def onBars(self, bars):
bar = bars[self.__instrument]
close = bar.getClose()
closeDs = self.getFeed().getDataSeries(self.__instrument).getCloseDataSeries()
qty = 1
mom_long = talib.MOM(closeDs, count=self.__long_period+1, timeperiod=self.__long_period)
mom_short = talib.MOM(closeDs, count=self.__short_period+1, timeperiod=self.__short_period)
# Wait for enough bars to be available to calculate indicators.
if (len(mom_long) < 1) or math.isnan(mom_long[-1]):
return
buy_condition = (mom_long[-1] > 0) and (mom_short[-1] > 0)
sell_condition = (mom_long[-1] < 0) or (mom_short[-1] < 0)
# 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 testMOM(self):
barDs = self.__loadBarDS()
self.assertAmountsAreEqual(
indicator.MOM(barDs.getCloseDataSeries(), 252, 14)[14], -0.50)
self.assertAmountsAreEqual(
indicator.MOM(barDs.getCloseDataSeries(), 252, 14)[15], -2.00)
self.assertAmountsAreEqual(
indicator.MOM(barDs.getCloseDataSeries(), 252, 14)[16], -5.22)
self.assertAmountsAreEqual(
indicator.MOM(barDs.getCloseDataSeries(), 252, 14)[-1], -1.13)
def testMOM(self):
barDs = self.__loadBarDS()
self.assertTrue(
compare(
indicator.MOM(barDs.getCloseDataSeries(), 252, 14)[14], -0.50))
self.assertTrue(
compare(
indicator.MOM(barDs.getCloseDataSeries(), 252, 14)[15], -2.00))
self.assertTrue(
compare(
indicator.MOM(barDs.getCloseDataSeries(), 252, 14)[16], -5.22))
self.assertTrue(
compare(
indicator.MOM(barDs.getCloseDataSeries(), 252, 14)[-1], -1.13))