In QC, Is it possible to use functions with pandas series argument?
For example I would like to use function from mlfinlab packages `get_daily_vol`:
get_daily_vol(close, lookback=100)
where series is the pandas series with timestamp index and lookback is some number.
Now, I would like to calculate daily volatility for every bar (slice). Here is code that doesn't work:
import numpy as np
import mlfinlab as ml
import pandas as pd
class CalibratedResistanceAtmosphericScrubbers(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019, 1, 1) # Set Start Date
self.SetEndDate(2019, 3, 1)
self.SetCash(100000) # Set Strategy Cash
self.spy = self.AddEquity("SPY", Resolution.minute)
self.spy.SetDataNormalizationMode(DataNormalizationMode.Adjusted) # Raw, SplitAdjusted, TotalReturn
self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Cash)
# init close prices
self.open = np.array([])
self.high = np.array([])
self.low = np.array([])
self.close = np.array([])
self.volume = np.array([])
self.lookback = max(self.periods)
self.SetWarmUp(self.lookback * 2)
def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
Arguments:
data: Slice object keyed by symbol containing the stock data
'''
if "SPY" not in data.Bars:
return
open_ = data["SPY"].Open
high_ = data["SPY"].High
low_ = data["SPY"].Low
close_ = data["SPY"].Close
volume_ = data["SPY"].Volume
self.open = np.append(self.open, close_)[-self.lookback*2:]
self.high = np.append(self.high, close_)[-self.lookback*2:]
self.low = np.append(self.low, close_)[-self.lookback*2:]
self.close = np.append(self.close, close_)[-self.lookback*2:]
self.volume = np.append(self.volume, close_)[-self.lookback*2:]
self.time = self.Time
if self.IsWarmingUp:
return
df = pd.DataFrame({'open': self.open, 'high': self.high, 'low': self.low, 'close': self.close, 'volume': self.volume})
# HERE I SHOULD SOMEHOW CREATE INDEX VECTOR WITH FOR DF WITH ALL PASSED CLOSE PRICES
# Compute volatility - THATS THE FUNCTION I NEED TO APPLY INE EVERY STEP
daily_vol = ml.util.get_daily_vol(self.close, lookback=self.volatility_lookback)
Derek Melchin
Hi Mislav,
To build the close vector with a timestamp index, we just need to change closes from a numpy array into a Series
self.close = pd.Series()
and append to it with
self.close = self.close.append(pd.Series([close_], index=[self.Time]))[-self.lookback*2:]
See the attached backtest for a working example. Also, consider reviewing our tutorial series. It covers pandas operations like this one.
Best,
Derek Melchin
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Mislav Sagovac
Derek Melchin , thank you for answer. What is the difference between yourt method and self.History . In both cases we get pandas DataFrame with OHLCV data and time index?
Mislav Sagovac
I will answer my own question. Above solution is much faster...
Mislav Sagovac
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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