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I've created a simple application to calculate the simple moving average of a leveraged etf. While the stock price is correct, I believe that the simple moving average is inconsitent with historical data. I've tested the algorithm by setting the simple moving average to 1.0. This resulted in the simple moving average and the stock price converging, which is what is expected. However when larger averages like 25 or 50 are used, the calculations are inconsistent with data from other providers.
Am I doing something incorrect? Can someone provide a little insight into any issues with my implementation.
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.
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.
Aaron Janeiro Stone
4.7k
,
Without seeing the data from other providers, I can suggest trying to turn of fillforwarding
Yup, I'm aware of the trading time taking place at a particular time within the day. The trades are taking place 10 minutes before the close. I've been minful of that while creating this algorithm.
Also, I've turned off fill-forward, and the result appears to be the same.
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Edited by Blake McMillian
Jared Broad
STAFF
,
Hi Blake, closing this as there isn't sufficient information to discuss constructively. Please submit specific data issues to the Data Explorer.
https://www.quantconnect.com/data/issues/create
.
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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.
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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