Back

True Range

Hey everybody,

I'm trying to get the range for a period of time (say 30 minutes). AverageTrueRange will give me the average of the range for EACH minute but I need the actually range for the WHOLE 30 minutes.

Any suggestion?

Update Backtest








By the description, it looks like you want to calculate ATR for a 30-minute bar. Is that right?
Please checkout how we achieve that in Lean/QuantConnect with consolidators in the docs.

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.


If you mean the resolution is 30 minute bar, then yes. But I cant seem to  use consolidatedo data correctly in the ATR indicator.

I need it to fill forward when it is going through my other 1 minute indicators. It will fill forward just fine with the raw data (say an hour) but it won't when I use consolidated 30 minute data.

0

The consolidator solved my problem. I guess I just wasn't using it correctly.

Thanks again Alexandre.

0

Update Backtest





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.


Loading...

This discussion is closed