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Float Point Errors in Python when Calculating Indicators
David Randolph
posted Jan 16, 2017
Using Data Tools and Tips Research Value Statistics

Hi,

I've been learning the basics of Python over at DataCamp in preparation for heading over here to Quantopian.

As an early project I downloaded some historical data and wrote some python code to calculate the RSI for said data.

When I ran the code and checked it against the same calculations in Excel, however, I noticed that Excel and Python were returning quite different final results. I traced the issue back to what I believe to be float-point rounding differences/errors in the moving averages stage, that continue to get compounded and end up making a fairly large difference in the final RSI calculation (differences as large as 10 or more in some cases).

I had similar results with MACD calculations.

My question then is, how do you deal with rounding point issues, and how do you know when your numbers are correct? Having numbers slightly off wouldn't be a major issue, but being 10 points off on an RSI calculation can be quite a problem.

Thanks!

2 responses
Dan Dunn
Jan 17, 2017

Welcome to Quantopian.

It's possible that there are float-point differences, but I'd be surprised if that is the actual cause of the difference. RSI and MACD both have built-in assumptions about duration and period, and are path-dependent. My first guess would be that you have a lurking formula or data difference that you haven't discovered yet.

Perhaps if you share a Notebook with Python, and Google Sheet, we can debug them.

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David Randolph
Jan 18, 2017

Hi Dan,

That would be awesome, thank you!

I've attached the Notebook and the link for the Google Sheet is:

https://drive.google.com/open?id=1YZV6xHZ4Ee9Hk2z3I-1L4WP-g6XPV7_IJE2l_Tezjec

The Google sheet contains three pages. The first are the calculations, the second and third are the comparison between the Excel and Python outputs.

Let me know if there is anything else you need.

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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.