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Hello, I am working on a new algorithm using the MACD indicator and it's values, and I have yet in backtests to take any trades, and debugging always gives an MACD value of 0.0. I am using self.var.Current.Value and for the Signal, self.var.Signal.Current.Value, all on minute resolution. I have cloned multiple examples from documentation and elsewhere, still getting no trades and a value of 0.0 when debugging, but I will still post my code just in case.
def Initialize(self):
self.SetStartDate(2021, 1, 1)
self.SetCash(1000000)
self.AddEquity('SPY')
self.SetBenchmark('SPY')
self.SetBrokerageModel(AlphaStreamsBrokerageModel())
self.SetExecution(ImmediateExecutionModel())
self.SetRiskManagement(MaximumDrawdownPercentPerSecurity(0.05))
self.AddSecurity("TQQQ", Resolution.Minute)
self.macA = self.MACD("TQQQ", 12, 26, 9, MovingAverageType.Exponential, Resolution.Minute)
self.SetWarmup(26)
def OnData(self, data):
if self.IsWarmingUp: return
if self.macA.Current.Value < 0:
if self.macA.Signal.Current.Value < self.macA.Current.Value:
self.SetHoldings("TQQQ", .1)
Vladimir
Ethan Wertlieb
Try this
Ethan Wertlieb
Got it, thanks! For any readers in the future the exact change that got it working was changing "AddSecurity" to "AddEquity"
Ethan Wertlieb
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