def testCrossAboveWithSMA(self):
ds1 = dataseries.SequenceDataSeries()
ds2 = dataseries.SequenceDataSeries()
sma1 = ma.SMA(ds1, 15)
sma2 = ma.SMA(ds2, 25)
for i in range(100):
ds1.append(i)
ds2.append(50)
if i == 58:
self.assertEqual(cross.cross_above(sma1[:], sma2[:], -2, None),
1)
else:
self.assertEqual(cross.cross_above(sma1[:], sma2[:], -2, None),
0)
def onBars(self, bars):
# If a position was not opened, check if we should enter a long position.
if self.__position is None:
if cross.cross_above(self.__prices, self.__sma) > 0:
shares = int(self.getBroker().getCash() * 0.9 / bars[self.__instrument].getPrice())
# Enter a buy market order. The order is good till canceled.
self.__position = self.enterLong(self.__instrument, shares, True)
# Check if we have to exit the position.
elif not self.__position.exitActive() and cross.cross_below(self.__prices, self.__sma) > 0:
self.__position.exitMarket()
def onBars(self, bars):
if bars.getBar(self.__lead):
if cross.cross_above(self.__adjClose,
self.__slowSMA) == 1 and self.__pos is None:
shares = self.__calculatePosSize()
if shares:
self.__pos = self.enterLong(self.__lag, shares)
elif cross.cross_below(
self.__adjClose,
self.__fastSMA) == 1 and self.__pos is not None:
self.__pos.exitMarket()
def testCrossAboveMany(self):
count = 100
values1 = [-1 if i % 2 == 0 else 1 for i in range(count)]
values2 = [0 for i in range(count)]
# Check first value
self.assertEqual(cross.cross_above(values1, values2, 0, 0), 0)
# Check every 2 values.
period = 2
for i in range(1, count):
if i % 2 == 0:
self.assertEqual(
cross.cross_above(values1, values2, i - period + 1, i + 1),
0)
else:
self.assertEqual(
cross.cross_above(values1, values2, i - period + 1, i + 1),
1)
# Check every 4 values.
period = 4
for i in range(3, count):
if i % 2 == 0:
self.assertEqual(
cross.cross_above(values1, values2, i - period + 1, i + 1),
1)
else:
self.assertEqual(
cross.cross_above(values1, values2, i - period + 1, i + 1),
2)
# Check for all values.
self.assertEqual(cross.cross_above(values1, values2, 0, count),
count / 2)
def onBars(self, bars):
bar = bars.getBar("orcl")
self.printDebug("%s: O=%s H=%s L=%s C=%s" % (bar.getDateTime(), bar.getOpen(), bar.getHigh(), bar.getLow(), bar.getClose()))
if cross.cross_above(self.__fastSMADS, self.__slowSMADS) == 1:
if self.__shortPos:
self.exitShortPosition(bars, self.__shortPos)
assert(self.__longPos is None)
self.__longPos = self.enterLongPosition(bars)
elif cross.cross_below(self.__fastSMADS, self.__slowSMADS) == 1:
if self.__longPos:
self.exitLongPosition(bars, self.__longPos)
assert(self.__shortPos is None)
self.__shortPos = self.enterShortPosition(bars)
def onBars(self, bars):
bar = bars[self.__instrument]
self.info("Price: %s. Volume: %s." % (bar.getClose(), bar.getVolume()))
# Wait until we get the current bid/ask prices.
if self.__ask is None:
return
# If a position was not opened, check if we should enter a long position.
if self.__position is None:
if cross.cross_above(self.__prices, self.__sma) > 0:
self.info("Entry signal. Buy at %s" % (self.__ask))
self.__position = self.enterLongLimit(self.__instrument,
self.__ask,
self.__posSize, True)
# Check if we have to close the position.
elif not self.__position.exitActive() and cross.cross_below(
self.__prices, self.__sma) > 0:
self.info("Exit signal. Sell at %s" % (self.__bid))
self.__position.exitLimit(self.__bid)
def exitLongSignal(self):
return cross.cross_above(
self.__priceDS,
self.__exitSMA) and not self.__longPos.exitActive()
def testCrossAboveOnce(self):
values1 = self.__buildSeqDS([1, 1, 1, 10, 1, 1, 1])
values2 = self.__buildSeqDS([2, 2, 2, 2, 2, 2, 2])
# Check every 2 values.
self.assertEqual(cross.cross_above(values1, values2, 0, 2), 0)
self.assertEqual(cross.cross_above(values1, values2, 1, 3), 0)
self.assertEqual(cross.cross_above(values1, values2, 2, 4), 1)
self.assertEqual(cross.cross_above(values1, values2, 3, 5), 0)
self.assertEqual(cross.cross_above(values1, values2, 4, 6), 0)
self.assertEqual(cross.cross_above(values1, values2, 5, 7), 0)
# Check every 3 values.
self.assertEqual(cross.cross_above(values1, values2, 0, 3), 0)
self.assertEqual(cross.cross_above(values1, values2, 1, 4), 1)
self.assertEqual(cross.cross_above(values1, values2, 2, 5), 1)
self.assertEqual(cross.cross_above(values1, values2, 3, 6), 0)
self.assertEqual(cross.cross_above(values1, values2, 4, 7), 0)
# Check for all values.
self.assertEqual(cross.cross_above(values1, values2, 0, 7), 1)
self.assertEqual(cross.cross_above(values1, values2, 0, -1), 1)
def testWithLists(self):
self.assertEqual(cross.cross_above([1, 2], [1, 1], -2), 0)
self.assertEqual(cross.cross_above([0, 1, 2], [1, 1, 1], -3), 1)
self.assertEqual(cross.cross_above([0, 0, 0, 1, 2], [1, 1, 1], -3), 1)
self.assertEqual(cross.cross_above([0, 0, 0, 1, 2], [1, 1], -3), 0)
self.assertEqual(cross.cross_above([0, 0, 0, 0, 2], [1, 1], -3), 1)