Changing high and low

Vladimir  hi , can u spare some time for  my question , it would be really  helpful 😊

Vladimir  hi , can u help me  ?

Blackpanther

Here is my attempt to implement my understanding of your algorithm on hourly data.

Vladimir  hi I really liked what u did, but there are somethings missing

1. buy if the coin is down -0.10 % or if the candles have same support 
2. sell when the coin is high as previous high or  at common resistance.
3. when breakout occurs wait for one candle and the starting of the 2nd candle to decide the support

u know there is a pattern in this  coin it falls and gets up can u make a bot according  , above things depict it's move. Again Thanks for helping😊

Hi Blackpanther,

To implement the above strategy, we recommend using Rolling Window to store the slices we receive in OnData event handler. 

We have created an example algorithm where we have implemented the buying logic to get you started.Refer to the attached backtest.

Best,

Varad Kabade

Blackpanther, Varad Kabade

Here is my, more pythonic, way to implement the rolling window in the original algorithm.

Vladimir   maybe  this picture will tell u what I want 

• Can u see all the highs and lows are same for some time this is the time when u buy and sell on hopes of previous high and low

Then a breakout occurs. 

• New highs and lows are created. When this happens , the bot will buy when  the breakout low and current price would be same and  when the current price and new high would be same  “ sell ”. The  one bar check should only occur when there is a breakout .

I hope u understood , 😊

Vladimir  Hi , just wanted to  make sure that if u understood what I meant . Hope u reply soon 😊

Blackpanther

Here is another algorithm with my attempts to solve most of your requests.

When the breakout low and current price the same: "buy" 

                if (C[0] == L[1] < L[2]): self.signal = 1

When the breakout high and current price the same: "sell"

                elif (C[0] == H[1] > H[2]): self.signal = -1 

The one bar check should only occur when there is a breakout

                else: self.signal = 0

If you are satisfied with my answer, please accept it and don't forget to like it

Vladimir  Hi , why isn't this code working with  “USDCUSDT” . Can u please look into the code

class BlackpantherFractal(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 4, 6)
        self.SetEndDate(2021, 4, 8) 
        self.SetCash(1000)  
        self.crypto = self.AddCrypto("USDCUSDT", Resolution.Minute, Market.Binance).Symbol
        self.window = RollingWindow[TradeBar](3) 
        

    def OnData(self, data):
        
        

        if not self.crypto in data.Bars: return
        self.window.Add(data.Bars[self.crypto])
        if not self.window.IsReady: return
    
        H = [self.window[i].High for i in range(3)]
        L = [self.window[i].Low for i in range(3)]
        C = [self.window[i].Close for i in range(3)]
        

        if (C[0] <= L[1] == L[2]):
            self.SetHoldings(self.crypto,1)
        elif (C[0] >= H[1] ==  H[2]):
            self.Liquidate(self.crypto)
       

Blackpanther

Try QuantConnect Data Explorer to check symbol availability.

If you are satisfied with my answer, please accept it and don't forget to like it.

Vladimir  Yes , it is available in Binance Crypto Price Data .

Blackpanther

Here is one for USDCUSDT.

If you are satisfied with my answer, please accept it and don't forget to like it.

Vladimir  hi , why are these error occurring ?

Why  most of the quantities are not getting sold  at the right time?

The  algorithm  works good , if these two problems are solved we are good to go.😊

how to solve this error , can u tell me ?

Blackpanther

Is there anything wrong with the code I posted here?

Vladimir

Yes there is one problem

CRYPTO = "USDCUSDT";  

class BlackpantherFractal(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 4, 6)
        self.SetEndDate(2021, 4, 8) 
        self.SetCash(100000)  
        self.crypto = self.AddCrypto("USDCUSDT", Resolution.Minute, Market.Binance).Symbol
        self.window = RollingWindow[TradeBar](3)
        self.signal = 0 
        

    def OnData(self, data):
        if not self.crypto in data.Bars: return
        self.window.Add(data.Bars[self.crypto])
        if not self.window.IsReady: return
    
        H = [self.window[i].High for i in range(3)]
        L = [self.window[i].Low for i in range(3)]
        C = [self.window[i].Close for i in range(3)]

        if (C[0] == L[1] < L[2]): self.signal = 1
        elif (C[0] == H[1] > H[2]): self.signal = -1
        else: self.signal = 0

        self.SetHoldings(self.crypto, self.signal) 

problem with this code  :-  Reason: USDCUSDT: The security does not have an accurate price as it has not yet received a bar of data. Before placing a trade (or using SetHoldings) warm up your algorithm with SetWarmup, or use slice.Contains(symbol) to confirm the Slice object has price before using the data. Data does not necessarily all arrive at the same time so your algorithm should confirm the data is ready before using it. In live trading this can mean you do not have an active subscription to the asset class you're trying to trade. If using custom data make sure you've set the 'Value' property. Returning null.

and also the original problems  which I had posted in previous  comment here 

😊 

Blackpanther

Try this with resampled data.

Hi Vladimir  I tried ur code  and it was working great until this happened

It stared buying at the highest and selling at the lowest . I hope u  can provide me with some answers.😊

and one more thing when I changed the BAR to 1 , the trades increased and became 1920 instead of 26 when the BAR was 60. Can u explain me why this affected the volumes of trade ? 

CRYPTO = "USDCUSDT";  BAR = 1;

class BlackpantherFractal(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2022, 5, 1)
        self.SetEndDate(2022, 5, 3) 
        self.SetCash("USDT", 1000) 
        self.crypto = self.AddCrypto(CRYPTO, Resolution.Minute, Market.Binance).Symbol
        self.SetSecurityInitializer(lambda s: s.SetLeverage(1))
        self.SetBrokerageModel(BrokerageName.Binance, AccountType.Margin)
        self.Consolidate(self.crypto, timedelta(minutes = BAR), self.CustomBarHandler)
        self.window = RollingWindow[TradeBar](3)
        self.consolidator = TradeBarConsolidator(timedelta(minutes=BAR))        
        self.SubscriptionManager.AddConsolidator(self.crypto, self.consolidator)
        self.SetWarmUp(BAR, Resolution.Minute)
        

    def CustomBarHandler(self, bar):
        if self.IsWarmingUp: return
        self.window.Add(bar) 
        if not self.window.IsReady: return
    
        H = [self.window[i].High for i in range(3)]
        L = [self.window[i].Low for i in range(3)]
        C = [self.window[i].Close for i in range(3)]
        curr_price = self.Securities[self.crypto].Price
        
        if not self.Portfolio[self.crypto].IsLong:
            if ( curr_price <= L[1] <= L[2]):
                self.SetHoldings(self.crypto,1)
                
        elif not self.Portfolio[self.crypto].IsShort:        
            if ( curr_price >= H[1] >=  H[2]):
                self.SetHoldings(self.crypto,-1)

Blackpanther

Why did you change the parameters of the code that worked great for you.?

Vladimir  

because my parameter traded 1920 trades whereas your parameter traded 26 times only but that is not the problem the real problem is that the high and low are getting interchanged after some time. If you think that 60 is best for me, I will change it to 60.