Hi,
I would like to put an order criteria, I basically am trying to ask the algo to identify whenever
n period of MACD < (n-1) period of MACD across large numbers of day.
Why do i get a invalid index to scalar variable?? appreciate!
macd[stock][-1]<macd[stock][-2]
import talib
import numpy as np
import pandas as pd
def initialize(context):
context.stocks = symbols('MMM')
context.pct_per_stock = 1.0
schedule_function(rebalance, date_rules.every_day(), time_rules.market_close(minutes=1))
def rebalance(context, data):
prices = data.history(context.stocks,'price',200, '1d')
macd = prices.apply(MACD, fastperiod=12, slowperiod=26, signalperiod=9)
for stock in context.stocks:
current_position = context.portfolio.positions[stock].amount
if macd[stock] > 0 and macd[stock][-1]<macd[stock][-2]:
order_target_percent(stock, context.pct_per_stock)
elif macd[stock] < 0 and current_position > 0:
order_target(stock, 0)
record(macd=macd[symbol('MMM')])
def MACD(prices, fastperiod=12, slowperiod=26, signalperiod=9):
macd, signal, hist = talib.MACD(prices,
fastperiod=fastperiod,
slowperiod=slowperiod,
signalperiod=signalperiod)
return macd[-1] - signal[-1]
