breakout method

[robcarver17]

breakout method

[robcarver17]

I plan to incorporate the breakout method into pysystemtrade and it would be quicker for me to do that than to try and fix your code, so please be patient. I'll leave this open until then.

I noticed that if I replace the above-mentioned code with:

def breakout(x, ws):
    maxs = pd.rolling_max(x, ws, min_periods=min(len(x.index), int(ws/2)))
    mins = pd.rolling_min(x, ws, min_periods=min(len(x.index), int(ws/2)))
    avg = (maxs+mins)/2
    bo = 40*((x - avg)/(maxs-mins))
    bo = pd.ewma(bo, span = int(ws/4.0), min_periods = int(ws/8.0))
    return bo

and add a series of breakout rules to the config and in rules.py, the breakout rule works. The issue with indexing is related to the second function (breakout_one_row(idx, x, max_x, min_x)), which is not required, unless I am mistaken.

[robcarver17]

breakout is now in the latest version. See https://github.com/robcarver17/pysystemtrade/blob/master/systems/provided/moretradingrules/morerules.py