Trading 4 Hr Timeframe by Greg L

Greg L

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Hi,

I was looking at the Example DailyAlgorithm.cs and trying to apply that to the 4 hour time frame. In the attached project I am not seeing what I would expect in the log statement based on the criteria of the if, I've tried several different properties of the data object but they all seem have the same result.

I also had questions as to the Resolution. of the Security and the SMA indicator - Are these set right to ensure that the SMA6 value is for the close of a 4 hour bar in the OnData method?

Thanks for the help!
Greg

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Greg L

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Michael Handschuh

50.5k ,

Hey @Greg!

It looks like the project never got attached. Remember to include a back test or else it won't work!

Greg L

444 ,

Sorry about that, didn't know I had to attach the backtest. Also to elaborate the Log statement seems to execute every minute of the backtest data which is not what I expected, I would have expected to see 0, 4, 8, 12, 16, 20....... when the Hour is logged out, not just repeated 0. Not sure what I am doing wrong here.

Also on a different note all together could you tell me what the ? in the below declaration means

decimal? last = null;

I saw this in DisplacedMovingAverageRibbon.cs but could not find what it means in the C# documentation.

Michael Handschuh

50.5k ,

Hey @Greg,

It looks like there's a few issues here. First, the 'Date' property will always have a TimeOfDay = 0, since it's the date portion of the DateTime. Secondly, it looks like the logic for detecting 4 hour marks wasn't correct.

I've attached an updated version of your code that will fire each day at 12pm and 4pm for equities.

Greg L

444 ,

Thanks Michael, I guess I got wrapped around the axle on the different properties of the TradeBars data object.

Any thoughts on the other question about that decimal declaration that went like

decimal? last = null;

Thanks again for your assistance
Greg

Ian Pollard

0 ,

? = nullable

Greg L

444 ,

Thanks Ian!

Not sure if you or Michael can help on this one but the last question I had in this thread was about the Resolution value for the Equity/Instrument and Indicators. To use this in a 4 hour time frame would Resolution.Hour be the right value or would I have do so something custom to make this work properly?

Thanks again for your help!
Greg

Michael Handschuh

50.5k ,

Greg, here's some documentation on nullable types.

As for your 4 hour time frame, what exactly are you trying to do? Are you trying to have indicators based on 4 hour data? Are you trying to make decisions every 4 hours? Is this 4 trading hours or 4 rounded clock hours (8/12/16)?

If you're looking to have indicators defined on the 4 hour interval, I would recommend usage of a consolidator. Consolidators allow you to 'consolidate' higher resolution bars into lower resolution bars (hours -> 4 hour bars).

I've attached an example of consolidating some SPY hourly data into 4 hour bars. Each day you'll receive data at noon and at 4pm.

Greg L

444 ,

Thanks Michael, I will have a look at his code, I appreciate your putting it together for me.

I lean towards trading spot forex which is a 24 hour market starting Sunday night through Friday afternoon EST. I found a 4 SMA trading system on the internet that uses a 4 hour time frame (so in specific answer to your questions trying to have indicators based on the close price of a 4 hour bar to make trading decisions based on those indicators each 4 hour period for all the time the market is open) - I don think it will make any money but I thought it was a good place to start so I can learn more about the QuantConnect LEAN apis and how to build, optimize and measure strategies. I am also interested in ETF's as well but I dont have much experience trading those.

Thanks again for your help,
Greg

Greg L

444 ,

Hi Michael,

When using the RegisterIndicator method of the QCAlgorithm.Indicators.cs as shown in the example you attached in a local copy of the LEAN project (pulled from git this morning), the code throws an error due to ambiguity. Looks like a couple of the method signature allows a null value in the last (4th) argument but it can be of different types (decimal or T)

I believe these are

public void RegisterIndicator(string symbol, IndicatorBase indicator, IDataConsolidator consolidator, Func selector = null)

and

 public void RegisterIndicator(string symbol, IndicatorBase indicator, IDataConsolidator consolidator, Func selector = null)

I think that argument is some kind of lamba expression of which I am not too familiar with yet so I'm not quite sure how to fix that.

Thanks for your assistance,
Greg

Greg L

444 ,

Calling it with a 4th argument like this x=> null seems to work. Is this a legitimate way to call the method?

Thanks again,
Greg

Michael Handschuh

50.5k ,

Hey sorry Greg for the very delayed response, somehow this slipped past me. The value 'x => null' I wouldn't expect to work. You could just pass 'null' and then we'll default to 'x => x.Value' which is the closing price of the bar.

Greg L

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