adding 200/100mavg to stop investing during times of duress and doubled investment to increase beta.
Nice algo!
I cloned it and slightly tweaked your code. I created one pandas dataframe with a 200 history window and indexed into it to get the 100 day history, 30 day history, and moving averages. This makes the algo run faster, creating less transformations for it to track.
The mavg() simple transformation will not begin returning complete data until the window is full. If you have a 100 day moving average, it will start calculating the mavg on day 101. Conversely, history() warms-up the data and makes all the variables correct on the first bar of the backtest. It will pull the 100-day moving average data prior to the start of your backtest to give more accurate results.
Here's the code change:
# get bar data
prices = history(200, '1d', 'price')
recent_prices = prices[-100:]
c = prices[-30:]
#
# get the moving average from the pandas dataframe
mavg200 = prices.mean()
mavg100 = recent_prices.mean() Disclaimer
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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.