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Hello,
I have been working with Lean on Visual Studio for the past month or so, but this is my first post to the forum.
I am attempting to use the ADX, DI+ and DI- indicator. The ADX appears to be within about .01 to .015 of what I would expect. ADX(14) for calculates to 32.41782 in Lean on Visual Studio. I am getting 32.4293 on another platform using historical data for AIG 10/7/2013 @12:40am. This is close enough.
DI+ and DI- are off a lot. On Lean DI+ = 4.354618, on other platform DI+ = 14.0000. On Lean DI- = 9.865231, on other platform DI- = 34.0000.
Any ideas?
thank you,
Scott
Alexandre Catarino
In our experience, when there is a mismatch between our indicators and those from other platforms it can be explained by differences in the bars. A bar can be different because the data is different or the openning/closing time of the bar is slightly different.
Our indicators are validated against third party software/platform (checkout the Tests project), we use their data and our calculations and compare againt their indicators.
Scott Higgins
Thanks for the response. I have seen this noted in other threads.
What I am seeing is the ADX is very close to what I would expect, but DI+ and DI- are not even close. I was hoping there was a known issue or I was doing something wrong. I quess I will need to investigate some more when I have time.
Alexandre Catarino
We understand your point: it is strange that ADX is close and DI+ and DI- are not. However this is not a known issue since this indicator has been validaded against another platform with the same data.
Pehaps the platform you use has a different formula. Unfortunatelly, unlike Lean/QuantConnect, other platforms are not transparent and we cannot access their indicators formulae.
Scott Higgins
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