Hi all - looking to use Bollinger Bands to filter securities within a Pipeline. However, I am having trouble finding documentation or forum posts on whether best practice would be:
More importantly for calculating Bollinger Bands, how do you get data over a period of time in a pipeline custom factor to calculate standard deviation and moving average?
Try:
from quantopian.pipeline import Pipeline
from quantopian.algorithm import attach_pipeline, pipeline_output
from quantopian.pipeline.factors import BollingerBands
def initialize(context):
my_pipe = make_pipeline()
attach_pipeline(my_pipe, 'my_pipeline')
def make_pipeline():
bb = BollingerBands(window_length=20, k=2)
return Pipeline(columns={
'bb_upper' : bb.upper,
'bb_middle' : bb.middle,
'bb_lower' : bb.lower,
})
def before_trading_start(context, data):
# Store our pipeline output DataFrame in context.
print pipeline_output('my_pipeline')
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