MACD

#psudo code
import talib
import numpy as np

#initialize context
start = '2017-01-01'                       # start date of back-test
end = '2017-12-01'                         # end date of back-test
universe = set_universe('HS300', start)        # use start to avoid survivl bias
benchmark = 'HS300'                        
freq = 'd'                                 # 'd' means day
refresh_rate = 1                           

#initialize account
accounts = {
    'fantasy_account': AccountConfig(account_type='security', capital_base=10000000)
}

#parameters
max_history_window = 60 #how many days we use in calculating MACD
fastperiod = 12 
slowperiod = 26 
signalperiod =9 


def initialize(context):                  
    return


def handle_data(context):                  
    timing(context)

def timing_Basic_MACD(context):
   
    #general part:account, universe,price, position, cash
    account=context.get_account('fantasy_account') 
    current_universe=context.get_universe(exclude_halt=True) 
    log.info(current_universe)
    history=context.history(current_universe,'closePrice',max_history_window,rtype='array')
    security_position=account.get_positions()
    cash = account.cash
    
    #timing execution part:
    buylist=[] 
    for sec in current_universe: 
        close=history[sec]['closePrice'] 
        DIF, DEA, MACD=talib.MACD(close,fastperiod=fastperiod,
                                  slowperiod=slowperiod,signalperiod=signalperiod)
        if MACD[-2]<0 and MACD[-1]>0 and sec not in security_position: 
            buylist.append(sec) 
        elif MACD[-2]>0 and MACD[-1]<0 and sec in security_position: 
            order_to(sec,0) 
            cash+=security_position[sec].amount*context.current_price(sec)
            #context.current_price(sec)
            #security_position[sec].amount
            
    
    d=min(len(buylist), int(cash)//100000) 
    for sec in buylist[:d]:
        order(sec, 100000/context.current_price(sec)) 
        
def timing(context):
    timing_Basic_MACD(context)