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Hi Team,
What is the best way to create indicator on combined data?
For example, in pair trading, you want to long/short Microsoft and Apple. And I want to create MACD on the price difference of the two.
Thank you.
Jianwei
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JP B
public class PairsTradingAlgorithm : QCAlgorithm { decimal _diff; MovingAverageConvergenceDivergence _macd; //Initialize the data and resolution you require for your strategy: public override void Initialize() { //Start and End Date range for the backtest: SetStartDate(2013, 1, 1); SetEndDate(2014, 1, 1); //Cash allocation SetCash(25000); //Add as many securities as you like. All the data will be passed into the event handler: AddSecurity(SecurityType.Equity, "AAPL", Resolution.Minute); AddSecurity(SecurityType.Equity, "MSFT", Resolution.Minute); //Initialise MACD _macd = new MovingAverageConvergenceDivergence(12, 26, 9, MovingAverageType.Simple); } //Data Event Handler: All data arrives here in slices. public override void OnData(Slice slice) { if (!slice.ContainsKey("MSFT") || !slice.ContainsKey("AAPL")) return; //Calculate difference MSFT and AAPL _diff = slice["MSFT"].Close - slice["AAPL"].Close; //Update MACD _macd.Update(slice.Time, _diff); //Calculate MACD difference decimal signalDeltaPercent = (_macd - _macd.Signal)/_macd.Fast; var tolerance = 0.0025m; //If MACD gives signal and we're not in a position right now if (!Portfolio.HoldStock && signalDeltaPercent > tolerance) { //Calculate quantities of individual positions int quantityA = (int)Math.Floor(0.5M*Portfolio.Cash/slice["MSFT"].Close); int quantityB = (int)Math.Floor(0.5M*Portfolio.Cash/slice["AAPL"].Close); //Go long on first, go short on second Order("MSFT", quantityA); Order("AAPL", -quantityB); } else if (signalDeltaPercent < -tolerance) { //If MACD gives opposite signal Liquidate("MSFT"); Liquidate("AAPL"); } //Plot MACD lines Plot("MACD", "Difference", _diff); Plot("MACD", _macd.Fast, _macd.Slow); } }You can clone this project below. Mind you: I am not sure whether my trading logic makes any sense. You can change the trading rules to your liking. I'm just showing you an example of how to write such a pair-trading strategy.Michael Handschuh
var msft = Identity("MSFT"); var aapl = Identity("AAPL");We can then take these and form more complex indicators from them, such as a difference:var diff = msft.Minus(aapl);We can then define a MACD on the difference using:var macdDiff = new MovingAverageConvergenceDivergence(12, 26, 9).Of(diff);All of the above indicators will be auto-updating and should be defined in the algorithm's initialize method. Have a peek at the indicator extension methods here.JP B
JP B
Jianwei Wang
Jianwei Wang
Jianwei Wang
Michael Handschuh
Jianwei Wang
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.
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