Help Needed with MacD MTF Script

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Help Needed with MacD MTF Script

posted Dec 14, 2016

Hi All, I'm admittedly new to Python/Quantopian and this is my first algo but I've been having the hardest time getting a simple MacD algo working for a Long/Short setup on 5-minute candles... just for a single stock.

I've tried working with several other shared scripts but seems everything is producing errors regarding depreciated api's and modules and then promptly crashing. If anybody would be willing to take a look, or point me in the right direction (to a currently functional MacD script) I'd be very grateful! The idea is to minimize commissions and reduce slippage by entering the longs and shorts as a single trade (ie. when the balance is 100 shares, sell 200 to go 100 short, then on a long signal buy 200 to go long). Thanks!

Details:
MacD Fast: 2, MacD Slow: 400, Length: 3
Stock: UNG
Long (100 shares) on CrossOver, Short (100 Shares) on CrossUnder
5 minute candles,
rebalancing on every tick,
limit order w

2 responses

Welcome to Quantopian!

Do take a look at the tutorials ( https://www.quantopian.com/tutorials/getting-started and https://www.quantopian.com/tutorials/pipeline). The latter, on using the pipeline, is the current general approach to fetching historical day level data. There are also a number of built in 'factors' that take the place of using the talib library (including MACD). Check that out.

One question... you state in your details "5 minute candles, rebalancing on every tick", Do you want to rebalance every minute? Your algorithm only trades once a day and gets daily history. If you are looking for a daily algorithm I can perhaps provide a framework to get you started.

Thanks for the help and suggestions Dan, Indeed I've been going the the tutorials but much of it is confusing with the new minute standard... Yes, i'd like to recalculate / rebalance every minute if possible... I'll dig a little deeper in the tutorials today.

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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.