def __init__(self, feed, win=10):
super(SVMStrategy, self).__init__(feed)
self.__instrument = instrument
self.__position = None
self.getBroker().setCash(initCapital)
self.getBroker().setCommission(TradePercentage(0.003))
self.getBroker().setAllowNegativeCash(True)
self.getBroker().getFillStrategy().setVolumeLimit(1)
self.getBroker().getFillStrategy().setSlippageModel(
VolumeShareSlippage(priceImpact=0.0))
self.__closeDataSeries = feed[instrument].getCloseDataSeries()
self.df = df
self.closeArr = []
self.portfolios = []
self.buys = []
self.sells = []
self.clf = clf
self.X_norm = X_norm
self.y = y
self.actionDates = actionDates
self.win = win
# print 'week count:', len(y)
self.monthCount = 1
self.dayCount = 0
self.errorCount = 0
self.rightCount = 0
def __init__(self, feed, instrument, df, shortWin=20, longWin=40):
super(MyStrategy, self).__init__(feed)
self.__instrument = instrument
self.__position = None
self.getBroker().setCash(100000)
self.getBroker().setCommission(TradePercentage(0.003))
self.getBroker().setAllowNegativeCash(True)
self.getBroker().getFillStrategy().setVolumeLimit(1)
self.getBroker().getFillStrategy().setSlippageModel(
VolumeShareSlippage(priceImpact=0.0))
self.__closeDataSeries = feed[instrument].getCloseDataSeries()
self.df = df
self.shortWin = shortWin
self.longWin = longWin
self.closeArr = []
self.fastSMA = []
self.slowSMA = []
self.buys = []
self.sells = []
self.portfolios = []