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LEAN is the open source algorithmic trading engine powering QuantConnect. Founded in 2013 LEAN has been built by a global community of 80+ engineers and powers more than a dozen hedge funds today.

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EMA 10-50 Cross Trading Strategy

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Xiaoxiao

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Trading signal is trigger by ema 10 day cross 50 day.

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Xiaoxiao

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Jared Broad

Very cool indicator class @xiaoxiao! We've been meaning to make a bunch of those an build them in. Would you mind if add that class to the GIT repo?

Seems like solid proof short term EMA crosses don't work well :) Perhaps you could experiment with the purchase size?

Quant Trader

2.9k ,

Hi Xiaoxiao,

I have the feeling your moving average does not move forward:

ema10.Push(Securities["IBM"].Close);

            ema50.Push(Securities["IBM"].Close);

            if (ema10.EMA > ema50.EMA)

            {

The Push does only enque, not calculate the average. It is quite hard to debug online in the cloud to set a breakpoint to what your code is actually doing. So this is just a visual interpretation of your code. It would make sense since ema10.EMA is effective after 10 ticks and the ema50 needs 5 times more data. At start both are zero, so ema10.EMA is larger after 10 ticks. I assume data comes in every 1 minute, so N=10 and N=50 means you look on 10-50 minutes scale?

J.

Jared Broad

Hang in there @Quant :) We'll have custom charting soon to make debugging easier.. @Gustavo is working on the charts and the backend already supports it. I'm also preparing to release a desktop version to run backtests locally on QC.. its slow going with live trading though.

Re: EMA -- Pushing into a Queue[10] type will dump old data after 10 items are in the queue if I understand it correctly. EMA should be calculated using online formulas anyway and you don't need a queue.

Quant Trader

2.9k ,

I believe the queue is used to store data items before the average can be calculated on the average of last tick. If you know a library which can process tick data on the fly instead of doing numerous calculations, that would be great.

Sample code (not tested yet!):



using System;

using System.Collections;

using System.Collections.Generic;

using System.Text;

using System.Threading.Tasks;

using System.Linq;

using QuantConnect;

using QuantConnect.Models;



namespace QuantConnect.Algorithm.Library

{

    /// 

    /// An indicator shows the average value of secuitry's price  

    /// over a set period 

    /// 


    public class ExponentialMovingAverage

    {

        private int _period;

        private decimal _ema;

        private bool _initialized;

        private Queue _data = new Queue();



        public void Clear()

        {

            _data.Clear();

        }

        /// 

        /// EMA value

        /// 


        public decimal EMA

        {

            get { return _ema; }

        }

        private decimal ExponentialComponent

        {

            get { return (decimal) 2 / (_period + 1); }

        }

        /// 

        /// Initialise the Algorithm

        /// 


        public ExponentialMovingAverage(int period)

        {

            _period = period;

            _ema = 0;

            _initialized = false;

        }

        public bool IsInitialized

        {

            get { return _initialized;}

        }

        /// 

        /// Calculate the exponential moving average 

        /// 
          

        public bool Push(decimal priceToday)

        {

            if (_initialized)

            {

                _ema = (1 - ExponentialComponent) * _ema + ExponentialComponent * priceToday;

                //http://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average

            }

            else

            {

                _data.Enqueue(priceToday);

                if (_data.Count >= _period)

                {

                    _ema = _data.Average();

                    _initialized = true;

                }

            }

            return _initialized;

        }

    }

}

Jared Broad

I had something similar prepped for next release -- to kick off the community indicator library :) Would you be interested in contributing to the OS project?



namespace QuantConnect

{

    using QuantConnect.Models;

    

    /// 

    /// Online exponential moving average indicator class:

    /// 


    public class EMA : Indicator

    {

        /// 

        /// Initialize a new instance of the online EMA.

        /// 


        /// number of samples in the EMA.

        public EMA(int period) {

            _period = period;

        }



        private decimal _ema = 0;

        private decimal _period = 0;



        /// 

        /// Period of the EMA.

        /// 


        public decimal Period

        {

            get {

                return _period;

            }

        }



        /// 

        /// Last calculated EMA

        /// 


        public decimal Result

        {

            get {

                return _ema;

            }

        }



        /// 

        /// Push in the latest price and get back an updated EMA.

        /// 


        /// latest price of asset

        /// Period EMA

        public decimal Push(decimal latestPrice) {

            try

            {

                //Set the first value of EMA.

                if (_ema == 0) _ema = latestPrice;

                //Online EMA 

                _ema = (1m / _period) * latestPrice + ((_period - 1m) / _period) * _ema;

            }

            catch (Exception err) 

            {

                throw new Exception("Indicator: EMA(): Sorry there was an error your EMA: " + err.Message);

            }

            return _ema;

        }



        /// 

        /// Push in the last market data to get the period based EMA.

        /// 


        /// Tick Market Data

        /// Decimal EMA over the requested period.

        public decimal Push(Tick tick) 

        {

            return Push(tick.Price);

        }



        /// 

        /// Push in the last market data to get the period based EMA.

        /// 


        /// TradeBar Market Data

        /// Decimal EMA over the requested period.

        public decimal Push(TradeBar bar) 

        {

            return Push(bar.Price);

        }



    } // End Indicator Class

} // End QC Namespace

Quant Trader

2.9k ,

Depends on the effort required :-).

Craig Parker

513 ,

it only shows one trade though.

Xiaoxiao

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