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tutorial-3.py
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tutorial-3.py
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from pyalgotrade import strategy
from pyalgotrade.barfeed import quandlfeed
from pyalgotrade.technical import ma
from pyalgotrade.technical import rsi
def safe_round(value, digits):
if value is not None:
value = round(value, digits)
return value
class MyStrategy(strategy.BacktestingStrategy):
def __init__(self, feed, instrument):
super(MyStrategy, self).__init__(feed)
self.__rsi = rsi.RSI(feed[instrument].getCloseDataSeries(), 14)
self.__sma = ma.SMA(self.__rsi, 15)
self.__instrument = instrument
def onBars(self, bars):
bar = bars[self.__instrument]
self.info("%s %s %s" % (
bar.getClose(), safe_round(self.__rsi[-1], 2), safe_round(self.__sma[-1], 2)
))
# Load the bar feed from the CSV file
feed = quandlfeed.Feed()
feed.addBarsFromCSV("orcl", "WIKI-ORCL-2000-quandl.csv")
# Evaluate the strategy with the feed's bars.
myStrategy = MyStrategy(feed, "orcl")
myStrategy.run()