Structured_MA_TII.py

# Base parameters
expected_cost    = 0.2 * (lot / 10000) 
assets           = asset_list(1) 
window           = 1000

# Trading parameters   
horizon          = 'H1'

# Indicator / Strategy parameters
ma_lookback       = 21
tii_lookback      = 21

# Mass imports 
my_data = mass_import(0, horizon)


def signal(Data, close, tii, ma_col, buy, sell):
    
    Data = adder(Data, 10)
    
    for i in range(len(Data)): 
        if Data[i, tii] > 0 and Data[i - 1, tii] == 0 and Data[i - 2, tii] > 0 and Data[i, close] > Data[i, ma_col]:
            Data[i, buy] = 1 
            
        elif Data[i, tii] < 100 and Data[i - 1, tii] == 100 and Data[i - 2, tii] < 100 and Data[i, close] < Data[i, ma_col]:
            Data[i, sell] = -1   
            
    return Data


##############################################################################   1

my_data = trend_intensity_indicator(my_data, tii_lookback, 3, 4)
my_data = ma(my_data, ma_lookback, 3, 5)
my_data = signal(my_data, 3, 4, 5, 6, 7) 

if sigchart == True:
    signal_chart_ohlc_color(my_data, assets[0], 3, 6, 7, window = 250)

holding(my_data, 6, 7, 8, 9)
my_data_eq = equity_curve(my_data, 8, expected_cost, lot, investment)
performance(my_data_eq, 8, my_data, assets[0])  

plt.plot(my_data_eq[:, 3], linewidth = 1, label = assets[0])
plt.grid()
plt.legend()
plt.axhline(y = investment, color = 'black', linewidth = 1)