Configure event profile in pyalgotrade to look back further than one bar ( eg bards[-2] )

问题

I'm trying to write various predicates on simple candle stick structures. For example one component of a '3 green candles in a row' predicate would require a look back of -4

To start off simple I try an test it with a 'higher_highs' predicate. If the close of the previous candle is below the current candles close the function returns true. Below is my code:

from pyalgotrade import eventprofiler
from pyalgotrade.barfeed import csvfeed

class single_event_strat( eventprofiler.Predicate ):
    def __init__(self,feed):
        pass

    def higher_highs(self, instrument, bards):
        #prev_three = bards[-4]
        #prev_two = bards[-3]
        prev = bards[-2]
        curr = bards[-1]
        if prev.getOpen() < curr.getOpen():
            return True
        return False

    def eventOccurred(self, instrument, bards):
        if self.higher_highs(instrument, bards):
            return True
        else: 
            return False


def main(plot):
    feed = csvfeed.GenericBarFeed(0)
    feed.addBarsFromCSV('FCT', "FCT_daily_converted.csv")
    predicate = single_event_strat(feed)
    eventProfiler = eventprofiler.Profiler( predicate, 20, 20)
    eventProfiler.run(feed, True)

    results = eventProfiler.getResults()
    print "%d events found" % (results.getEventCount())
    if plot:
        eventprofiler.plot(results)

if __name__ == "__main__":
    main(True)

However I get an IndexError :

Traceback (most recent call last):
  File "C:\Users\David\Desktop\Python\Coursera\Computational Finance\Week2\PyAlgoTrade\Bitfinex\FCT\FCT_single_event_test.py", line 44, in <module>
    main(True)
  File "C:\Users\David\Desktop\Python\Coursera\Computational Finance\Week2\PyAlgoTrade\Bitfinex\FCT\FCT_single_event_test.py", line 36, in main
    eventProfiler.run(feed, True)
  File "C:\Python27\lib\site-packages\pyalgotrade\eventprofiler.py", line 215, in run
    disp.run()
  File "C:\Python27\lib\site-packages\pyalgotrade\dispatcher.py", line 102, in run
    eof, eventsDispatched = self.__dispatch()
  File "C:\Python27\lib\site-packages\pyalgotrade\dispatcher.py", line 90, in __dispatch
    if self.__dispatchSubject(subject, smallestDateTime):
  File "C:\Python27\lib\site-packages\pyalgotrade\dispatcher.py", line 68, in __dispatchSubject
    ret = subject.dispatch() is True
  File "C:\Python27\lib\site-packages\pyalgotrade\feed\__init__.py", line 105, in dispatch
    self.__event.emit(dateTime, values)
  File "C:\Python27\lib\site-packages\pyalgotrade\observer.py", line 59, in emit
    handler(*args, **kwargs)
  File "C:\Python27\lib\site-packages\pyalgotrade\eventprofiler.py", line 172, in __onBars
    eventOccurred = self.__predicate.eventOccurred(instrument, self.__feed[instrument])
  File "C:\Users\David\Desktop\Python\Coursera\Computational Finance\Week2\PyAlgoTrade\Bitfinex\FCT\FCT_single_event_test.py", line 20, in eventOccurred
    if self.higher_highs(instrument, bards):
  File "C:\Users\David\Desktop\Python\Coursera\Computational Finance\Week2\PyAlgoTrade\Bitfinex\FCT\FCT_single_event_test.py", line 11, in higher_highs
    prev = bards[-2]
  File "C:\Python27\lib\site-packages\pyalgotrade\dataseries\__init__.py", line 90, in __getitem__
    return self.__values[key]
  File "C:\Python27\lib\site-packages\pyalgotrade\utils\collections.py", line 141, in __getitem__
    return self.__values[key]
IndexError: list index out of range

I'm still trying to figure out how the EP works. It's interesting because in the buyongap example there is a look back period of bards[-2],

def __gappedDown(self, instrument, bards):
    ret = False
    if self.__stdDev[instrument][-1] is not None:
        prevBar = bards[-2]
        currBar = bards[-1]
        low2OpenRet = (currBar.getOpen(True) - prevBar.getLow(True)) / float(prevBar.getLow(True))
        if low2OpenRet < (self.__returns[instrument][-1] - self.__stdDev[instrument][-1]):
            ret = True
    return ret

however it's nestled in if self.__stdDev[instrument][-1] is not None: statement, my predicate requires no TA indicators, so how could I access the previous bards?

回答1:

The problem is that on the first call to eventOccurred bards only has one item, so trying to do bards[-2] will fail. Check the length of bards first.

来源：https://stackoverflow.com/questions/37536998/configure-event-profile-in-pyalgotrade-to-look-back-further-than-one-bar-eg-ba

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python

trading

algorithmic-trading

pyalgotrade