Attempting to use the MACD of two inverse ETF's on minute bars as a crossover signal between two. I've tried generating MACD both directly and also by using individual EMA calculations and I can't get the results to behave the way I think they should. None of the signals match up to my charts. Can anyone tell me what's happening here or how to get the desired result?
Thanks
-Chris
Chris,
Try this it should work
import talib
def initialize(context):
context.XIV = sid(40516)
context.VXX = sid(38054)
context.hist_period=60
def handle_data(context,data):
MACD_raw_xiv, signal_xiv, hist_xiv = talib.MACD(data.history(context.XIV, "price", context.hist_period, frequency="1m"), fastperiod=12, slowperiod=26, signalperiod=9)
MACD_XIV = MACD_raw_xiv[-1] - signal_xiv[-1]
MACD_raw_vxx, signal_vxx, hist_vxx = talib.MACD(data.history(context.VXX, "price", context.hist_period, frequency="1m"), fastperiod=12, slowperiod=26, signalperiod=9)
MACD_VXX = MACD_raw_vxx[-1] - signal_vxx[-1]
record(MACD_XIV=MACD_XIV, MACD_VXX=MACD_VXX)
log.info(MACD_XIV)
log.info(MACD_VXX) 
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