Hello everyone!
I have an algo that trades HeikinAshi candles. First I tested it on daily bars. Then I changed the equity resolution to hourly bars, keeping the HeikinAshi at Daily.
Before:
self.AddEquity(self.symbol, Resolution.Daily)
self.ha = self.HeikinAshi(self.symbol, Resolution.Daily)
After:
self.AddEquity(self.symbol, Resolution.Hour)
self.ha = self.HeikinAshi(self.symbol, Resolution.Daily)
The backtest results vary significantly, so I suspect I'm doing something wrong. I want to keep the resolution of HeikenAshi bars at Daily reguardless of equity resolution, and expect the same backtest result.
Michael Manus
it seems that you have to use consolidators when using hour candles to consolidate to daily.
example of 3 day candle (spy has minute resolution)
Addequity uses minute when no resolution is provided
Ilya
Problem solved.
I trided to:
1) Subscribe HeikinAshi to consolidated daily bars with RegisterIndicator:
consolidator = TradeBarConsolidator(timedelta(1)) self.SubscriptionManager.AddConsolidator(self.symbol, consolidator) self.ha = HeikinAshi() self.RegisterIndicator(self.symbol, self.ha, consolidator)
This throws a runtime error SystemError : <bound method 'RegisterIndicator'> returned a result with an error set.
2) Update HeikinAshi on DataConsolidated event:
consolidator.DataConsolidated += self.OnDailyBarHandler .... def OnDailyBarHandler(self, sender, bar): self.ha.Update(bar)
This actually worked, but OnDailyBarHandler fires right after market open. My rebalancing happens before market open, so at that time I always have a one day lagged HeikinAshi candle.
I needed to have a completed daily candle right after market close, so I did the following:
3) Consoidate daily candle manually
def Initialize(self): ... self.ha = HeikinAshi() self.daily_candle = TradeBar() self.Schedule.On(self.DateRules.EveryDay(self.symbol), self.TimeRules.BeforeMarketClose(self.symbol, -1), Action(self.AfterMarketClose)) def AfterMarketClose(self): self.ha.Update(self.daily_candle) if not self.ha.IsReady: return # rebalance ... def OnData(self, data): bar = data[self.symbol] if bar is None: return if not bar.Time.day == self.daily_candle.Time.day: # new day self.daily_candle = TradeBar() self.daily_candle.Time = bar.Time self.daily_candle.Period = timedelta(1) self.daily_candle.Symbol = self.symbol self.daily_candle.Open = bar.Open self.daily_candle.High = bar.High self.daily_candle.Low = bar.Low self.daily_candle.Value = bar.Close self.daily_candle.Volume = bar.Volume else: self.daily_candle.Time = bar.Time self.daily_candle.High = max(self.daily_candle.High, bar.High) self.daily_candle.Low = min(self.daily_candle.Low, bar.Low) self.daily_candle.Close = bar.Close self.daily_candle.Value = bar.Close self.daily_candle.Volume += bar.Volume
Now I get very similar backtest results on any equity resolution.
Ilya
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