Why is my code not executing these orders?

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Why is my code not executing these orders?

posted Mar 4, 2015

It seems like this should work fine, but I feel like I may be referencing something wrong in my handle_data. The comments explain what is supposed to be happening very well. A transaction only happens once. How can I get it to execute based on the calculated RSI value?

Thanks
Jack

2 responses

    dif = price_history.iloc[[x, x-1]].diff()

Is going to return a two element DataFrame, the first one will be the imaginary diff between the non-existant previous day.

Secondly you're calculating RSI wrong.

First Average Gain = Sum of Gains over the past x periods / x
First Average Loss = Sum of Losses over the past x periods / x

Subsequent Average Gain/Loss:

Average Gain = [(previous Average Gain) x (x-1) + current Gain] / x
Average Loss = [(previous Average Loss) x (x-1) + current Loss] / x.

Try not to reinvent the wheel if you dont have to.

Also I think your RSI checks are backwards. You're buying when the RSI shows overbought.

Also, a 180 day RSI is going to have almost zero signals because it'll average pretty close to 50.

How do I take just the number from the DataFrame or whatever that I get from using history()?

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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.