EMA plots different than mainstream broker by H Huxley Li

H Huxley Li

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It seems to me the EMA plots different than some broker say Schwab. See picture. I set the same as 15m bar for 5 and 10 EMA cross over. The project was cloned to run this test. The highlighted from the picture is where trades were executed, however the EMA didn't cross. Anyone please help! Many thanks,

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H Huxley Li

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H Huxley Li

223 ,

see image enclosed

Alexandre Catarino

In this algorithm, the trading signals depend on the EMA cross and three daily indicators (RSI, MACD and Momentum). Since the start and end date are set to have the difference of only one day, the daily indicators will not be ready (in other words, there is not sufficient data to calculate them).
There are two options to fix this:

Set an earlier StartDate and in OnFifteenMinuteData handler, check whether all indicators are ready before use them to make trading decisions://In Initialize, e.g.: SetStartDate(2016, 10, 1); public void OnFifteenMinuteData( object sender, TradeBar bar) { // update our indicators Fast.Update(Time, bar.Open); Slow.Update(Time, bar.Close); var isReady = Fast.IsReady && Slow.IsReady && DailyMacd.IsReady && DailyRSI.IsReady && DailyMomentum.IsReady; if(!isReady) return; /* Continue with trading logic */ }
Set warmup with the number of days we need to get the indicators ready (please checkout the docs under the Warming Your Algorithm subsection:
// In Initialize // Warm up 30 days of data. SetWarmup(TimeSpan.FromDays(30));

We should not use the first option for live algorithms, since it would take several days for a deployed algorithm to make its first trade.

H Huxley Li

223 ,

Thanks for the reply. I adjusted the RSI to minute instead of daily, it still doesn't execute properly. It always moves three bars back from the screenshot enclosed.

H Huxley Li

223 ,

And I move the date to 1,1,2016, which should be more sufficient, no? Thanks again

Alexandre Catarino

It impossible to ready the values from those images.
You need to compare the input (price data) and output (indicator values) information from both platforms to find the origin of those trading signals difference.

H Huxley Li

223 ,

Thanks for the reply. If this were to go live, what do I get? Would it be consistent?

Alexandre Catarino

In live mode, we get the same behavior, since the indicator computation does not depend on the mode (live/backtesting). In other words, yes, the indicator outputs would be consistent.

H Huxley Li

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