Beginner Question: Windows of Data

Hi,

Any help would be greatly appreciated...

I am playing around with some code, and have a window length of 95.

In that trailing window, I would like to identify if in the first 20 days, the rate of change (ROC or ROCP in TA-Lib?) of the closing price, is not negative or downward sloping.

How do I call this using ROC?

import zipline.transforms.ta as ztt

(and then later to call the function)

RateOfChange = ztt.talib.ROC( ???????not sure what the parameters are).

What are those parameters?

Thanks! Rich

2 responses

My ultimate goal by the way, is to identify high and tight flags in a universe of stocks. This seems very complicated at this phase. I want to check for slope of line 3 months prior, then watch for a 90% increase in stock price within about 2 months, then check for flag formation. Does this sound too complicated for python?

Hello Rich,

Don't use the 'import zipline.transforms.ta as ztt' as that was a workaround I used to access candlestick indicators etc. I now just 'import talib'.

ROC uses close prices and an optional time period which defaults to 10 periods. I haven't given your strategy any thought but the attached shows some of the syntax.

I've never used ROC or ROCP but this is some documentation from within the TA-Lib source:

   /* The interpretation of the rate of change varies widely depending
* which software and/or books you are refering to.
*
* The following is the table of Rate-Of-Change implemented in TA-LIB:
*       MOM     = (price - prevPrice)         [Momentum]
*       ROC     = ((price/prevPrice)-1)*100   [Rate of change]
*       ROCP    = (price-prevPrice)/prevPrice [Rate of change Percentage]
*       ROCR    = (price/prevPrice)           [Rate of change ratio]
*       ROCR100 = (price/prevPrice)*100       [Rate of change ratio 100 Scale]
*
* Here are the equivalent function in other software:
*       TA-Lib  |   Tradestation   |    Metastock
*       =================================================
*       MOM     |   Momentum       |    ROC (Point)
*       ROC     |   ROC            |    ROC (Percent)
*       ROCP    |   PercentChange  |    -
*       ROCR    |   -              |    -
*       ROCR100 |   -              |    MO
*
* The MOM function is the only one who is not normalized, and thus
* should be avoided for comparing different time serie of prices.
*
* ROC and ROCP are centered at zero and can have positive and negative
* value. Here are some equivalence:
*    ROC = ROCP/100
*        = ((price-prevPrice)/prevPrice)/100
*        = ((price/prevPrice)-1)*100
*
* ROCR and ROCR100 are ratio respectively centered at 1 and 100 and are
* always positive values.
*/


P.

7
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
 Returns 1 Month 3 Month 6 Month 12 Month
 Alpha 1 Month 3 Month 6 Month 12 Month
 Beta 1 Month 3 Month 6 Month 12 Month
 Sharpe 1 Month 3 Month 6 Month 12 Month
 Sortino 1 Month 3 Month 6 Month 12 Month
 Volatility 1 Month 3 Month 6 Month 12 Month
 Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5316632b873a3907498ff572
This backtest was created using an older version of the backtester. Please re-run this backtest to see results using the latest backtester. Learn more about the recent changes.
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