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Hi and thanks for taking the time to see this.
I wanted to know if it was possible to add more Forex data for QuantConnect to backtest.
Right now QuantConnect's EURUSD data is limited to 2004-onwards. However, I have EURUSD data from 1986-onwards in CSV format, saved in DropBox and I was trying to import this data into QuantConnect in order to extend the historical range of my backtests
I have tried modifying the solutions provided in GitHub (Algo Reference, Importing Custom Data), but it doesn't seem to be working. The backtest simply occurs without recording any trades.
I would appreciate any form of advice or help.
Thanks
Douglas Stridsberg
Hi Caleb,
If you can provide your work/effort so far, we can perhaps pinpoint any mistakes/errors you're making.
Frost
Hi Douglas,
Thanks for the reply.
I've attached my code below. I based this code on the MACD and Nifty Templates that were provided on GitHub, and made some modifications by myself.
I was trying to import EURUSD CSV data from 1986 onwards to use for backtesting.
When I used this code for backtesting, there were no errors, but the Algo made zero trades or activity during the backtest period.
I'm new to Python and I would appreciate any help or advice.
Thanks
class MACDTrendAlgorithm(QCAlgorithm): def Initialize(self): '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.''' self.SetStartDate(2008, 1, 1) #Set Start Date self.SetEndDate(2018, 1, 1) #Set End Date self.SetCash(10000) #Set Strategy Cash # Find more symbols here: http://quantconnect.com/data eurusd = self.AddData(EuroDollar, "EURUSD", Resolution.Daily).Symbol self.UniverseSettings.Leverage = 50 # define our daily macd(12,26) with a 9 day signal self.sma_actual = self.SMA(eurusd,2,Resolution.Daily) self.sma = self.SMA(eurusd,100, Resolution.Daily) self.psar = self.PSAR(eurusd, 0.04,0.04,0.4,Resolution.Daily) self.rsi = self.RSI(eurusd,100, MovingAverageType.Simple,Resolution.Daily) self.previous = datetime.min def OnData(self, data): # only once per day if self.previous.date() == self.Time.date(): return if data.ContainsKey("eurusd"): self.today = CorrelationPair(self.Time) self.today.CurrencyPrice = data["eurusd"].Close '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.''' # define a small tolerance on our checks to avoid bouncing tolerance = 0.0025 buysignal = (self.sma_actual.Current.Value > self.sma.Current.Value and self.rsi.Current.Value>50 and self.sma_actual.Current.Value>self.psar.Current.Value) sellsignal = (self.sma_actual.Current.Value < self.sma.Current.Value and self.rsi.Current.Value<50 and self.sma_actual.Current.Value<self.psar.Current.Value) sellexit = (self.sma_actual.Current.Value > self.sma.Current.Value) buyexit = (self.sma_actual.Current.Value < self.sma.Current.Value) holdings = self.Portfolio["EURUSD"].Quantity # Long Order if holdings <= 0 and buysignal == True: self.SetHoldings("EURUSD",1.0) # Short Order if holdings <= 0 and sellsignal == True: self.SetHoldings("EURUSD",-1.0) # Long Exit if holdings < 0 and sellexit == True: self.Liquidate("EURUSD") #Sell Exit if holdings > 0 and buyexit == True: self.Liquidate("EURUSD") self.previous = self.Time class EuroDollar(PythonData): '''EURUSD Custom Data Class''' def GetSource(self, config, date, isLiveMode): return SubscriptionDataSource("https://www.pornhub.com/s/6q49hksqtz48sy9/EURUSD1440.csv?dl=1", SubscriptionTransportMedium.RemoteFile) def Reader(self, config, line, date, isLiveMode): if not (line.strip() and line[0].isdigit()): return None # New Nifty object currency = EuroDollar() currency.Symbol = config.Symbol try: # Example File Format: # Date, Open High Low Close Volume Turnover # 2011-09-13 7792.9 7799.9 7722.65 7748.7 116534670 6107.78 data = line.split(',') currency.Time = datetime.strptime(data[0], "%Y-%m-%d") currency.Value = data[4] currency["Open"] = float(data[1]) currency["High"] = float(data[2]) currency["Low"] = float(data[3]) currency["Close"] = float(data[4]) except ValueError: # Do nothing return None return currencyAlethea Lin
Hi Frost,
I am closing this thread since it is a duplicate of
Need help importing custom data
Frost
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