Weekly/monthly backtesting

Hi Midra,

I recommend having a careful read of 

A daily bar for Friday gets fed into OnData after the day is over, so Saturday 00:00:00.

An hourly bar for, say, 10h00, gets fed into Ondata at 11h00 that day…

Your monthly scheduler is a schedule even that happens on the first of each month.

I would recommend using something like this if you want to consolidate days into months:

from AlgorithmImports import *

class MyProject1(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2021, 1, 1)
        self.SetEndDate(2021, 4, 1)
        self.monthlyBar = {}
        for ticker in ['AAPL']:
            symbol = self.AddEquity(ticker, Resolution.Daily).Symbol
            self.Consolidate(symbol, Calendar.Monthly, self.Monthly)

    def Monthly(self, consolidated):
	    self.monthlyBar[consolidated.Symbol] = consolidated

        self.Log(f"Monthly:: time={self.Time} bar={consolidated}")

    def OnData(self, data):
        bar = data['AAPL']
        self.Log(f"OnData:: time={self.Time} bar={bar}")
        
        
# When you need your monthly bar, look inside self.monthlyBar using the symbol...

Fred

OK, I think I managed to solve it based on this thread: 

https://www.quantconnect.com/forum/discussion/5483/consolidation-several-sets-of-symbols/p1

I'll leave it here, maybe it'll be useful for someone. The first line in Monthly() is essential to make it work:

from AlgorithmImports import *

class Project1(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2019, 1, 2)
        self.SetEndDate(2021, 4, 1)
        self.monthlyData = {}
        for ticker in ['AAPL', 'IBM', 'GOOG']:
            symbol = self.AddEquity(ticker, Resolution.Daily).Symbol
            self.monthlyData[ticker] = MonthlyData(self, symbol, Calendar.Monthly)
        self.Schedule.On(self.DateRules.MonthStart(), self.TimeRules.At(0,1), self.Monthly)

    def Monthly(self):
        for data in self.monthlyData.values(): data.Consolidator.Scan(self.Time)
        aapl = self.monthlyData['AAPL']
        self.Log(f"Monthly:: time={self.Time} monthlyBar={aapl.MonthlyBar} sma={aapl.SMA.Current.Value}")

class MonthlyData:
    def __init__(self, algo, symbol, resolution):
        self.Algo = algo
        self.Symbol = symbol
        self.Consolidator = TradeBarConsolidator(resolution)

        self.MonthlyBar = None
        self.Consolidator.DataConsolidated += self.UpdateData

        self.SMA = SimpleMovingAverage(5) # 5 month SMA
        algo.RegisterIndicator(symbol, self.SMA, self.Consolidator)

    def UpdateData(self, sender, bar):
        self.MonthlyBar = bar
        # other monthly calculations here...

And as for the time in self.Time I understand how it works. I'm just saying that it's a little awkward to have Friday data under Saturday date.

Also in Consolidators you get Time and EndTime variables, and in this case Time is the start time, unlike elsewhere in the framework where it's the ending time. To make it consistent, Time in Consolidator bar should be the ending time, and instead of EndTime variable you should have StartTime.