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Hi friends,
I would like to create an algorithm that takes the standard deviation of the EMA of a security, and buys and sells it when it is 1 STD lower and higher respectively. I can't seem to wrap my head around QuantConnects syntax, so if anyone could help it would be great!
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Vladimir
Nested Technologies,
This may help.
Derek Melchin
Hi Nested Technologies & Vladimir,
To get the standard deviation of the EMA, we should replace
self.ema = self.EMA(self.stock, period, res) self.std = self.STD(self.stock, period, res) self.ema_std = IndicatorExtensions.Of(self.std, self.ema)with
self.ema = self.EMA(self.stock, period, res) self.ema_std = IndicatorExtensions.Of(StandardDeviation(period), self.ema)In the former, the standard deviation is updated twice on every timestep. The first update is done with the stock price, the second update is done with the EMA value. See the attached backtest for reference.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Vladimir
Thank you, Derek.
Here is the corrected version.
Nested Technologies
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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