def testSTOCH(self):
barDs = self.__loadBarDS()
self.assertAmountsAreEqual(
indicator.STOCH(barDs, 252, 5, 3, talib.MA_Type.SMA, 3,
talib.MA_Type.SMA)[0][8], 24.0128)
self.assertAmountsAreEqual(
indicator.STOCH(barDs, 252, 5, 3, talib.MA_Type.SMA, 3,
talib.MA_Type.SMA)[1][8], 36.254)
self.assertAmountsAreEqual(
indicator.STOCH(barDs, 252, 5, 3, talib.MA_Type.SMA, 4,
talib.MA_Type.SMA)[0][-1], 30.194)
self.assertAmountsAreEqual(
indicator.STOCH(barDs, 252, 5, 3, talib.MA_Type.SMA, 4,
talib.MA_Type.SMA)[1][-1], 46.641)
def testSTOCH(self):
barDs = self.__loadBarDS()
self.assertTrue(
compare(
indicator.STOCH(barDs, 252, 5, 3, talib.MA_Type.SMA, 3,
talib.MA_Type.SMA)[0][8], 24.0128))
self.assertTrue(
compare(
indicator.STOCH(barDs, 252, 5, 3, talib.MA_Type.SMA, 3,
talib.MA_Type.SMA)[1][8], 36.254))
self.assertTrue(
compare(
indicator.STOCH(barDs, 252, 5, 3, talib.MA_Type.SMA, 4,
talib.MA_Type.SMA)[0][-1], 30.194))
self.assertTrue(
compare(
indicator.STOCH(barDs, 252, 5, 3, talib.MA_Type.SMA, 4,
talib.MA_Type.SMA)[1][-1], 46.641))
def onBars(self, bars):
if self.__atr is None:
return
barDs = self.getFeed().getDataSeries(self.__instrument)
atr_21 = self.__atr[-21:]
if len(atr_21) < 20:
return
#print atr_21[:-1]
maxatr = max(atr_21[:-1])
nowatr = self.__atr[-1]
stochk, stochd = indicator.STOCH(barDs, 100, fastk_period=5, slowk_period=3, slowk_matype=0, slowd_period=3, slowd_matype=0)
#print stochk[-1],"--",stochd[-1]
#print "stochk:%s mfast:%s mslow:%s nowatr:%s maxatr:%s"%(stochk[-1], self.__mafast[-1], self.__maslow[-1], nowatr, maxatr)
if self.__position is None:
if stochk[-1] < 20 and self.__mafast[-1] < self.__maslow[-1] :
# Enter a buy market order for 10 shares. The order is good till canceled.
self.__position = self.enterLong(self.__instrument, 10, True)
#print dir(self.__position)
# Check if we have to exit the position.
elif stochk[-1] > 75 and nowatr < maxatr and not self.__position.exitActive():
self.__position.exitMarket()