def __buildWMA(self,
weights,
values,
seqMaxLen=dataseries.DEFAULT_MAX_LEN,
wmaMaxLen=dataseries.DEFAULT_MAX_LEN):
seqDS = dataseries.SequenceDataSeries(maxLen=seqMaxLen)
ret = ma.WMA(seqDS, weights, wmaMaxLen)
for value in values:
seqDS.append(value)
return ret
def __init__(self, feed, instrument, bBandsPeriod):
strategy.BacktestingStrategy.__init__(self, feed)
self.setDebugMode(False)
self.__instrument = instrument
self.__feed = feed
self.__position = None
self.__sma = ma.WMA(feed[instrument].getCloseDataSeries(), 15)
self.__col = [
"buyPrice", "buyTime", "sellPrice", "sellTime", "returns"
]
self.__msdf = pd.DataFrame(columns=self.__col)
self.__buyPrice = 0
self.__buyTime = None
self.setUseAdjustedValues(True)
def __buildWMA(self, weights, values):
from pyalgotrade import dataseries
return ma.WMA(dataseries.SequenceDataSeries(values), weights)