My first test strategy


   I am new for Quant but very interested in it, so glad after couple of days reading finally had one simple strategy running. I had day trade experience and want to see if I could implement my ideas via quant. 

I met below questions during the result:

1, why there is a Sep 5 result when the test is done within Sep 6?

2, why there is open trade, it seems below endofday didn't trigger?

 def OnEndOfDay(self):

        # close up shop each day and reset our 'last' value so we start tomorrow fresh
        self.__last = None

3, Is there any indicators can be used for consolidator directly?

Thank you in advance.

Update Backtest

Hi Xin Xu, 

1) By running your algorithm, I didn't find the result on Sep 5th either in log or in the trade result. 

2) OnEndOfDay() event handler will be called at 00:00 am. You should set a large date range. As the market is not open at 00:00 am, the liquidation order will be converted to marketOnOpen order and will be executed on the market open the next day.

3) You need self.RegisterIndicator(symbol, indicator, consolidator) to update the indicator with the consolidated bar. The available indicators are searchable in the documentation

Thank you Jing for your detailed explanation. 

For 1, see the pic below, it shows another bar on Sep 5.


Update Backtest


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