Data / Programming question for TA-lib output

Quantopian's community platform is shutting down. Please read this post for more information and download your code.

Back to Community

posted Feb 3, 2019

Hello everyone! I am relatively new to Python and Quantopian, so this may be a basic question.

I have been playing around with a sample algorithm for TA-lib using RSI. My goal is to create a moving average for RSI. This was fairly straightforward to do in the notebook environment:

import talib
import matplotlib.pyplot as pyplot
data = get_pricing(
'FANG',
fields='close_price',
start_date="2016-01-01",
end_date="2018-06-15",
frequency='daily'
) data.plot(use_index=False)
pyplot.title('FANG Close Price')
FANG_RSI = talib.RSI(data)
FANG_RSIMovingAVG = talib.SMA(FANG_RSI, timeperiod=10)
pyplot.plot(FANG_RSI)
pyplot.plot(FANG_RSIMovingAVG)
pyplot.title('FANG')

The problem comes when carrying this over to an algorithm. I have tried several approaches, but none have worked so far. I suspect I need to use data.history somehow, but I was unsure if this is only for price data.

Any help would be much appreciated.

Andrew

2 responses

Vladimir

Feb 3, 2019

This may help.

# RSI Indicator with moving average.  
import talib  
# ----------------------------------------  
stock, period, ma = symbol('FANG'), 14, 10  
# ----------------------------------------  
def initialize(context):  
    schedule_function(trade, date_rules.every_day(), time_rules.market_open(minutes = 65))

def trade(context, data):  
    bars = period + ma + 1

    prices = data.history(stock, 'price', bars, '1d')  
    rsi = talib.RSI(prices, period)  
    rsi_mavg = talib.SMA(rsi[-ma:], ma)  

    record(rsi = rsi[-1], rsi_mavg = rsi_mavg[-1])

Andrew Frank

Feb 4, 2019

Thank you, that works!

You've successfully submitted a support ticket.

Our support team will be in touch soon.

Need help? Contact support.

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.

Careers

Events

Status

Twitter

YouTube