SMA and ratio python by Yinyin2017

Yinyin2017 INVESTOR

| Reward Discussion

Hi, I am new to python and Quantconnect. I got soem questions in my development project.

First, I wonder whether we can divide two equities in directly in Initializer.

Second, it is possible to calculate the SMA of the ratio by using self.SMA(self.ratio, .....)

Thank you. Below is the code

class SMATrendAlgo(QCAlgorithm):



    def Initialize(self):

        self.period = 20

        self.SetStartDate(2010, 01, 01)  #Set Start Date

        self.SetEndDate(2015, 01, 01)    #Set End Date

        self.SetCash(100000)             #Set Strategy Cash

        self.spy = self.AddEquity("SPY", Resolution.Daily).value

        self.tlt = self.AddEquity("TLT", Resolution.Daily).value

        self.ratio = self.spy/self.tlt

        self.sma20 = self.SMA(self.ratio, 20, Resolution.Daily)

Update Backtest

Yinyin2017

Accepted Answer

Update Backtest

Notebook

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.

Alexandre Catarino

In Lean/QuantConnect, indicators are composable - meaning they can be chained together to create unique combinations much like lego blocks. This is how your should define the ratio moving average:

# Create Identity indicators

spyId = self.Identity("SPY")

tltId = self.Identity("TLT")



# Compose them into the ratio indicator

# and the SMA of the ratio

ratio = IndicatorExtensions.Over(spyId, tltId)

self.sma20 = IndicatorExtensions.SMA(ratio, 20)



# Plot them for visual sanity check

self.PlotIndicator("Ratio", ratio, self.sma20)

Chun Yin Mak

9 ,

Thanks a lot Alexandre. I wonder how we can get the 1day lagged value instead of current value.

Alexandre Catarino

You can use the Delay Of an Identity:

spyId = self.Identity("SPY")

spyDelay = IndicatorExtensions.Of(Delay(1), spyId)

self.PlotIndicator("SPY", spyId, spyDelay)

tltId = self.Identity("TLT")

tltDelay = IndicatorExtensions.Of(Delay(1), tltId)

self.PlotIndicator("TLT", tltId, tltDelay)

Yinyin2017 INVESTOR

Update Backtest

Notebook

To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!

Platform

QuantConnect Community

Alpha League Competition: $1,000 Weekly Prize Pool

Filter Discussion by Tags

Community Ambassadors

Earn free QuantConnect cloud credits by helping others, each week we airdrop credits to the most active community members.

232,144 Quants.

Online Now

Stay Connected