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Problem with HeikinAshi candles

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.

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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
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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.

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