def testAROONOSC(self):
barDs = self.__loadBarDS()
self.assertTrue(compare(indicator.AROONOSC(barDs, 252, 14)[14], -21.4285))
self.assertTrue(compare(indicator.AROONOSC(barDs, 252, 14)[14+6], -21.4285))
self.assertTrue(compare(indicator.AROONOSC(barDs, 252, 14)[14+7], -71.4285))
self.assertTrue(compare(indicator.AROONOSC(barDs, 252, 14)[-2], -28.5714))
self.assertTrue(compare(indicator.AROONOSC(barDs, 252, 14)[-1], -14.28571))
def testAROONOSC(self):
barDs = self.__loadBarDS()
self.assertAmountsAreEqual(indicator.AROONOSC(barDs, 252, 14)[14], -21.4285)
self.assertAmountsAreEqual(indicator.AROONOSC(barDs, 252, 14)[14+6], -21.4285)
self.assertAmountsAreEqual(indicator.AROONOSC(barDs, 252, 14)[14+7], -71.4285)
self.assertAmountsAreEqual(indicator.AROONOSC(barDs, 252, 14)[-2], -28.5714)
self.assertAmountsAreEqual(indicator.AROONOSC(barDs, 252, 14)[-1], -14.28571)
def onBars(self, bars):
if self._active:
for instrument, bar in bars.items():
# Wait for enough bars to be available to calculate a SMA.
if not self._smaLong[instrument] or self._smaLong[instrument][-1] is None:
return
barDs = self.getFeed().getDataSeries(instrument)
aroon = indicator.AROONOSC(barDs, self._aroonPeriod + 1, self._aroonPeriod)
self._aroon[instrument].appendWithDateTime(self.getCurrentDateTime(), aroon[-1])
pri = self._macdPrice[instrument]
vol = self._macdVol[instrument]
if instrument in self._posLong:
if cross.cross_below(self._smaShort[instrument], self._smaLong[instrument]) and aroon[-1] < -self._aroonOut:
position = self._posLong[instrument]
self.prepareExit(position)
elif instrument in self._posShort:
if cross.cross_above(pri.getSignal(), pri) and aroon[-1] > 25:
position = self._posShort[instrument]
self.prepareExit(position)
if cross.cross_above(self._smaShort[instrument], self._smaLong[instrument]) and aroon[-1] > 25:
self.prepareEnter(instrument, bars)
elif cross.cross_below(pri.getSignal(), pri) and cross.cross_above(vol.getSignal(), vol) and aroon[-1] < -self._aroonIn:
self.prepareEnter(instrument, bars, broker.Order.Action.SELL_SHORT)
def onBars(self, bars):
for instrument, bar in bars.items():
# Wait for enough bars to be available to calculate a SMA.
if not self._smaLong[
instrument] or self._smaLong[instrument][-1] is None:
return
barDs = self.getFeed().getDataSeries(instrument)
aroon = indicator.AROONOSC(barDs, self._aroonPeriod + 1,
self._aroonPeriod)
self._aroon[instrument].appendWithDateTime(
self.getCurrentDateTime(), aroon[-1])
if instrument in self._posLong:
if cross.cross_below(
self._smaShort[instrument],
self._smaLong[instrument]) and aroon[-1] < -50:
position = self._posLong[instrument]
self.prepareExit(position)
if cross.cross_above(self._smaShort[instrument],
self._smaLong[instrument]) and aroon[-1] > 50:
self.prepareEnter(instrument, bars)