import numpy as npfrom scipy.signal import lfilter

def mySettings():

settings={} settings['markets'] = ['CASH', 'F_AD', 'F_BO', 'F_BP', 'F_C', 'F_CC', 'F_CD', 'F_CL', 'F_CT', 'F_DX', 'F_EC', 'F_ED', 'F_ES', 'F_FC', 'F_FV', 'F_GC', 'F_HG', 'F_HO', 'F_JY', 'F_KC', 'F_LB', 'F_LC', 'F_LN', 'F_MD', 'F_MP', 'F_NG', 'F_NQ', 'F_NR', 'F_O', 'F_OJ', 'F_PA', 'F_PL', 'F_RB', 'F_RU', 'F_S', 'F_SB', 'F_SF', 'F_SI', 'F_SM', 'F_TU', 'F_TY', 'F_US', 'F_W', 'F_XX', 'F_YM'] settings['slippage'] = 0.05 settings['budget'] = 1000000 # settings['beginInSample'] = '20050101' settings['endInSample'] = '20121231' settings['lookback'] = 504

return settings

def myTradingSystem(DATE, OPEN, HIGH, LOW, CLOSE, settings): period1 = 504 rsi1 = RSI(CLOSE,period1) p = rsi1 -50

return p, settings

def RSI(CLOSE,period): closeMom = CLOSE[1:,:] - CLOSE[:-1,:] upPosition = np.where(closeMom >= 0) downPosition = np.where(closeMom < 0) upMoves = closeMom.copy() upMoves[downPosition] = 0 downMoves = np.abs(closeMom.copy()) downMoves[upPosition] = 0 out = 100 - 100 / (1 + (np.mean(upMoves[-(period+1):,:],axis=0) / np.mean(downMoves[-(period+1):,:],axis=0)))

return outdef nDayEMA(field, period): ep = 2.0/(period+1) aa= np.array([ep]) bb = np.array([1, -(1-ep)]) zInit = np.array(field[1,:]*(1-ep))[np.newaxis] out = lfilter(aa, bb, field[1:,:], zi=zInit,axis=0) out = out[0] out[:period-1,:] = np.NaN return out# Evaluate trading system defined in current file.if __name__ == '__main__': import quantiacsToolbox results = quantiacsToolbox.runts(__file__)