Trading Minute on Daily Indicators by Mukesh Chakravarti

Mukesh Chakravarti INVESTOR

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Assume a security with last 2 days closing [10, 12]. If my strategy is to trade when price is above 2 day SMA (daily close).

On 3rd day:
before market opens 2d SMA is (10+12)/2 = 11.
After market opens, first minute, price is 11. The running 2d SMA should be (12+11)/2 = 11.5.
second minute, price is 11.5. The running 2d SMA should be (12+11.5)/2 = 11.75.

Now this is very simple case and I could do this manually. But thigs could go complicated. For example, what is I need to consider RSI instead.

What's the most simple/ elegent way to get indicator values based on a different resolution than ticker data, but updated live to consider last available price?

Update Backtest

Mukesh Chakravarti

Accepted Answer

Update Backtest

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Mukesh Chakravarti

219 ,

public override void Initialize()

{

    //...

    AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);

    _sma = SMA(symbol, 2, Resolution.Daily);

    //...

}

public override void OnData(Slice data)

{

    //...

    _sma.Update(Time.Date, data.Bars["SPY"].Close);

    //...

}

One approach I found is to use call Update function on indicator. I supplied only date part and closing price of the Slice. Not sure if this is the right approach though.

Alexandre Catarino

Hi Mukesh Chakravarti ,

When the algorithm creates an indicator with a helper method, it is automatically updated by the engine with the required resolution. No need to use the Update method, just this:

_smaDaily = SMA(symbol, 2, Resolution.Daily);

_smaHour = SMA(symbol, 2, Resolution.Hour);

_smaMinute = SMA(symbol, 2, Resolution.Minute);

Mukesh Chakravarti

219 ,

I knew that Alexandre. If the data resolution is minute and indicator rsolution is daily, indicator gets update once per day. Which might be right behaviour in many cases but not something I am looking at. The indicators should use the latest price data available at that point in time.

If I am trading on 200 days SMA crossover, and the price moved significantly intraday, the daily indicator will still be showing the SMA based on yesterday close.

I wanted the minute data to be reflected in the daily indicator calculation.

Alexandre Catarino

Hi Mukesh Chakravarti ,

Sorry about the wait.

In order to achieve that behavior, you will have to create a custom indicator, since Lean indicators were not designed to recalculate its last value until the resolution frontier is crossed.

Mukesh Chakravarti INVESTOR

Update Backtest

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