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)
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
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
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