def testMACD(self):
barDs = self.__loadBarDS()
self.assertTrue(
compare(
indicator.MACD(barDs.getCloseDataSeries(), 252, 12, 26,
9)[0][33], -1.9738))
self.assertTrue(
compare(
indicator.MACD(barDs.getCloseDataSeries(), 252, 12, 26,
9)[1][33], -2.7071))
self.assertTrue(
compare(
indicator.MACD(barDs.getCloseDataSeries(), 252, 12, 26,
9)[2][33], (-1.9738) - (-2.7071)))
self.assertTrue(
compare(
indicator.MACD(barDs.getCloseDataSeries(), 252, 26, 12,
9)[0][33], -1.9738))
self.assertTrue(
compare(
indicator.MACD(barDs.getCloseDataSeries(), 252, 26, 12,
9)[1][33], -2.7071))
self.assertTrue(
compare(
indicator.MACD(barDs.getCloseDataSeries(), 252, 26, 12,
9)[2][33], (-1.9738) - (-2.7071)))
def testMACD(self):
barDs = self.__loadBarDS()
self.assertAmountsAreEqual(indicator.MACD(barDs.getCloseDataSeries(), 252, 12, 26, 9)[0][33], -1.9738)
self.assertAmountsAreEqual(indicator.MACD(barDs.getCloseDataSeries(), 252, 12, 26, 9)[1][33], -2.7071)
self.assertAmountsAreEqual(
indicator.MACD(barDs.getCloseDataSeries(), 252, 12, 26, 9)[2][33],
(-1.9738)-(-2.7071)
)
self.assertAmountsAreEqual(indicator.MACD(barDs.getCloseDataSeries(), 252, 26, 12, 9)[0][33], -1.9738)
self.assertAmountsAreEqual(indicator.MACD(barDs.getCloseDataSeries(), 252, 26, 12, 9)[1][33], -2.7071)
self.assertAmountsAreEqual(
indicator.MACD(barDs.getCloseDataSeries(), 252, 26, 12, 9)[2][33],
(-1.9738)-(-2.7071)
)
def onBars(self, bars):
# closePrice = bars[self.__instrument].getPrice()
closePrice = self.getFeed().getDataSeries(
instrument).getCloseDataSeries()
date = bars.getDateTime()
self.__dif, self.__dea, self.__macd = indicator.MACD(
closePrice, 200, self.__fast, self.__slow, self.__signal)
if date < date1:
return
if self.__macd[-1] is None:
return
if self.__position is not None:
if not self.__position.exitActive() and self.__macd[-1] < 0:
self.__position.exitMarket()
if self.__position is None:
if self.__macd[-1] > 0:
shares = int(self.getBroker().getEquity() * 0.9 /
bars[self.__instrument].getPrice())
self.__position = self.enterLong(self.__instrument, shares)