Indicators with Daily Resolution Not Trading by Ted Smith

Ted Smith INVESTOR

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using System;

using System.Globalization;

using System.Linq;

using QuantConnect.Indicators;

using QuantConnect.Models;





namespace QuantConnect.EMA.GDAX

{

    public class MovingAverageCross : QCAlgorithm

    {

        private const string Symbol = "MSFT";

        private DoubleExponentialMovingAverage fast;

        private DoubleExponentialMovingAverage slow;            



        public override void Initialize()

        	{

            SetStartDate(2014, 01, 01);

            SetEndDate(2018, 02, 03);

            AddEquity(Symbol, Resolution.Daily);



            fast = DEMA(Symbol, 30, Resolution.Daily); 

            slow = DEMA(Symbol, 150, Resolution.Daily); 



        	}



        private DateTime previous;

        public void OnData(TradeBars data)

        {

            if (!slow.IsReady) return;



            if (previous.Minute == Time.Minute) return;



            const decimal tolerance = 0.00015m;

            var holdings = Portfolio[Symbol].Quantity;



        	

            if (holdings <= 0)

            {

                // if the fast is greater than the slow, go long

                if (fast > slow * (1 + tolerance))

                {

                    Log("BUY  >> " + Securities[Symbol].Price);

                    SetHoldings(Symbol, 1);

                    

                }

            }



            // Liquidate if currently holding a position

            // if the fast is less than the slow then sell

            if (holdings > 0 && fast < slow)

            {

                Log("SELL >> " + Securities[Symbol].Price);

                Liquidate(Symbol); 

            }



            Plot(Symbol, "Price", data[Symbol].Price);

            Plot(Symbol, fast, slow);



            previous = Time;

        }

    }

}

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Ted Smith

Accepted Answer

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Ted Smith

125 Pro ,

I'm having an issue with the indicators using daily resolution. I've added a snippet of the code and you will see it's not executing any trades, yet if I substitute minute resolution into the same code, it works fine. I have left previous time to be evaluated on a minute basis because daily resolution for previous day gives an error. Any help would be greatly appreciated.

Also, could you please provide some insights to the non-trading hours and the indicators? How can I ignore the indicators during the non-trading hours, as well as, how to can I leave these data points out of the DEMA calcuations? Or is it ignored automatically?

Quant Trader

3k Pro ,

This one is with Daily resolution:

using System;

using System.Globalization;

using System.Linq;

using QuantConnect.Indicators;

using QuantConnect.Models;





namespace QuantConnect.EMA.GDAX

{

    public class MovingAverageCross : QCAlgorithm

    {

        private const string Symbol = "MSFT";

        private DoubleExponentialMovingAverage fast;

        private DoubleExponentialMovingAverage slow;            



        public override void Initialize()

        	{

            SetStartDate(2009, 01, 01);

            SetEndDate(2018, 02, 03);

            AddEquity(Symbol, Resolution.Daily);



            fast = DEMA(Symbol, 30, Resolution.Daily); 

            slow = DEMA(Symbol, 150, Resolution.Daily); 

            

            SetWarmup(150);



        	}



        //private DateTime previous;

        public void OnData(TradeBars data)

        {

            if (!slow.IsReady) return;



            //if (previous.Minute == Time.Minute) return;



            const decimal tolerance = 0.00015m;

            var holdings = Portfolio[Symbol].Quantity;



        	

            if (holdings <= 0)

            {

                // if the fast is greater than the slow, go long

                if (fast > slow * (1 + tolerance))

                {

                    Log("BUY  >> " + Securities[Symbol].Price);

                    SetHoldings(Symbol, 1);

                    

                }

            }



            // Liquidate if currently holding a position

            // if the fast is less than the slow then sell

            if (holdings > 0 && fast < slow)

            {

                Log("SELL >> " + Securities[Symbol].Price);

                Liquidate(Symbol); 

            }



            Plot(Symbol, "Price", data[Symbol].Price);

            Plot(Symbol, fast, slow);



            //previous = Time;

        }

    }

}

This one is with minute data:

using System;

using System.Globalization;

using System.Linq;

using QuantConnect.Indicators;

using QuantConnect.Models;





namespace QuantConnect.EMA.GDAX

{

    public class MovingAverageCross : QCAlgorithm

    {

        private const string Symbol = "MSFT";

        private DoubleExponentialMovingAverage fast;

        private DoubleExponentialMovingAverage slow;            



        public override void Initialize()

        	{

            SetStartDate(2009, 01, 01);

            SetEndDate(2018, 02, 03);

            AddEquity(Symbol, Resolution.Minute);



            fast = DEMA(Symbol, 30, Resolution.Minute); 

            slow = DEMA(Symbol, 150, Resolution.Minute); 

            

            SetWarmup(150);



        	}



        //private DateTime previous;

        public void OnData(TradeBars data)

        {

            if (!slow.IsReady) return;



            //if (previous.Minute == Time.Minute) return;



            const decimal tolerance = 0.00015m;

            var holdings = Portfolio[Symbol].Quantity;



        	

            if (holdings <= 0)

            {

                // if the fast is greater than the slow, go long

                if (fast > slow * (1 + tolerance))

                {

                    Log("BUY  >> " + Securities[Symbol].Price);

                    SetHoldings(Symbol, 1);

                    

                }

            }



            // Liquidate if currently holding a position

            // if the fast is less than the slow then sell

            if (holdings > 0 && fast < slow)

            {

                Log("SELL >> " + Securities[Symbol].Price);

                Liquidate(Symbol); 

            }



            Plot(Symbol, "Price", data[Symbol].Price);

            Plot(Symbol, fast, slow);



            //previous = Time;

        }

    }

}

No idea of those questions:

I guess you only receive data once there is data to consume. Otherwise indicators would show empty for zero or with last price. You can use PlotIndicator(Symbol, fast); to see that.

Ted Smith

125 Pro ,

Thanks Quant Trader!!! That makes sense! As for the indicator questions, I've ran the code you provided and it's not plotting the indictors the same way my original code was plotting. Just as an FYI, my code was plotting the indicators during non-trading hours (at night) and I suspected it was taking these values into account whem making the DEMA calc. Therefore, throwing off the DEMAs.

Thank you for the helpful insights. I really appreciate it.

Ted Smith

125 Pro ,

Hi Quant Trader, I implemented your revisions into my code and it works very well for backtesting. The graphs are coming out great and it refines them significantly more than my original code. Yet, I'm noticing a significant lag in backtesting now because well, its running through all the code without waiting the minute I had previously told it to wait:

if (previous.Minute == Time.Minute) return;

Any recommendations on how to speed this up without passing in the "if (previous.Minute == Time.Minute) return;" statement?

Quant Trader

3k Pro ,

Can you share your algo so that it is easier to see how the code flows. If you do not trade per minute or make decision upon such data you can use daily resolution. You can use a scheduler which event is triggered for instance once per day to check if there is something to trade. Or use consolidators to summarize minute data to for instance hour data.

Quant Trader

3k Pro ,

Hi,

I have looked into your algorithm and I do not understand why you would not run per minute? You fast/ slow are per minute and you take a period of 30 minutes into account. So if your logic would not run per minute, you will miss the righ trade moments. Hope this helps. Processing data takes time.

            fast = DEMA(Symbol, 30, Resolution.Minute); 

            slow = DEMA(Symbol, 150, Resolution.Minute);

Ted Smith INVESTOR

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