Time for action – detecting a trend in QQQ

Often we are more interested in the trend of a data sample than in detrending it. We can still get the trend back easily after detrending. Let's do that for one year of price data for QQQ.

  1. Write code that gets the close price and corresponding dates for QQQ:
    today = date.today()
start = (today.year - 1, today.month, today.day)

quotes = quotes_historical_yahoo("QQQ", start, today)
quotes = np.array(quotes)

dates = quotes.T[0]
qqq = quotes.T[4]
  2. Detrend the signal:
    y = signal.detrend(qqq)
  3. Create month and day locators for the dates:
    alldays = DayLocator()
months = MonthLocator()
  4. Create a date formatter that creates a string of month name and year:
    month_formatter = DateFormatter("%b %Y")
  5. Create a figure and subplot:
    fig = plt.figure()
ax = fig.add_subplot(111)
  6. Plot the data and underlying trend by subtracting the detrended signal:
    plt.plot(dates, qqq, 'o', dates, qqq - y, '-')
  7. Set the locators and formatter:
    ax.xaxis.set_minor_locator(alldays)
ax.xaxis.set_major_locator(months)
ax.xaxis.set_major_formatter(month_formatter)
  8. Format the x-axis labels as dates:
    fig.autofmt_xdate()
plt.show()

    The following figure shows the QQQ prices with a trend line:

    Time for action – detecting a trend in QQQ

What just happened?

We plotted the closing price for QQQ with a trend line (see trend.py):

from matplotlib.finance import quotes_historical_yahoo
from datetime import date
import numpy as np
from scipy import signal
import matplotlib.pyplot as plt
from matplotlib.dates import DateFormatter
from matplotlib.dates import DayLocator
from matplotlib.dates import MonthLocator


today = date.today()
start = (today.year - 1, today.month, today.day)

quotes = quotes_historical_yahoo("QQQ", start, today)
quotes = np.array(quotes)

dates = quotes.T[0]
qqq = quotes.T[4]


y = signal.detrend(qqq)

alldays = DayLocator()
months = MonthLocator()
month_formatter = DateFormatter("%b %Y")

fig = plt.figure()
ax = fig.add_subplot(111)

plt.title('QQQ close price with trend')
plt.ylabel('Close price')
plt.plot(dates, qqq, 'o', dates, qqq - y, '-')
ax.xaxis.set_minor_locator(alldays)
ax.xaxis.set_major_locator(months)
ax.xaxis.set_major_formatter(month_formatter)
fig.autofmt_xdate()
plt.grid()
plt.show()
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