Suppose I want to have a data panel for the past 10 days of the portfolio value of my portfolio, so that I could compute a moving average. How would I go about doing it?
SH,
Here's an approach. If you increase the value of 'window' you can accumulate a longer trailing window. Then, depending on what you need to do, you can select the 'portfolio_value' down to the minute level for the past 10 days or more.
Grant
import pandas as pd
window = 5 # trailing window size, in bars
def initialize(context):
context.stocks = [sid(8554),sid(33652)] # SPY & BND
context.all_data = pd.DataFrame()
context.orders_submitted = False
def handle_data(context, data):
if (not context.orders_submitted):
order_target_percent(context.stocks[0],0.5)
order_target_percent(context.stocks[1],0.5)
context.orders_submitted = True
all_data = history(1,'1d','price')
# all_data = history(1,'1m','price') # runtime error "IndexError: index out of bounds"
all_data['portfolio_value'] = context.portfolio.portfolio_value
context.all_data = context.all_data.append(all_data)
context.all_data = context.all_data.tail(window)
if len(context.all_data.index) < window:
return
print get_datetime()
print context.all_data
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