def __init__(self, feed, brk, instrument, vwapWindowSize, buyThreshold,
sellThreshold):
super(VWAPMomentum, self).__init__(feed, brk)
self.__instrument = instrument
self.__vwap = vwap.VWAP(feed[instrument], vwapWindowSize)
self.__buyThreshold = buyThreshold
self.__sellThreshold = sellThreshold
def testPeriod1_TypicalPrice(self):
barFeed = self.__getFeed()
bars = barFeed[INSTRUMENT]
vwap_ = vwap.VWAP(bars, 1, True)
barFeed.loadAll()
for i in xrange(len(bars)):
self.assertEqual(round(bars[i].getTypicalPrice(), 5), round(vwap_[i], 5))
def testPeriod1_ClosingPrice(self):
barFeed = self.__getFeed()
bars = barFeed[VWAPTestCase.Instrument]
vwap_ = vwap.VWAP(bars, 1)
barFeed.loadAll()
for i in range(len(bars)):
self.assertEqual(round(bars[i].getClose(), 5), round(vwap_[i], 5))
def __init__(self, feed, brk, instrument, vwapWindowSize, buyThreshold,
sellThreshold):
strategy.BacktestingStrategy.__init__(self, feed, brk)
self.__instrument = instrument
self.__vwap = vwap.VWAP(feed[instrument], vwapWindowSize)
self.__buyThreshold = buyThreshold
self.__sellThreshold = sellThreshold
def __init__(self, feed, brk, instrument, vwapWindowSize, buyThreshold,
sellThreshold):
super(VWAPMomentum, self).__init__(feed, brk=brk)
self.__vwap = vwap.VWAP(feed.getDataSeries(instrument), vwapWindowSize)
self.__buyThreshold = buyThreshold
self.__sellThreshold = sellThreshold
self.__instrument = instrument
self.__symbol, self.__priceCurrency = instrument.split("/")
def testPeriod2_TypicalPrice(self):
barFeed = self.__getFeed()
bars = barFeed[INSTRUMENT]
vwap_ = vwap.VWAP(bars, 2, True)
barFeed.loadAll()
self.assertEqual(vwap_[0], None)
for i in xrange(1, len(vwap_)):
self.assertNotEqual(vwap_[i], None)
def testPeriod2_TypicalPrice(self):
barFeed = self.__getFeed()
bars = barFeed[VWAPTestCase.Instrument]
vwap_ = vwap.VWAP(bars, 2, True)
barFeed.loadAll()
self.assertEqual(vwap_[0], None)
for i in range(1, len(vwap_)):
self.assertNotEqual(vwap_[i], None)
def testPeriod50_ClosingPrice(self):
barFeed = self.__getFeed()
bars = barFeed[INSTRUMENT]
vwap_ = vwap.VWAP(bars, 50)
barFeed.loadAll()
for i in xrange(49):
self.assertEqual(vwap_[i], None)
for i in xrange(49, len(vwap_)):
self.assertNotEqual(vwap_[i], None)
def testPeriod50_ClosingPrice(self):
barFeed = self.__getFeed()
bars = barFeed[VWAPTestCase.Instrument]
vwap_ = vwap.VWAP(bars, 50)
barFeed.loadAll()
for i in range(49):
self.assertEqual(vwap_[i], None)
for i in range(49, len(vwap_)):
self.assertNotEqual(vwap_[i], None)
def testBounded(self):
barFeed = self.__getFeed()
bars = barFeed[VWAPTestCase.Instrument]
vwap_ = vwap.VWAP(bars, 50, True, 2)
barFeed.loadAll()
outputValues = [14.605005665747331, 14.605416923506045]
for i in range(2):
self.assertEqual(round(vwap_[i], 4), round(outputValues[i], 4))
def __init__(self, feed, instrument, vwapWindowSize, threshold):
super(PivotPointMomentum, self).__init__(feed)
self._instrument = instrument
self._vwap = vwap.VWAP(feed[instrument], vwapWindowSize)
self._pp = pivotpoints.PivotPointsSequenceBased(
feed[instrument], vwapWindowSize, 1,
pivotpoints.PivotPointsPeriod.daily)
self._pp_e = pivotpoints.PivotPointsEventBased(
feed[instrument], vwapWindowSize, 1,
pivotpoints.PivotPointsPeriod.daily)
self._threshold = threshold
self.getBroker().getFillStrategy().setVolumeLimit(None)
def __init__(self, feed, instrument, vwapWindowSize, threshold):
strategy.BacktestingStrategy.__init__(self, feed)
self.__instrument = instrument
self.__feed = feed
self.__threshold = threshold
self.__vwap ={}
for element in instrument:
self.__vwap[element] = vwap.VWAP(feed[element], vwapWindowSize)
self.__notional = 0
self.__count = 0
self.__info = DataFrame(columns={'date','id','action','instrument','quantity','price'}) #交易记录信息
self.__info_matrix = []
def __init__(self, feed, instrument, parametres, cash=10, comission=0.002):
broker = backtesting.Broker(cash, feed, backtesting.TradePercentage(comission))
strategy.BaseStrategy.__init__(self, feed, broker)
self.numOrder = 0
self.okOrder = 0
self.exitOrder = 0
self.s1 = self.s2 = self.s3 = 1
self.p1 = self.p2 = self.p3 = 1
self.windowTrust = parametres[3]
# SMA
self.__instrument = instrument
self.__position = None
self.__Close = feed[instrument].getCloseDataSeries()
self.__sma = ma.SMA(self.__Close, parametres[0])
# Bbands
self.__instrument = instrument
self.__bbands = bollinger.BollingerBands(feed[instrument].getCloseDataSeries(), parametres[1], 2)
# Vwap
self.__instrument = instrument
self.__vwap = vwap.VWAP(feed[instrument], parametres[2])
def __init__(self, feed, instrument, vwapWindowSize, threshold):
strategy.BacktestingStrategy.__init__(self, feed)
self.__instrument = instrument
self.__vwap = vwap.VWAP(feed[instrument], vwapWindowSize)
self.__threshold = threshold
def __init__(self, feed, instrument, vwapWindowSize, threshold):
super().__init__(feed)
self.__instrument = instrument
self.__vwap = vwap.VWAP(feed[instrument], vwapWindowSize)
self.__threshold = threshold
self.__position = None
def __init__(self, feed, instrument, initialBalance, vwapWindowSize,
threshold):
super(VWAPMomentum, self).__init__(feed, balances=initialBalance)
self.__instrument = instrument
self.__vwap = vwap.VWAP(feed.getDataSeries(instrument), vwapWindowSize)
self.__threshold = threshold
def __init__(self, feed, instrument, vwapWindowSize, threshold):
super(VWAPMomentum, self).__init__(feed)
self.__instrument = instrument
self.__vwap = vwap.VWAP(feed[instrument], vwapWindowSize)
self.__threshold = threshold
def __init__(self, feed, instrument, vwapWindowSize, cash=10, comission=0.002):
broker = backtesting.Broker(cash, feed, backtesting.TradePercentage(comission))
strategy.BaseStrategy.__init__(self, feed, broker)
self.__instrument = instrument
self.__vwap = vwap.VWAP(feed[instrument], vwapWindowSize)