def __init__(self, feed, instrument, bBandsPeriod, smaPeriod_short,
smaPeriod_long, slope_period):
strategy.BacktestingStrategy.__init__(self, feed)
self.__instrument = instrument
self.__prices = feed[instrument].getPriceDataSeries()
self.__sma_short = ma.SMA(self.__prices, smaPeriod_short)
self.__sma_long = ma.SMA(self.__prices, smaPeriod_long)
self.__bbands = bollinger.BollingerBands(
feed[instrument].getCloseDataSeries(), bBandsPeriod, 2)
self.__slope = linreg.Slope(self.__prices, slope_period)
self.__middle_slope = linreg.Slope(self.__bbands.getMiddleBand(),
slope_period)
self.__longPos = None
self.__shortPos = None
self.slope_period = slope_period
def __buildSlope(self,
values,
period,
slopeMaxLen=dataseries.DEFAULT_MAX_LEN):
seqDS = dataseries.SequenceDataSeries()
ret = linreg.Slope(seqDS, period, slopeMaxLen)
for value in values:
seqDS.append(value)
return ret