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Help with creating a data series of differences
soren christensen
posted

Which way is the most elegant way to create a series of differences on PMI data. How do i get a change in the PMI data istead of the PMI data it self? 


  fetch_csv("https://www.quandl.com/api/v1/datasets/ISM/MAN_PMI.csv?&trim_start=1948-01-01&trim_end=2017-12-13&sort_order=desc",  
              symbol = "PMI",  
              date_column = "Date",  
              date_format = "%d/$m/%Y")  
`

def my_rebalance(context, data):
PMI = data.current("PMI","Index")
weights= 0
if PMI >50:
weights = ((float(1)/len(context.longs)))
for stock in context.longs.index:
if stock in context.longs.index and data.can_trade(stock):
order_target_percent(stock, weights) 

for stock in context.portfolio.positions:  
    if stock not in context.longs.index and data.can_trade(stock) and PMI:  
        order_target_percent(stock, 0)``
1 response
Ernesto Perez

Hi Soren,

The best way to do it would be to pre-process your data using the pre_func parameter of fetch_csv. This parameter allows you to specify a function that takes in your imported data as a DataFrame, preforms some pre-processing logic and returns it to fetch_csv.

The example below takes in your PMI data, calculates the percentage change and appends it as a new column to your imported data.

I hope this helps.

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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.