Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Calling the kalman filter function with data from history function
Tomas Lundström
posted

Hi,

I'm trying to smooth the data from the history function, using the kalman filter. But the kalmanfilter function only takes an array (I think), but the data from the history function is a dataframe.

I thought I would loop over all the sids and call the filter, but I'm not sure how to implement it. Anyone know how to implement this=?

prices = np.log(history(context.lookback, '1d', 'price').dropna(axis=1)) 

# Construct a Kalman filter  
kf = KalmanFilter(transition_matrices = [1],  
              observation_matrices = [1],  
              initial_state_mean = 0,  
              initial_state_covariance = 1,  
              observation_covariance=1,  
              transition_covariance=.01)

for column in prices.T:
mean_prices, _ = kf.filter(column)

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

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.