Hi,
Any reason I am getting a TypeError: Non-numeric value 0 2008-01-02 00:00:00+00:00 inf in the attached algo. i am just testing the batch transform pandas dataframe logic with a standard ewma crossover normalized.
Additionally, if i have two moving averages ie a 50 and a 100 day , am i using the correct window length? Struggling to get my head around that function so any help is much appreciated.
import pandas
def initialize(context):
context.stocks = sid(1787)
@batch_transform(refresh_period=1,window_length=40)
def get_EMA(datapanel):
slow = 50
fast = 100
vol_window = 50
ewma_a = pandas.stats.moments.ewma(datapanel['price'], span=slow)
ewma_b = pandas.stats.moments.ewma(datapanel['price'], span=fast)
ewma_diff = pandas.DataFrame(ewma_a[1787] - ewma_b[1787])
vol = pandas.DataFrame(pandas.stats.moments.ewmvol(ewma_diff[1787], span=vol_window))
EMA = ewma_diff[1787]/vol
record(ema=EMA)
return EMA
def handle_data(context, data):
EMA = get_EMA(data)
if EMA is None:
return 
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