Hey All,
I'm working on this simple algorithm that enters into longs and shorts based on moving averages. It is entering into long positions but not short. I can't seem to figure out why. Any help would be appreciated.
'shorts' -- always False. One thing is the 'and' won't do when combining True|False values in pipeline, and grouping with parens is important. Maybe begin with:
buy = iso & (O_sma10 < 0) & (sma10 > 0)
short = iso & (O_sma10 > 0) & (sma10 < 0)The debugger will be useful: https://www.google.com/search?q=debugger+site:quantopian.com
Click line number 100 and here are some example commands. (I've added some columns).
columns={
'longs' : buy,
'shorts': short,
'p_diff': p_diff,
'iso' : iso,
'sma10' : sma10,
'O_sma10' : O_sma10,
len(pipe_results)
1498
pipe_results.tail()
DataFrame:
O_sma10 iso longs p_diff shorts sma10
Equity(32897 [NMX]) 126.276500 False True 0.003511 False 125.7374
Equity(32921 [SPR]) 31.430000 False True 0.033636 False 31.5030
Equity(34913 [RF]) 37.309106 False True 0.017522 False 37.4150
Equity(36930 [DISC_A]) 16.147900 False True 0.024425 False 16.1729
Equity(40069 [RBAK]) 23.825200 False True 0.269772 False 24.2650
pipe_results[(pipe_results.O_sma10 > 0) & (pipe_results.p_diff < 0)].tail()
DataFrame:
O_sma10 iso longs p_diff shorts sma10
Equity(32320 [JCG]) 38.6089 False True -0.010921 False 38.2609
Equity(32497 [HBI]) 23.5190 False True -0.014288 False 23.5490
Equity(32603 [WU]) 22.4363 False True -0.014521 False 22.4123
Equity(32618 [RVBD]) 31.4018 False True -0.000417 False 31.4498
Equity(32714 [LDOS]) 17.9090 False True -0.041563 False 17.8560
pipe_results.p_diff.sort_values().head()
> pipe_results.p_diff.sort_values().head(): Series
Equity(26978 [OXPS]): -0.13726352285
Equity(26210 [SIRF]): -0.11939235699
Equity(26751 [FOXH]): -0.118967867679
Equity(8412 [ZOLT]): -0.118587727699
Equity(27026 [NDAQ]): -0.100516370232
pipe_results.p_diff.sort_values().tail()
> pipe_results.p_diff.sort_values().tail(): Series
Equity(3353 [GROW]): 0.131512078776
Equity(21284 [ITMN]): 0.14046314953
Equity(20541 [RHT]): 0.144554289269
Equity(680 [AXR]): 0.180807087536
Equity(40069 [RBAK]): 0.269771774244
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