def __init__(self, feed, instrument, period):
strategy.BacktestingStrategy.__init__(self, feed)
self.__instrument = instrument
self.__position = None
# We'll use adjusted close values instead of regular close values.
self.setUseAdjustedValues(True)
self.__prices = feed[instrument].getPriceDataSeries()
self.__hurst = hurst.HurstExponent(self.__prices, period)
def __init__(self, feed, instrument, hurstPeriod):
strategy.BacktestingStrategy.__init__(self, feed)
self.__longWindow = 20
self.__shortWindow = 40
self.__instrument = instrument
self.__position = None
# We'll use adjusted close values instead of regular close values.
self.setUseAdjustedValues(True)
self.__adjClosePrices = feed[instrument].getAdjCloseDataSeries()
self.__prices = feed[instrument].getPriceDataSeries()
self.__hurst = hurst.HurstExponent(self.__adjClosePrices, hurstPeriod)
self.__halfLifeHelper = MovingHalfLifeUtil.MovingHalfLifeHelper(
feed[instrument].getAdjCloseDataSeries(), hurstPeriod)
self.__longWindowMa = ma.SMA(self.__prices, self.__longWindow)
self.__shortWindowMa = ma.SMA(self.__prices, self.__shortWindow)
def build_hurst(values, period, lags):
ds = dataseries.SequenceDataSeries()
ret = hurst.HurstExponent(ds, period, lags)
for value in values:
ds.append(value)
return ret