How To Use Weekly Data in MACD?

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How To Use Weekly Data in MACD?

edited

Seeking Help Getting Started Using Data Value numpy/pandas

Instead of looking at daily data, I'd like to get the Open, High, Low, and Close of a stock on the weekly time interval. I'm trying to use this weekly price data to calculate the MACD as the crossover occur less often. Any ideas as to how to use weekly candlestick data to get MACD?

I have this so far:

if data.can_trade(sid(26807)):  
        daily_ohlc = data.history(sid(26807), ['open', 'high', 'low', 'close'], 5, '1d')

        weekly_ohlc = daily_ohlc.resample('1W').agg({'open': 'first',  
                                 'high': 'max',  
                                 'low': 'min',  
                                 'close': 'last'})


        macd_raw, signal, hist = talib.MACD(weekly_ohlc['close'], fastperiod=12,  
                                        slowperiod=26, signalperiod=9)  
        record(Raw = macd_raw, Signal = signal)  
        log.info("Weekly open for {0} is {1}".format(sid(26807).symbol, weekly_ohlc['close']))

The "weekly_ohlc" does return accurate values for weekly data. However, when plugging that into the MACD code it returns errors. How can I get the MACD based on the close prices of the weekly data?

Thanks

2 responses

Try this :

import talib  
# -------------------------  
stock = symbol('QQQ')  
Fast, Slow, Sig = 12, 26, 9  
# -------------------------  
def initialize(context):  
    schedule_function(macd_indicator, date_rules.week_start(), time_rules.market_open(minutes = 65))  

def macd_indicator(context, data):  
    bars = (Fast + Slow + Sig)*5

    C = data.history(stock, 'price',  bars, '1d')  
    C_w = C.resample('1W').last()  
    macd, signal, hist = talib.MACD(C_w, Fast, Slow, Sig)

    record(macd = macd[-1], signal = signal[-1], hist = hist[-1])

This worked great Vladimir. Thanks for your help again man!

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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.