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BUG: Buy/sell triggers not correct in example. Thanks @FerMartin.

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This commit is contained in:
Thomas Wiecki
2013-06-27 13:23:48 -04:00
parent d833503e50
commit 9931812745
1 changed files with 2 additions and 2 deletions
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zipline/examples/pairtrade.py
+2 -2
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@@ -95,8 +95,8 @@ class Pairtrade(TradingAlgorithm):
self.order('KO', -int(100 / data['KO'].price))
self.invested = True
elif zscore <= -2.0 and not self.invested:
self.order('KO', -int(100 / data['KO'].price))
self.order('PEP', int(100 / data['PEP'].price))
self.order('PEP', -int(100 / data['PEP'].price))
self.order('KO', int(100 / data['KO'].price))
self.invested = True
elif abs(zscore) < .5 and self.invested:
self.sell_spread()