Warad Kabade has kindly posted a demo algorithm 12044 here.
1. How to correctly replace in this algorithm a simple momentum
self.roc = RateOfChange (252)
with a delay momentum
self.rocd = IndicatorExtensions.Of(Delay(21), RateOfChange (252))?
2. How to correctly get the top 5 by momentum in MyCoarse?
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I was working with this example last night so thanks to Varad Kabade for sharing work.
2. Example in backtest uses heapq.heappush and heapq.nlargest to iteratively add and then more quickly search for n-largest - https://docs.python.org/3/library/heapq.html
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import heapq
h = []
# push iteratively in each loop
heapq.heappush(h, (0.2, 'SPY'))
heapq.heappush(h, (0.1, 'TSLA'))
heapq.heappush(h, (0.3, 'AMZN'))
heapq.heappush(h, (0.7, 'APPL'))
#heapq.heappop(h)
# Grab n largest values e.g. 3
heapq.nlargest(3,h)Hi Ben Kaylor,
In the above algorithm, the self.rocd indicator is getting updated twice. When using:
self.rocd = IndicatorExtensions.Of(Delay(21), self.roc)to update self.rocd we just need to update the self.roc. In the MyCoarseFilterFunction method, we don't need to sort the coarse objects by dollar volume.Refer to the attached backtest for the changes mentioned above.
Best,
Varad Kabade
Ben Kaylor,
It's always a pleasure for me to try something new to accomplish a task.
Thanks for the new approach.
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