Hi,
I'm looking to build an algorithm based on a specific value of the closed price. Actually I would like to backtest this algorithm based on the : (high + low + 2 * close)/4 price.
How can I past this value in the data.history() method to backtest the algorithm for the last year and a half ?
Thanks
This may help you.
# --------------------------------------
stk, ma_f, ma_s = symbol('SPY'), 10, 100
# --------------------------------------
def initialize(context):
schedule_function(record_my_prices, date_rules.every_day(), time_rules.market_close())
def record_my_prices(context, data):
prices = data.history(stk, ['high','low', 'close'], ma_s, '1d')
H = prices['high']
L = prices['low']
C = prices['close']
my_prices = (H + L + 2*C) / 4
mavg_f = my_prices[-ma_f:].mean()
mavg_s = my_prices.mean()
record(C = C[-1], my_prices = my_prices[-1], mavg_f = mavg_f, mavg_s = mavg_s)
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