Last Update: February 6, 2020
Strategy indicators consist of identifying trend-following or mean-reversion asset price patterns. Main indicators include single or multiple, lagging or leading technical indicators.
This topic is part of Quantitative Trading Analysis with Python course. Feel free to take a look at Course Curriculum.
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An example of trend-following lagging strategy indicators is simple moving average which consists of asset prices overlay for identifying uptrends and downtrends.
1. Strategy indicator calculation.
Where = current period asset close prices, = current period close prices periods simple moving average.
2. Python code example.
2.1. Import Python packages .
import pandas as pd import matplotlib.pyplot as plt
2.2. Moving averages strategy indicators data reading.
- Data: S&P 500® index replicating ETF (ticker symbol: SPY) daily open, high, low, close, adjusted close prices and volume (2016).
SPY = pd.read_csv('Data//Moving-Averages-Strategy-Indicators-Data.txt', index_col='Date', parse_dates=True)
2.3. Moving averages strategy indicators calculation and chart.
- Moving averages strategy indicators number of periods not fixed and only included for educational purposes.
SPY['SMA(5)'] = pd.DataFrame.rolling(SPY['SPY.Close'], window=5).mean() SPY['SMA(20)'] = pd.DataFrame.rolling(SPY['SPY.Close'], window=20).mean()
fig1, ax = plt.subplots() ax.plot(SPY['SPY.Close'], label='SPY.Close') ax.plot(SPY['SMA(5)'], label='SMA(5)') ax.plot(SPY['SMA(20)'], label='SMA(20)') ax.legend(loc='upper left') plt.suptitle('SPY Close Prices SMA(5) & SMA(20) Strategy Indicators') plt.show()
 Wes McKinney. “Data Structures for Statistical Computing in Python.” Proceedings of the 9th Python in Science Conference. 2010.
John D. Hunter. “Matplotlib: A 2D Graphics Environment.” Computing in Science & Engineering. 2007.