def execute(self, strategy):
forecasts = {}
for forecaster in self.forecasters:
forecasts[forecaster.name] = forecaster(strategy).data
forecasts = Panel(forecasts)
mean_fcst = self.normalise(forecasts.mean(axis = 'items'))
return Signal(mean_fcst, [-20, 20], forecasts)
def execute(self, strategy):
measures = {}
for pars in self.par_pairs:
name = "ewmac_{}_{}".format(max(pars), min(pars))
ewmac = EWMAC(EMA(max(pars)), EMA(min(pars)), self.vol)
measures[name] = ewmac(strategy).data
measures = Panel(measures)
return Signal(measures.mean(axis = 'items'), [-20, 20], measures)
