def __init__(self, feed, instrument, n, m):
strategy.BacktestingStrategy.__init__(self, feed)
self.__instrument = instrument
self.getBroker().setFillStrategy(DefaultStrategy(None))
self.getBroker().setCommission(TradePercentage(0.001))
self.__position = None
self.__prices = feed[instrument].getPriceDataSeries()
self.__malength1 = int(n)
self.__malength2 = int(m)
self.__ma1 = ma.SMA(self.__prices, self.__malength1)
self.__ma2 = ma.SMA(self.__prices, self.__malength2)
def __init__(self, feed, instrument, mall, mals, masl, mass):
strategy.BacktestingStrategy.__init__(self, feed)
self.getBroker().setFillStrategy(DefaultStrategy(None))
self.getBroker().setCommission(TradePercentage(0.001))
self.__instrument = instrument
self.__close = feed[instrument].getCloseDataSeries()
self.__longPos = None
self.__shortPos = None
self.__mall = ma.SMA(self.__close, int(mall))
self.__mals = ma.SMA(self.__close, int(mals))
self.__masl = ma.SMA(self.__close, int(masl))
self.__mass = ma.SMA(self.__close, int(mass))
self.__position = SequenceDataSeries()
def __init__(self, feed, instrument, short_l, mid_l, long_l, up_cum):
strategy.BacktestingStrategy.__init__(self, feed)
self.__instrument = instrument
self.getBroker().setFillStrategy(DefaultStrategy(None))
self.getBroker().setCommission(TradePercentage(0.001))
self.__position = None
self.__prices = feed[instrument].getPriceDataSeries()
self.__malength1 = int(short_l)
self.__malength2 = int(mid_l)
self.__malength3 = int(long_l)
self.__circ = int(up_cum)
self.__ma1 = ma.SMA(self.__prices, self.__malength1)
self.__ma2 = ma.SMA(self.__prices, self.__malength2)
self.__ma3 = ma.SMA(self.__prices, self.__malength3)
def __init__(self, feed, instrument, bollingerlength, numStdDev, closelength, ccMAlength, malength, space):
strategy.BacktestingStrategy.__init__(self, feed)
self.getBroker().setFillStrategy(DefaultStrategy(None))
self.getBroker().setCommission(TradePercentage(0.002))
self.__instrument = instrument
self.__bollingerlength = int(bollingerlength)
numStdDev = float(numStdDev) / 10
self.__closelength = int(closelength)
self.__ccMAlength = int(ccMAlength)
self.__malength = int(malength)
self.__longPos = None
self.__shortPos = None
self.__close = feed[instrument].getCloseDataSeries()
self.__high = feed[instrument].getHighDataSeries()
self.__low = feed[instrument].getLowDataSeries()
self.__datetime = feed[instrument].getDateTimes()
self.__bollinger = bollinger.BollingerBands(self.__close, self.__bollingerlength, int(numStdDev))
self.__UpperBand = self.__bollinger.getUpperBand()
self.__LowerBand = self.__bollinger.getLowerBand()
self.__MA = SequenceDataSeries()
self.__space = int(space)
self.__enter = 0
self.__enterLong1 = 0
self.__enterLong2 = 0
self.__enterShort1 = 0
self.__enterShort2 = 0
self.__exitLong1 = 0
self.__exitLong2 = 0
self.__exitShort1 = 0
self.__exitShort1 = 0
#for test
#########################################################################
self.__p = SequenceDataSeries()
self.__filterCon = SequenceDataSeries()
self.__ccMACon1 = SequenceDataSeries()
self.__ccMACon2 = SequenceDataSeries()
self.__enterCon = SequenceDataSeries()
self.__enterLongCon1 = SequenceDataSeries()
self.__enterLongCon2 = SequenceDataSeries()
self.__enterShortCon1 = SequenceDataSeries()
self.__enterShortCon2 = SequenceDataSeries()
self.__exitLongCon1 = SequenceDataSeries()
self.__exitLongCon2 = SequenceDataSeries()
self.__exitShortCon1 = SequenceDataSeries()
self.__exitShortCon2 = SequenceDataSeries()