def __init__(self, feed, smaPeriod): strategy.Strategy.__init__(self, feed) assert(smaPeriod > 3) self.__lead = "nikkei" self.__lag = "spy" # Exit signal is more sensitive than entry. adjClose = feed.getDataSeries(self.__lead).getAdjCloseDataSeries() self.__crossAbove = cross.CrossAbove(adjClose, ma.SMA(adjClose, smaPeriod)) self.__crossBelow = cross.CrossAbove(adjClose, ma.SMA(adjClose, int(smaPeriod/2))) self.__pos = None
def __init__(self, feed, smaPeriod):
strategy.Strategy.__init__(self, feed, 1000)
closeDS = feed.getDataSeries("orcl").getCloseDataSeries()
self.__sma = ma.SMA(closeDS, smaPeriod)
self.__crossAbove = cross.CrossAbove(closeDS, self.__sma)
self.__crossBelow = cross.CrossBelow(closeDS, self.__sma)
self.__position = None
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, instrument, smaPeriod, cash=1000):
strategy.Strategy.__init__(self, feed, cash)
closeDS = feed[instrument].getCloseDataSeries()
self.__sma = ma.SMA(closeDS, smaPeriod)
self.__instrument = instrument
self.__crossAbove = cross.CrossAbove(closeDS, self.__sma)
self.__crossBelow = cross.CrossBelow(closeDS, self.__sma)
self.__position = None
def __init__(self, feed, fastSMA, slowSMA):
strategy.Strategy.__init__(self, feed, 1000)
ds = feed.getDataSeries("orcl").getCloseDataSeries()
fastSMADS = ma.SMA(ds, fastSMA)
slowSMADS = ma.SMA(ds, slowSMA)
self.__crossAbove = cross.CrossAbove(fastSMADS, slowSMADS)
self.__crossBelow = cross.CrossBelow(fastSMADS, slowSMADS)
self.__longPos = None
self.__shortPos = None
self.__finalValue = None
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 testWithSMAs(self):
ds1 = dataseries.SequenceDataSeries()
ds2 = dataseries.SequenceDataSeries()
crs = cross.CrossAbove(ma.SMA(ds1, 15), ma.SMA(ds2, 25), 2)
for i in range(100):
ds1.appendValue(i)
ds2.appendValue(50)
if i < 24:
self.assertTrue(crs.getValue() == None)
elif i == 58:
self.assertTrue(crs.getValue() == 1)
else:
self.assertTrue(crs.getValue() == 0)