def initialize(self, short_window=20, long_window=40): # Add 2 mavg transforms, one with a long window, one # with a short window. self.short_ema_trans = EMA(timeperiod=short_window) self.long_ema_trans = EMA(timeperiod=long_window) # To keep track of whether we invested in the stock or not self.invested = False
class DualEMATaLib(TradingAlgorithm): """Dual Moving Average Crossover algorithm. This algorithm buys apple once its short moving average crosses its long moving average (indicating upwards momentum) and sells its shares once the averages cross again (indicating downwards momentum). """ def initialize(self, short_window=20, long_window=40): # Add 2 mavg transforms, one with a long window, one # with a short window. self.short_ema_trans = EMA(timeperiod=short_window) self.long_ema_trans = EMA(timeperiod=long_window) # To keep track of whether we invested in the stock or not self.invested = False def handle_data(self, data): self.short_ema = self.short_ema_trans.handle_data(data) self.long_ema = self.long_ema_trans.handle_data(data) if self.short_ema is None or self.long_ema is None: return self.buy = False self.sell = False if self.short_ema > self.long_ema and not self.invested: self.order('AAPL', 100) self.invested = True self.buy = True elif self.short_ema < self.long_ema and self.invested: self.order('AAPL', -100) self.invested = False self.sell = True self.record(AAPL=data['AAPL'].price, short_ema=self.short_ema['AAPL'], long_ema=self.long_ema['AAPL'], buy=self.buy, sell=self.sell)