Hey guys, I was looking through one of the recent forum posts on using history to update indicator bars in the universes. I ran the backtest and noticed that, while it ran, the log actually didn't output the correct data to use. All of the ADX values were 50 and all of the ATR values were 0. I'm not sure how to fix this to make it useable.
ADX/ATR History Bar Update in Universes
Back
0
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.
This is the discussion that the backtest is from:
0
Hi Brad,
Thank you for your question. It is a really good observation. In fact, a missing argument in TradeBar caused this issue. It should be bar = TradeBar(tuple.Index, symbol, tuple.open, tuple.high, tuple.low, tuple.close, tuple.volume) rather than bar = TradeBar(tuple.Index, tuple.open, tuple.high, tuple.low, tuple.close, tuple.volume) in line 70. We should add the symbol of the equity when creating TradeBar. In this way, the ADX and ATR will get updated correctly and they are no longer always 0 and 50. Besides, I log the values of other indicators too (SMAv, SMA, and RSI). All of them get updated correctly and their values are reasonable.
Now, feel free to combine Universe Selection and different Indicators. We hope you can create some amazing algorithms based on this example. Good luck!
1
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.
Awesome! Thank you for the help!!!
0
0
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.
Loading...
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can
continue your Boot Camp training progress from the
terminal. We hope to see you in the community soon!
Send an award to
+
+
Choose a Credit Pack
QuantConnect Credit (QCC) can be applied to your cloud-invoices or gifted to others in the community with Community Awards in recognition of their contributions. Community Awards highlight the awesome work your fellow community members are doing and inspires high quality algorithm contributions to the community. Select an option below to add QuantConnect Credit to your account:
$5
500 Credit Points
$10
1,000 Credit Points
$18
2,000 Credit Points
10% bonus
$45
5,000 Credit Points
10% bonus
Billing Summary
| Credit Pack |
| Total |
