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Get yesterday's stock returns
Max Wilkinson
posted
Seeking Help Getting Started

Hello. I am modifying the Mean Reversion Algorithm and am having trouble with the pandas iloc function. I am turning the algorithm into a daily mean reversion algorithm.

How could I change this (for 5 days price history):

 context.returns_lookback = 5  
 prices = history(context.returns_lookback, '1d', 'price')  
    # Calculate the past 5 days' returns for each security.  
    returns = (prices.iloc[-1] - prices.iloc[0]) / prices.iloc[0]

Into a function just for one day.

I have this

     context.returns_lookback = 1

    prices = history(context.returns_lookback, '1m', 'price')  
    # Calculate the past 1 days' returns for each security.  
    returns = (prices.iloc[-1] - prices.iloc[0]) / prices.iloc[0]

but know the iloc function is still running for 5 days.

Any help is much appreciated.

1 response
Jamie McCorriston

Hi Max,

It's difficult to say what the source of the problem you're having is without the complete code. You might find it easier to tweak this algorithm that uses the Pipeline API with a recent returns custom factor. You can just change the window length to be 1!

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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.