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Using variable with Talib RSI....

posted Feb 11, 2019

Hello Folks....newbie question here

RE: Using variable other than prices for first variable of RSI

Function:
rsi = talib.RSI(variable other than prices, timeperiod=14)
RSI=rsi[-1]

I'm having some trouble using the talib rsi function. Rather than using 'prices' as my first variable.....I would like to use another variable. For purposes of illustration lets say I'm using the high of one security less the low of a second security as my RSI variable.

I am using this to grab data:

Grab 2 stocks

context.stock1 = symbol('AMZN')
context.stock2 = symbol('FSLR')
context.stocks = [context.stock1, context.stock2]

For notational convenience

s1 = context.stock1
s2 = context.stock2
prices = data.history([s1, s2], "price", context.long_ma_length, '1d')
short_prices = prices.iloc[-context.short_ma_length:]

My problem is if I use A (below) as my variable...RSI will not compute since its looking for 14 days of data ? If so, then I need to setup an array with each days data manipulation ?
A. Hi_Low_spread = ((short_prices[s1]-x)/y) - ((short_prices[s2])-x/y)

I can't use B (below) price history because prices are an array and I need to do 'daily' data manipulation
B. Hi_Low_spread = ((prices[s1]-x)/y) - ((prices[s2])-x/y)

The above is more concpetual than actual since I'm not showing the data capture of highs and lows.....but I hope I've illustrated my dilemma

2 responses

This may help

# PriceRelative RSI  
import talib  
# -----------------------------------------------------  
sec_A, sec_B, period = symbol('QQQ'), symbol('TLT'), 14  
# -----------------------------------------------------  
def initialize(context):  
    schedule_function(PriceRelativeRSI, date_rules.every_day(), time_rules.market_open(minutes = 15))  

def PriceRelativeRSI(context, data):  
    prices = data.history([sec_A, sec_B], 'price', period + 1, '1d')  
    PriceRelative = prices[sec_A] / prices[sec_B]  
    rsi = talib.RSI(PriceRelative[-period-1:], period)[-1]       

    record(rsi = rsi)

Vladimir.....I looked thru many many algos and see your gracious help everywhere ! I'll give this a shot.

Many thanks.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.