Dear All,
Copying from the SMA examples using consolidators, I played it on SPY. I noticed that there was an intrinsic one bar lag for the indicators. Looking at the output from the log below
Log(consolidated.Close+"//" +fast+"//"+slow);
SPY SMA(2) SMA(4)
6/1/201612:00:01 208.693 208.6532 208.397
6/1/201612:30:01 208.872 208.7029 208.5686
6/1/201613:00:01 209.0411 208.7825 208.7178
6/1/201613:30:01 208.8919 208.9566 208.8298
Obviously 0.5*(208.693+208.872)=208.7825 which showed up in the third row instead of the second row. Thus we have an intrinsic lag created by using the consolidator.
I have encountered this problem long time ago and my previous solution was to rewrite the indicators all by myself to avoid the "instrinsic lag". My rewriting was working but I still want to see whether I used the consolidator and the built-in indicators in a wrong way.
Thanks.