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Help with TALIB in Research
Andrew Martin
posted

Hello all,

I'm very new to Quantopian (1 week old), and so far I think this is a fantastic environment. Hopefully I can get up and running and provide some value to the rest of you at some point...

Quick question regarding TALIB functions. This set of code works fine in the Algo/Backtest environment of Quantopian, but the research environment seems to not like it. I'm just wondering why TALIB's ADX function will take a panda series in the 'handle_data' section of Algo code but not in the research environment.

When this runs, I get:
TypeError: Argument 'high' has incorrect type (expected numpy.ndarray, got Series)

Thanks!

2 responses
Jamie McCorriston

Hi Andrew,

I've attached a notebook that converts the columns of your dataframes to a numpy array and now the talib.ADX call seems to be working.

I can't say exactly why this worked in backtesting because I'm not sure what your code looked like and the get_pricing function is specific to research, but this should unblock you!

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Andrew Martin

Thanks for the work around Jamie! I was constructing the data frame with 'history' in backtesting, which also created panda series objects. Still not sure why the work around is needed, but this works great.

Side note - I was on my way to making a home brewed ADX with pandas functionality.... it wasn't too straight forward with Wilder's unique smoothing techniques, so this is much appreciated.

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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.