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Why there are current values in History() ?

I think it is not a good idea to put the current values in the History() function.
Also there is no option where transforms like STDAV() and MAVG() can exclude current values.
Just my thoughts...

3 responses

Often times, algos want to look at the most recent price and compare it to another datapoint to make a decision. Or to detect changes in the market. History() was built to support this style of analysis. If you don't want the most recent price, it's easy to remove:

trailing prices = history(4, '1d', 'price')   #returns the last 3 day's close prices plus price last minute  
three_day_prices = trailing_prices[:-1]  # returns only the last 3 day's close prices  

You can similarly get a trailing window of minute data instead of daily data by changing the frequency parameter ('1d' to '1m'). You can also calculate the mavg and stdev on these functions, take a look at these examples:

https://www.quantopian.com/posts/history-function-comparing-2-stocks
https://www.quantopian.com/help#ide-history (see Common Usage: Rolling Transforms)

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I understand and use

three_day_prices = trailing_prices[:-1]  # returns only the last 3 day's close prices  

But how do I remove current price in simple transforms like STDAV() and MAVG().
I had to define functions to do this, again I am not comfortable (My shortcomming- I am working on)
at implementing them directly with set_universe() .

ah - it's not possible to use those built-in transforms on history(). They can only be applied on a security. But you can use pandas' rolling_mean() to get the calculation.

Here is the documentation and a sample backtest is below. http://pandas.pydata.org/pandas-docs/stable/generated/pandas.rolling_mean.html

Clone Algorithm
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Loading...
Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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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: 55b24ac16c07100c7426024c
There was a runtime error.