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 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)
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)
