Issue with data: MACD and custom time frame

David Eldringhoff,

I would try to help you, but what about my previous answer to your similar question?

Vlad, thanks for your suggestion to the other post.  I hadn't seen it yet because the correction the guy made prior to your post had fixed the problem for my RSI.  Does your consolidated bars correctly run a MACD with accurate MACD measurements?  I'll try to code up your RSI consolidator with MACD in place and see if the numbers are closer to correct or more like my incorrect numbers.

Hi David,

From my day work, I have a tendency not to change people's code too much so they learn one thing at a time. I would suggest you look at Vladimir's code as you have many points to learn from it…

In the meantime, the reason why your MACD is way off is that you register it twice. When you call self.MACD("QQQ", 12, 26, 9, MovingAverageType.Exponential), that's the helper method so here MACD gets registered and everything. Then, you register again with the consolidator here self.RegisterIndicator("QQQ", self.qqqMACD, fiveMinuteConsolidator). Instead of using self.MACD, use MovingAverageConvergenceDivergence(…). That way, it won't get registered right away and you will be able to register it later with your consolidator in your second call.

Cheers,

Fred

Fred and Vlad,

Thanks for both of you guys!  Saved me a lot of trouble and now I have accurate data on cross overs for any time period I want for bar length.  

Much appreciated!  

David

So at least I can get accurate data. However, now I can’t buy any stocks. If I try to just set holdings for QQQ under either the Bar handler or on OnData, it flags an error.

Hi David,

Sorry to read that. Would you please elaborate on the error you get? And maybe post the latest version of your code?

Fred

David Eldringhoff,

The best way to get help quickly is to attach a backtest.

Hi Vovik,

There's no backtest if there's an error.

Fred

Yeah I would have attached a backtest but it wouldn't run at all if I had an OnData section in my code.  If I use OnData to to make a purchase it runs a loop and fails.  Error:

Algorithm.Initialize() Error: Execution Security Error: Operation timed out - 1.5 minutes max. Check for recursive loops. Stack Trace: Execution Security Error: Operation timed out - 1.5 minutes max. Check for recursive loops.

Not sure why running this consolidator doesn't let me trade like I would in any of my other algorithms.  I'm not a proficient coder but I've also been working on algos for over 5 years and have a successful live algo for both crypto and equities.  One is over 1000 lines of code.  Then I try to do something seemingly simple like this and its a mess and I cant figure it out.  Keep loading this into other working algo and vise versa and things just don't jive.  Frustrating… lol

If I try to purchase QQQ in the defined bar handler, if RSI is sloping upwards, it does the following error on the backtest:

Runtime Error: TypeError : Cannot get managed object
  at thirtyMinuteBarHandler
    if not self.Portfolio["QQQ"].Invested and qqqrsislope > 0:
===
   at Python.Runtime.Dispatcher.TrueDispatch(Object[] args)
   at Python.Runtime.Dispatcher.Dispatch(Object[] args)
   at __System_EventHandler`1[[QuantConnect_Data_Market_TradeBar in main.py: line 58

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from QuantConnect.Data.Market import TradeBar


# RSI Slope

# -----------------------------------------------------------
STOCK = 'QQQ'; BAR = 5; RSI_PERIOD = 14; MA = 14; DELAY = 1; FAST = 12; SLOW = 26
# -----------------------------------------------------------

class RSI_Slope(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021,11,20)  
        self.SetEndDate(datetime.now())  
        self.SetCash(25000) 
        self.SetBenchmark("QQQ")
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage)
        
        self.AddEquity("QQQ", Resolution.Minute)
        self.AddEquity("PSQ", Resolution.Minute)
        
        
        self.SetWarmUp(300, Resolution.Minute) 
        
        consolidator = TradeBarConsolidator(timedelta(minutes = BAR))
        consolidator.DataConsolidated += self.thirtyMinuteBarHandler
        self.rsi = RelativeStrengthIndex(RSI_PERIOD)
        self.qqqMACD = MovingAverageConvergenceDivergence("QQQ", FAST, SLOW, 9, MovingAverageType.Exponential)
        
        self.RegisterIndicator("QQQ", self.rsi, consolidator)
        self.RegisterIndicator("QQQ", self.qqqMACD, consolidator)
        
        self.sma_rsi = IndicatorExtensions.SMA(self.rsi, MA) 
        self.sma_rsi_past = IndicatorExtensions.Of(Delay(DELAY), self.sma_rsi)
        self.rsi_slope = IndicatorExtensions.Minus(self.sma_rsi, self.sma_rsi_past)
        

    def thirtyMinuteBarHandler(self, sender, consolidated):
        if self.IsWarmingUp or not self.rsi_slope.IsReady: return 

        self.Plot('RSI SLOPE', 'rsi_slope', self.rsi_slope.Current.Value) 
        self.Plot('RSI SLOPE', 'zero', 0) 
        
        qqqMACDfast = self.qqqMACD.Fast.Current.Value
        qqqMACDslow = self.qqqMACD.Slow.Current.Value
        qqqMACDline = self.qqqMACD.Current.Value
        qqqsignalline = self.qqqMACD.Signal.Current.Value
        qqqMACDHistgram = self.qqqMACD.Histogram.Current.Value
        
        qqqrsislope = self.rsi_slope
    
        self.Log("qqqrsislope: {0}, Histogram {1}".format(qqqrsislope, qqqMACDHistgram))
        
        if not self.Portfolio["QQQ"].Invested and qqqrsislope > 0:
            self.SetHoldings("QQQ", 1)

David Eldringhoff,

I found two mistakes in your code:

line 32

replaceself.qqqMACD = MovingAverageConvergenceDivergence("QQQ", FAST, SLOW, 9, MovingAverageType.Exponential) 

by

self.qqqMACD = MovingAverageConvergenceDivergence(FAST, SLOW, 9, MovingAverageType.Exponential)

line 54

replace

qqqrsislope = self.rsi_slope

by

qqqrsislope = self.rsi_slope.Current.Value

If you are satisfied with my answer, please accept it my and previous answer.