Hello David,

What is your definition of ROC (presumably, "return on capital")? I figure you are wanting something along the lines of ROIC as described in http://en.wikipedia.org/wiki/Return_on_capital.

There's a bit of a learning curve to working with Pandas dataframes, but you might want to just take the dive and have a look at https://www.quantopian.com/posts/working-with-history-dataframes. My sense, at this point, is that you'll be able to create a dataframe of ROC values and then sort (e.g. http://pandas.pydata.org/pandas-docs/dev/generated/pandas.DataFrame.sort.html). Once you have the sorted dataframe, then you can use the built-in order_target_percent method to do the allocation.

Grant

Yes I am looking for some good examples on the use of rate of change ta.ROC in some other algorithms. It would be helpful for a new programmer like me. I think i'll take a look at the zScore one. If you have any other resource links, please let me know. Thanks!

O.K. Rate of change (ROC). Got it. There should be an example around of how to use the TA-LIB methods with a Pandas DataFrame as input. If not, tomorrow, I should have time to work something up. I'm curious how it'll work. --Grant

David,

Here's an example:

import zipline.transforms.ta as ztt

def initialize(context):  
    context.stocks = [ sid(19662),  # XLY Consumer Discrectionary SPDR Fund  
                       sid(19656),  # XLF Financial SPDR Fund  
                       sid(19658),  # XLK Technology SPDR Fund  
                       sid(19655),  # XLE Energy SPDR Fund  
                       sid(19661),  # XLV Health Care SPRD Fund  
                       sid(19657),  # XLI Industrial SPDR Fund  
                       sid(19659),  # XLP Consumer Staples SPDR Fund  
                       sid(19654),  # XLB Materials SPDR Fund  
                       sid(19660) ] # XLU Utilities SPRD Fund

def handle_data(context, data):  
    prices = history(30,'1d','price')  
    roc = prices.apply(ztt.talib.ROC, axis=0, raw=True, timeperiod=14)  
    print roc.tail(1)  

Is this what you need?

You may want to take a look at:

https://www.quantopian.com/posts/s-and-p-500-sector-fund-allocator

Grant

Here's a first crack at it. --Grant

Okay thanks Grant! Will try to experiment with the code you provided. It's very helpful! Thanks!

Hello, dumb question, but I got about 0 experience with Python...how do I get actual value from this: "roc.tail(1)" ?
It outputs number I need, how do I assign it to variable?

Hello Stepan,

I don't know what your code looks like, but you could try this:

float(roc.tail(1).values)  

This assumes that roc.tail(1) is a Pandas DataFrame containing a single value.

Grant