Add strategy for joining strategies on data windows

src/strategy/strategy.py

@@ -163,3 +163,29 @@ class ModelQuantilePredictionsStrategy(ModelPredictionsStrategyBase):
 
     def get_quantile_idx(self, quantile):
         return self.quantiles.index(quantile)
+
+
+class ConcatenatedStrategies(StrategyBase):
+    """
+    Evaluates multiple strategies,
+    each on the next `window_size` data points.
+    """
+
+    def __init__(self, window_size, strategies, name='Concatenated Strategy'):
+        self.window_size = window_size
+        self.strategies = strategies
+        self.name = name
+
+    def info(self):
+        return {'strategy_name': self.name}
+
+    def run(self, data):
+        chunks = [data[i:i+self.window_size].copy()
+                  for i in range(0, data.shape[0], self.window_size)]
+        assert len(chunks) <= len(self.strategies)
+
+        positions = []
+        for chunk, strategy in zip(chunks, self.strategies):
+            positions.append(strategy.run(chunk))
+
+        return np.concatenate(positions)