def __init__(self, feed, brk, instrument, vwapWindowSize, buyThreshold,
sellThreshold):
super(VWAPMomentum, self).__init__(feed, brk)
self.__instrument = instrument
self.__vwap = vwap.VWAP(feed[instrument], vwapWindowSize)
self.__buyThreshold = buyThreshold
self.__sellThreshold = sellThreshold
def testPeriod1_ClosingPrice(self):
barFeed = self.__getFeed()
bars = barFeed[VWAPTestCase.Instrument]
vwap_ = vwap.VWAP(bars, 1)
barFeed.loadAll()
for i in xrange(len(bars)):
self.assertEqual(round(bars[i].getClose(), 5), round(vwap_[i], 5))
def testPeriod2_TypicalPrice(self):
barFeed = self.__getFeed()
bars = barFeed[VWAPTestCase.Instrument]
vwap_ = vwap.VWAP(bars, 2, True)
barFeed.loadAll()
self.assertEqual(vwap_[0], None)
for i in xrange(1, len(vwap_)):
self.assertNotEqual(vwap_[i], None)
def testBounded(self):
barFeed = self.__getFeed()
bars = barFeed[VWAPTestCase.Instrument]
vwap_ = vwap.VWAP(bars, 50, True, 2)
barFeed.loadAll()
outputValues = [14.605005665747331, 14.605416923506045]
for i in xrange(2):
self.assertEqual(round(vwap_[i], 4), round(outputValues[i], 4))
def testPeriod50_ClosingPrice(self):
barFeed = self.__getFeed()
bars = barFeed[VWAPTestCase.Instrument]
vwap_ = vwap.VWAP(bars, 50)
barFeed.loadAll()
for i in xrange(49):
self.assertEqual(vwap_[i], None)
for i in xrange(49, len(vwap_)):
self.assertNotEqual(vwap_[i], None)
def __init__(self, feed, instrument, vwapWindowSize, threshold):
super(VWAPMomentum, self).__init__(feed)
self.__instrument = instrument
self.__vwap = vwap.VWAP(feed[instrument], vwapWindowSize)
self.__threshold = threshold