def TwoAveragesEx(
average1=None, # mathutils.ewma(alpha = 0.15),
average2=None, # mathutils.ewma(alpha = 0.015),
threshold=0,
orderFactory=order.MarketFactory,
creationIntervalDistr=mathutils.rnd.expovariate(1.0),
volumeDistr=mathutils.rnd.expovariate(1.0),
):
if average1 is None:
average1 = mathutils.ewma(alpha=0.15)
if average2 is None:
average2 = mathutils.ewma(alpha=0.015)
return defs(
Generic(
orderFactory=orderFactory,
volumeFunc=volumeDistr,
eventGen=scheduler.Timer(creationIntervalDistr),
sideFunc=SignalSide(
mathutils.sub(observable.Fold(_.price, average1), observable.Fold(_.price, average2)), threshold
),
),
{"price": observable.Price(orderbook.OfTrader())},
)
def RSIbis (timeframe = 0.,
threshold = 30,
alpha = 1./14,
orderFactory = order.MarketFactory,
volumeDistr = mathutils.rnd.expovariate(1.),
creationIntervalDistr = mathutils.rnd.expovariate(1.)):
thisBook = orderbook.OfTrader()
return defs(Generic(orderFactory = orderFactory,
volumeFunc = volumeDistr,
eventGen = scheduler.Timer(creationIntervalDistr),
sideFunc = SignalSide(mathutils.sub(mathutils.constant(50),
_.rsi),
50-threshold)),
{ 'rsi' : observable.RSI(thisBook, timeframe, alpha) })
