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My strategy is to long/ short breakouts on Bollinger Bands. However, I am having some trouble, my custom selection isn't returning anything.
I have attatched all the code, but here is my selector:
AddUniverse(coarse => {
return (from c in coarse
let bb = BB(c.Symbol, 20, 2, MovingAverageType.Exponential, Resolution.Hour)
where (c.Price > bb.UpperBand || c.Price < bb.LowerBand)
orderby c.DollarVolume descending
select c.Symbol).Take(500);
});
Alexandre Catarino
On every universe selection event, you are creating a new Bollinger Band indicator. Consequently, the indicator is never ready, since it needs 20 samples to issue the first valid value.
We need to save the indicator for every symbol, update it on every universe selection event and finally use it to select the symbols.
Please checkout the attached project. You can easily adapt to use Bollinger Bands instead of Exponential Moving Averages.
Natanima tadesse
do you have this code in python
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Sean McKenna
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