def __init__(self, window, dependency='ret'):
super(MovingDrawDown, self).__init__(window, dependency)
self._returnSize = 3
self._maxer = MovingMax(window + 1, dependency='x')
self._maxer.push(dict(x=0.0))
self._runningCum = 0.0
self._highIndex = 0
self._runningIndex = 0
def testTruncatedValueHolder(self):
ma20 = MovingAverage(20, 'close')
max5 = MovingMax(5, 'open')
with self.assertRaises(TypeError):
_ = TruncatedValueHolder(ma20, 1)
test = TruncatedValueHolder(ma20 ^ max5, 1)
test.push(dict(close=10.0, open=5.0))
test.push(dict(close=10.0, open=20.0))
self.assertAlmostEqual(test.result(), 20.0, 15)
test = TruncatedValueHolder(ma20 ^ max5, 0)
test.push(dict(close=10.0, open=5.0))
test.push(dict(close=15.0, open=20.0))
self.assertAlmostEqual(test.result(), 12.50, 15)
test = TruncatedValueHolder(ma20 ^ max5, slice(1, 2))
test.push(dict(close=10.0, open=5.0))
test.push(dict(close=15.0, open=20.0))
self.assertAlmostEqual(test.result(), [20.0], 15)
test = TruncatedValueHolder(ma20 ^ max5, slice(0, -1))
test.push(dict(close=10.0, open=5.0))
test.push(dict(close=15.0, open=20.0))
self.assertAlmostEqual(test.result(), [12.5], 15)
with self.assertRaises(ValueError):
_ = TruncatedValueHolder(ma20 ^ max5, slice(1, -2))
def __init__(self, window, dependency='ret'):
super(MovingDrawDown, self).__init__(window, dependency)
self._returnSize = 3
self._maxer = MovingMax(window + 1, dependency='x')
self._maxer.push(dict(x=0.0))
self._runningCum = 0.0
self._highIndex = 0
self._runningIndex = -1
def testMultipleOperators(self):
ma20 = MovingAverage(20, 'close')
ma120 = MovingAverage(120, 'close')
mmax = MovingMax(50, 'open')
res = (MovingAverage(20, 'close') - MovingAverage(120, 'close')) / MovingMax(50, 'open')
for i, (open, close) in enumerate(zip(self.sampleOpen, self.sampleClose)):
data = {'close': close, 'open': open}
ma20.push(data)
ma120.push(data)
mmax.push(data)
res.push(data)
expected = (ma20.result() - ma120.result()) / mmax.result()
calculated = res.result()
self.assertAlmostEqual(calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
class MovingDrawDown(StatefulValueHolder):
def __init__(self, window, dependency='ret'):
super(MovingDrawDown, self).__init__(window, dependency)
self._returnSize = 3
self._maxer = MovingMax(window + 1, dependency='x')
self._maxer.push(dict(x=0.0))
self._runningCum = 0.0
self._highIndex = 0
self._runningIndex = 0
def push(self, data):
value = super(MovingDrawDown, self).push(data)
if value is None:
return
self._runningIndex += 1
self._runningCum += value
self._maxer.push(dict(x=self._runningCum))
self._currentMax = self._maxer.result()
if self._runningCum >= self._currentMax:
self._highIndex = self._runningIndex
def result(self):
return self._runningCum - self._currentMax, self._runningIndex - self._highIndex, self._highIndex
class MovingDrawDown(StatefulValueHolder):
def __init__(self, window, dependency='ret'):
super(MovingDrawDown, self).__init__(window, dependency)
self._returnSize = 3
self._maxer = MovingMax(window + 1, dependency='x')
self._maxer.push(dict(x=0.0))
self._runningCum = 0.0
self._highIndex = 0
self._runningIndex = -1
def push(self, data):
value = super(MovingDrawDown, self).push(data)
if value is None:
return
self._runningIndex += 1
self._runningCum += value
self._maxer.push(dict(x=self._runningCum))
self._currentMax = self._maxer.result()
if self._runningCum >= self._currentMax:
self._highIndex = self._runningIndex
def result(self):
return self._runningCum - self._currentMax, self._runningIndex - self._highIndex, self._highIndex
def testMultipleOperators(self):
ma20 = MovingAverage(20, 'close')
ma120 = MovingAverage(120, 'close')
mmax = MovingMax(50, 'open')
res = (MovingAverage(20, 'close') - MovingAverage(120, 'close')) / MovingMax(50, 'open')
for i, (open, close) in enumerate(zip(self.sampleOpen, self.sampleClose)):
data = {'close': close, 'open': open}
ma20.push(data)
ma120.push(data)
mmax.push(data)
res.push(data)
expected = (ma20.result() - ma120.result()) / mmax.result()
calculated = res.result()
self.assertAlmostEqual(calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
