def exitLongSignal(self, longPos, extPriceBarDS, extPriceDS):
upper, middle, lower = indicator.BBANDS(extPriceDS,
count=100,
timeperiod=self.bBandsPeriod,
matype=MA_Type.SMA,
nbdevup=self.numStdDev,
nbdevdn=self.numStdDev)
longExitFilter_1 = cross.cross_above(extPriceDS, middle) > 0
longExitFilter_2 = longPos.exitActive()
return longExitFilter_1 and not longExitFilter_2
def exitShortSignal(self, shortPos, extPriceBarDS, extPriceDS):
upper, middle, lower = indicator.BBANDS(extPriceDS,
count=100,
timeperiod=self.bBandsPeriod,
matype=MA_Type.SMA,
nbdevup=self.numStdDev,
nbdevdn=self.numStdDev)
shortExitFilter_1 = cross.cross_below(extPriceDS, middle) > 0
shortExitFilter_2 = shortPos.exitActive()
return shortExitFilter_1 and not shortExitFilter_2
def testBBANDS(self):
barDs = self.__loadBarDS()
# EMA
self.assertTrue(
compare(
indicator.BBANDS(barDs.getCloseDataSeries(), 252, 20, 2.0, 2.0,
talib.MA_Type.EMA)[0][19 + 13], 93.674))
self.assertTrue(
compare(
indicator.BBANDS(barDs.getCloseDataSeries(), 252, 20, 2.0, 2.0,
talib.MA_Type.EMA)[1][19 + 13], 87.679))
self.assertTrue(
compare(
indicator.BBANDS(barDs.getCloseDataSeries(), 252, 20, 2.0, 2.0,
talib.MA_Type.EMA)[2][19 + 13], 81.685))
# SMA
self.assertTrue(
compare(
indicator.BBANDS(barDs.getCloseDataSeries(), 252, 20, 2.0, 2.0,
talib.MA_Type.SMA)[0][19], 98.0734))
self.assertTrue(
compare(
indicator.BBANDS(barDs.getCloseDataSeries(), 252, 20, 2.0, 2.0,
talib.MA_Type.SMA)[1][19], 92.8910))
self.assertTrue(
compare(
indicator.BBANDS(barDs.getCloseDataSeries(), 252, 20, 2.0, 2.0,
talib.MA_Type.SMA)[2][19], 87.7086))
def enterLongSignal(self, extPriceBarDS, extPriceDS):
upper, middle, lower = indicator.BBANDS(extPriceDS,
count=100,
timeperiod=self.bBandsPeriod,
matype=MA_Type.SMA,
nbdevup=self.numStdDev,
nbdevdn=self.numStdDev)
fastk, fastd = indicator.STOCHF(extPriceBarDS,
count=100,
fastk_period=self.soPeriod,
fastd_period=self.soDPeriod,
fastd_matype=MA_Type.SMA)
rsi = indicator.RSI(extPriceDS, count=100, timeperiod=self.rsiPeriod)
longEntryFilter_1 = rsi[-1] <= self.overSoldThreshold
longEntryFilter_2 = fastd[-1] <= self.overSoldThreshold
longEntryFilter_3 = cross.cross_below(extPriceDS, lower) > 0
return longEntryFilter_1 and longEntryFilter_2 and longEntryFilter_3