can lamda be used to look back?

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posted

Hi,
Lets say i wanted to build a system that will buy when a security is trading above an rsi(14) value of 70 for 5 consecutive days and sell 7 days later. How can i do that?

It looks like the handle_data method only processes data for the current period and doesn't allow any looking back at previous values. Is this correct?
if so, then is the only way to maintain a counter of the number of consecutive days the security is above an rsi value of 70? Or is there a way to use lamda expressions to look back and check if the last 5 values are > X?

6 responses

Jean Bredeche

Hi Mahendra, you could keep a counter that you increment each time the rsi(14) value is > 70, and you reset to 0 when the rsi(14) value is <= 70. Then, once the counter hits 5 or some other threshold, you buy.

There is probably a way to use a batch transform to keep a window of the last N rsi(14) values. To read up on batch transforms, check out https://www.quantopian.com/help#ide-batch-transforms.

hope that helps!

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Thomas Wiecki

Hi Mahendra, I agree with Jean that a batch_transform could do this. However, a deque might be even simpler, e.g.:

from collections import deque

# init  
context.past_rsis = deque(max_len=5)

# in handle_data()  
context.past_rsis.append(rsi > 70)  
if numpy.all(context.past_rsis):  
    # do stuff

I didn't try this so it might not work out of the box but it should give an idea.

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Jonathan Kamens

Thomas, one addition that is required to your code is to ensure that in addition to checking numpy.all, you also check that the algo has been running for at least five trading days, because otherwise it'll trigger after less than 5 days of rsi > 70 at the start of the backtest.

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Dennis C

Here is a mashup of the TA-Lib code example and everyone's ideas in this thread.

mbs mbs

Thank you for your suggestions and advice. the current implementation does use a counter, but i would like to try the batch transform. Dennis, in your code, there is one thing i am struggling to understand. If you are appending to past_rsis, then doesn't that mean that line 45 will at most only yield true once. In other words, assuming there are initially 5 elements in past_rsis once initialize is called, then when handle_data is called a new element is appended, there will now be 6 elements, meaning line 45 will never return true on subsequent calls. Or is it that initialize is also called for each period, and thus resets past_rsis for each period? if that is true, it sounds like a counter might be more efficient in this case.

Thomas Wiecki

@Mahendra: That's the beauty of the maxlen argument passed to deque -- it causes the window length to remain constant. As you append new events, old ones will get dropped once you hit the maxlen.

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