Hi,
My algo is trading based on MACD crossovers and I'm trying to get the max MACD value over the past 15 periods. I want to sell the current position if the MACD falls below the max MACD value from the past 15 periods. I keep getting a "KeyError: -15" when running the code segment below:
import talib
# Initialization function run once per day
def initialize(context):
context.stock = sid(24)
# Trading schedule framework
schedule_function(rebalance, date_rules.every_day(), time_rules.market_open())
# Rebalance daily.
def rebalance(context, data):
# Load historical data for the stocks
prices = data.history(context.stock, 'price', 40, '1d')
# Contains MACD values
macds = {}
# Create MACD and set signals
macd_raw, signal, hist = talib.MACD(prices,fastperiod=12,slowperiod=26,signalperiod=9)
macd = macd_raw[-1] - signal[-1]
macds[context.stock] = macd
# Set High and Low
MACD_High = max(macds[-15]) #This is where the error is occuring
high_threshold = MACD_High * 0.95 #relaxed by 0.3% How can I grab the past 15 MACD values in order to set the max value as a variable?
Thanks
