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Hello,
I'm getting inaccurate ATR readings, sometimes off by 2x, I followed the example on this post.
Can someone please take a look at the attached code.
Thanks
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Varad Kabade
Hi MAK K,
What do you mean by the ATR values are off? Would you mind elaborating more on why do you think they are off and provide us with a reference? Note that the above algorithm does not remove SymbolData objects for securities removed from the Universe and is also trying to update them in the OnData method. We recommend implementing the above logic in the OnSecuritiesChanged method. Refer to the attached backtest.
Best,
Varad Kabade
Mak K
Hi Vald!
Thanks for the clarification, by off I mean inaccurate compared to other platforms, see screen shot below (APPL ATR 0.72 on QC vs 0.31 on TradingView) Both are using ATR 14 Simple QC ATR is more than double
Backtest attached.
Thanks
Varad Kabade
Hi MAK K,
In the above example, we are comparing 9:45 in TradingView against 9:45 in QC, where he should use 9:46 in QC because of self.Time is the bar end time. We need to compare the price values because the indicators will be different if the prices are slightly different. We validate the indicators against third-party sources, and when the values are the same, the indicator values are similar too.
Best,
Varad Kabade
Mak K
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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