def __init__(self, feed, instrument, nper, lowerThreshold, upperThreshold):
super(ZScoreStrategy, self).__init__(feed)
self.position = None
self.instrument = instrument
self.sma = ma.SMA(feed[instrument].getPriceDataSeries(), nper)
self.roc = roc.RateOfChange(feed[instrument].getPriceDataSeries(), 1)
self.zscore = stats.ZScore(self.roc, nper)
self.lowerThreshold = lowerThreshold
self.upperThreshold = upperThreshold
def testZScore(self):
values = [1.10, 2.20, 4.00, 5.10, 6.00, 7.10, 8.20, 9.00, 10.10, 3.00, 4.10, 5.20, 7.00, 8.10, 9.20, 16.00, 17.10, 18.20, 19.30, 20.40]
expected = [None, None, None, None, 1.283041407, 1.317884611, 1.440611043, 1.355748299, 1.4123457, -1.831763202, -0.990484842, -0.388358578, 0.449889908, 1.408195169, 1.332948099, 1.867732104, 1.334258333, 1.063608066, 0.939656572, 1.414213562]
seqDS = dataseries.SequenceDataSeries()
zscore = stats.ZScore(seqDS, 5)
i = 0
for value in values:
seqDS.append(value)
if i >= 4:
self.assertEqual(round(zscore[-1], 4), round(expected[i], 4))
i += 1