turtle-trading.py 文件源码

def compute_average_true_ranges(context):
    """
    Compute average true ranges, or N.
    """
    if context.is_debug:
        start_time = time()

    rolling_window = 21
    moving_average = 20

    for market in context.prices.items:
        context.average_true_range[market] = ATR(
            context.prices[market].high[-rolling_window:],
            context.prices[market].low[-rolling_window:],
            context.prices[market].close[-rolling_window:],
            timeperiod=moving_average
        )[-1]

    if context.is_test:
        assert(len(context.average_true_range) > 0)

    if context.is_debug:
        time_taken = (time() - start_time) * 1000
        log.debug('Executed in %f ms.' % time_taken)
        assert(time_taken < 1024)