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From the charts it looks to be around end of 2007 when SPY falls below its 200 day moving average, and the algorithm stops entering new positions.Secondly, there do seem to be times the leverage jumps above 1.Book: Website: This is my attempt at a faithful recreation of his system.Sometimes it dips into margin a little, I haven't isolated why. Also, due credit to Ted, who shared another implementation here: https:// (and James Christopher who says he's done one too).I'm having trouble debugging the ATR Custom Factor, as I'm not sure how to slice into the arrays using the index columns to get the window of prices for BTU.class ATR(Custom Factor): [...] btu_sid = symbol(' BTU')def compute(self, today, assets, out, close, high, low): btu_idx = assets.get_loc(btu_sid) close[btu_idx] # use me like this to get BTU prices [...] Our [quantopian's] data uses adjusted close prices.That means that the effect of all stock splits and merger activity are applied to price and volume data.As an example: A stock is trading at 0, and has a 2:1 split.
However, it seems the order_target function is using the old backtester paradigm of back-adjusting the data for all past and future splits, before the algorithm starts.
T), dtype=np.float64) for i in range(0,len(assets)): if (not np.all(np.isnan(log_close[:,i]))): y = np.copy(log_close[:,i]) # interpolate Na N, not forward-looking since we are regressing anyway try: mask = np.isnan(y) y[mask] = np.interp(np.flatnonzero(mask), np.flatnonzero(~mask), y[~mask]) slope, _, r, _, _ = stats.linregress(x, y) scores[i] = slope * 256.0 * r * r except: scores[i] = -1000.0 log.error("Regression error!
") else: scores[i] = -1000.0 out[:] = scores def descending_rank(a): return a.argsort()[::-1].argsort() # This is the momentum factor, except only calculated for those stocks which will end up # keeping within our set_screen.
(I note this is what Yahoo does in their Adj close column if you grab historic data for a specific year.) I am not sure what to do here.
Is there a version of order_target that is compatible with pipeline?
Using get an ATR(20) of around , which makes sense as the share price is around 0, so that's a normal daily move of 4%, which is high, but not ridiculous for late 2007.