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.
Alpha League Competition: $1,000 Weekly Prize Pool
Qualifying Alpha Streams Reentered Weekly Learn
more
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,
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.
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.
H Huxley Li
223
,
see image enclosed
0
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);
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.
0
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.
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.
0
H Huxley Li
223
,
And I move the date to 1,1,2016, which should be more sufficient, no? Thanks again
0
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.
0
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.
H Huxley Li
223
,
Thanks for the reply. If this were to go live, what do I get? Would it be consistent?
0
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.
0
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.
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.
Loading...
To unlock posting to the community forums please complete at least 30% of Boot Camp. You can
continue your Boot Camp training progress from the
terminal. We hope to see you in the community soon!
You do not have enough QC Credit to send this award, get a QC Credit Pack
here.
Award Sent Successfully
Thank you for giving back to the community.
Processing...
Choose a Credit Pack
Payment Confirmation
QuantConnect Credit (QCC) can be applied to your cloud-invoices or
gifted to others in the community with Community Awards in recognition of their contributions.
Community Awards highlight the awesome work your fellow community members are doing and inspires
high quality algorithm contributions to the community. Select an option below to add
QuantConnect Credit to your account:
$5
500 Credit Points
 
$10
1,000 Credit Points
 
$18
2,000 Credit Points
10% bonus
$45
5,000 Credit Points
10% bonus
03/23XXXX XXXX XXXX 0592
We will charge your default organization credit card on file, click
here to update.