def onBars(self, bars):
bar = bars[self.__instrument]
high = bar.getHigh()
low = bar.getLow()
close = bar.getClose()
hlc3 = (high + low + close) / 3
self.__hlc3.appendWithDateTime(bar.getDateTime(), hlc3)
qty = 1
ema1 = talib.EMA(self.__hlc3, count=self.__ema1_period+1, timeperiod=self.__ema1_period)
ema2 = talib.EMA(self.__hlc3, count=self.__ema2_period+1, timeperiod=self.__ema2_period)
ema3 = talib.EMA(self.__hlc3, count=self.__ema3_period+1, timeperiod=self.__ema3_period)
# Wait for enough bars to be available to calculate indicators.
if (len(ema3) < 2) or math.isnan(ema3[-2]):
return
buy_condition = self.is_increasing(ema1, 1) and self.is_increasing(ema2, 1) and self.is_increasing(ema3, 1)
sell_condition = self.is_decreasing(ema1, 1) and self.is_decreasing(ema2, 1) and self.is_decreasing(ema3, 1)
# If a position was not opened, check if we should enter a long position.
if self.__position is None:
if buy_condition:
# Enter a buy market order for 10 shares. The order is good till canceled.
self.__position = self.enterLong(self.__instrument, qty)
# Else, Check for Stop-loss or Exit.
elif not self.__position.exitActive():
if sell_condition:
self.__position.exitMarket()
def testEMA(self):
barDs = self.__loadBarDS()
self.assertAmountsAreEqual(indicator.EMA(barDs.getCloseDataSeries(), 252, 2)[1], 93.16) # Original value 93.15
self.assertAmountsAreEqual(indicator.EMA(barDs.getCloseDataSeries(), 252, 2)[2], 93.97) # Original value 93.96
self.assertAmountsAreEqual(
indicator.EMA(barDs.getCloseDataSeries(), 252, 2)[-1],
108.22
) # Original value 108.21
self.assertAmountsAreEqual(
indicator.EMA(barDs.getCloseDataSeries(), 252, 10)[9],
93.23
) # Original value 93.22
def testEMA(self):
barDs = self.__loadBarDS()
self.assertTrue(
compare(
indicator.EMA(barDs.getCloseDataSeries(), 252, 2)[1],
93.16)) # Original value 93.15
self.assertTrue(
compare(
indicator.EMA(barDs.getCloseDataSeries(), 252, 2)[2],
93.97)) # Original value 93.96
self.assertTrue(
compare(
indicator.EMA(barDs.getCloseDataSeries(), 252, 2)[-1],
108.22)) # Original value 108.21
self.assertTrue(
compare(
indicator.EMA(barDs.getCloseDataSeries(), 252, 10)[9],
93.23)) # Original value 93.22