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IndicatorExtensions.MAX() for TrueRange

Hello,

I want to have the greatest range value among previous five bars. I calculate the TrueRange indicator and use the IndicatorExtension MAX.

1) It finds a value I couldn't understand where it comes from. Ranges are below 0.01 but MAX value is something at a price level like 1.15__

https://www.quantconnect.com/backtest/56893/1940931/47b43ee785577f43ed916819b8135d90-log.txt

2) Why the TR_MAX IsReady before the inputted period? I entered five and it is ready in the second bar.

Best,

Atacan

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Hi Atacan, for indicator helper method self.TR(), the value will be updated automatically, you don't need self.RegisterIndicator() here. Otherwise, the indicator will be updated twice with the same value. That's why your indicator is ready before the inputted period. Now the value of the indicator looks reasonable.

If you use the indicator constructor here self.tr = TrueRange("TrueRange"), you can use self.RegisterIndicator(eurusd.Symbol, self.tr, self.resolution) to update the indicator.

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Update Backtest





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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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