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 __init__(self, dbhandler, *args, **kwargs):
super(DualEMATaLib, self).__init__(*args, **kwargs)
self.dbhandler = dbhandler
self.mstockid = self.dbhandler.stock.ids[0]
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)
self.real_obv_trans = OBV()
# 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)
self.real_obv = self.real_obv_trans.handle_data(data)
if self.short_ema is None or self.long_ema is None or self.real_obv is None:
return
self.buy = False
self.sell = False
# buy/sell rule
if (self.short_ema > self.long_ema).all() and not self.invested:
self.order(self.mstockid, 1000)
self.invested = True
self.buy = True
elif (self.short_ema < self.long_ema).all() and self.invested:
self.order(self.mstockid, -1000)
self.invested = False
self.sell = True
# save to recorder
signals = {
'open': data[self.mstockid].open,
'high': data[self.mstockid].high,
'low': data[self.mstockid].low,
'close': data[self.mstockid].close,
'volume': data[self.mstockid].volume,
'short_ema': self.short_ema[self.mstockid],
'long_ema': self.long_ema[self.mstockid],
'buy': self.buy,
'sell': self.sell
}
self.record(**signals)
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 __init__(self, dbhandler, *args, **kwargs):
super(DualEMATaLib, self).__init__(*args, **kwargs)
self.dbhandler = dbhandler
self.mstockid = self.dbhandler.stock.ids[0]
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)
self.real_obv_trans = OBV()
# 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)
self.real_obv = self.real_obv_trans.handle_data(data)
if self.short_ema is None or self.long_ema is None or self.real_obv is None:
return
self.buy = False
self.sell = False
# buy/sell rule
if (self.short_ema > self.long_ema).all() and not self.invested:
self.order(self.mstockid, 1000)
self.invested = True
self.buy = True
elif (self.short_ema < self.long_ema).all() and self.invested:
self.order(self.mstockid, -1000)
self.invested = False
self.sell = True
# save to recorder
signals = {
'open': data[self.mstockid].open,
'high': data[self.mstockid].high,
'low': data[self.mstockid].low,
'close': data[self.mstockid].close,
'volume': data[self.mstockid].volume,
'short_ema': self.short_ema[self.mstockid],
'long_ema': self.long_ema[self.mstockid],
'buy': self.buy,
'sell': self.sell
}
self.record(**signals)
def initialize(context):
context.asset = symbol('AAPL')
# Add 2 mavg transforms, one with a long window, one with a short window.
context.short_ema_trans = EMA(timeperiod=20)
context.long_ema_trans = EMA(timeperiod=40)
# To keep track of whether we invested in the stock or not
context.invested = False
def initialize(self):
self.asset = self.symbol('AAPL')
# Add 2 mavg transforms, one with a long window, one with a short window.
self.short_ema_trans = ta.EMA(timeperiod=20)
self.long_ema_trans = EMA(timeperiod=40)
# 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).all() and not self.invested:
self.order('AAPL', 100)
self.invested = True
self.buy = True
elif (self.short_ema < self.long_ema).all() 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)
class DualEmaTalib(zp.TradingAlgorithm):
def __init__(self, *args, **kwargs):
super(DualEmaTalib, self).__init__(
*args, **kwargs) #mid 采用super(child,self).method()格式调用某个类的父类的方法。
def initialize(self):
self.asset = self.symbol('AAPL')
# Add 2 mavg transforms, one with a long window, one with a short window.
self.short_ema_trans = ta.EMA(timeperiod=20)
self.long_ema_trans = EMA(timeperiod=40)
# To keep track of whether we invested in the stock or not
self.invested = False
def handle_data(self, data):
#mid only long
short_ema = self.short_ema_trans.handle_data(data)
long_ema = self.long_ema_trans.handle_data(data)
if short_ema is None or long_ema is None:
return
buy = False
sell = False
if (short_ema > long_ema).all() and not self.invested:
self.order(self.asset, 100)
self.invested = True
buy = True
elif (short_ema < long_ema).all() and self.invested:
self.order(self.asset, -100)
self.invested = False
sell = True
self.record(AAPL=data[self.asset].price,
short_ema=short_ema[self.asset],
long_ema=long_ema[self.asset],
buy=buy,
sell=sell)
