def run_strategy(self, market_data, portfolio):
if (pd.isnull(market_data)).any()[0]:
#Raise this error to make sure there's no gaps in data
raise ValueError("Series XY = {0}, {1} do not have equal date range".format(self.series_x_label, self.series_y_label))
reg_params = [self.intercept, self.scaling]
md = pairs_md(market_data,
xInd = self.series_x_label,
yInd = self.series_y_label)
md.generateTradeSigs(windowLength = self.window_length,
entryScale= self.entry_scale,
exitScale = self.exit_scale,
# ewma_par= 100,
reg_params = reg_params
)
Reversion_EntryExitTechnical.run_strategy(self,
md,
portfolio)
if self.plot_flag:
md.plot_spreadAndSignals()
def __init__(self,
series_x_label,
series_y_label,
window_length,
scaling_initial = 1,
intercept_initial = 0,
entry_scale = 2 ,
exit_scale = 0, ):
'''
Constructor
'''
#initialise super
Reversion_EntryExitTechnical.__init__(self)
self.series_x_label = series_x_label
self.series_y_label = series_y_label
self.window_length = window_length
self.scaling = scaling_initial
self.intercept = intercept_initial
self.entry_scale = entry_scale
self.exit_scale = exit_scale
self.plot_flag = False