Problem with HeikinAshi candles by Ilya

Ilya INVESTOR

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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.

Update Backtest

Ilya

Accepted Answer

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Michael Manus

10.2k ,

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

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

Ilya

33 ,

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 INVESTOR

Update Backtest

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