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ATR Never Seems to Get Used
Nawaz Gafar
posted
Seeking Help Using Data

I am hoping to use the Average True Range to set sell trigger like this: 

high = history(30, '1d', 'high').dropna(axis=1)  
low = history(30, '1d', 'low').dropna(axis=1)  
close = history(30, '1d', 'close_price').dropna(axis=1)

try:  
    atr = talib.ATR(high[stock],  
                    low[stock],  
                    close[stock],  
                    timeperiod=14)[-1]  
except:  
    return

price = data[stock].price  
stop_loss_price = price - (atr*2)  
ideal_sell_price = price + (atr*2)

if current_positions != 0:  
    if (price >= ideal_sell_price):  
          order_target(stock, 0)  
          print('SELL', stock.symbol, 'above ATR', price)

Above is just a small sample of my code. My problem is I have everything logged so I know when a stock is bought or sold, and what triggered it. However the ATR above never seems to come up. Am I doing something wrong with regard to how I am setting the ideal_sell_price and stop_loss_price?

1 response
Jamie McCorriston

Hi Nawaz,

I tried to take a look at your code but there's a lot missing from it so I'm not able to replicate the problem exactly. Would you be willing to share a backtest here or email in to [email protected] so I can take a look at the full code? In general, it's a bad idea to have a try/except block that just returns in the exception case without printing the error message! You might want to try something like:

try:  
    atr = talib.ATR(high[stock],  
                    low[stock],  
                    close[stock],  
                    timeperiod=14)[-1]  
except Exception as e:  
    print str(e)  
    return
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.