Help Ranking stocks using TALIB functions

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posted Jul 8, 2015

I want to implement a ranking of stocks based on talib.OBV "On Balance Volume"

I have implemented it using some long above a level and short below a level
however I want it to be done based on ranking.

Thanks in advance

2 responses

Alexis P.

Jul 8, 2015

Try this:

def handle_data(context, data):  
    #set_nodata_policy(NoDataPolicy.LOG_ONLY)  
    days = 90  
    prices = history(bar_count=days, frequency='1d', field='price').dropna(axis=1)  
    volumes = history(bar_count=days, frequency='1d', field='volume').dropna(axis=1)  
    # Store each stock's OBV value in a dict  
    # obv = {'sid1': val1, 'sid2': val2, ...}  
    obv = {}  
    for stock in volumes:  
        obv[stock] = talib.OBV(prices[stock], volumes[stock])[-1]  
    # Rank obv values in ascending order (in a list of tuples)  
    # obv = [(sid1, val1), (sid2, val2), ...]  
    obv = sorted(obv.items(), key=lambda x: x[1])  
    # Go $10,000 long the top 10 stocks  
    for i in range(-10, 0):  
        amount = int(10000/data[obv[i][0]].price)  
        order(obv[i][0], amount)  
        log.info('entry %s %s' % (obv[i][0], amount))  
    # Go $10,000 short the bottom 10 stocks  
    for i in range(10):  
        amount = -int(10000/data[obv[i][0]].price)  
        order(obv[i][0], amount)  
        log.info('entry %s %s' % (obv[i][0], amount))

Yagnesh Desai

Jul 8, 2015

Thanks for the pointer.
I used your code and did some error proofing.
A dirty first fix is attached.

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