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Percentage change of a Moving average

Hi, I am relatively new to Python and am struggling to get the percentage change of a moving average. I want to apply this to the Sentdex's data, sentiment signal.

def make_pipeline():  
    sentiment_factor = sentiment.sentiment_signal.latest  
    universe = (sentiment_factor.notnull())  
    mavg30 = SimpleMovingAverage(inputs=[sentiment.sentiment_signal], window_length=30)


    percent_difference = (mavg30[0] - mavg30[-1]) / mavg30[-1]

    return Pipeline(  
        columns={'mavg30': mavg30,  
            'percent_difference': percent_difference  
        },screen=universe)

I get this error 'TypeError: zipline.pipeline.term.getitem() expected a value of type zipline.assets._assets.Asset for argument 'key', but got int instead.'
Any help would be great Thanks!

3 responses

universe = (sentiment_factor.notnull())

You cannot do this. Universe has to be equities (which is why it's throwing that error). It wants something like Q1500 which is a universe of highly liquid stocks pre-picked and updated daily or a make_us_equity_universe() which allows you to define your own universe of assets of which stocks you want in it.

Also, you need inputs to be [USEquityPricing.close] or something like that in your SimpleMovingAverage and add the sentiment to your screen and/or do .rank(mask=universe, ascending=False) :)

The simple moving average for sentiment seems to work though, i just can't get the change of the moving average. I know for equities i could use some talib functions for the rate of change of the moving average but i am not sure if that is applicable. Thanks for the reply :)

from quantopian.pipeline import Pipeline  
from quantopian.research import run_pipeline  
from quantopian.pipeline.factors import SimpleMovingAverage  
from quantopian.pipeline.data.sentdex import sentiment_free as sentiment  

def make_pipeline():  
    sentiment_factor = sentiment.sentiment_signal.latest  
    universe = (sentiment_factor.notnull())  
    pipe = Pipeline(columns={'sentiment':sentiment_factor,  
                            'mavg': (sma(inputs=[sentiment.sentiment_signal], window_length=30))}  
            ,screen = universe)  
    return pipe

result = run_pipeline(make_pipeline(), start_date='2015-01-01', end_date='2015-01-01')  
print result.head(n=10)  

More specifically the error only comes up when i introduce the time lags for the moving average as in the [-1]

But i think the problem is that currently there's no easy way to access the historical value of Factors in Pipeline, would anyone know how to do this ?