def execute(self, strategy): forecasts = {} for forecaster in self.forecasters: forecasts[forecaster.name] = forecaster(strategy).data forecasts = Panel(forecasts) mean_fcst = self.normalise(forecasts.mean(axis = 'items')) return Signal(mean_fcst, [-20, 20], forecasts)
def execute(self, strategy): measures = {} for pars in self.par_pairs: name = "ewmac_{}_{}".format(max(pars), min(pars)) ewmac = EWMAC(EMA(max(pars)), EMA(min(pars)), self.vol) measures[name] = ewmac(strategy).data measures = Panel(measures) return Signal(measures.mean(axis = 'items'), [-20, 20], measures)