Hi,
I am attempting to create a custom factor to deliver two outputs the MACD as a % (as opposed to a value) and the signal line of that.
I used the Zipline MovingAverageConvergenceDivergenceSignal Class as a basis, but I get the following error
ValueError: operands could not be broadcast together with shapes:
Can anyone suggest what I am missing please.
Paul
Hmm. I think you want to pass the entire 'close' data to the '_ewma' function and then simply slice off the last n rows of data where n is your window length.
def _ewma(self, data, length):
decay_rate = 1.0 - (2.0 / (1.0 + length))
return average(
data[-length:],
axis=0,
weights=_exponential_weights(length, decay_rate)
)
# then call it with al the data in close - not sure you need 'rolling window'
slow_EWMA = self._ewma(
close, #rolling_window(close, slow_period, axis=1),
slow_period
)
Also, not sure what you are trying to do with the last line. One problem at a time. I commented it out in the attached notebook.
#out.MACD_Signal[:] = self._ewma(macd_percent.T, signal_period)
Hi Dan, thanks for looking at this.
If I understand the results this is only delivering a single value for the slow and fast ema now, which is calculating the MACD as a % which is great.
But what I am trying to do is get a window so I can then get the signal line of this data which is the EMWA that you commented out
and return a factor looking at both for use in a possible momentum strategy.
If you have any other suggestions that would be great
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