Back

How to index all time high values using Maximum Indicator?

Hi All,

I'm trying to save historical all time highs into a list every time the Maximum function returns a new historical high. I am using the following:

public Maximum ath(Symbol symbol, int period, Resolution ? resolution = null, Func<IBaseData, decimal> selectorHigh = null)
{
var name = CreateIndicatorName(symbol, $"Historical High({period})", resolution);
var historicalHigh = new Maximum(name, period);

// assign a default value for the selector function
if (selectorHigh == null)
{
var subscription = GetSubscription(symbol);
if (typeof(QuoteBar).IsAssignableFrom(subscription.Type))
{
// if we have trade bar data we'll use the High property, if not x => x.Value will be set in RegisterIndicator
selectorHigh = x => ((QuoteBar)x).High;
}
}

RegisterIndicator(symbol, historicalHigh, ResolveConsolidator(symbol, resolution), selectorHigh);

if (EnableAutomaticIndicatorWarmUp)
{
WarmUpIndicator(symbol, historicalHigh, resolution);
}

return historicalHigh;
}

 

Update Backtest







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.


Hey Tyler,

I implemented a method of keep tracking of historical highs using the daily high identity indicator in C#. Take a look in the backtest below.

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.


Update Backtest





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...

This discussion is closed