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Hello, I'm new to QuantConnect and this is my first community post. I'm working on building a strategy that needs to identify when a high high or a low low trend is identified. The system needs to be able to look back to a certain number of candles and ensure that there is enough distance between point a and point b in order for it to be considered valid. See attached.
I've been doing some research and came across a python library called argrelextrema which I'm pretty sure I need to use but I can't figure out how it works exactly. I'm hoping someone can give me an example of this being implemented in a backtest.
Thanks in advance :)
Vladimir
Fahmad91,
You can use for your strategy QC DonchianChannel Indicator.
For that you just need to specify data resolution, symbol and period.
Fahmad91
Vladimir Thanks for your answer. I've been playing around with this indicator but still can't seem to figure out how I would capture the event when a low / upper band drops / rises a certain amount. I'm trying to capture the event I highlighted in this screenshot.
Example: if point_a drops 50% from point_b: then do something…
Vladimir
-> if point_a drops 50% from point_b: then do something…
It may never happen, and depends on what instruments are you going to use.
I would prefer to use crossover of middle line (HH + LL)/2 with slightly smoothed price.
It would also be helpful to search the QC forum for the keyword "Donchian Channel".
Fahmad91
Vladimir Hmm… I see what you mean.
You included SMA in your backtest. Would it be better to check for cross over with SMA or the actual price?
Vladimir
Fahmad91,
Here is "Trading Donchian Channel"
Enjoy.
If you are happy with any of my answers please accept it.
Fahmad91
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