4h Timeframe with Consolidation Function

Marcel Friz

It is not clear either you want to check conditions every 4 Hours or you need to calculate simple moving average based on 4 Hour bar?

Marcel Friz

"Price - Moving Average(4 Hour bar) Cross" checks conditions at 10 and 14.
Is this what you are looking for?

Hi Vladimir,

Thanks for your support!

I would like my algorithm to be based on a period of 4 hours.  I don't want to check the conditions at a certain time.

Therefore the indicators should be calculated on a 4h basis. And this is one of my questions is it possible to create a 4hour SMA without consolidating the equity to 4hour, so is it possible only creating a 4hour SMA?
So it is the second suggestion from you that I want to reach: you need to calculate SMA based on 4hours bar. 

If I am right, you have the solution in your last backtest, if it’s so, please give me a short feedback that I can accept the answer.

Thanks Vladimir for your effort!

Hi Marcel,

If you remove the line:

if not(self.Time.time() == time(10) or self.Time.time() == time(14)): return

from the algo, you will have your algo without the time constraint on trades…

F

Hi Marcel,

I don't see a link to edit a previous post so I post again to include the backtest (I also want to test backtest inclusions 😊).

F

Marcel Friz,

"Price - Moving Average(4 Hour bar) Cross" subscribed to  Hour data

self.stock = self.AddEquity(STOCK, Resolution.Hour).Symbol

self.bond = self.AddEquity(BOND, Resolution.Hour).Symbol

Than data consolidated to 4 Hour bar

Consolidator = TradeBarConsolidator(timedelta(hours = 4)) 

self.SubscriptionManager.AddConsolidator(self.stock, consolidator)

Than Simple Moving Average calculated using consolidated 4 Hour bar data.

self.sma = SimpleMovingAverage(MA)   

self.RegisterIndicator(self.stock, self.sma, consolidator)

As there may be no more than 2  4 Hour bars during Equity trading session I limit trading to 10 and 14.

if not(self.Time.time() == time(10) or self.Time.time() == time(14)): return

but you can change it to 11 and 15 or 12 and 16.

If you will remove that line than algorithm will check conditions and Plot self.sma every  Hour.

In this case you need to adjust start date as there is limit 4000 data points for plotting indicators.

Enjoy    

Marcel Friz,

Here is "Price - Moving Average(4 Hour bar) Cross"

With check conditions and Plot self.sma  every Hour.