codesword_sma.php

<?php 
	// Real - data of which structure is [timestamp,close price]
	// Simple Moving Average
	function codesword_sma($real, $period=12) {
		$sma = [];
		$k = 2 / ($period + 1);
		$ctr = 0;

		for ($i=$period-1; $i < count($real); $i++) {
			//Reset sma to zero 
			$sum = 0;
			for ($j=0; $j < $period ; $j++) { 
				$temp = $i - $j;
				$sum += $real[$temp][1];
			}

			$sum = $sum / $period;

			//timestamp value
			$sma[$ctr][0] = $real[$i][0];
			//sma value
			$sma[$ctr][1] = $sum;
			$ctr++;
		}

		return $sma;
	}

	// this function compares the closing price/current price against the SMA
	// Real - data of which structure is [timestamp,high,low,close]
	// Output - [timestamp, true/false]
	//		True -> if Close/Current is higher than SMA
	//		False -> if Close/Current is lower
	function codesword_isHigherThanSMA($real, $period=20) {
		$sma = [];
		$isHigher = [];
		$k = 2 / ($period + 1);
		$ctr = 0;

		//Compute the Simple Moving Average
		for ($i=$period-1; $i < count($real); $i++) {
			//Reset sma to zero 
			$sum = 0;
			for ($j=0; $j < $period ; $j++) { 
				$temp = $i - $j;
				$sum += $real[$temp][3];
			}

			$sum = $sum / $period;

			//timestamp value
			$sma[$ctr][0] = $real[$i][0];
			//sma value
			$sma[$ctr][1] = $sum;
			$ctr++;
		}

		//Compare the close price vs sma
		$diff = $period - 1;
		for ($j=0; $j < count($sma); $j++) { 
			//timestamp value
			$isHigher[$j][0] = $sma[$j][0];

			//is close/current higher than sma?
			if ($real[$j + $diff][3] > $sma[$j][1]) {
				$isHigher[$j][1] = true;
			}
			else {
				$isHigher[$j][1] = false;	
			}
		}

		return $isHigher;
	}

	// Buy/Sell signals from Based from Price and SMA
	// real - [timestamp, close price]
	// sma - [timestamp, sma]
	// Returns - [timestamp, signal]
	function codesword_smaBuySellSignal($real, $sma, $isBuyOnly = false) {
		$diff = 0;
		$ctr = 0;

		$prevPrice = 0;
		$prevSma = 0;
		$signals = [];

		//Use for instead of while(1) for safety as the
		//while(1) might cause a crash or memory leak
		for ($i=0; $i < count($sma); $i++) {
			$smaTS = $sma[0][0];
			$realTS = $real[$diff][0];

			if ($smaTS == $realTS) {
				//echo "diff: $diff";
				break;
			}

			$diff++;
		}

		for ($i=0; $i < count($sma); $i++) { 
			if ($i == 0) {
				$prevPrice = $real[$i + $diff][1];
				$prevSma = $sma[$i][1];
				continue;
			}

			$curPrice = $real[$i + $diff][1];
			$curSma = $sma[$i][1];

			//Split the comparison by trend
			//Uptrend 
			if ($curPrice > $curSma) {
				//there is a possible buy signal if there was a cross over of values
				if ($prevPrice <= $prevSma) {
					//generate buy signal only if the slope of the SMA is positive
					$slopeSma = ($curSma - $prevSma) / (2 * $curSma);

					//slope must be greater than 0.1% of the current SMA value
					//0.1% is just a rule of thumb and can still be subject to change
					if ($slopeSma > 0) {
						if ( ($ctr > 0) && ($signals[$ctr-1][1] == "sell") ) {
							$signals[$ctr][0] = $sma[$i][0];
							$signals[$ctr][1] = "buy";
							$ctr++;
						}
						elseif ($ctr == 0) {
							$signals[$ctr][0] = $sma[$i][0];
							$signals[$ctr][1] = "buy";
							$ctr++;
						}
					}
				}

				//Do this step only if there are at least 3 sma values to compare
				if ($i > 2) {
					//check if slope of sma for the past 3 days is progressively positive
					if ( ($curSma > $prevSma) && ($prevSma > $sma[$i-2][1]) ) {
						//create a buy signal only if the last signal is "sell"
						if ($ctr > 0) {
							if ($signals[$ctr-1][1] == "sell") {
								$signals[$ctr][0] = $sma[$i][0];
								$signals[$ctr][1] = "buy";
								$ctr++;
							}
						}
					}
				}
			}
			//Downtrend
			elseif ($curPrice < $curSma) {
				//there is a sell signal if there was a cross over of values
				if ($prevPrice >= $prevSma) {
					//only applicable to entries greater than the first entry
					if ($ctr > 0) {
						//generate a sell signal only if last one was a buy signal
						if ($signals[$ctr-1][1] == "buy") {
							//different thresholds depending on current price
							if ($curPrice <= 35) {
								//check if |curPrice/prevPrice - 1| > 2.5%
								if ( (($prevPrice/$curPrice) - 1) > 0.025 ) {
									$signals[$ctr][0] = $sma[$i][0];
									$signals[$ctr][1] = "sell";
									$ctr++;
								}
							}
							else {
								//check if |curPrice/prevPrice - 1| > 1%
								if ( (($prevPrice/$curPrice) - 1) > 0.01 ) {
									$signals[$ctr][0] = $sma[$i][0];
									$signals[$ctr][1] = "sell";
									$ctr++;
								}
							}
						}
					}
					else {
						$signals[$ctr][0] = $sma[$i][0];
						$signals[$ctr][1] = "sell";
						$ctr++;
					}
				}
				//Do this step only if there are at least 2 sma values to compare
				if ($i > 1) {
					//check if slope of sma for the past 3 days is progressively positive
					if ($prevPrice < $prevSma) {
						//create a buy signal only if the last signal is "sell"
						if ($ctr > 0) {
							if ($signals[$ctr-1][1] == "buy") {
								//different thresholds depending on current price
								if ($curPrice <= 35) {
									//check if |curPrice/prevPrice - 1| > 2.5%
									if ( (($prevPrice/$curPrice) - 1) > 0.025 ) {
										$signals[$ctr][0] = $sma[$i][0];
										$signals[$ctr][1] = "sell";
										$ctr++;
									}
								}
								else {
									//check if |curPrice/prevPrice - 1| > 1%
									if ( (($prevPrice/$curPrice) - 1) > 0.01 ) {
										$signals[$ctr][0] = $sma[$i][0];
										$signals[$ctr][1] = "sell";
										$ctr++;
									}
								}
							}
						}
					}
				}
				//Do this step only if there are at least 3 sma values to compare
				if ($i > 2) {
					$prev2daysPrice = $real[$i + $diff - 2][1];
					$prev2daysSma = $sma[$i - 2][1];

					//check if slope of sma for the past 3 days is progressively negative
					if ( ($prevPrice < $prevSma) && ($prev2daysPrice < $prev2daysSma) ) {
						//create a buy signal only if the last signal is "sell"
						if ($ctr > 0) {
							//check if (curSma / curPrice) - 1 > 2%
							if ( (($curSma/$curPrice) - 1) > 0.02 ) {
								if ($signals[$ctr-1][1] == "buy") {
									$signals[$ctr][0] = $sma[$i][0];
									$signals[$ctr][1] = "sell";
									$ctr++;
								}
							}
						}
					}
				}
			}
			//Sideways
			else {

			}

			$prevPrice = $real[$i + $diff][1];
			$prevSma = $sma[$i][1];
		}

		return $signals;
	}

	// real - [timestamp, close price]
	// smaShort, smaMedium, smaLong - [timestamp, sma]
	// Returns - [timestamp, close, short, medium, long]
	function codesword_smaConsolidate($real, $smaShort, $smaMedium, $smaLong) {
		$smaConsolidated = [];
		
		for ($i=0; $i < count($real); $i++) { 
			// get timestamp
			$smaConsolidated[$i][0] = $real[$i][0];
			$smaConsolidated[$i][1] = $real[$i][1];
		}

		// get timestamp difference of Real vs SMA Short
		$diffShort = 0;
		for ($i=0; $i < count($smaShort); $i++) {
			$smaTS = $smaShort[0][0];
			$realTS = $real[$diffShort][0];

			if ($smaTS == $realTS) {
				//echo "diffShort: $diffShort <Br>";
				break;
			}

			$diffShort++;
		}

		// get timestamp difference of Real vs SMA Medium
		$diffMedium = 0;
		for ($i=0; $i < count($smaMedium); $i++) {
			$smaTS = $smaMedium[0][0];
			$realTS = $real[$diffMedium][0];

			if ($smaTS == $realTS) {
				//echo "diffMedium: $diffMedium <Br>";
				break;
			}

			$diffMedium++;
		}

		// get timestamp difference of Real vs SMA Long
		$diffLong = 0;
		for ($i=0; $i < count($smaLong); $i++) {
			$smaTS = $smaLong[0][0];
			$realTS = $real[$diffLong][0];

			if ($smaTS == $realTS) {
				//echo "diffLong: $diffLong <Br>";
				break;
			}

			$diffLong++;
		}

		// Fill the consolidated data
		for ($i=0; $i < count($real); $i++) { 
			//pad the smaShort with -1 for the null values
			if ($i < $diffShort) {
				//negative value so that its easy to filter on the JS side
				$smaConsolidated[$i][2] = -1;
			}
			elseif ($i > $diffShort) {
				if (!isset($smaShort[$i - $diffShort][1])) {
				   $smaConsolidated[$i][2] =  null;

				   //this stock has low volatility and therefore not desirable for trading
				   //echo "stock has low volatility<Br>";
				   return 0;
				}

				$smaConsolidated[$i][2] = $smaShort[$i - $diffShort][1];
			}

			//pad the smaShort with -1 for the null values
			if ($i < $diffMedium) {
				//negative value so that its easy to filter on the JS side
				$smaConsolidated[$i][3] = -1;
			}
			elseif ($i > $diffMedium) {
			 	if (!isset($smaMedium[$i - $diffMedium][1])) {
				   $smaConsolidated[$i][3] =  null;

				   //this stock has low volatility and therefore not desirable for trading
				   //echo "stock has low volatility<Br>";
				   return 0;
				}

				$smaConsolidated[$i][3] = $smaMedium[$i - $diffMedium][1];
			}

			//pad the smaShort with -1 for the null values
			if ($i < $diffMedium) {
				//negative value so that its easy to filter on the JS side
				$smaConsolidated[$i][4] = -1;
			}
			elseif ($i > $diffLong) {
			 	if (!isset($smaLong[$i - $diffLong][1])) {
				   $smaConsolidated[$i][4] =  null;

				   //this stock has low volatility and therefore not desirable for trading
				   //echo "stock has low volatility<Br>";
				   return 0;
				}

				$smaConsolidated[$i][4] = $smaLong[$i - $diffLong][1];
			}
		}

		return $smaConsolidated;
	}

	// Returns the difference in days between dates
	function codesword_dateDiff($datePrev, $dateCur, $dataorg="json") {
		$dateDiff = 0;
		if ($dataorg == "json") {
			//temporary
			$dateDiff = 0;
		}
		elseif ($dataorg == "highchart") {
			$oneDay = 86400000;
			$dateDiff = ($dateCur - $datePrev) / $oneDay;
			//echo "date diff: $dateDiff<Br>";
		}
		else {
			echo "<Br>dataorg is $dataorg<Br>";
		}

		return $dateDiff;
	}


	// real - [timestamp, close price]
	// smaShort, smaMedium, smaLong - [timestamp, sma]
	// Returns - [timestamp, close, short, medium, long]
	function codesword_smaBuySellSignalCombined($real, $smaShort, $smaMedium, $smaLong, $dataorg="json") {
		$smaConsolidated = codesword_smaConsolidate($real, $smaShort, $smaMedium, $smaLong);
		$tradeSignals = [];

		if ($smaConsolidated == 0) {
			//echo "codesword_smaBuySellSignalCombined: stock has low chance of being traded<Br>";
			return 0;
		}

		$ctr = 0;

		for ($i=0; $i < count($smaConsolidated); $i++) { 
			$curDate = $smaConsolidated[$i][0];
			$curPrice = isset($smaConsolidated[$i][1]) ? $smaConsolidated[$i][1] : -1;
			$curSmaShort = isset($smaConsolidated[$i][2]) ? $smaConsolidated[$i][2] : -1;
			$curSmaMedium = isset($smaConsolidated[$i][3]) ? $smaConsolidated[$i][3] : -1;
			$curSmaLong = isset($smaConsolidated[$i][4]) ? $smaConsolidated[$i][4] : -1;

			if ($i == 0) {
				$prevPrice = $smaConsolidated[$i][1];
				$prevSmaShort = $smaConsolidated[$i][2];
				continue;
			}

			//Only make decisions for cases where all SMAs have values
			if (($curSmaShort > 0) &&
				($curSmaMedium > 0) &&
				($curSmaLong > 0)) {

				//Segregate into uptrend, downtrend and sideways

				//Uptrend
				// SMA short > SMA medium > SMA long
				if (($curSmaShort >= $curSmaMedium) &&
					($curSmaMedium >= $curSmaLong) ) {
					//RoT #1: Buy. Price > s20 > s50 > s120
					if (($curPrice > $curSmaShort) &&
						($curPrice > $curSmaMedium) &&
						($curPrice > $curSmaLong)) {

						$prevPrevPrice = isset($smaConsolidated[$i-2][1]) ? $smaConsolidated[$i-2][1] : 100000;

						if (($curPrice > $prevPrice) && 
							($curPrice > $prevPrevPrice)) {
							//Buy only if price increase wrt to the sma short is 5% higher
							if ( (($curPrice / $curSmaShort) - 1) > 0.05 ) {
								if ($ctr > 0) {
									//to filter out redundant buy signals
									if ($tradeSignals[$ctr-1][1] == "sell") {
										$tradeSignals[$ctr][0] = $smaConsolidated[$i][0];
										$tradeSignals[$ctr][1] = "buy";
										$tradeSignals[$ctr][2] = codesword_dateDiff($tradeSignals[$ctr-1][0], 
																					$tradeSignals[$ctr][0], 
																					$dataorg);
										$ctr++;
									}
								}
								else {
									$tradeSignals[$ctr][0] = $smaConsolidated[$i][0];
									$tradeSignals[$ctr][1] = "buy";
									$tradeSignals[$ctr][2] = 0;
									$ctr++;
								}
							}

/*							if ($ctr > 0) {
								//to filter out redundant buy signals
								if ($tradeSignals[$ctr-1][1] == "sell") {
									$tradeSignals[$ctr][0] = $smaConsolidated[$i][0];
									$tradeSignals[$ctr][1] = "buy";
									$tradeSignals[$ctr][2] = codesword_dateDiff($tradeSignals[$ctr-1][0], 
																				$tradeSignals[$ctr][0], 
																				$dataorg);
									$ctr++;
								}
							}
							else {
								$tradeSignals[$ctr][0] = $smaConsolidated[$i][0];
								$tradeSignals[$ctr][1] = "buy";
								$tradeSignals[$ctr][2] = 0;
								$ctr++;
							}*/

						}
					}

					//RoT #2.2: Sell. Price < s20 (if Uptrending)
					if ($curPrice < $curSmaShort) {
						if ($ctr > 0) {
							//generate a sell signal only if last one was a buy signal
							if ($tradeSignals[$ctr-1][1] == "buy") {
								//different thresholds depending on current price
								if ($curPrice <= 35) {
									//check if |curPrice/prevPrice - 1| > 2.5%
									if ( (($prevPrice/$curPrice) - 1) > 0.025 ) {
										//sell if s20/curPrice - 1 > 0.025
										if ( (($curSmaShort/$curPrice) - 1) > 0.025 ) {
											$tradeSignals[$ctr][0] = $smaConsolidated[$i][0];
											$tradeSignals[$ctr][1] = "sell";
											$tradeSignals[$ctr][2] = codesword_dateDiff($tradeSignals[$ctr-1][0], 
																				$tradeSignals[$ctr][0], 
																				$dataorg);
											$ctr++;
										}
									}
									//sell if s20/curPrice - 1 > 0.03
									elseif ( (($curSmaShort/$curPrice) - 1) > 0.03 ) {
										$tradeSignals[$ctr][0] = $smaConsolidated[$i][0];
										$tradeSignals[$ctr][1] = "sell";
										$tradeSignals[$ctr][2] = codesword_dateDiff($tradeSignals[$ctr-1][0], 
																			$tradeSignals[$ctr][0], 
																			$dataorg);
										$ctr++;
									}
								}
								else {
									//check if |curPrice/prevPrice - 1| > 1%
									if ( (($prevPrice/$curPrice) - 1) > 0.01 ) {
										$tradeSignals[$ctr][0] = $smaConsolidated[$i][0];
										$tradeSignals[$ctr][1] = "sell";
										$tradeSignals[$ctr][2] = codesword_dateDiff($tradeSignals[$ctr-1][0], 
																			$tradeSignals[$ctr][0], 
																			$dataorg);
										$ctr++;
									}
									//TODO: if s20/curPrice - 1 > [arbitrary number for bigger prices]
								}
							}
						}
						else {
							$tradeSignals[$ctr][0] = $smaConsolidated[$i][0];
							$tradeSignals[$ctr][1] = "sell";
							$tradeSignals[$ctr][2] = 0;
							$ctr++;
						}
					}
				}

				//Downtrend
				//Mostly about generating trade signals from possible reversals
				//sma long > sma short and sma long > sma medium
				elseif (($curSmaShort <= $curSmaLong) &&
					($curSmaMedium <= $curSmaLong) ) {

					//new RoT (unlabeled)
					//you need at least 5 samples to make this conclusion
					//price is greater than sma short and sma medium
					//and the difference between sma short and sma medium is
					//getting smaller
					if ($i >= 4) {
						$curTempSma = 0;
						if ($curSmaShort >= $curSmaMedium) {
							$curTempSma = $curSmaShort;
						} else {
							$curTempSma = $curSmaMedium;
						}
						
						//Price should at least be 5% greater than both SMAs
						if (($curPrice > $curSmaShort) &&
							($curPrice > $curSmaMedium) &&
							(($curPrice/$curTempSma) - 1 > 0.05) ) {
							$divergencePoints = 0;
							$prevDiff = 100;

							//check the differences of sma short and sma medium
							// to see if its getting smaller
							for ($k=4; $k >= 0; $k--) { 
								$tempSmaShort = isset($smaConsolidated[$i-$k][2]) ? $smaConsolidated[$i-$k][2] : -1;
								$tempSmaMedium = isset($smaConsolidated[$i-$k][3]) ? $smaConsolidated[$i-$k][3] : -1;
								$tempDiff = abs($tempSmaShort - $tempSmaMedium);

								if ($tempDiff <= $prevDiff) {
									$divergencePoints++;
								}
								
								$prevDiff = $tempDiff;
							}

							if ($divergencePoints >= 3) {
								if ($ctr > 0) {
									//to filter out redundant buy signals
									if ($tradeSignals[$ctr-1][1] == "sell") {
										$tradeSignals[$ctr][0] = $smaConsolidated[$i][0];
										$tradeSignals[$ctr][1] = "buy";
										$tradeSignals[$ctr][2] = codesword_dateDiff($tradeSignals[$ctr-1][0], 
																					$tradeSignals[$ctr][0], 
																					$dataorg);
										$ctr++;
									}
								}
								else {
									$tradeSignals[$ctr][0] = $smaConsolidated[$i][0];
									$tradeSignals[$ctr][1] = "buy";
									$tradeSignals[$ctr][2] = 0;
									$ctr++;
								}
							}
						}
					}
				}

				//Sideways Movement
				else {

				}

				//RoT #2.1: Sell automatically when Price < sma medium
				if ($curPrice < $curSmaMedium) {
					if ($ctr > 0) {
						//generate a sell signal only if last one was a buy signal
						if ($tradeSignals[$ctr-1][1] == "buy") {
							//different thresholds depending on current price
							if ($curPrice <= 35) {
								//check if |curSmaMedium/prevPrice - 1| > 2.5%
								if ( (($curSmaMedium/$curPrice) - 1) > 0.025 ) {
									$tradeSignals[$ctr][0] = $smaConsolidated[$i][0];
									$tradeSignals[$ctr][1] = "sell";
									$tradeSignals[$ctr][2] = codesword_dateDiff($tradeSignals[$ctr-1][0], 
																		$tradeSignals[$ctr][0], 
																		$dataorg);
									$ctr++;
								}
							}
							else {
								//check if |curSmaMedium/prevPrice - 1| > 1.3%
								if ( (($curSmaMedium/$curPrice) - 1) > 0.013 ) {
									$tradeSignals[$ctr][0] = $smaConsolidated[$i][0];
									$tradeSignals[$ctr][1] = "sell";
									$tradeSignals[$ctr][2] = codesword_dateDiff($tradeSignals[$ctr-1][0], 
																		$tradeSignals[$ctr][0], 
																		$dataorg);
									$ctr++;
								}
							}
						}
					}
					else {
						$tradeSignals[$ctr][0] = $smaConsolidated[$i][0];
						$tradeSignals[$ctr][1] = "sell";
						$tradeSignals[$ctr][2] = 0;
						$ctr++;
					}
				}
			}

			//fix for "undefined offset" notice
			$prevPrice = isset($smaConsolidated[$i][1]) ? $smaConsolidated[$i][1] : -1;
			$prevSmaShort = isset($smaConsolidated[$i][2]) ? $smaConsolidated[$i][2] : -1;
		}

		$allData = [];
		$allData[0] = $smaConsolidated;
		$allData[1] = $tradeSignals;

		return $allData;
	}

	// Returns the latest trade signal
	// Returns - [timestamp, close, short, comment]
	function codesword_smaBuySellSignalCombinedLatests($real, $smaShort, $smaMedium, $smaLong, $dataorg="json") {
		$smac = codesword_smaBuySellSignalCombined($real, $smaShort, $smaMedium, $smaLong, $dataorg);
		$signals = $smac[1];

		return $signals[count($signals) - 1];

		// return $smac[1];
	}
?>