Custom Moving Average creation?

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Custom Moving Average creation?

posted

Hello,

I'm having some trouble here.. I have a custom value that is the difference between the 30 day mavg price and 30 day mavg stdev, Is it possible to create a 30 day mavg of the difference between these two? Any help would be greatly appreciated.

Thanks in advance!
Jamie

3 responses

Hello Jamie,

I'd start by getting familiar with 'history' described on the help page (https://www.quantopian.com/help#ide-history). It'll get you a Pandas DataFrame that can be used to compute the quantities of interest. If I understand correctly, you'll want to use rolling_mean and rolling_std described on http://pandas.pydata.org/pandas-docs/stable/computation.html, take the difference of the results and then compute the mean of the differences, for each security.

A thread to get you started: https://www.quantopian.com/posts/working-with-history-dataframes.

Grant

These might help: https://www.google.com/#q=mavg+site:quantopian.com
(Results can easily show over twice what you see there, try initial capital at 35000. why?)

Thanks guys! I have a lot to learn!

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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.