Different indicator values for same resolution using consolidators by Simon Nebesky

Simon Nebesky

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Hi all,

i am trying to run some tests on custom time frames (4h, 8h, 12h etc.) using consolidators, but the indicator values differ for the same time resolution using consolidators vs. no consolidators. I have isolated the problem to this simple example, where i just create 2 EMA indicators on a 1 h time frame, one using a consolidator and the other one with no consolidator and log the their values, which are different.

Thanks for any feedback.

BR,

Simon

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Simon Nebesky

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Simon Nebesky

1.4k ,

If any one is interested in the solution - I needed to use the constructor for ExponentialMovingAverage instead of the factory method QCAlgorithm#EMA and after that the indicator values are the same.

// use constructor for ExponentialMovingAverage instead of QCAlgorithm#EMA

_fastEmaCustomTimeFrame = new ExponentialMovingAverage(_fastPeriod);

_fastEmaStandardResolution = EMA(_ticker, _fastPeriod, _resolution);

Jared Broad

You're correct! The quant team wrote an answer to you but didn't post it! Sorry about that!

Xin Wei

STAFF ,

Hi Simon,

Thank you for the question and answer! You're correct that when working with consolidated data, we need to define a custom indicator instead of using the built-in one. I've attached a backtest to add more details to your answer.

Simon Nebesky

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