Use of Technical indicators

noka'sworld

Thank you! I am looking at the indicator (TAs) documentation right now

You can get the fast stochastic indicator or k with:

stoch_k = qnta.stochastic_k(high, low, close, 14)

To get k and d for both, the fast and slow stochastic indicator:

stoch_fast_k, stoch_fast_d = qnta.stochastic(high, low, close, 14)
stoch_slow_k, stoch_slow_d = qnta.slow_stochastic(high, low, close, 14)

as Investopedia and Wikipedia mentioned, the indicator should be in range of 0-100,
I tried the following

def strategy(data):
    high = data.sel(field="high")
    low = data.sel(field="low")
    close = data.sel(field="close")
    is_liquid = data.sel(field='is_liquid')
    stoch_k = qnta.stochastic_k(high, low, close, 14)
    
    if stoch_k>30 :
        weights = 1
    elif stoch_k<80 :
        weights = -1
    else :
        weights = 0
    
    weights = weights / 10.0
    weights = weights * is_liquid
    return weights

but get the following error

---------------------------------------------------------------------------
ValueError                                Traceback (most recent call last)
<ipython-input-33-b67077d72c3d> in <module>
     39     strategy= strategy,
     40     analyze= True,
---> 41     build_plots= True
     42 )

~/book/qnt/backtester.py in backtest(competition_type, strategy, load_data, lookback_period, test_period, start_date, end_date, window, step, analyze, build_plots, collect_all_states)
    288     if is_submitted() and args_count > 1:
    289         state = qnstate.read()
--> 290     result = strategy_wrap(data, state)
    291     result, state = unpack_result(result)
    292 

~/book/qnt/backtester.py in <lambda>(d, s)
    268 
    269     args_count = len(inspect.getfullargspec(strategy).args)
--> 270     strategy_wrap = (lambda d, s: strategy(d)) if args_count < 2 else strategy
    271 
    272     # ---

<ipython-input-33-b67077d72c3d> in strategy(data)
     19     stoch_k = qnta.stochastic_k(high, low, close, 14)
     20 
---> 21     if stoch_k>30 :
     22         weights = 1
     23     elif stoch_k<80 :

/usr/local/lib/python3.7/site-packages/xarray/core/common.py in __bool__(self)
    127 
    128     def __bool__(self: Any) -> bool:
--> 129         return bool(self.values)
    130 
    131     def __float__(self: Any) -> float:

ValueError: The truth value of an array with more than one element is ambiguous. Use a.any() or a.all()

support

@noka-sworld Hello, there are 2 problems here.

The logic: you define a strange logic:

stoch_k > 30 => weights=1
stoch_k < 80 = > weights=-1

are you sure you did not exchange the inequality symbols? The two conditions are not mutually exclusive.

stoch_k is a datastructure from xarray. Imagine to have at your disposal a big matrix where the elements are indexed by time and asset. Then you can implement the following code using the "where" construct:

import xarray as xr

import qnt.ta as qnta
import qnt.backtester as qnbt
import qnt.data as qndata

def load_data(period):
    return qndata.cryptodaily_load_data(tail=period)

def strategy(data):
    high = data.sel(field="high")
    low = data.sel(field="low")
    close = data.sel(field="close")
    is_liquid = data.sel(field='is_liquid')
    stoch_k = qnta.stochastic_k(high, low, close, 14)
    
    weights1  = xr.where(stoch_k < 30, 1, 0)
    weights2  = xr.where(stoch_k > 80, -1, 0)

    weights = weights1 + weights2
    
    weights = weights / 10.0
    weights = weights * is_liquid
    return weights

weights = qnbt.backtest(
    competition_type= "crypto_daily_long_short",
    load_data= load_data,
    lookback_period= 365*4,
    start_date= "2014-01-01",
    strategy= strategy,
    analyze= True,
    build_plots= True
)

noka'sworld

@support that is really useful! thank you very much!