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I am trying to create Renko Bars for continuous futures. I cannot get the consolidator to fire. Does the RenkoConsolidator work on continuous futures? I was able to find examples of using it on prior futures methods and I am able to get other consolidators to work on continuous futures contracts. I attached a backtest. Any guidance is much appreciated!
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Nico Xenox
Hey Critical.Error,
I guess you could do something like this.
Best,
Nico
Critical.Error
That did not work either. I was hoping the consolidators would work on the continuous futures contract but it appears they do not. I will with the futures universe method and see if that works. I appreciate the response!
Critical.Error
That was it. RenkoConsolidator just doesn't work with continuous futures contracts. Just had to change my AddFutures line to:
self.gc = self.AddFuture(FUTURES_CONTRACT, Resolution.Tick)
self.gc.SetFilter(timedelta(0), timedelta(182))
Critical.Error
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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