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Hi, I am trying to do something simple here - calculate volatility.
in onData i have this set of codes but i am getting an error. Not sure what i am doing wrong since the self.History returns a dataframe.
history = self.History("ZIV", 30, Resolution.Daily)
close = history["close"].unstack(level=0).pct_change().dropna()
volatility = close.std(ddof=1)
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Seine Yumnam
I also tried this simple dataframe based calculation:
history = self.History("ZIV", 30, Resolution.Daily)
history['ret'] = np.log(history['close'] / history['close'].shift(1))
volatility = history['ret'].std() * np.sqrt(252)
Seine Yumnam
Fixed:
history_data = self.History(self.Symbol("ZIV"), 30, Resolution.Daily).close.unstack(level=0)
history_data = history_data['ZIV']
change = history_data.pct_change().dropna()
volatility = change.std(ddof=1)
Jared Broad
Thank you for posting back the solution Seine!
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.
Seine Yumnam
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.
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