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Custom Indicator

I'm trying to translate this open source strategy from perl to c# and from tradingview.com to Quant Connect.
here's the guts of it.

fastMA = ema(source, fastLength)
slowMA = ema(source, slowLength)

macd = fastMA - slowMA
signal = sma(macd, signalLength)
hist = macd - signal

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I've been stuck on not understanding what's wrong for hours now. I'm just getting a whole lot of blank. The MACD values i'm getting back are wrong too. :(

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did you find the problem?

you could do this like in the example and update values manualy

https://github.com/QuantConnect/Lean/blob/master/Algorithm.CSharp/MultipleSymbolConsolidationAlgorithm.cs

in your own method:

https://github.com/QuantConnect/Lean/blob/master/Algorithm.CSharp/DataConsolidationAlgorithm.cs
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oh and also if you think that you did already rigth try to take a different default moving average....

https://www.quantconnect.com/forum/discussion/3713/percentage-price-oscillator-ppo-values

last line

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Can you use the MACD indicator instead?

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I am new here, I am trying to convert the script like John, here is my script;  

fastperiod = input(12,title="fastperiod",type=integer,minval=1,maxval=500)
slowperiod = input(26,title="slowperiod",type=integer,minval=1,maxval=500)
signalperiod = input(9,title="signalperiod",type=integer,minval=1,maxval=500)
fastMA = ema(close, fastperiod)
slowMA = ema(close, slowperiod)
macd = fastMA - slowMA
signal = ema(macd, signalperiod)
macdAS = macd - signal

Thanks for any help in advance

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Hi Hasan.

Welcome to QuantConnect. I've attached a backtest where I've implemented a simple version of a MACD strategy.

The algorithm goes long SPY when the MACD-Histogram value is positive and shorts SPY when the value is negative.

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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.


Hi Hasan,

I would recommend getting comfortable with QuantConnect's API using Bootcamp and some Tutorials. Converting scripts like these will become easier. 

For example QuantConnect provides over 100 technical indicators in the form of an object. You can even have indicators of indicators. Here are some of the indicator objects that can be used for this:

self.ema = self.EMA("IBM", 14, Resolution.Daily)

# define our daily macd(12,26) with a 9 day signal
self.__macd = self.MACD("SPY", 12, 26, 9, MovingAverageType.Exponential, Resolution.Daily)

 And here is a fully implemented MACD strategy:

https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/MACDTrendAlgorithm.py

 

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Hi to all,

Thank you all for the answers. I am doing some explorations on framework nowadays.

 

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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.


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