accessibility of daily moving average: Issue to get the current(today data if period is day) data ?

Comments

• ptunney Posts: 246

  February 2018 edited February 2018

  A daily moving average is based on close prices..

  So a 20 day MA price is the moving average of the previous 20 days.

  It is super simple to calculate, you do not need TALIB, just sum the close prices for the last 20 days and divide by 20 (make sure you have 20 items in your list!!).

  If you want it for the day before that, sum the close prices for the 20 days prior to that and divide by 20, easy.

  Most of the time, for model decision making, when using a 20 day MA you are looking at something like.. current price is above or below the 20 day moving average price. ie the MA of the PREVIOUS 20 days.. You can't include today because you don't know today's close price until 4pm.
  At the start of any day you do not have a close price for that day. If you did you would be forward-looking, that's a no, no.

  So asking for the MA price for today is mute...

  Now, saying that, there is a way of getting a 20 day MA including today.. live... you simply fold in the last traded price, put it as the last price in the list before you do your calculation.

  But your code shows you are doing the calculation in on_start.. and depending on when you start your script and what type of symbol you are looking at you may not have a LAST price.

  I am assuming you are doing some kind of beginning of the day calcuation.. if the price today is above or below the 20 day MA price then do this.

  Hopefully this helps!

  Paul

  Some code!

  from cloudquant.interfaces import Strategy
  import talib
  import numpy
  
  class MovingAverage(Strategy):
  
      @classmethod
      def is_symbol_qualified(cls, symbol, md, service, account):
          return symbol== 'SPY'
  
      def on_start(self, md, order, service, account):
          print self.symbol
  
          # First we need some historic data so lets grab 30 daily bars
          daily_bars = md.bar.daily(start=-30,include_empty=False) 
  
          # most TALIB calls use OHLC (Open, High, Low, Close) in some form so lets pull those out so we have them ready
          open = daily_bars.open   
          high = daily_bars.high   
          low = daily_bars.low     
          close = daily_bars.close 
          volume = daily_bars.volume
  
          # TALIB.MA - Moving Average - matype=0 by default...
          # 0 = SMA (Simple Moving Average) (Default)
          # 1 = EMA (Exponential Moving Average)
          # 2 = WMA (Weighted Moving Average)
          # 3 = DEMA (Double Exponential Moving Average)
          # 4 = TEMA (Triple Exponential Moving Average)
          # 5 = TRIMA (Triangular Moving Average)
          # 6 = KAMA (Kaufman Adaptive Moving Average)
          # 7 = MAMA (MESA Adaptive Moving Average)
          # 8 = T3 (Triple Exponential Moving Average)            
  
          SMA = talib.MA(close,timeperiod=20)
          SMAlist = numpy.ndarray.tolist(SMA) 
          print "Simple Moving Average",SMAlist
  
          EMA = talib.MA(close,timeperiod=20,matype=1)
          EMAlist = numpy.ndarray.tolist(EMA) 
          print "Exponential Moving Average",EMAlist
  
          print "Simple Moving Average      (last 3 entries)",SMAlist[-3:]
          print "Exponential Moving Average (last 3 entries)",EMAlist[-3:]
          print "Average of last 20 close prices",sum(close[-20:])/len(close[-20:])
          print "Last Three close prices...", round(close[-3],2), round(close[-2],2), round(close[-1],2)
          print "last 20 close prices...",close[-20:]
          print
          service.terminate()
          return 
  

  run on 12/23/2018 that that outputs the previous 20 days SPY close prices as follows...

  283.2999878
  286.5799866
  284.6799927
  281.7600098
  281.8999939
  281.5799866
  275.4500122
  263.9299927
  269.1300049
  267.6700134
  257.6300049
  261.5
  265.3399963
  266
  269.5899963
  273.0299988
  273.1099854
  271.3999939
  270.0499878
  270.3999939
  SUM TOTAL 5454.029938 / 20 days = 272.7014969