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MACD Alpha model error

Hi,

I am trying a really basic MACD Alpha model using the algo framework and I see some errors in insights time compared to Yahoo finance or spreadsheet calculated MACD. Maybe I am just beginning and missing something really obvious, can you help me to make it work ?

 

I checked that Resolution was daily for both Alpha model and Yahoo finance.

I tried both MovingAverageType.Simple and MovingAverageType.Exponential in addAlpha arguments.

Example of insights

https://drive.google.com/file/d/16qplL_BKu9bWZ3O3Uy30-f-n_VoTmY-8/view?usp=sharing

Example of yahoo finance MACD

https://drive.google.com/file/d/16qplL_BKu9bWZ3O3Uy30-f-n_VoTmY-8/view?usp=sharing

 

from Alphas.MacdAlphaModel import MacdAlphaModel

class PrototypeV0(QCAlgorithm):

def Initialize(self):

self.UniverseSettings.Resolution = Resolution.Minute
self.UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw

self.SetStartDate(2017, 2, 15)

self.SetCash(100000)

symbols = [ Symbol.Create("TSLA", SecurityType.Equity, Market.USA)]

self.AddAlpha(MacdAlphaModel(12, 26, 9, MovingAverageType.Exponential, Resolution.Daily))

self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel() )

self.SetExecution( ImmediateExecutionModel() )

self.SetRiskManagement(TrailingStopRiskManagementModel(0.05))


def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
Arguments:
data: Slice object keyed by symbol containing the stock data
'''

# if not self.Portfolio.Invested:
# self.SetHoldings("SPY", 1)

 

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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.


Hi Etienne RAINAUT ,

You haven't said why the insights are wrong in your opinion. We couldn't open the links from Google Drive.

The MACD Alpha Model emits InsightDirection.Up when the ratio between the MACD.Signal and the security prime is greater than bounceThresholdPercent (value of 0.01):

            normalized_signal = sd.MACD.Signal.Current.Value / sd.Security.Price

            if normalized_signal > self.bounceThresholdPercent:
                direction = InsightDirection.Up
            elif normalized_signal < -self.bounceThresholdPercent:
                direction = InsightDirection.Down

P.S.: Please do not create duplicates in the community forum and support@quantconnect.com. 

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.


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