def __init__(self, feed, instrument, bollingerlength, numStdDev,
closelength, ccMAlength, malength, space):
strategy.BacktestingStrategy.__init__(self, feed)
self.getBroker().setFillStrategy(DefaultStrategy(None))
self.getBroker().setCommission(TradePercentage(0.002))
self.__instrument = instrument
self.__bollingerlength = int(bollingerlength)
numStdDev = float(numStdDev) / 10
self.__closelength = int(closelength)
self.__ccMAlength = int(ccMAlength)
self.__malength = int(malength)
self.__longPos = None
self.__shortPos = None
self.__close = feed[instrument].getCloseDataSeries()
self.__high = feed[instrument].getHighDataSeries()
self.__low = feed[instrument].getLowDataSeries()
self.__datetime = feed[instrument].getDateTimes()
self.__bollinger = bollinger.BollingerBands(self.__close,
self.__bollingerlength,
int(numStdDev))
self.__UpperBand = self.__bollinger.getUpperBand()
self.__LowerBand = self.__bollinger.getLowerBand()
self.__MA = SequenceDataSeries()
self.__space = int(space)
self.__enter = 0
self.__enterLong1 = 0
self.__enterLong2 = 0
self.__enterShort1 = 0
self.__enterShort2 = 0
self.__exitLong1 = 0
self.__exitLong2 = 0
self.__exitShort1 = 0
self.__exitShort1 = 0
# for test
#######################################################################
self.__p = SequenceDataSeries()
self.__filterCon = SequenceDataSeries()
self.__ccMACon1 = SequenceDataSeries()
self.__ccMACon2 = SequenceDataSeries()
self.__enterCon = SequenceDataSeries()
self.__enterLongCon1 = SequenceDataSeries()
self.__enterLongCon2 = SequenceDataSeries()
self.__enterShortCon1 = SequenceDataSeries()
self.__enterShortCon2 = SequenceDataSeries()
self.__exitLongCon1 = SequenceDataSeries()
self.__exitLongCon2 = SequenceDataSeries()
self.__exitShortCon1 = SequenceDataSeries()
self.__exitShortCon2 = SequenceDataSeries()
def testStockChartsBollinger(self):
# Test data from http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:bollinger_bands
prices = [
86.1557, 89.0867, 88.7829, 90.3228, 89.0671, 91.1453, 89.4397,
89.1750, 86.9302, 87.6752, 86.9596, 89.4299, 89.3221, 88.7241,
87.4497, 87.2634, 89.4985, 87.9006, 89.1260, 90.7043, 92.9001,
92.9784, 91.8021, 92.6647, 92.6843, 92.3021, 92.7725, 92.5373,
92.9490, 93.2039, 91.0669, 89.8318, 89.7435, 90.3994, 90.7387,
88.0177, 88.0867, 88.8439, 90.7781, 90.5416, 91.3894, 90.6500
]
expectedMiddle = [
88.71, 89.05, 89.24, 89.39, 89.51, 89.69, 89.75, 89.91, 90.08,
90.38, 90.66, 90.86, 90.88, 90.91, 90.99, 91.15, 91.19, 91.12,
91.17, 91.25, 91.24, 91.17, 91.05
]
expectedUpper = [
91.29, 91.95, 92.61, 92.93, 93.31, 93.73, 93.90, 94.27, 94.57,
94.79, 95.04, 94.91, 94.90, 94.90, 94.86, 94.67, 94.56, 94.68,
94.58, 94.53, 94.53, 94.37, 94.15
]
expectedLower = [
86.12, 86.14, 85.87, 85.85, 85.70, 85.65, 85.59, 85.56, 85.60,
85.98, 86.27, 86.82, 86.87, 86.91, 87.12, 87.63, 87.83, 87.56,
87.76, 87.97, 87.95, 87.96, 87.95
]
seqDS = dataseries.SequenceDataSeries()
bBands = bollinger.BollingerBands(seqDS, 20, 2)
for value in prices:
seqDS.append(value)
for i in range(19):
self.assertEqual(bBands.getMiddleBand()[i], None)
self.assertEqual(bBands.getUpperBand()[i], None)
self.assertEqual(bBands.getLowerBand()[i], None)
for i in range(19, len(seqDS)):
self.assertEqual(round(bBands.getMiddleBand()[i], 2),
expectedMiddle[i - 19])
self.assertEqual(round(bBands.getUpperBand()[i], 2),
expectedUpper[i - 19])
self.assertEqual(round(bBands.getLowerBand()[i], 2),
expectedLower[i - 19])
def testStockChartsBollinger_Bounded(self):
# Test data from http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:bollinger_bands
prices = [
86.1557, 89.0867, 88.7829, 90.3228, 89.0671, 91.1453, 89.4397,
89.1750, 86.9302, 87.6752, 86.9596, 89.4299, 89.3221, 88.7241,
87.4497, 87.2634, 89.4985, 87.9006, 89.1260, 90.7043, 92.9001,
92.9784, 91.8021, 92.6647, 92.6843, 92.3021, 92.7725, 92.5373,
92.9490, 93.2039, 91.0669, 89.8318, 89.7435, 90.3994, 90.7387,
88.0177, 88.0867, 88.8439, 90.7781, 90.5416, 91.3894, 90.6500
]
expectedMiddle = [91.24, 91.17, 91.05]
expectedUpper = [94.53, 94.37, 94.15]
expectedLower = [87.95, 87.96, 87.95]
seqDS = dataseries.SequenceDataSeries()
bBands = bollinger.BollingerBands(seqDS, 20, 2, 3)
for value in prices:
seqDS.append(value)
for i in range(3):
self.assertEqual(round(bBands.getMiddleBand()[i], 2),
expectedMiddle[i])
self.assertEqual(round(bBands.getUpperBand()[i], 2),
expectedUpper[i])
self.assertEqual(round(bBands.getLowerBand()[i], 2),
expectedLower[i])
self.assertEqual(len(bBands.getMiddleBand()), 3)
self.assertEqual(len(bBands.getMiddleBand()[:]), 3)
self.assertEqual(len(bBands.getMiddleBand().getDateTimes()), 3)
self.assertEqual(len(bBands.getUpperBand()), 3)
self.assertEqual(len(bBands.getUpperBand()[:]), 3)
self.assertEqual(len(bBands.getUpperBand().getDateTimes()), 3)
self.assertEqual(len(bBands.getLowerBand()), 3)
self.assertEqual(len(bBands.getLowerBand()[:]), 3)
self.assertEqual(len(bBands.getLowerBand().getDateTimes()), 3)
def __init__(self, feed, instrument, bBandsPeriod):
super().__init__(feed)
self.__instrument = instrument
self.__bbands = bollinger.BollingerBands(feed[instrument].getCloseDataSeries(), bBandsPeriod, 2)