I am trying to get ADX values similar to what I see with TD Ameritrade app for LABD, but I get lots on nans and most numbers are off.
Probably something wrong with parameters?
TD Ameritrade parameters for ADX are standart: 14 length, average type Wilders.
Thank you!
Tomila,
LABD is not activly traded instrument.
It may not be traded for 15-20 min.
The only way to get '1 m' ADX calculated use .bfill() or .ffill().
Try this:
"""
ADX Test
"""
import talib
def initialize(context):
context.labd = sid(49072)
def handle_data(context, data):
period = 14
bars = period*2 +1
H = data.history(context.labd, 'high', bars, '1m').ffill()
L = data.history(context.labd, 'low', bars, '1m').ffill()
C = data.history(context.labd, 'price', bars, '1m').ffill()
adx = talib.ADX(H, L, C, period)
labd_adx = adx[-1]
print labd_adx Thank you, Vladimir. I tried and nans are gone.
But values are really off.
For example, I can match ADX from TD Ameritrade charts on 03/13/2017 at 10:30
TD ADX was 16
talib ADX shows 37...
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