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Noob new help with normalization signals
Josh Dawson
posted
Seeking Help Getting Started Statistics

I cannot get this code to work and I do not understand why. I converted the price to normalization and I was thinking that I would be able to place orders off of it. I keep getting errors on everything that I try to do. Any help is greatly appreciated.

def initialize(context):
context.spy = sid(8554)
schedule_function(rebalance, date_rule=date_rules.every_day())

def rebalance(context,data):
Range = data.history(context.spy,fields='price',
bar_count=200,
frequency='1m')

# normalized data on the es to build signal
normalized = (Range-Range.mean())/Range.std()

if normalized > 1:
order(context.spy,100)

3 responses
Dan Whitnable

The error you are probably seeing is this

ValueError: The truth value of a Series is ambiguous. Use a.empty, a.bool(), a.item(), a.any() or a.all().

That is generated on the line

if normalized > 1:

The issue is that 'normalized' is a pandas series and not a scaler value. One can't generally check if a series is greater than a value. That's what the error is trying to convey.

The series 'normalized' contains 200 values. One for each of the 200 days of prices in 'Range'. Each value is normalized per the calculation. Probably what you are most concerned with is the last normalized value. Something like this may be what you want. 

if normalized[-1] > 1:

That compares the most current normalized value to 1.

It's very helpful to attach a backtest of ones algo for others to debug. Click the 'Attach' box in the upper right corner of the edit box when writing a post.

Good luck!

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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.

Josh Dawson

Thank you so much for taking the time to reply!!! I didn't know how to attach a backtest, I will learn that today. And you hit the nail on the head. I am a self-teaching myself to code, so if you have any useful hints that randomly pop in your head, please shoot me a message! It will not fall on deaf ears, I can assure you.

Dan Whitnable

@Josh

Here are a couple of links you may want to check out (thanks to a long time community member Blue Seahawk). Might have ideas for you. Always feel free to post here or send a support request via the 'contact support' link at the bottom right of every page.

https://www.quantopian.com/posts/index-of-tools-blue-seahawk
https://www.quantopian.com/posts/long-and-short-values-counts-and-sids-lists-plus-other-useful-items

Good luck.

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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.