Rewrite of LaguerreRSI and test case template. mementum#265

mementum · mementum · commit 9bfc4ab94683 · 2017-02-17T17:18:03.000+01:00
diff --git a/backtrader/indicators/lrsi.py b/backtrader/indicators/lrsi.py
@@ -21,59 +21,59 @@
 from __future__ import (absolute_import, division, print_function,
                         unicode_literals)
 
-from . import Indicator
+from . import PeriodN
 
-__all__ = ['LaguerreRSI']
+__all__ = ['LaguerreRSI', 'LRSI']
 
-class LaguerreRSI(Indicator):
+
+class LaguerreRSI(PeriodN):
     alias = ('LRSI',)
     lines = ('lrsi',)
-    params = (('gamma', 0.5),)
+    params = (
+        ('gamma', 0.5),
+        ('period', 6),
+    )
 
     plotinfo = dict(
         plotymargin=0.15,
         plotyticks=[0.0, 0.2, 0.5, 0.8, 1.0]
     )
 
     def __init__(self):
-        self.addminperiod(6)
-        self.l0 = [0, 0]
-        self.l1 = [0, 0]
-        self.l2 = [0, 0]
-        self.l3 = [0, 0]
+        self.l0, self.l1, self.l2, self.l3 = 0.0, 0.0, 0.0, 0.0
 
         super(LaguerreRSI, self).__init__()
 
-    def next(self):
-        tp = (self.data.high + self.data.low) / 2
-        self.l0.insert(0, ((1 - self.p.gamma) * tp +
-                           self.p.gamma * self.l0[0]))
-        self.l1.insert(0, (-self.p.gamma * self.l0[0] + self.l0[1] +
-                           self.p.gamma * self.l1[0]))
-        self.l2.insert(0, (-self.p.gamma * self.l1[0] + self.l1[1] +
-                           self.p.gamma * self.l2[0]))
-        self.l3.insert(0, (-self.p.gamma * self.l2[0] + self.l2[1] +
-                           self.p.gamma * self.l3[0]))
-        del self.l0[2:]
-        del self.l1[2:]
-        del self.l2[2:]
-        del self.l3[2:]
+    def prenext(self):
+        self.next(notpre=False)
+
+    def next(self, notpre=True):
+        tp_0 = (self.data.high + self.data.low) / 2  # price point
+        l0_1 = self.l0  # cache previous intermediate values
+        l1_1 = self.l1
+        l2_1 = self.l2
+
+        g = self.p.gamma  # avoid more lookups
+        self.l0 = l0 = (1 - g) * tp_0 + g * l0_1 * notpre  # interm values
+        self.l1 = l1 = -g * l0 + l0_1 + g * l1_1 * notpre
+        self.l2 = l2 = -g * l1 + l1_1 + g * l2_1 * notpre
+        self.l3 = l3 = -g * l2 + l2_1 + g * self.l3 * notpre
 
-        cd = 0
-        cu = 0
-        if self.l0[0] >= self.l1[0]:
-            cu = self.l0[0] - self.l1[0]
+        cd = 0.0
+        cu = 0.0
+        if l0 >= l1:
+            cu = l0 - 11
         else:
-            cd = self.l1[0] - self.l0[0]
+            cd = l1 - l0
 
-        if self.l1[0] >= self.l2[0]:
-            cu = cu + self.l1[0] - self.l2[0]
+        if l1 >= l2:
+            cu = cu + l1 - l2
         else:
-            cd = cd + self.l2[0] - self.l1[0]
+            cd = cd + l2 - l1
 
-        if self.l2[0] >= self.l3[0]:
-            cu = cu + self.l2[0] - self.l3[0]
+        if l2 >= l3:
+            cu = cu + l2 - l3
         else:
-            cd = cd + self.l3[0] - self.l2[0]
+            cd = cd + l3 - l2
 
-        self.lines.lrsi[0] = cu / (cu + cd)
+        self.lines.lrsi[0] = cu / (cu + cd)  # store line value
diff --git a/tests/test_ind_lrsi.py b/tests/test_ind_lrsi.py
@@ -0,0 +1,50 @@
+#!/usr/bin/env python
+# -*- coding: utf-8; py-indent-offset:4 -*-
+###############################################################################
+#
+# Copyright (C) 2015, 2016 Daniel Rodriguez
+#
+# This program is free software: you can redistribute it and/or modify
+# it under the terms of the GNU General Public License as published by
+# the Free Software Foundation, either version 3 of the License, or
+# (at your option) any later version.
+#
+# This program is distributed in the hope that it will be useful,
+# but WITHOUT ANY WARRANTY; without even the implied warranty of
+# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+# GNU General Public License for more details.
+#
+# You should have received a copy of the GNU General Public License
+# along with this program.  If not, see <http://www.gnu.org/licenses/>.
+#
+###############################################################################
+from __future__ import (absolute_import, division, print_function,
+                        unicode_literals)
+
+import testcommon
+
+import backtrader as bt
+import backtrader.indicators as btind
+
+chkdatas = 1
+chkvals = [
+    ['4063.463000', '3644.444667', '3554.693333'],
+]
+
+chkmin = 30
+chkind = btind.LRSI
+
+
+def test_run(main=False):
+    datas = [testcommon.getdata(i) for i in range(chkdatas)]
+    testcommon.runtest(datas,
+                       testcommon.TestStrategy,
+                       main=main,
+                       plot=main,
+                       chkind=chkind,
+                       chkmin=chkmin,
+                       chkvals=chkvals)
+
+
+if __name__ == '__main__':
+    test_run(main=True)
