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Hi,
Newbie here trying to work my way through building first algo on Quantconnect. Using QCAlgorithm and RSIalpha as reference (https://github.com/QuantConnect/Lean/blob/master/Algorithm.Framework/Alphas/RsiAlphaModel.py)
How do I compare an indicator result vs the last close bar?
Example: calculate Bollinger band (bb). If last bar close > 2 times Bollinger upper band, trip high. Have used the GetState function in the RSI example:
def GetState(self, bb, previous):
if last_bar_close > 2*bb.UpperBand.Current.Value:
return State.TrippedHigh
Yuxin Guan
Hello Dat,
With a reference to RsiAlphaModel.py, I attached a backtest which achieves the requirement in the question.
Within
def GetState(self, rsi, previous, bb, close):, we put
if close > 2*bb.UpperBand.Current.Value: return State.TrippedHighIn order to get variables
"code"and"bb", we need to add them in"class SymbolData":self.BB = bb self.Close = closeTo update
"code"and"bb", in"def OnSecuritiesChanged(self, algorithm, changes):",we add:for symbol in addedSymbols: bb = algorithm.BB(symbol, self.period, 3, MovingAverageType.Wilders, self.resolution) close = algorithm.Securities[symbol].Closeand
for tuple in history.loc[ticker].itertuples(): bb.Update(tuple.Index, tuple.close) self.symbolDataBySymbol[symbol] = SymbolData(symbol, rsi, bb, close)To generate insights, in
"def Update(self, algorithm, data):"we addbb = symbolData.BB close = symbolData.Close state = self.GetState(rsi, previous_state, bb, close) if state != previous_state and rsi.IsReady and bb.IsReady:Hope this could help.
Best,
Yuxin Guan
Dat En
Thank you! I managed to get this to work. I still don't quite understand some parts of the code:
1) What are the following lines for?
for tuple in history.loc[ticker].itertuples():
bb.Update(tuple.Index, tuple.close
2) bb = symbolData.BB is assigned in Update module whenever data is updated. However the symbolData is only updated in OnSecuritiesChanged module when the security is added:
bb = algorithm.BB(symbol, self.period, 3, MovingAverageType.Wilders, self.resolution)
self.symbolDataBySymbol[symbol] = SymbolData(symbol, rsi, bb, close)
How is symbolData being updated when new data comes in then?
Shile Wen
Hi Dat,
1) The first line accesses the data for our ticker through the .loc method, and the .itertuples() converts the DataFrame into an object we can easily iterate through. To learn more about how to use pandas and its objects, check out their tutorials.
2) Since the BB (Bollinger Band) indicator is generated by our algorithm object, this algorithm object automatically takes care of updating our BB indicator. Since the bb variable is passed into the SymbolData constructor, and because Python object parameters operate on pass-by-reference rules (which means changes to an object anywhere is reflected everywhere that object is used), when our BB indicator is updated by the algorithm object, the change will be reflected in the SymbolData BB field as well.
Best,
Shile Wen
Dat En
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