My algo makes chaotic, inexplicable deals. Could anyone point at the bug?
import talib
import numpy as np
import pandas as pd
from quantopian.algorithm import order_optimal_portfolio
import quantopian.optimize as opt
def initialize(context):
context.appl = sid(24)
def handle_data(context, data):
history= data.history(context.appl, fields="price", bar_count=2000*60, frequency="1m")#.resample('H').last()
history = history.dropna()
#calculations EMAs
long_ema_last = pd.Series(talib.EMA(history,timeperiod=1000)).iloc[-1]
long_ema_previous = pd.Series(talib.EMA(history,timeperiod=60)).iloc[-2]
short_ema_last = pd.Series(talib.EMA(history, timeperiod=60*60)).iloc[-1]
short_ema_previous = pd.Series(talib.EMA(history, timeperiod=60*60)).iloc[-2]
# open conditions
golong = (long_ema_last/long_ema_previous > 1) and (short_ema_last / short_ema_previous > 1)
goshort = (long_ema_last/long_ema_previous < 1) and (short_ema_last / short_ema_previous < 1)
if golong:
log.info("conditions to GO LONG")
order_target_percent(context.appl, 1)
if goshort:
log.info("conditions to GO SHORT")
order_target_percent(context.appl, -1)
# exit conditions
if (not goshort and not golong):
log.info("conditions to EXIT")
order_target_percent(context.appl, 0)
