchase_price'];
$portfolioArray[$breakOutStockArray[$x]['symbol']] = $tmpBuy;
// insert into transaction history table
$my_sql = "insert into {$tranHistory} (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]['purchase_price'] . ", ";
$my_sql .= $risk_dollar . ", ";
$my_sql .= $risk_pct . ", ";
$my_sql .= "0 )";
array_push($tranHistArray, $my_sql);
$tmpTransaction = array();
$tmpTransaction['portfolioID'] = $portfolioID;
$tmpTransaction['symbol'] = $breakOutStockArray[$x]['symbol'];
$tmpTransaction['buy_sell'] = "BUY";
$tmpTransaction['trade_date'] = $date;
$tmpTransaction['shares'] = $num_shares;
$tmpTransaction['price'] = $breakOutStockArray[$x]['purchase_price'];
$tmpTransaction['risk'] = $risk_dollar;
$tmpTransaction['risk_pct'] = $risk_pct;
$tmpTransaction['trade_time'] = "null";
$tmpTransaction['gain_loss'] = 0;
$tmpTransaction['holding_period'] = 0;
$tmpTransaction['vsSpyRank'] = 0;
#array_push($transactionHistory, $tmpTransaction);
} else {
break;
}
$pyramid_mode++;
}
populateDailyBuyList($date, $enterCRSI, $enterRange, $portfolioID, $dailyBuyList, $enterLimit);
}
