Hi all
I am new to writing in python. I typically have been coducting my back tests using R and using data frames or basically working with historical data.
I started to learn on Quantopian, however, I am now here!
So what I am trying to do is make a rolling z-score of a price series:
# Create zscore
self.sma = self.SMA("SPY", 20, Resolution.Daily);
self.std = self.STD("SPY", 20, Resolution.Daily);
self.zscore = (SPY.Close.Current.Value - self.sma.Current.Value) / self.std.Current.Value
I am storing this in def Initialize(self):
My confusion lies in how the indicators are created... are they based on the Close price, or do i need to specify that?
Also as far as making indicators in this way, if i do the zscore calculation:
(close - sma) / std dev...
Will this take the current price or do i need to specify?
Getting hung up on the small stuff, anyone shed some light?
Thanks
Andrew