How can I test the previous day or the previous week's price levels? For example, I want to see if the ES continuous contract open>prev open buy 1 share. If open < prev open, do nothing? I like to do this for previous day high and previous weeks high and other levels such as these. Any help or guidance is greatly appreciated.
You can crate a custom factor like this:
class MyFactor(CustomFactor):
inputs = [USEquityPricing.close]
window_length = 2 # Days to look back
def compute(self, today, assets, out, close):
if close[-2] > close[-1]:
signal = 1
else:
signal = 0
out[:] = signal Then, run a Pipeline on it:
def make_pipeline():
myfactor = MyFactor()
return Pipeline(columns={'myfactor':myfactor}) Finally, attach the pipeline and then define a trading logic, for example:
# In Initialize
algo.attach_pipeline(make_pipeline(), 'pipeline')
# In before_trading_start
if pipeline == 1:
order(asset, amount=1, style)
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