def __init__(self, feed, tickers, period=9, balance=15000, limit=10):
basestrategies.BaseTrender.__init__(self, feed, period,
tickers, balance,
mongofeed.MongoRowParser)
self.cross_aboves = {}
self.cross_belows = {}
self.current_positions = set()
self.pos_limit = limit
params = {'timeperiod':period,
'nbdevup':2,
'nbdevdn':2,
'matype':du.tl.MA_SMA}
for ticker in self.tickers:
print 'Initializing: %s' % (ticker)
data = du.get_data(ticker)
d = [v['Adj Clos'] for v in data]
a, b, c = du.run_command(
'BBANDS',
np.array(d),
**params
)
highs = dataseries.SequenceDataSeries([d for d in a.tolist()])
lows = dataseries.SequenceDataSeries([d for d in c.tolist()])
mids = dataseries.SequenceDataSeries([d for d in b.tolist()])
self.cross_aboves[ticker] = cross.CrossAbove(feed.getDataSeries(ticker)
.getAdjCloseDataSeries(), highs)
self.cross_belows[ticker] = cross.CrossBelow(feed.getDataSeries(ticker)
.getAdjCloseDataSeries(), lows)
def __init__(self, feed, tickers, period=9, balance=15000, limit=10):
basestrategies.BaseTrender.__init__(self, feed, period, tickers,
balance, mongofeed.MongoRowParser)
self.cross_aboves = {}
self.cross_belows = {}
self.current_positions = set()
self.pos_limit = limit
params = {
'timeperiod': period,
'nbdevup': 2,
'nbdevdn': 2,
'matype': du.tl.MA_SMA
}
for ticker in self.tickers:
print 'Initializing: %s' % (ticker)
data = du.get_data(ticker)
d = [v['Adj Clos'] for v in data]
a, b, c = du.run_command('BBANDS', np.array(d), **params)
highs = dataseries.SequenceDataSeries([d for d in a.tolist()])
lows = dataseries.SequenceDataSeries([d for d in c.tolist()])
mids = dataseries.SequenceDataSeries([d for d in b.tolist()])
self.cross_aboves[ticker] = cross.CrossAbove(
feed.getDataSeries(ticker).getAdjCloseDataSeries(), highs)
self.cross_belows[ticker] = cross.CrossBelow(
feed.getDataSeries(ticker).getAdjCloseDataSeries(), lows)
def __init__(self, feed, smaPeriod, f, tick1, tick2):
strategy.Strategy.__init__(self, f, 2000)
self.__position = {}
self.__tick1 = tick1
self.__tick2 = tick2
self.pdata = feed.getDataSeries(tick1).getCloseDataSeries()
self.result = None
self.last_price = {}
self.last_price.setdefault(tick1, None)
self.last_price.setdefault(tick2, None)
def get_ratio(bar):
return bar.ratio
self.ratios = f.getDataSeries('%s/%s' % (tick1, tick2))
self.ratios = dataseries.BarValueDataSeries(
f.getDataSeries('%s/%s' % (tick1, tick2)), get_ratio)
self.ratio_series = du.RatioDataSeries(tick1, tick2, 'Adj Clos')
a, b, c = du.run_command(
'BBANDS', np.array(self.ratio_series.d), **{
'timeperiod': smaPeriod,
'nbdevup': 2,
'nbdevdn': 2,
'matype': du.tl.MA_SMA
})
self.highs = dataseries.SequenceDataSeries([d for d in a.tolist()])
#print [d for d in a.tolist()]
self.mids = dataseries.SequenceDataSeries([d for d in b.tolist()])
self.lows = dataseries.SequenceDataSeries([d for d in c.tolist()])
"""
self.highs = du.ArbitraryDataSeries('Upper BBand', a.tolist())
self.mids = du.ArbitraryDataSeries('Mean', b.tolist())
self.lows = du.ArbitraryDataSeries('Lower BBand', c.tolist())
"""
self.cross_below = cross.CrossBelow(self.ratios, self.lows)
self.cross_above = cross.CrossAbove(self.ratios, self.highs)
self.cautious_cross_below = cross.CrossBelow(self.ratios, self.highs)
self.cautious_cross_above = cross.CrossAbove(self.ratios, self.highs)
self.price_slope = trend.Slope(self.ratios, 60)
self.last_slope = 0
def __init__(self, feed, smaPeriod, f, tick1, tick2):
strategy.Strategy.__init__(self, f, 2000)
self.__position = {}
self.__tick1 = tick1
self.__tick2 = tick2
self.pdata = feed.getDataSeries(tick1).getCloseDataSeries()
self.result = None
self.last_price = {}
self.last_price.setdefault(tick1, None)
self.last_price.setdefault(tick2, None)
def get_ratio(bar):
return bar.ratio
self.ratios = f.getDataSeries('%s/%s' %(tick1, tick2))
self.ratios = dataseries.BarValueDataSeries(f.getDataSeries('%s/%s' %(tick1, tick2)), get_ratio)
self.ratio_series = du.RatioDataSeries(tick1, tick2, 'Adj Clos')
a, b, c = du.run_command(
'BBANDS',
np.array(self.ratio_series.d),
**{'timeperiod':smaPeriod, 'nbdevup':2, 'nbdevdn':2, 'matype':du.tl.MA_SMA}
)
self.highs = dataseries.SequenceDataSeries([d for d in a.tolist()])
#print [d for d in a.tolist()]
self.mids = dataseries.SequenceDataSeries([d for d in b.tolist()])
self.lows = dataseries.SequenceDataSeries([d for d in c.tolist()])
"""
self.highs = du.ArbitraryDataSeries('Upper BBand', a.tolist())
self.mids = du.ArbitraryDataSeries('Mean', b.tolist())
self.lows = du.ArbitraryDataSeries('Lower BBand', c.tolist())
"""
self.cross_below = cross.CrossBelow(self.ratios, self.lows)
self.cross_above = cross.CrossAbove(self.ratios, self.highs)
self.cautious_cross_below = cross.CrossBelow(self.ratios, self.highs)
self.cautious_cross_above = cross.CrossAbove(self.ratios, self.highs)
self.price_slope = trend.Slope(self.ratios, 60)
self.last_slope = 0
