Curious if anyone knows why I'm seeing this when I check the middle (sma) of a bollinger band:
[ nan nan nan nan nan nan nan
nan
nan 181.522 181.546 181.581 181.612 181.64 181.659 181.671
181.672 181.67 181.681 181.748]
I'm using minute bars, 1 minute updates, and letting it run through a few days... lots of null values like that for the middle band.
It's a variation on the lyrics to many songs from the last century:
Songs with NaN, NaN, NaN in them
You sing it while you make money...
JS, can you share a code snippet or the algo to give us more context?
Here's an example Bollinger Band strategy, maybe that will explain the NaNs: https://www.quantopian.com/help#api-talib
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Here's an example, hopefully it's reproduceable and I'm just making some basic mistake.
def handle_data(context, data):
for s in data:
prices_history = history(bar_count=20, frequency='1m', field='price')
upper, middle, lower = talib.BBANDS(
prices_history[s],
timeperiod=20,
nbdevup=2,
nbdevdn=2,
matype=0)
prev_bar = prices_history[s][-2]
curr_bar = prices_history[s][-1]
log.info('one:' + str(lower[-1]) + ' second:' + str(lower[-2]))
JS, the talib calculations are done on a rolling basis, so you have to make sure to ask for more data points in the history call than the 'timeperiod' used the talib function. The NaN values are expected, the 20 period SMA has no value until there are 20 trailing data points to use. All you have to do is increase the number of minutes requested in the history function.
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.
