def run(self):
self.ts = pf.fetch_timeseries(self.symbol,
use_cache=self.options['use_cache'])
self.ts = pf.select_tradeperiod(self.ts, self.start, self.end,
self.options['use_adj'])
# Add calendar columns
self.ts = pf.calendar(self.ts)
# Add momentum indicator for 3...18 months
lookbacks = range(3, 18 + 1)
for lookback in lookbacks:
self.ts['mom' + str(lookback)] = pf.MOMENTUM(self.ts,
lookback=lookback,
time_frame='monthly',
price='close',
prevday=False)
self.ts, self.start = pf.finalize_timeseries(self.ts, self.start)
self.tlog = pf.TradeLog(self.symbol)
self.dbal = pf.DailyBal()
self._algo()
self._get_logs()
self._get_stats()
def _momentum(ts, ta_param, input_column):
return pf.MOMENTUM(ts,
lookback=ta_param,
time_frame='monthly',
price=input_column,
prevday=False)