James,

You can use history to get the fields in separate DataFrames, then pass a column from each one to talib.ATR, see the example

HI David,

Thanks for that, will it also work for multiple stocks (at once)?

James

Hello James,

Here's an example for ROC:

https://www.quantopian.com/posts/roc-in-quantopian

I expect it'll work for ATR, as well.

[EDIT:] Oops...missed your comment about the merging business...if you can't get it to work, I should have time later today to fiddle with it.

Grant

James,

Here's what I pulled together:

import talib  
import pandas as pd

def initialize(context):  
    context.stocks = [ sid(19662),  # XLY Consumer Discrectionary SPDR Fund  
                       sid(19656),  # XLF Financial SPDR Fund  
                       sid(19658),  # XLK Technology SPDR Fund  
                       sid(19655),  # XLE Energy SPDR Fund  
                       sid(19661),  # XLV Health Care SPRD Fund  
                       sid(19657),  # XLI Industrial SPDR Fund  
                       sid(19659),  # XLP Consumer Staples SPDR Fund  
                       sid(19654),  # XLB Materials SPDR Fund  
                       sid(19660) ] # XLU Utilities SPRD Fund

def handle_data(context, data):  
    highs = history(20, '1d', 'high')  
    lows = history(20, '1d', 'low')  
    closes = history(20, '1d', 'close_price')  
    ATR = pd.DataFrame(index=closes.index,columns=closes.columns)  
    for stock in list(closes.columns.values):  
        ATR[stock] = talib.ATR(highs[stock],lows[stock],closes[stock])  
    print ATR.tail(1)  

The for-loop is not elegant, but it does the job. Does the algo spit out the correct ATR values?

Grant

Thanks Grant!

Is there a way to make it work with history dataframes shorter than two weeks? I get NaN values with daily dataframes shorter than 15. I have read two weeks is the typical period but it seems like a strange limitation.

Thanks for any help

Robby, you will have to change the 'timeperiod' parameter in the talib.ATR function. The default is 14, so you will need to use 15 bars before you stop getting NaN values. I added a context variable to set the window used in the ATR calculations. In general, for talib functions with a timeperiod parameter, you need either the same number of bars or one more bar than the timeperiod used.

thanks David. i assumed it autoset to the length of the history frames because it gave me an error when trying to use frames of different lengths, and when trying use slices. next time i will rtfm.