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I am looking to do an algorithm that holds SPXL when SPY is at its 200 day moving average and liquidates SPXL when SPY falls bellow the 200 day moving average. This action should take place at the end of every trading day. For some reason my algo is not executing as it should and it is buying at certain points when the SPY is bellow it's 200 sma. Can anybody tell me why?
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Louis Szeto
Hi FinTech for life
The algorithm worked correctly to me. The trade will not take place at the end of the trading day but the next opening since you're using daily resolution data. The data will only be consolidated and received at 00:00 on the next day (the whole day ended), so your orders were submitted at that time and only be filled on the next opening.
I didn't see any data point where “it is buying at certain points when the SPY is below it's 200 sma”
Best
Louis
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.
FinTech for life
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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