A trading signal I have requires the past 60 day rolling % change for a stock. For example, I have:
def initialize(context):
context.spy = sid(8554)
def handle_data(context, data):
spy = context.spy
spy60dayreturn = ???
How do you calculate this?
This may help:
# --------------------------------
stock = symbol('SPY'); PERIOD = 60
# --------------------------------
def initialize(context):
schedule_function(period_return_indicator, date_rules.every_day(), time_rules.market_close())
def period_return_indicator(context, data):
prices = data.history(stock, 'price', PERIOD + 1, '1d')
period_return = prices[-1]/prices[0] - 1.0
roc = data.history(stock, 'price', PERIOD + 1, '1d').pct_change(PERIOD)[-1]
record(period_return = period_return, roc = roc)
print( period_return, roc ) 
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