import numpy as np
class HistoryAndIndicatorArrays(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2017,1,28)
self.SetEndDate(2017,1,30)
self.SetCash(100000) # Set Strategy Cash
self.AddEquity("SPY", Resolution.Minute)
self.df = self.History(self.Symbol("SPY"), 240, Resolution.Minute)
# macd = []
# for row in self.df:
# macd_value = self.MACD(self.Symbol("SPY"), 12, 26, 9, MovingAverageType.Simple, Resolution.Minute)
# macd.append(macd_value)
# self.df['MACD'] = macd
# rsi = []
# for row in self.df:
# rsi_value = self.RSI(self.Symbol("SPY"), 14, MovingAverageType.Simple, Resolution.Minute)
# rsi.append(rsi_value)
# self.df['RSI'] = rsi
# self.Debug(self.df)
resultset = []
for row in self.df:
resultset.append(np.array(row)) # But I also somehow want the next 19 historical rows as well included in each nparray
def OnData(self, data):
pass