def __init__(self, fast, slow, MACDLength, RSILength):
MACDValue = MACD(fast, slow, 'close')
AvgMACD = EMA(MACDLength, MACDValue)
self.MACDDiff = MACDValue - AvgMACD
self.RSI = RSI(RSILength, 'close')
self.total_length = max(slow + MACDLength, RSILength)
self.count = 0
class MovingAverageCrossStrategy(Strategy):
def __init__(self, fast, slow, MACDLength, RSILength):
MACDValue = MACD(fast, slow, 'close')
AvgMACD = EMA(MACDLength, MACDValue)
self.MACDDiff = MACDValue - AvgMACD
self.RSI = RSI(RSILength, 'close')
self.total_length = max(slow + MACDLength, RSILength)
self.count = 0
def handle_data(self):
for secID in self.tradableAssets:
if not self.MACDDiff.isFullByName(
secID) or not self.RSI.isFullByName(secID):
continue
if self.MACDDiff[secID] > 0.01 \
and self.RSI[secID] > 51.:
self.order_to(secID, 1, 1)
elif self.MACDDiff[secID] < -0.01 \
and self.RSI[secID] < 49.:
self.order_to(secID, 1, -1)
def __init__(self, fast, slow, MACDLength, RSILength):
MACDValue = MACD(fast, slow, 'close')
AvgMACD = EMA(MACDLength, MACDValue)
self.MACDDiff = MACDValue - AvgMACD
self.RSI = RSI(RSILength, 'close')