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Hey guys!
I was writing an algo that included the 14 day ATR and I was double checking the values on tradingview and investing.com when i noticed that the ATR Quant was giving me, was way off.
Also, Quant was sometimes giving me an ATR on days when the market was closed as well as not giving me an ATR on some days the market was open?
Has anyone else had this issue? Does anyone know what is going on here or know how to fix this?
Thank you!
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Matt Halliwell
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Louis Szeto
Hi Jesse and Matt
There could be numerous reasons for the discrepancy. Most commonly would be a misinterpretation of the indicator, especially if you use Daily resolution. Our indicator EndTime would be the next day's 00:00 for daily resolution one, although it is reflecting the previous day's end-of-day value. You might want to shift back a day for your cross-matching. Also, in the default setting, prices were normalized as adjusted prices. You may want to set it as raw price/split-adjusted price for cross-checking. Other reasons could be not fully warmed-up indicators, etc. Refer to this docs for more insights.
Best
Louis
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.
Jesse Fleming
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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